The traditional problem of the whole banking which in modern conditions is particularly acute is the increase in banking liquidity. The concept of liquidity is often identified with solvency.
The coefficients used in the practice of analyzing the state of the bank can be divided into several groups:
Liquidity ratios are used to assess how the most liquid elements of the balance sheet compare financial institution, its working capital (cash, debtors, inventory material values) and short-term liabilities (promissory notes issued, short-term debentures etc.). The higher the coverage of these liabilities with marketable assets, the more reliable the bank's position, the more chances it has to raise funds and expand its customer network.
In credit practice, another liquidity indicator is used, called litmus paper coefficient:
When calculating it, only those types of assets that can be easily and quickly converted into cash are taken into account.
The bank's balance sheet is considered liquid if its condition allows, due to the rapid sale of funds on the asset, to cover urgent liabilities on the liability. Liquidity ratio - liquidity ratio, below which the ratio of liquid assets to the corresponding liabilities cannot fall. They differ in terms of short-term and medium-term liquidity ratios. The liquidity of the bank is characterized by the ease of realization and the transformation of material assets into cash (into cash or funds in bank accounts).
When characterizing the liquidity of a bank, its assets are divided into three groups according to the degree of their liquidity:
One of the important indicators characterizing the degree of excess of bank liabilities over available capital is bank liability limit factor, which is calculated by the formula
where K - capital; Oh - obligations.
For commercial banks created on the basis of specialized state banks, the coefficient H3 = = 0, (M, i.e. the bank's liabilities can exceed its capital by 25 times. For banks created in the form of limited liability partnerships and joint-stock companies closed type, H3 = 0.05. For banks created in the form joint stock company closed type, H3 = 0.067.
This means that in order to attract customer funds joint-stock banks it is necessary to constantly issue capital at the expense of the statutory fund, which is observed at the present time, when banks are mainly present on the securities market.
The Bank of Russia has established a number of performance indicators that regulate the active and passive operations of banks in order to maintain the liquidity level of their balance sheets:
H4 - backing of loans with deposits. This indicator is calculated as the ratio of the amount of loans (Kr) to the amount of settlement, current accounts, deposits and deposits (C):
The ratio of loans to deposits shows how profitable and at the same time risky assets are covered by deposits.
Commercial banks created on the basis of special banks are recommended to maintain the value of the indicator of the security of loans with deposits not higher than 1.5; other commercial banks- not higher than 0.7. In American banking statistics, this indicator has long been considered the leading one and largely determined the activity of the lending policy of banks.
The next important indicator is provision with liquid assets of deposits. This indicator is calculated by dividing the amount of liquid assets (LL) by the amount of settlement, current accounts, deposits and deposits (C):
It is recommended to maintain this liquidity ratio for commercial banks created on the basis of specialized banks at a level of at least 0.2, for other commercial banks - at least 0.5. At the same time, liquid assets are determined similarly to the Bike of Russia methodology (loans issued by the bank with a maturity of up to 30 days).
H6 - share of liquid assets in total assets. This indicator is determined by the ratio of liquid assets (LA) and total amount assets (A) net of loans and other payments in favor of the bank with a maturity of up to 30 days:
The values of this indicator for different types commercial banks are recommended to be maintained within the same limits as the previous indicator.
Taking into account the classification of loans granted and the terms of use, the Bank of Russia established short- and medium-term ratios (H7 and H8) liquidity, differentiated by types of banks. At the same time, it is determined that guarantees and guarantees providing for the fulfillment of obligations in cash can be issued by a bank for an amount not exceeding the amount of its capital.
In order to maintain the liquidity of the balance sheet by commercial banks at the proper level and ensure their economic stability, capital adequacy ratios. Capital adequacy is determined by establishing the minimum allowable size of the bank's authorized capital and the ratio of its entire capital to the amount of assets, weighted taking into account the degree of risk of their loss.
