The priority goal of the credit policy is to ensure the highest profitability with strict restrictions on the reliability of loans. The achievement of this goal is facilitated both by the tools of the credit policy itself, and by individual elements of other types of bank policies (financial, interest, personnel, etc.). The government has introduced a system of mandatory liquidity and banking risk ratios that regulate the minimum values of certain performance indicators commercial bank. In general, there are a number of indicators that allow assessing the effectiveness of the bank's credit policy.
In general, the term "efficiency" means the efficiency of using resources in order to achieve the highest possible income. In order to generate such income, the bank needs to constantly compare benefits and costs. The main problem of providing economic efficiency The credit policy of a commercial bank is the problem of choice regarding what, how and how will be produced, how to allocate resources, capital and profits.
There are two approaches to the concept of "the effectiveness of the credit policy of a commercial bank" in the scientific literature:
Efficiency is the ratio of resource costs and the results that are obtained from the use of the former;
Efficiency is understood as a socio-economic category, which reflects the influence of the methods of organizing the work of participants in activities on the level of results achieved by them.
Usually, when analyzing the effectiveness of the credit policy of commercial banks, they rely on the first version of the definition. In this case, the effectiveness of one particular bank, and banking system in general, it is determined based on the proximity of the values of the performance indicators of a commercial bank to a certain, already defined efficiency frontier.
Profit or loss is a quantitative reflection of the efficiency of a commercial bank, that is, an absolute indicator. The greater the amount of profit and the higher the level of profitability, the more efficiently a commercial bank functions, the more stable its financial condition and the more effective the credit policy chosen by the bank can be considered.
Data financial plan, and financial statements of a commercial bank are the information base for evaluating the effectiveness of the bank.
N.N. Muravyov and O.S. Baranchuk suggest using the following indicators to assess the effectiveness of the credit policy pursued by a commercial bank:
– profitability ratio of the loan portfolio (K1), which reflects the share of the bank's interest margin in the gross loan portfolio;
– interest margin ratio (K2), which reflects its share in the total capital of the bank;
- the profitability ratio of credit investments (K3), which reflects the share of the interest margin in the bank's net loan portfolio;
– coefficient of real return on credit investments (K4), which reflects the share of interest income in the net loan portfolio.
The target values that you need to focus on when evaluating these coefficients are presented in Table 1.
Table 1.
Normative indicators of the effectiveness of the ongoing credit policy in a commercial bank
In order to ensure the liquidity of the loan portfolio as a whole, it is necessary to comply with the standards established by the Central Bank (instantaneous, current and long-term liquidity of the bank). It should be noted that the achievement of the statutory normative values of these indicators is not so much an indicator of the effectiveness of managing the liquidity of the loan portfolio, but a prerequisite for further lending activities commercial bank.
An important indicator the efficiency of commercial banks can be considered the return (profitability) of capital (Rk), which is determined by the formula (1):
where - net profit jar;
K - capital, in relation to which the profitability is calculated.
This indicator estimates how much net profit is received per 1 ruble of a commercial bank's own funds.
Another indicator used to analyze the effectiveness of the credit policy of a commercial bank is the profitability or profitability of banking assets ():
(2)
Where is the net profit of the bank;
A - the value of the assets of a commercial bank.
This ratio shows the bank's loan portfolio management policy and shows how much profit before tax falls on 1 ruble of commercial bank assets. With a low value of this indicator, one can speak about the conservative policy of the bank, or about excessive operating expenses. With a high value of this coefficient, we can say that the bank successfully manages its assets.
For a commercial bank, the effectiveness of credit policy is closely related to the concept of margin and spread. A number of indicators and statistical techniques are used to evaluate them.
An important direction in the analysis of the effectiveness of the credit policy of a commercial bank is the calculation and evaluation of financial ratios K1, K2, K3, K4, which were discussed above.
When carrying out the above calculations of the coefficients, it is necessary to correctly evaluate the results obtained, determine the factors of positive and negative influence on financial results; develop measures aimed at reducing the impact of negative factors and increasing the efficiency of the bank .
Thus, usually when analyzing the effectiveness of the credit policy of commercial banks, they rely on the fact that the effectiveness of the credit policy of a commercial bank is the ratio of resource costs and the results that are obtained from the use of resources. The data of the financial plan, and the financial statements of a commercial bank are the information base for evaluating the effectiveness of the bank's activities. You can use the following indicators to assess the effectiveness of the credit policy pursued by a commercial bank: the profitability ratio of the loan portfolio, the interest margin ratio, the profitability ratio of credit investments, the coefficient of real profitability of credit investments. In order to ensure the liquidity of the loan portfolio as a whole, it is necessary to comply with the standards established by the Central Bank (instantaneous, current and long-term liquidity of the bank). An important indicator of the effectiveness of commercial banks can be considered the return (profitability) of capital and the profitability or profitability of bank assets. For a commercial bank, the effectiveness of credit policy is closely related to the concept of margin and spread. For the highest efficiency, a commercial bank always acts in such a way that its margin is positive, therefore, attracting a loan in banking practice is almost always cost-effective.
Bibliography:
Khalilova M.Kh. 1 , Sergeeva S.M. 2
1 ORCID: 0000-0001-7312-2517, Doctor economic sciences, Professor, 2 ORCID: 0000-0003-0105-9621, Master of Economics, St. Petersburg State University
ASSESSMENT OF THE QUALITY OF THE BANK'S LOAN PORTFOLIO
annotation
The article deals with the problems of evaluating the bank's loan portfolio, analyzes changes in the quality of the loan portfolio. Recommendations are proposed for making managerial decisions by the bank's risk management, which can be aimed at improving its efficiency.
Keywords: banks, credit risk jar, Bank loan portfolio, banking risk management.
Khalilova M. Kh. one , Sergeeva S.M. 2
1 ORCID: 0000-0001-7312-2517, PhD in Economics, Professor, 2 ORCID: 0000-0003-0105-9621, Master of Economics, St. Petersburg State University
QUALITY ASSESSMENT OF THE BANK LOAN PORTFOLIO
Abstract
The article investigates the assessment of the loan portfolio, analyzes changes in the quality of the loan portfolio and proposes recommendations to take effective decisions of the risk management of the bank, which would be aimed at improving its quality.
keywords: banks, credit risk of the bank, the bank's loan portfolio, bank risk-management.
