emerging markets oil turmoil impact on fmo portfolio
TRANSCRIPT
emerging markets turmoil & impact on FMO portfolioSB VISITS CREDIT 19-10-2015 www.fmo.nl
1. ICAAP “China slowdown”: includes 50% provisioning for agri & mining commodity (+trading) sectors and 6 exporting countries to China.
2. Depreciating currencies: where currencies fell against USD since May 2014.
3. Emerging markets turmoil: individual client scoring on impact from China slowdown, lower commodity prices & political instability (e.g. Turkey): 15 countries + ports
Stress test scenarios
Depreciation Provisioning Score Impact
< 20% 0% 1 No material impact
> 20% 20% 2 Some but not on servicing debt
> 30% 50% 3 Probably impact on servicing debt
> 40% 100% 4 Almost certain impact on servicing debt
3
Stress test depreciation >20%
Depreciation vis-à-vis USD in last 18 months >40%, >30%, >20%
4
Stress test emerging markets turmoil
FMO identified 15 countries as vulnerable…..
Stress TEST results
5
Scenario At risk portfolio (EUR mln)
Capital ratio YE16
RoEYE16
ICAAP – Base case - 24.6% 7.0%
ICAAP – China Slowdown 1.300 17.2% -15.6%
Depreciating currencies 1.800 18.0% -14.1%
Emerging markets turmoil 1.300 19.4% -7.2%
General assumptions stress scenarios:- USD appreciates against the Euro to 0.9- No equity exits- No Fair Value growth equity; impairments in selected countries
EM turmoil crisis could have serious impact on portfolio quality but capital is sufficient:- Stress scenarios were taken at high provisioning percentages- Portfolio monitoring activities in high risk areas are increased by FO, RM and Credit- New proposals in high risk areas will be even more critically considered