Based on the grouping of assets of commercial banks according to the degree of risk, as well as adjusting the balance sheet amount of assets, capital adequacy indicators are calculated:
1) the indicator of providing capital for investments with increased risk (H,), calculated as the ratio of the bank's capital (K) to the amount of risk-weighted assets (Ar):
The minimum allowable value of H is reviewed periodically;
2) the capital adequacy ratio of a commercial bank (H2), reflecting the ratio of capital to high-risk assets, the balance amount of which is adjusted for the percentage of risk:
where A|||(- assets of groups 3-6, weighted taking into account the risk of their loss. The value of this indicator is recommended to be maintained at a level not lower than 0.1;
3) for regulation active operations From the point of view of capital adequacy, commercial banks are asked to calculate a similar indicator for assets of the 4th and 5th groups:
The maximum amount per borrower is determined by the coefficient
where P is the amount of the bank's risk (total liabilities of the borrower to the bank, including 50% of off-balance sheet liabilities issued by the bank to the borrower). For commercial banks created on the basis of specialized banks, the maximum value of H9 = 1.0, and for others - H9 = 0.75. At the same time, the amount of the bank's risk to one borrower should not exceed 10% of the total assets of the bank.
Debt ratios show how the risk is distributed between the company's owners (shareholders) and its creditors. Assets can be financed by either equity (equity) or borrowing (debt). The higher the ratio of borrowed funds to shareholders' equity, the higher the risk of creditors and the more cautious the bank is about issuing new loans. If a highly indebted company or bank fails, the chances of creditors getting their money back will be very low. To assess the debt, it is calculated first of all fixed asset coverage ratio, which is expressed by the following formula:
It shows how much of the fixed assets is financed by equity. In principle, buildings, equipment and other long-term assets should be funded either through shareholder funds or through long-term loans. A ratio of 0.75-1.0 is considered normal, since a higher figure may mean that a part of working capital is invested in fixed assets and this may adversely affect the bank's core business.
The second indicator of this group is short-term debt ratio:
This ratio makes it possible to compare the company's forthcoming debt payments within the next year with the amount of funds invested by shareholders.
Another indicator in this group - total debt coverage ratio:
It shows how much of the company's total assets are covered by creditors and how much by shareholders. If the indicator exceeds 1, the share of attracted funds is higher. Practice shows that the optimal value of the coefficient should not exceed 2.
Debt repayment rates allow assessing the company's ability to pay current debt by generating cash Money in the course of operations. Main indicator financial stability bank - its ability to pay interest and principal on loans received. A simple and efficient method is the calculation of debt repayment ratios. This ratio shows how much cash receipts the company from operations will be needed to cover principal and interest on loans maturing within the coming year. The lower the ratio, the lower the "margin of safety" when paying off debts. Theoretically, a coefficient equal to 1 provides the company with financial stability.
Business Activity Indicators allow assessing the effectiveness of the management of the company's use of its assets. There are usually three types of coefficients of the specified type, which represent the ratios accounts receivable, accounts payable and stocks to the sales indicator (sales financial instruments). The purpose of the ratios is to determine the speed of debt and inventory turnover. The first indicator is receivables turnover ratio:
It allows you to determine the average period (in days of collection) of the unilateral fulfillment by the bank of its obligations with the provision of a delay in the opposite payment. The average amount of receivables is calculated by summing them at the beginning and end of the period and dividing by two. Of course, the analysis of this indicator makes sense only in comparison with similar coefficients for other units of the financial sector. If the indicator is relatively high, then this may indicate a delay in the performance of the bank's obligations.
The second indicator is accounts payable turnover ratio:
The ratio allows you to determine how quickly the company pays creditors' bills. A sharp increase in the indicator may indicate problems with cash flow, and a decrease in the early payment of bills in order to receive a discount.
Profitability indicators indicate overall efficiency work financial company, about the success of the policy of its leadership and individual services. When calculating profitability indicators net profit compared with such parameters as the amount of sales of financial instruments, assets and share capital of the company.
The coefficient characterizes the ratio of profit to the amount of sales:
The second indicator is profit per unit of assets:
The coefficient characterizes the profitability from lending activities in terms of the use of the company's assets.