The banking system of Russia periodically encounters crises that have a significant impact on the conditions economic activity and its development. Now the economy and the banking sector of Russia are experiencing negative processes caused by devaluation national currency, an increase in interest rates and an increase in inflationary processes. Therefore, the relevance of this study is due to the need to improve the theoretical and practical methods for building a comprehensive assessment system and methods for effective management of the quality of loan portfolios of Russian banks.
The purpose of the study is to develop methodological and practical approaches that allow assessing the quality of the loan portfolio, and suggesting recommendations for making effective decisions on the part of the bank's risk management that can improve its quality.
main view banking lending continues. This makes the credit risk assessment process a top priority for risk management. Banks develop policies and procedures to identify, control and manage credit risk, as well as related provisions and methods. An important role in assessing credit risk is played by the identification of the main segments for the purpose of assessing financial condition counterparty.
The governing structures of the bank, the Board of Directors and the Management Board of the Bank, as well as Credit Committee the Bank's credit policy is developed and approved, risk reports are regularly conducted, which allow assessing the state of the loan portfolio and assessing the effectiveness of the credit risk management carried out within the framework of the assumed powers.
The source of bank credit risk in scientific research on risk management and in banking practice is considered default, that is, the actual non-fulfillment or incomplete fulfillment by the client-borrower of the prescribed terms of the loan agreement (contract).
The formation of credit risk occurs due to various factors that depend both on the borrower and on the policy of the bank. The most significant factors that have a strong influence are the creditworthiness of the counterparty and the nature of the transaction. The essential factor influencing the value of a bank's credit risk is the organization of the credit process itself.
Significant components of the organization of the credit process, allowing to manage bank credit risk, are: development of methodological documents that would allow regulating credit transactions; establishing clear procedures for reviewing questionnaires and applications; the reliability of the obtained permits for issuing a loan, the development of mandatory requirements for maintaining a borrower's credit file; effective control over the existence of justification for the loan and the reality of the sources for its repayment; implementation of the work of the analytical department of the bank, as well as a high degree of customer awareness.
When evaluating the quality of the loan portfolio, experts use a system that includes both absolute and relative indicators that allow taking into account the share of individual loans in the structure of the loan portfolio.
The loan portfolio quality ratio can be represented as the ratio of overdue debt on credit operations to the sum of all debt on loans, that is, loan debt taken without interest:
where PLC - overdue loans,
ZS - debt on loans.
According to guidelines Central Bank RF is determined by the ratio of the estimated reserve for possible losses and losses on loans to the entire amount of debt on the principal debt. A value greater than 10% indicates a high value of the bank's credit risk. On Fig. 1 shows the dynamics of changes for the 30 largest banks of the Russian Federation.
Rice. 1 - Dynamics of overdue debts and RVPS.
After analyzing the analytical materials published Central Bank RF, it was found that the annual growth rate of loans is growing at a slower rate than the growth in loan arrears and equivalent debt. This indicates an ineffective bank management policy.
To solve problems with problem loans, banks are beginning to restructure previously issued loans, hoping for the recovery of borrowers. Due to the deterioration economic situation, the amount of arrears increases. In the long term, banks worsen the quality and structure of the loan portfolio even more (Fig. 1, Table 1).
Table 1 – Loan portfolio structure
| 01.01.2015 | 01.04.2015 | 01.07.2015 | 01.10.2015 | 01.01.2016 | 01.02.2016 | |
| I quality category | 63,80% | 63,30% | 61,70% | 61,50% | 58,60% | 57,20% |
| II quality category | 24,70% | 23,60% | 24,50% | 24,80% | 27,20% | 28,30% |
| III quality category | 5,90% | 7,20% | 7,20% | 7,20% | 7,70% | 7,90% |
| IV and V quality categories | 5,60% | 5,90% | 6,60% | 6,50% | 6,50% | 6,60% |
All banks, trying to improve the quality of their loan portfolio, face the choice of their strategy. Some lending institutions prefer to build a risk-neutral loan portfolio that is characterized by a low degree of risk and a low level of return.
A number of banks prefer to form a balanced portfolio of loans, in which an increase in the share of risk is possible, allowing them to strengthen their competitive advantages or attract new borrowers.
The most preferable is the optimal portfolio of loans. It implies full compliance between the general line of development banking structure and planned targets.
A well-formed portfolio of loans is able to provide the maximum level of profit with a given value of credit risk and the existing liquidity of the bank balance.
In order to manage credit risk, banks pursue a balanced limit policy. Bank limits are established in the context of the areas of activities carried out, taking into account the specifics of the operations carried out.
The study presents a set of key parameters, according to which the amount of limits is set for the bank's counterparties individually in order to limit the risks of transactions carried out with them:
When managing credit risk, banks set portfolio limits to limit the aggregate exposure to borrowers associated with the Bank, to companies in the same industry, and to transactions with customers exposed to banking risks.
For lending operations, banks create reserves that are adequate to the risks they take on. During the entire period of validity of the concluded credit transactions, banks carry out periodic monitoring of the creditworthiness of borrowers and their payment discipline, evaluate the proposed security and carry out subsequent control over changes in its liquidity and market value and also conduct regular monitoring of the entire loan portfolio of the bank, taking into account the main client segments.
In order to introduce various approaches to managing bank credit risk, which are based on world practice, as well as recommendations Basel Committee for banking supervision, credit institutions develop special methods for assessing credit risk, which allow assigning an internal rating to each borrower and assessing the probability of default. The models being developed make it possible to estimate the value at risk at the time of the borrower's default and the expected amount of losses. In order to increase the profitability of the credit operations and the efficiency of the use of bank economic capital, the RAROC indicator is integrated into the lending process - risk-adjusted Return on Capital, which implies the establishment of a target value of the relative indicator and subsequent control over its observance. From time to time, banks conduct stress testing of their loan portfolio, which makes it possible to identify possible consequences macro- and microeconomic events and adequately respond to their manifestations.
Given the growth of currency and macroeconomic risks, banks are developing measures aimed at strengthening approaches to managing the quality of the loan portfolio. In particular, banks are beginning to introduce increased requirements for financial stability the borrower and the quality of the collateral offered by him for a number of industries and areas of activity that may be most affected or have already been affected by the deterioration of the market situation. Priority is given mainly to lending to clients with high creditworthiness and the ability to provide reliable and liquid collateral existing liabilities to banks.
Thus, when analyzing banking activity, it is the structure and quality of the bank's loan portfolio that are significant indicators. In addition, these indicators can influence the rating assigned to a credit institution. Therefore, the alignment of the risk management system of the bank should be carried out in such a way as to ensure the greatest profit from lending activities while minimizing the associated credit risk. This is a rather difficult task that requires a competent approach.
Literature
References
A significant part of VTB's business is concentrated in the segment of servicing large and medium-sized corporate clients. In 2009, VTB achieved its corporate business development target despite the changed market conditions: the Group's share in the corporate lending market rose to 12.7% from 10.7% in 2008. At the same time, given the lack of funding in the market, VTB was able to maintain its share in the corporate deposits segment at the level of 2008 (10.2%).
Rice. 6.
AT reporting period VTB continued to actively lend to corporate clients across the entire range of products. Despite the tightening of credit policy in the second half of 2008 against the backdrop of the development of the financial crisis, VTB Group's portfolio increased by 47.2% over the year to USD 77.0 billion compared to USD 52.3 billion in 2007. In 2008, VTB Bank responded flexibly to the changes taking place in the economy and adapted its range of services to the current needs of its clients. Due to the lack of liquidity and restrictions on obtaining loans, the market saw a steady increase in demand for instruments of documentary and guarantee business. The Bank offered its clients a wide range of banking products and services in this area, such as the calculation of interest on the cash cover provided by clients for import documentary letters of credit on the date of their opening, settlements using guaranteed letters of credit, taking into account the industry specifics of clients, etc.
As of October 1, 2010, the corporate loan portfolio grew by 11% to 2339.7 billion rubles. from 2109.5 billion rubles. as of January 1, 2010 Based on the results of nine months of 2010 corporate business received a significant pre-tax profit in the amount of 30.4 billion rubles. compared to a loss of 51.4 billion rubles. for the same period in 2009. The positive impact on the results of the corporate segment came from the growth in customer lending, increased margins, lower costs for provisioning and improved efficiency of corporate business.
In order to obtain on-line the necessary information on customer transactions, VTB Bank is implementing a number of high-tech projects. Thus, in 2009, the introduction of the system of complex automation of documentary and guarantee operations in the branch network was completed, which is already successfully operating in the head office.
The highest growth rates of one or another article allow determining in which of the market sectors the bank is most active. For a more complete estimate, the lead factor can be calculated by comparing the growth rate of each of the items with the growth rate of the total loan portfolio.
T r.credits for legal entities = 100=93.2%,
T r.loans for individuals = 100=112.5%,
T r. loan portfolio = 100 = 96.0%
Thus, the growth rate of loans to legal entities is lower than the growth rate of the loan portfolio for JSC VTB, and the growth rate of loans to individuals exceeds the growth of the loan portfolio.
The lead factor is also calculated. The growth rate of average balances of loan assets is usually compared with the growth rate of total assets.
T r. sum of assets = 100=97.6%;
K op \u003d 96.0 100 / 97.6 \u003d 98.3%.
This coefficient shows how many times the growth of average balances of loan assets outstrips the growth of total assets. The value of the coefficient approaches 1, which indicates the positive work of the bank in the field of credit operations.
Let us calculate the share of the loan portfolio in the total assets of the bank (D a) as another indicator for assessing its dynamics:
Yes 2009 ==0.705
Yes 2008 = =0.717
A decrease in the share indicates a reduction in the importance of credit activities for the bank, and at the same time, the likelihood of a decrease in credit risks. Otherwise, the coefficient D a is called the "concentration coefficient", which shows how much banking assets are concentrated in the credit market.
Let's summarize the data in a table:
table 2
Analysis of the dynamics of the loan portfolio of a commercial bank
The decrease in the dynamics of the loan portfolio in absolute terms indicates a reduction in the sector of the credit market, in which it operates given bank. After analyzing the results obtained, we observe a decrease in the value of the share of the loan portfolio in the bank's assets from 0.717 to 0.705. The advance coefficient is 0.98 in the indicated periods. As a result, the values of the obtained coefficients allow us to conclude that the bank is reducing assets. This behavior can probably be explained more high level risk of credit transactions.
Thus, the lending activity of JSC VTB decreased in 2009 compared to 2008.
Analysis of the loan portfolio according to various criteria: profitability, riskiness, quality, liquidity. Recommendations for improving its quality
The importance of such an analysis is primarily due to the maintenance of the bank's liquidity, which is a fundamental criterion for assessing its solvency.
The return on the loan portfolio (D) is calculated by assigning total income bank on loans (items of form 0409102 "Profit and Loss Statement") on a certain date to the value of the total loan portfolio in the same period. The level of profitability should be analyzed in dynamics, in order to be able to determine the trends in the development of lending activities in a given bank.
To 4 kr.portf.2009 = 100=14.7%
To 4 kr.portf.2008 = 100= 9.3%.
Based on the data obtained, it can be concluded that interest rate on loans is growing as a result of a qualified approach to the asset management process.
To 4 kr.legal persons 2009 = 100= 17.7%;
To 4 kr.legal persons 2008 = 100 = 10.8%;
To 4 small individuals 2009 = 100 = 85.8%;
To 4 individual individuals 2008 = 100 = 63.3%;
Having calculated the level of profitability for the most profitable items of the loan portfolio, it can be noted that the most profitable for the analyzed bank are loans issued to individuals.
Let's analyze the profitability of the loan portfolio of the analyzed bank, using a quantitative assessment of the profitability of its loan segment (according to the reporting form 0409102 "Profit and Loss Statement"):
To 5 cr.portfolio.2009 = 100=6.0%
To 5 kr.portf.2008 = 100 = 4.3%
The obtained data testify to the growth of the profitability of the loan portfolio and competent management. The value of this ratio corresponds to the normal level of sufficient interest margin of the bank (5-7%).