Index income received per unit of share capital, indicates how effectively and profitably the funds of shareholders were used:
The principle of calculating performance indicators can be used in determining the cost for using credit resources. When determining the loan rate, bank specialists proceed from calculations required minimum rate of return on a loan, which is calculated according to the following formula:
where marginal cost is defined as the cost to the bank of short-term borrowings (usually the market rate for three-month certificates of deposit is taken); target profit - markup to the base interest rate (for high-risk loans - 5-6%, for low-risk loans - 2%); loan income - the amount of interest payments, commission for opening a loan and for developing loan conditions; Net Applied Funds is the average amount outstanding on a loan over the life of the loan, less amounts contributed by the borrower and reserve balances at the Federal Reserve Bank.
Most important indicators credit statistics are: average loan term, loan turnover, characterized by the number of turnovers for the period, investment efficiency, specific gravity arrears on loans, duration of arrears, the average size interest rate.
To analyze credit investments and their dynamics, such statistical methods as balance sheet and index are widely used, so it is necessary to understand the methodology for constructing aggregate indices and indices of average credit indicators.
Another problem in the analysis of the above indicators is the determination of the amount of repaid loans. Nominally, the repayment of a loan is considered to be the turnover on the credit of loan accounts, however, real repayment occurs only if the current account of the borrower is debited at the same time.
If the amount is charged to the account of overdue loans, then there is no real repayment. If data on the balances of credit investments at the beginning and end of the period and loans issued for the period are known, then the amount of repaid loans is determined by the balance method.
Sberbank draws the attention of users to the fact that the indicators in this press release are calculated
Deputy Chairman of the Board of Sberbank A.V. Morozov:
“In July, net profit exceeded 45 billion rubles. This result is based on the growth of client business, which confirms the growth of the bank's share in the main markets: retail lending (+1.1 percentage points in the first half of the current year), corporate lending (+0.3 percentage points), fundraising individuals (+0.3 p.p.)”.
Comments for 7 months of 2016:
Net interest income bank amounted to 640.4 billion rubles. – 57.3% more than in the same period last year: interest income increased by 7.4% due to the growth in the volume of operating assets; interest expenses decreased by 21.5% due to the replacement of state financing with customer funds and a decrease in the level interest rates compared to 7 months of last year.
Net fee and commission income increased by 23.5% to 171.4 billion rubles. The main growth continues to provide operations with bank cards, acquiring, settlement and cash services and bank insurance.
Net income from currency revaluation and trading operations on financial markets in July amounted to 11.3 billion rubles. due to currency revaluation of balance sheet items due to the weakening of the ruble.
Operating expenses increased by 10.1%, which is significantly lower than the growth rate operating income before provisions (37.3%). Expenditure growth is affected by ongoing indexation wages employees and depreciation. The ratio of expenses to income decreased over the year from 40.7% to 32.7%.
Expenses on total reserves amounted to 193.9 billion rubles. against 220.7 billion rubles. a year earlier. The Bank forms reserves for possible losses in order to cover existing credit risks based on the requirements of the Bank of Russia. The ratio of reserves to overdue debt remains at the level of 2.1 times.
Profit before income tax amounted to 349.7 billion rubles. against 127.8 billion rubles. a year earlier. Net profit amounted to 275.0 billion rubles, which is 3 times higher than the result of 7 months of last year.
Total financial results, including income from the revaluation of securities for sale and held to maturity, amounted to 329.3 billion rubles.
Assets in July increased by 0.4%, largely under the influence of the revaluation of the foreign exchange component as a result of the weakening of the ruble.
In July, the bank provided to corporative clients loans in the amount of about 700 billion rubles, in total since the beginning of the year - more than 4.7 trillion rubles, 61% more than last year. According to the results of the month, the loan portfolio increased by 249 billion rubles. or by 2.1% and as of August 1 exceeded 12.0 trillion rubles. The growth was due to both the issuance of new loans and the revaluation of previously issued foreign currency loans.