Let us determine the profitability using the reporting data of forms 0409102 “Profit and Loss Statement”, “Report on the level of capital adequacy, the amount of reserves to cover doubtful loans and other assets” as of 01.01.10 form 0409808.
By 6 2009 = = 21.3%;
By 6 2008 = = 15.6%.
The calculated coefficients clearly demonstrate the increase in the profitability of the loan portfolio in 2009. compared to 2008
Let us determine the liquidity level of the loan portfolio of the analyzed bank of VTB OJSC by calculating the following coefficients (using the data of form 0409806 " Balance sheet» as of 01.01.10):
By 7 2009 = 100 = 134.2%;
By 7 2008 = 100 = 134.6%.
Level K 7 should tend to one. Analyzing this indicator in dynamics over two years, one can note a trend towards a decrease in the liquidity of the loan portfolio of VTB OJSC.
The indicators of the coefficients K 8 and K 9 (respectively, the norms N 7 and N 10.1) have already been calculated and reflected in the form of standard reporting 0409135 "Information on mandatory standards" and are presented below in table. 3:
Table 3
Analysis of the liquidity of the loan portfolio of JSC VTB
The presented coefficients are in standard values, which is already a positive point, in addition, it can be noted that in the reporting period, compared to the previous one, there is an increase in the maximum amount of large credit risks per share of the bank's capital, a decrease in the total amount of credit claims on insiders in relation to the bank's capital .
Let us assess the degree of credit risk based on the calculation of the following coefficients:
Coverage ratio (K p):
K p 2009 \u003d 100 \u003d 0.11%,
K p 2008 \u003d 100 \u003d 0.1%,
The value of this coefficient increases, which indicates the possibility of increasing losses on loans.
Calculate the value of the net loan portfolio:
N kp \u003d Total loan portfolio - Loan reserves,
Ch kp 2009 \u003d 2544840210-2873792 \u003d 2541926208t.r.
Ch kp 2008 \u003d 2650381210-1840016 \u003d 2648459984 tr.
Decrease in the volume of NCR negatively assesses lending activities and determines the growth of credit risk in the bank.
Determine the ratio of the net loan portfolio:
To ChKP 2009 = 100 = 99.9%,
To ChKP 2008 = 100 = 99.9%,
The decline in the net loan portfolio against the backdrop of a constant Kncp indicates that the loan portfolio is declining due to low-risk lending placements.
Calculate the collateral ratio:
K about. 2009 == 4.51;
K about. 2008 == 4.35
The data obtained indicate an increase in the share of loan repayment security, which accounts for 1 ruble of loans issued. The security factor must be greater than one. The increase in funds on the off-balance account 91414 “Guarantee guarantees received”, as a rule, is accompanied by a simultaneous increase in the volume of the loan portfolio issued to individuals, because. At present, the bulk of retail loans (except mortgages) are issued by banks against guarantees.
Calculate the overdue payment ratio:
By pr.2009 = 100 = 0.025%;
By pr.2008 = 100 = 0.033%;
This ratio shows that the share of overdue payments is small, and its decrease in dynamics indicates an effective policy of the bank in terms of supporting a credit transaction.
Calculate the default ratio of the principal amount of the debt:
K n 2009 = 100 = 0.006%;
K n 2008 = 100 = 0.01%;
The result of the calculation indicates a decrease in the percentage of non-performed loans in the reporting period compared to the previous one, which is certainly a positive moment in the bank's activities.
In aggregate, the credit risk in the analyzed bank can be defined as the following: in dynamics, there is a decrease in such indicators as the share of overdue payments, the default rate of the principal amount of the debt; and the growth of collateral and coverage ratios, which indicates a decrease in credit risks in the course of the bank's activities.
The quality of the loan portfolio is one of fundamentals activity, financial stability and reliability of a commercial bank. It characterizes, first of all, the quality of banking management, the well-established relationship between the bank and its customers, the bank and other financial and credit institutions. Based qualitative characteristics loan portfolio, it is possible to assess compliance with the principles of lending and the degree of risk of credit operations, the liquidity prospects of the bank.
In the nine months of 2010, VTB significantly expanded its corporate investment business, which was created to maximize the synergy between the corporate and investment segments by offering customers a single line of high quality banking products. In the third quarter of 2010, the Group continued to form the team of the corporate and investment department, and also expanded its product line, supplementing it with structured dual-currency loans.
In domestic banking practice, most often only their own analysis of the quality of the loan portfolio is carried out, based on determining the totality of financial ratios that have a direct impact on it. These coefficients are considered in dynamics and in comparison with each other.
The assessment of the quality of the bank's loan portfolio can be made on the basis of calculating a number of relative indicators and coefficients in certain areas of analysis.
Estimation of riskiness of credit activity of bank.
The indicators of this group make it possible to determine the level of risk of the bank's loan portfolio, its dynamics (growth, reduction, stabilization), as well as the quality of the loan portfolio from a risk position.
Coverage ratio (an indicator of the average degree of credit risk).
where RVPS - reserves for possible losses on loans,
KP - the volume of the loan portfolio.
The ratio shows what share of the reserve falls on one ruble of the loan portfolio and allows you to assess the riskiness of the loan portfolio.
An indicator of the bank's degree of protection from aggregate credit risk.
where CC - equity (capital) of the bank.
net loan portfolio.
ChKP = KP - RVPS (3)
The indicator allows you to determine how much of the placed loans will return to the bank under the worst circumstances.
Net loan portfolio ratio.
The growth of the coefficient is positively assessed by the bank and indicates both a decrease in credit risk and an increase in the profitability of bank lending operations.
Assessment of the "problem" of the loan portfolio.
It allows for early diagnosis of the "problem part" of the loan portfolio. In this case, the problematic part of the loan portfolio will be understood as the presence of overdue loans and bad loans in the portfolio.
Overdue payment ratio.
where Pr is the amount of the overdue principal debt.
An increase in the coefficient in dynamics indicates an inefficient policy of the bank in terms of supporting a credit transaction.
Default ratio of the principal amount of the debt.
where ODnv is the main debt written off due to the impossibility of collection.
The indicator characterizes the percentage of loans written off. The criterion value is usually 1.5%.
Assessment of security of credit investments.
Allows you to determine the sufficiency and quality of collateral accepted by the bank from borrower clients for loans granted
Collateral ratio.
where About - the amount of collateral accepted by the bank.
The ratio allows you to assess how much possible losses associated with non-repayment of loans are covered by collateral, guarantees and sureties of third parties. Recommended value of the indicator: Kob? 100%
Coefficient of property security.
where I - volume accepted property pledge.
This coefficient reflects the level of coverage of credit investments by collateral in case of their non-repayment by the most stable type of collateral - property. The desired value of the indicator: Ki? 100%, but it should not be less than 0.5 (50%).
Norms reflecting the level of credit risk of the bank.
Standard H6 - maximum size risk per borrower or group of related borrowers. Limits the bank's credit risk in relation to one borrower or a group of related borrowers and determines the maximum ratio of the total amount of credit claims to them to the bank's equity capital. The formula is used in the calculation.
where Krz - the total amount of the bank's credit claims to the borrower or a group of related borrowers,
The Bank of Russia has established that this ratio cannot exceed 25%.
The H7 ratio is the maximum amount of large credit risks. Limits the total amount of large credit risks to the size of the bank's own capital.
where - determined taking into account the weighting by the risk coefficient established in relation to the relevant asset, large credit risk,
SC is the bank's own capital.
A commercial bank, carrying out lending activities, should proceed from the fact that this ratio cannot be more than 800% of equity capital.
Ratio H10.1 - the total amount of risk for the bank's insiders. This standard limits a bank's aggregate credit risk to all insiders, which include individuals that can influence the decision to issue a loan by the bank. The norm is considered as follows.
where is the value of the i-th credit risk to the bank insider,
SC is the bank's own capital.
A commercial bank, when lending to an insider, must proceed from the fact that the value of this ratio cannot exceed 3% of the bank's own capital.
We will calculate and evaluate the coefficients characterizing the degree of risk of the loan portfolio and the degree of protection of the bank from risk (table 10).
Table 10 - Calculation of the main coefficients characterizing the quality of the bank's loan portfolio in percent
|
Coefficient |
Meaning |
||
|
ChKP, in thousand rubles |
|||
Calculation of credit risk ratios revealed certain problems of the bank related to the management of the loan portfolio and the risk of the loan portfolio.
First of all, we can see an increase in the coverage ratio from 6.49 to 8.64%. The increase in this indicator is negative side activity of the bank, as it indicates an increase in risk. The growth of the coefficient in dynamics occurs due to an increase in the amount of the reserve for possible losses on loans. This reason negatively assesses the credit activity of the bank.
The indicator of the degree of protection of the bank against the total credit risk increases in dynamics, since the amount of the bank's own funds grows at a slower pace than the amount of newly created reserves for possible losses on loans.
The bank's net loan portfolio increased during the period under review from 7,282,548 to 8,756,850 thousand rubles, which is 20.24% in percentage terms. The growth of the net loan portfolio positively assesses the lending activity. However, for a complete assessment, the net loan portfolio ratio should be analyzed. The dynamics shows a decrease in the share of the net portfolio per ruble of the total loan portfolio from 93% to 91%, which may indicate an increase in credit risk.
An increase in the absolute value of NCR against the background of a decrease in NCR negatively assesses the bank's activities in terms of approaches to the selection of borrowers, as it indicates that the bank is building up its loan portfolio at a faster pace than low-risk loans, i.e. we can say that the loan portfolio increases in this case due to risky credit placements.
The increase in the Kpr coefficient from 1.17 to 2.14% indicates an inefficient policy of the bank in terms of supporting a credit transaction. The change in the value of the coefficient occurs due to the increase in the amount of the overdue principal debt at a faster pace than the amount of the loan portfolio.
The property security ratio of the loan portfolio is lower normative value and also tends to decrease steadily. This factor is negative, since property is the most stable type of security.
The Bank complies with all regulations of the Central Bank. Their dynamics is unstable, connected with the financial crisis.
Thus, as a result of this study, conclusions can be drawn about the total banking risk. Since the coverage ratios, overdue payments, defaults increase their values in dynamics, and the collateral ratio decreases, it is concluded that the credit risk increases in the course of the bank's lending activities.
banking
methodological approaches to the analysis and evaluation of the bank's loan portfolio by external users
AND ABOUT. SOROKINA, Candidate of Economic Sciences, Associate Professor of the Department of Finance and Credit, Volga University named after V. N. Tatishcheva
Development features financial system Russia led to the fact that the main burden of the redistribution of resources fell on commercial banks. Bank credit has become the main instrument of redistribution, as a result of which credit activity has acquired fundamental importance for banks.
The assessment of lending activity, obtained on the basis of the analysis, is the basis for making strategic decisions regarding the long-term development of the bank. However, at present, the methods for analyzing the bank's credit activity presented in the literature have a number of shortcomings, which actualizes the formation of a more complete and objective approach to the analysis of the bank's loan portfolio. The main problem of the analysis methods presented in the literature is that the steps indicated in them cannot be implemented in practice only because the users do not have information primary materials for analysis. So, for example, in the work of G. Shcherbakova in Sec. “Analysis of loans issued by a bank”, it is proposed to use for research such forms of bank reporting as No. 0409115 “Information on the quality of loans, loan debt and equivalent debt”, No. 0409128 “Data on average weighted interest rates on loans provided by a credit institution”, etc. ., which is not available in the public domain. In this regard, the methods proposed in the book lose their practical applicability for external analysts, such as bank outsiders or external experts. In study-
nom allowance of the authors Yu. G. Veshkin and G. L. Avagyan in Ch. "Analysis of credit operations of a commercial bank" there is no coefficient analysis of credit activity, which does not allow to make an objective conclusion about the state of the loan portfolio in the bank.
Therefore, in our opinion, at present there is a real need to develop such a method that would take into account all the above disadvantages.