Private clients in July, more than 120 billion rubles were issued, in total since the beginning of the year - more than 830 billion rubles, which is 31% more than in 7 months of last year. The retail loan portfolio in July increased by 15.2 billion rubles. and as of August 1 exceeds 4.2 trillion rubles. In the structure of the portfolio, the share of housing loans continues to increase and currently stands at about 56%.
The share of overdue debt in the loan portfolio remained at the level of 3.2%, which is significantly lower than the average level in the banking system, which was 6.9% as of July 1.
Volume investments in securities in July increased by 94 billion rubles. mainly due to the acquisition of OFZs, as well as currency and exchange rate revaluation of the portfolio. The balance of the portfolio as of August 1 amounted to 2.45 trillion rubles.
Funds of individuals increased in July by 157 billion rubles. and exceeded 11.0 trillion rubles. Funds of legal entities decreased by 114 billion rubles. mainly at the expense of funds in foreign currency and amounted to 6.1 trillion rubles. In general, the remainder customer funds over the month slightly increased (by 0.3%) and amounted to 17.1 trillion rubles as of August 1.
At the end of July, the share state funding in the bank's liabilities excluding subordinated debt did not change and remained at an insignificant level of 0.4%.
The values of the base and main capital bank coincide due to the lack of sources of additional capital and, according to operational data, as of August 1, amounted to 1,894 billion rubles.
The value of the total capital as of August 1 is 2,812 billion rubles. The total capital in July increased by 36 billion rubles. The main factor of capital growth is earned net profit.
Risk-weighted assets grew by RUB262bn in July. mainly due to the growth of the loan portfolio.
During a crisis, the volume of deposits grows faster than the volume of loans. In good times it's the other way around
Analysis of the development of the retail banking services since the beginning of this century, prepared by the Renaissance Credit Bank, showed that in the period from 2000 to 2015, the ratio of the volume of deposits to the volume of loans changed from 7.3 to 2.2. Banki.ru found out what threatens the banking system with this trend of rapid convergence of loans and deposits and what indicator can be considered ideal.
According to the analytical report of Renaissance Credit Bank, which the Banki.ru portal managed to get acquainted with, at the end of 2015, the retail deposit portfolio in Russian banks reached 23.2 trillion rubles, and the volume of the portfolio of loans to individuals exceeded 10.7 trillion rubles. In 2000, the volume of the deposit market was ten times larger than the credit market - 453 billion against 45 billion rubles, respectively. Over 15 years, the ratio of the volume of deposits to the volume of loans in the banking system "fell" from 7.3 to 2.2.
“In 2008, the volume of deposits in our country exceeded the volume of retail loans by only 1.5 times. In general, for the period from 2000 to 2015, this year was the only one when absolute growth the retail credit market was able to surpass the deposit market, even despite the beginning of the global financial crisis, analysts of Renaissance Credit write in their report. - In 2009, the trend turned in the opposite direction: due to the crisis in the global economy, the deposit market grew faster than the credit market, which, in turn, affected the ratio of deposits and loans. As the situation stabilized, the difference again began to decrease, and at the end of 2014 it almost reached the value of six years ago. At the end of 2015, the ratio of deposits to loans increased again. Such dynamics clearly shows that during crisis periods the deposit market grows much faster than the credit market, and when the situation in the macroeconomic situation stabilizes, the loan portfolio has higher growth rates.”
As Renkred's analytical service explained to Banki.ru, the decline in the ratio of retail deposits to retail loans is a natural process. Retail funding in our country began to develop earlier than lending to individuals. Therefore, at the beginning of the 2000s, the deposit portfolio already had a significant volume. Further, in the zero years, the development of retail lending was actively catching up. As a result, the ratio of deposits to loans decreased to 2.2 over 15 years.
According to Renaissance Credit analysts, it is quite difficult to talk about a critical or optimal ratio of deposits and loans.
“Retail deposits are one of the main sources of funding for the banking system. However, depending on the availability and sophistication of other sources, the role of individual deposits may change. In the current situation, the importance of deposits in funding is increasing, in particular, due to the fact that the ability of banks to borrow on foreign capital markets is very limited. And last year's results confirm this. Under other circumstances, retail deposits could play a lesser role, respectively, the ratio of deposits to loans would be different,” the bank said.