In this article, the author made an attempt to summarize the theoretical knowledge and practical experience of banks in the analysis of credit activities and proposed a detailed formal methodology that contains aspects of the analysis of the main activities of the bank with the interpretation of possible results. Particular attention is paid to the coefficient analysis of the bank's credit activity as the most common type of analysis used in modern banks. A feature of this method is that it can be carried out using the forms of bank reporting provided in the public domain both directly by commercial banks in their official sources and on the website of the Bank of Russia.
The author of the article admits that the estimates obtained may be insufficient due to the lack of more detailed primary information material and contain some errors, however, the results of such an analysis will be sufficient for external users who want to get an idea about the bank they are studying.
The purpose of analyzing information about the bank's credit activities is to assess its condition in order to obtain its own opinion from external users on the compliance of the bank's capabilities with their requirements by identifying positive and negative sides banking lending activities.
An analysis of any type of bank activity, including its lending activities, must begin with an assessment of the bank's position in the relevant market, its competitiveness, and also with a study of changes taking place in the market itself.
In order to determine the place of the analyzed bank in the market, it is necessary to calculate a number of absolute values of the loan portfolio, which is the result of the bank's lending activities, and relative indicators characterizing this activity.
The loan portfolio is understood as a set of bank claims for loans granted to various borrowers. To calculate the volume of the loan portfolio, you can use the most accessible form financial statements"Turnover sheet for accounting accounts of a credit institution (No. 0409101)", from where they receive data on cash balances on the following balance accounts:
Interbank loans: accounts 320 (excluding 32015), 321 (excluding 32115);
Loans granted to the Ministry of Finance of Russia: account 441 (excluding 44115);
Loans granted to the financial authorities of the entities Russian Federation and
local governments: account 442 (excluding 44215);
Loans granted to state off-budget funds: account 443 (excluding 44315);
Loans granted to extra-budgetary funds of constituent entities of the Russian Federation and local authorities: account 444 (excluding 44415);
Loans granted legal entities different forms of ownership: account 445 (excluding 44515), 446 (excluding 44615), 447 (excluding 44715), 448 (excluding 44815), 449 (excluding 44915), 450 (excluding 45015), 451 (excluding accounting 45115), 452 (excluding 45215), 453 (excluding 45315);
Loans granted to individuals-private entrepreneurs: account 454 (excluding 45415);
Loans granted to individuals: account 455 (excluding 45515);
Loans granted to non-resident legal entities: account 456 (excluding 45615);
Loans granted to individuals - non-residents: account 547 (excluding 45715). To identify the place of the bank among others
banks taken for comparison, in terms of the loan portfolio, you can build a table. one.
Based on the results of the study of the results obtained, it is necessary to assess the place of the analyzed bank in the loan capital market among regional banks, namely, to determine the accents of its lending activities in retail or wholesale credit business(to do this, evaluate the dynamics of the indicator of the share of loans to legal entities and individuals in the total loan portfolio); generally
Table 1
Comparative table of loan portfolios of commercial banks
Indicator Our bank Bank 2 Bank 3 Bank 4 Bank 5
Volume of assets, million rubles 8 346 387 6234109 11 087 426 10 634 209 7 956 364
Loan portfolio, million rubles, including 6,209,398 5,108,390 7,308,387 8,458,328 6,459,205
Loans granted government bodies and off-budget funds, million rubles (accounts 441-444) 0 0 249 590 102 398 0
Loans issued to other banks, million rubles (accounts 320-321) 56 302 0 540 298 1 376 003 0
Loans to legal entities, mln RUB (accounts 445-453; 456) 4,205,998 3,229,866 5,002,867 4,119,594 4,238,576
Loans issued to individuals, million rubles (454, 455, 457) 1,947,098 1,878,524 1,515,632 2,860,333 2,220,629
Share of loan portfolio in bank assets 0.7 0.8 0.65 0.8 0.8
Share of loans to legal entities in the loan portfolio 0.7 0.6 0.7 0.48 0.65
Share of loans to individuals in the loan portfolio 0.3 0.4 0.3 0.52 0.35
determine the significance of lending activities for the analyzed bank (in terms of the share of the loan portfolio in the bank's assets).
It is not enough to use only absolute indicators in the analysis, as this can lead to erroneous conclusions. For example, the largest volume of certain types of loans testifies only to the expansive nature of the bank's activities in the loan capital market. At the same time, the bank's credit specialization can only be judged by the share of the loan portfolio in total assets (the higher the share, the more specialized the bank is in a particular lending sector).
Using the above approaches to the analysis of the market share occupied by the bank under study (see Table 1), we can say the following. In terms of the volume of the placed loan portfolio, the bank occupies an average position, having no sharp deviations from the volumes in other banks. At the same time, the share of the loan portfolio in the assets of the analyzed bank, when compared with others, is approximately equal and amounts to 0.7. This indicates that the banks included in the sample occupy approximately equal positions in the market, corresponding to their credit opportunities. The structure of the loan portfolio by type of borrower in the analyzed banks also does not have strong differences: banks are focused on lending to corporate borrowers, which shows the share of loans to legal entities in the total loan portfolio, which has a value of 0.65 - 0.7. In this sample, only one bank has a structure different from the others (Bank 4), whose loan portfolio is dominated by loans to individuals (0.52). The volume of loans issued by him to legal entities is only 2 times more than to individuals, while other banks - 4 and 5 times. Therefore, it can be said that this bank focuses on
market of individuals, which also shows the absolute value of the volume of loans to the population.
Determining the place of the bank in the market allows us to draw only preliminary conclusions about the credit preferences of the bank. For a more detailed assessment, it is necessary to analyze the dynamics of the loan portfolio for the period under study, using the table. 2.
The growing dynamics of the volume of the loan portfolio in absolute terms indicates the expansion of the sector of the credit market in which this bank operates. As the data in Table. 2, the analyzed bank has a growing loan portfolio, which makes it possible to positively evaluate its behavior in the market. As a rule, the growth in lending occurs in the bank as a result of the influence of any factors, which include: a decrease in the lending rate, an increase in lending terms, an increase in lending limits, a reduction in requirements for the preparation of a package of documentation, a decrease in requirements for ensuring loan repayment; for individuals, banks can apply such forms of incentives to obtain a loan, such as lowering the minimum age of the borrower, the absence of a military ID in the package of documents, the presence of one guarantor, etc.
In the analysis, it is necessary to pay attention to such an indicator as the growth rate Tpr of the loan portfolio in dynamics. The growing indicator Tpr of the loan portfolio is considered a necessary sign of successful lending activity, since otherwise the bank faces the threat of losing its share of the loan market and being forced out by strong and competitive banks. If an increase in growth rates is observed in the bank under study, then this is a positive side of lending activity, as it indicates the presence in the bank of a developed credit policy that takes into account
table 2
Analysis of the dynamics of the loan portfolio of a commercial bank
indicators period 1 period N-1 period N
Loan portfolio volume, thousand rubles 6,209,398 7,386,208 8,003,765
PeriodK - PeriodK -1 Growth rate of loan portfolio, % Тpr - х 100 PeriodK -1 - 18.9 8.3
Share of the loan portfolio (Kp) in total assets (Ac) (currency Kp of the balance sheet) Yes = - Ac 0.7 0.82 0.89
Kp Share of loan portfolio (Kp) in working assets (Ar) Dr = - Ap 0.6 0.67 0.73
both changes in market demand and the internal credit potential of the bank itself.
To assess trends in lending activities, a comparative analysis of the growth rates of the loan portfolio in the bank under study can be carried out with the growth rates of loan portfolios of competing banks, as well as with average growth rates, for example, the first hundred Russian banks1. Such a comparison will make it possible to determine the compliance of the position of the bank under study with the general trends prevailing in the credit market of the region and the country as a whole. A decrease in growth rates in the bank under study will not be threatening if such a trend is revealed in competing banks and other Russian banks. If, however, during the analysis it is determined that against the background of credit expansion observed in other credit institutions, in the bank under study there is a decrease in the growth rate of the loan portfolio, then you should try to identify the reasons for such a decrease. If, however, it is not possible to explain the decline in the growth of the loan portfolio due to the lack of relevant information, the user should take this fact into account as a brake on the growth of the bank.
Relative indicators of the loan portfolio make it possible to identify the significance of lending activities for the bank. Thus, the Yes indicator (the share of the loan portfolio in the balance sheet currency) allows you to determine how much the bank's activity in placing monetary resources in the form of loans is oriented towards the loan capital market. The increase in the share indicates an increase in the importance of lending activities for the bank and, at the same time, the likelihood of an increase in credit risks. Otherwise, the coefficient Yes is called the "concentration coefficient", which shows how much banking assets are concentrated in the credit market. Today Practical activities domestic banks shows that the concentration ratio in many big banks reaches the level of 90 - 95%, which is associated with a decrease in the level of profitability and an increase in the risk of other active operations, which forces banks to mainly operate in the loan capital market. The ratio of growth rates of TPK's loan portfolio. n. with the growth rate of total
1 Information on the size of the loan portfolio of thirty or hundreds of the largest banks in Russia can be obtained from the official information source Bank of Russia Bulletin of the Bank of Russia, posted on the website of the Bank of Russia www. cbr. ru or on the site www. bankir. en
TPS assets. a. makes it possible to draw a conclusion about which assets account for the growth of the balance sheet currency. This coefficient is called the "advance coefficient Kop".
The lead coefficient shows how many times the growth of the loan portfolio outstrips the growth of total assets. The value of the coefficient above one indicates the active work of the bank in the field of lending compared to others active operations. A more objective assessment will be obtained if we examine the lead coefficients over several periods. As a result, we can conclude about the tactics of the bank's behavior in the market: if in some of the analyzed periods the COP was less than one, then we can assume that the bank increased its assets through other operations, reducing the activity of lending activities.
The share of the loan portfolio in working assets2 Dr allows us to conclude how much the loan portfolio prevails in working assets. The growth of this indicator allows us to conclude that the higher yield of these assets forces the bank to bypass other types of placement and operate mainly in the credit market.
In the analyzed example (see Table 2), there is an increase in the value of the share of the loan portfolio in the bank's assets from 0.7 to 0.89. The lead factor in the indicated periods is 1.2; 1.4; 1.46. As a result, the values of the obtained coefficients allow us to conclude that the bank is increasing its assets, mainly at the expense of monetary resources placed in loans. This behavior can probably be explained by two reasons:
2 Operating assets are assets that provide the bank with income - loan investments, funds in NOSTRO accounts, investments in securities, placement of funds in other banks, investment assets. The following accounts of Form No. 101 should be classified as working assets:
Placements to correspondent accounts: 30110, 30114, 30118, 30119;
placements in loans: 319, 320, 321, 322, 323, 441, 442, 442, 444, 445, 446, 447, 448, 449, 450, 451, 452, 453, 545, 455, 456, 457, 460, 461, 462, 463, 464, 465, 466, 467, 468, 469, 470, 471, 472, 473. Balances on accounts of the second order are accepted for calculation, except for passive accounts of reserves for possible losses;
Placements in securities: 501 (except for 50120 and 50121), 502 (except for 50220 and 50221), 503 (except for reserves), 506 (except for 50620 and 50621), 507 except for (50720 and 50721); 512, 513, 514, 515, 516, 517, 518, 519.
a lower level of risk in credit transactions compared, for example, with transactions on stock market and lack of volatility in interest rates. The increase in the share of the loan portfolio in working assets from 0.6 to 0.73 confirms the assumption that credit placements are more profitable for the bank.
Analyzing the dynamics of the volume of the loan portfolio over the period, it is necessary to identify the internal factors that led to its increase or decrease, for which it is necessary to structure the loan portfolio by type of borrower and examine the changes in each of the articles (Table 3). This kind of analysis makes it possible to assess the degree of diversification of the loan portfolio, which follows from the concept of liquidity of the loan portfolio: the more diversified the loan portfolio is, the less risky credit placements will be, since the degree of their protection from changes in market conditions can be called sufficient.
In the process of analyzing the table, one should pay attention to two indicators: firstly, the share of the article in the total loan portfolio, and secondly, the growth rate of the article.