At the same time, according to the estimates of the analytical department of Renaissance Credit Bank, in the foreseeable future, most likely, the ratio of deposits to loans will continue to grow. There are several prerequisites for this. First, the role of retail funding is increasing in the structure of liabilities, while retail lending has slowed down and shows no signs of growth. Secondly, the deposit market has a "natural" source of growth - interest income. That is, even with a zero net inflow, the deposit portfolio will increase due to the addition of accumulated interest to the amount of deposits.
According to Dmitry Lepetikov, Head of Marketing Strategy and Research at VTB 24, the above change in the ratio of deposits and loans reflects the situation on the market.
“At the beginning of the 2000s, retail lending in Russia was in its infancy, by 2014 it had already developed well, and the outstripping growth of deposits in 2015 is associated with a drop in lending due to the crisis, as well as with a significant currency revaluation of deposits,” he comments. - I would not talk about the optimal or critical ratio. It is what it is. In a crisis, this ratio should grow in favor of deposits, in a period of economic growth - in favor of loans. This is how it happens with us."
Elena Verevochkina, manager of the St. Petersburg branch of Rosgosstrakh Bank, believes that what is happening now is approximately the following: the continued growth of the deposit base of banks, while simultaneously reducing its cost, contributes to a decrease in lending rates and the resumption of active lending. Most likely, she suggests, the ratio would be somewhat different if not for the current crisis.
“We see that the deposit portfolio of individuals has significantly increased, while the credit portfolio has sank. And this is quite logical in the current situation: the regime of savings and total savings, coupled with a decrease in consumer demand and an increase in overdue debts of citizens, contributed to the multidirectional dynamics of the loan and deposit portfolios, Verevochkina argues. - A decrease in the indicator from 7.3 to 2.2 is not dangerous. It is much more dangerous when the situation is reversed, that is, the loan portfolio exceeds the deposit portfolio by more than 30%, and even more so twice. To say that this has a beneficial effect on the economy is also impossible. Of course, it is not entirely indicative to correlate the portfolios of only individuals, here it is necessary to take into account the portfolios of legal entities.
Our interlocutor believes that, ideally, it is necessary to strive for a one-to-one ratio of loans and deposits. This proportion is optimal, as it indicates that banking system finances the issued loans at the expense of attracted funds.
However, according to Verevochkina, the ratio will change: at the end of 2016, this value will be around 2, and in 2017 - 1.8. Thus, we will observe the stagnation of the deposit portfolio and the smooth growth of the loan portfolio of individuals.
In turn, Alexander Kudryavtsev, an analyst at the Banki.ru information and analytical service, points out that the official statistics on the Bank of Russia website are somewhat different from the data presented in the Rencred tables (see below), but the general trend is indeed visible. The trend indicates a significant increase in the share of household deposits in the structure of the resource base of banks amid a decline in retail lending, which is explained by the crisis in the banking sector and in the Russian economy as a whole. To a large extent, the situation was also affected by the closure of markets for our banks international capital and growth of the key rate.
"Due to the decline real income of the population, the payment discipline of customers is falling, which entails non-repayment of loans. This, of course, does not suit banks, many of which have tightened their retail lending policy and are now more careful in choosing customers than in the “fat” years, when retail portfolios grew at a very high pace, or generally prefer to place funds in less risky assets. We can say that this process is the retribution of banks for the too rapid and disproportionate growth of portfolios of past years, explains Kudryavtsev. - At the moment, the market itself is forcing banks to adjust the structure of their assets and liabilities under the new conditions and place funds, taking into account possible risks and losses in the future. It is likely that retail lending will soon experience a period of growth again and, accordingly, the ratio will return to its previous level (fifteen years ago).”
Chief Economist at the National rating agency(NRA) Maxim Vasin recalled that several parameters influenced the dynamics of deposits. Firstly, this is the introduction of a deposit insurance system since 2005 - until that time, the population did not have much confidence in banks, they simply did not have such an opportunity. Secondly, there was a devaluation of the ruble and an increase in interest rates on ruble deposits, as well as the amount and share currency deposits(in 2008 and 2014). At the moment, the dynamics of deposits is negatively affected by the depreciation of the ruble, the fall in real incomes of the population and the decrease in interest rates on both ruble and foreign currency deposits.
A number of parameters also influence the dynamics of retail loans. This is the beginning of the work of banks engaged in unsecured lending (the countdown comes from Russian Standard Bank and 2003). Then the period of consumer boom in 2004-2007, when loans grew from a low base many times faster than deposits. Do not forget about the crisis growth of delays in consumer loans first in 2009 and then in 2015. This led to a reduction in bank limits, increased requirements for borrowers, an increase in the number of refusals, and a slowdown in growth loan portfolios. There is currently a slowdown mortgage lending, consumer and car loans also show low growth rates, while deposits continue to grow.
“On the one hand, the Renaissance Credit multiplier indicates the ratio of the population’s propensity to consume and save: the savings model prevails, Russians in general already have experience in lending in banks and treat loans with caution, while even with low incomes they try to save and open deposits, - says Vasin. - On the other hand, the multiplier shows the priorities of banks in the placement of funds: when in 2009 and 2014-2015 banks faced a sharp increase in overdue debt on consumer loans, the desire to increase retail portfolios significantly decreased, the leading banks in the unsecured lending market took a wait-and-see attitude.
Maxim Vasin is sure that, in general, the calculated indicator should also be considered in the context of the ratio of loans to GDP and loans to the monthly income of borrowers. According to these indicators, the growth of 2010-2013 led to the fact that the loan burden grew very significantly, and this led to an increase in delinquency, especially heavy against the backdrop of a reduction in real incomes of the population and a decrease in employment.
In addition, according to the chief analyst of the NRA, it can be noted that the ratio of loans to borrowers' income varies from region to region. At the same time, in most regions, the credit burden is now quite high and amounts to 35-40% (payments on loans to monthly income).
“Ideally, the ratio of deposits and loans should tend to 1. If the economy returns to a growth trajectory, this ratio will decrease. Its growth demonstrates instability and negative trends in the level economic growth, inflation, household income and employment, - says Vasin. - It is impossible to interpret unequivocally what level of the ratio of deposits and loans is critical and what is optimal. But, judging by the dynamics of the indicator, it decreases during prosperous periods and grows during unfavorable ones - therefore, a decrease is a blessing. An indicator below 1 will already be assessed negatively, as it will demonstrate a too aggressive policy of banks to increase their portfolios, which, as a rule, turns into “bubbles” and large losses in the future. A score above 3 would mean a very negative picture for consumer markets, construction, the automotive market, the tourism industry and so on - for those sectors where sales are stimulated, including through credit sources.
Our interlocutor adds that it is necessary to understand that deposits are a source of funding for loans, but they cannot be a source of repayment - because depositors get richer, borrowers do not get richer, depositors usually do not take loans, and borrowers do not make deposits.
“The source of repayment of loans is the income of borrowers. Therefore, theoretically, the ratio of deposits and loans does not characterize the debt burden, and it does not in itself give an understanding of the severity of the debt burden of the population and the magnitude of the credit risks of banks. I think that in the coming years, the ratio will not fall below 2, but rather even grow closer to 3, since banks in the current environment are not ready to take on increased risks associated with retail, household incomes are falling, and at a fairly high pace, and all losses from previous deterioration in the quality of retail portfolios have not yet been closed and absorbed - a number of banks still have a delay exceeding 25-30%, and are struggling to reduce the indicator and return to profitable activities. On the whole, no boom in retail lending is foreseen in the coming years. At the same time, the annual increase in the volume of deposits will consist of changes in the value of the currency and interest income on deposits, which will continue to be mainly capitalized, and not consumed. I expect the growth of deposits in ruble terms at the level of about 20%, while lending will stagnate,” Maxim Vasin concludes.