The largest share of one or another item allows you to determine in which sector of the credit market the bank operates: lending to state financial authorities; lending off-budget funds; lending to legal entities; lending to individuals. For example, in the table above, the bank shows an increase in the volume of loans issued to legal entities, while specific gravity of this item in the total loan portfolio (with
0.7 to 0.76), as a result of which it can be concluded that the bank focuses on services to corporate clients, which may be due to various factors, for example, the bank's unwillingness to incur additional development costs retail business. In some cases, the bank may experience an increase in the absolute value of the loan portfolio to legal entities, but with a simultaneous decrease in its share, in this case it can be assumed that, with active credit expansion, the bank focuses its activities on the interbank market or in the sector of lending to individuals. It should be noted that lending to enterprises and organizations is currently a priority for Russian banks. The main reason for such priorities is the lower credit risk compared to lending to individuals, firstly, because enterprises have a more transparent financial statements and, secondly, the repayment of such loans has a higher security in the form of collateral. But today, these priorities are shifting towards retail lending, as the opportunities for banks to receive income from lending to legal entities are exhausted, and banks are forced to look for new sources of income. Therefore, in modern Russian banks, along with lending to legal entities, lending to the population is one of the most promising directions banking activities.
The highest growth rates of this or that item allow us to determine in which of the market sectors the bank is most active.
Table 3
loan portfolio structure by type of borrower
loan portfolio item period 1 period 2 period N
thousand rubles b.p. weight thous. rub. b.p. weight thous. rub. b.p. the weight
Loans to banks 56,302 0.01 0 - 128,540 0.01
Loans to legal entities, total 4,205,998 0.7 5,046,054 0.7 6,111,879 0.76
including:
Loans provided to non-commercial 370,546 0.08 125,398 0.02 0 -
organizations that are state (except federal) property
Loans provided to non-state 3,267,308 0.77 4,529,409 0.89 5,723,089 0.93
commercial organizations
Loans provided to non-state 234,097 0.05 100,235 0.02 0 -
Loans provided to individuals 334,047 0.07 291,012 0.05 388,790 0.07
entrepreneurs
Loans to individuals, total 1,947,098 0.3 2,340,154 0.3 1,763,346 0.23
including
Loans to individuals 1,947,098,100 2,340,154,100 1,763,346,100
ness. To obtain a more complete estimate, you can calculate the lead factor by comparing the growth rate of each of the items with the growth rate of the total loan portfolio. As a result, a conclusion is obtained on the increase in which item led to an increase in the loan portfolio.
In addition to the analysis of the credit activity of the bank, carried out on the balance sheet accounts of form No. 101, it is necessary to pay attention and investigate the activity of the bank in terms of executed transactions on credit lines. The Bank of Russia provides for the existence of two types of credit lines - “under the issuance limit” and “under the debt limit”. A combined form is also envisaged, which includes both of these conditions.
The "disbursement limit" means the conclusion of an agreement between the bank and the client, the condition of which is the issuance of a certain amount of funds (accumulatively). The loan is issued in tranches, when the last tranche is issued, when the total amount of funds disbursed is equal to the agreement, the credit line is considered exhausted, regardless of whether the loan was repaid by the borrower. Unpaid but reserved for a line of credit cash are recorded on off-balance sheet account 91316. These funds, in fact, are a loan, but until they are paid, they are related to the bank's liabilities.
The "debt limit" means the issuance of funds to the client in the form of a loan, but on the condition that the client repays part of the funds received earlier up to the amount stipulated
Loan portfolio structure
bank in the contract. A new tranche of the credit line is issued only when the maximum debt of the client to the bank is equal to the amount stipulated in loan agreement. The funds reserved for this type of credit line are accounted for by the bank on an off-balance sheet account 91317.
Studies of cash balances on these accounts are carried out in dynamics, as a result of which a forecast is made about the volume of funds that will be placed by the bank in the future.
One of the mandatory and most important stages in the analysis of the bank's lending activity is research on the terms of loans placed. The importance of such an analysis is primarily due to the maintenance of the bank's liquidity, which is a fundamental criterion for assessing its solvency. This study aims to identify the bank's capabilities, both in terms of placing long-term loans and in matters of credit risk (it is known that the longer a loan is placed by a bank, the higher the risk of its non-repayment as a result of a possible default of the borrower).
Analysis of the loan portfolio by degree of urgency should be carried out using the table. four.
In the process of analysis, it is necessary to identify those items of the loan portfolio, the share of which is maximum and minimum, as well as those items, the change in the volume of which in one direction or another turned out to be the largest.
Positive is the increase in the share of long-term loans in the structure of credit
Table 4
rcheskogo bank by degree of urgency
Loan portfolio item Period 1 Period N-1 Period N
Loans extended on demand 24,568 0.004 36,098 0.004 78,409 0.009
vania and overdraft
Loans granted for a period of 1 0 - 0 - 0 -
Loans granted for a period of 8 56 302 0.01 0 - 128 540 0.01
up to 30 days
Loans granted for a period of 31 0 - 0 - 0 -
up to 90 days
Loans granted for a period of 91,349,398 0.05 403,298 0.05 500,387 0.06
up to 180 days
Loans granted for a period of 181 1,987,305 0.32 1,824,659 0.25 1,450,708 0.2
Loans granted for a period of 1 3,198,098 0.52 4,297,564 0.6 4,687,365 0.6
years to 3 years
Loans granted for the period of re- 593,727 0.1 824,589 0.1 1,158,356 0.15
Total loan portfolio 6,209,398,100 7,386,208,100 8,003,765,100
portfolio, which indicates, firstly, that the bank has a long-term resource base (which is typical for reliable large banks with a positive reputation in banking and client circles), and secondly, the bank's potential to meet the needs of corporate clients in various sectors of the economy, the main problem of development of which is the lack of long-term investment resource. It should be noted that at present, in the structure of the loan portfolio of domestic commercial banks, there are changes in the direction of increasing the share of long-term credit placements, which include funds placed for a period of 3 years or more. The growth in the dynamics of this type of credit placements makes it possible to assess the bank as meeting the needs of the market, which raises its reputation in the client environment, and, consequently, adds competitive advantages. In the above example, the analyzed bank is increasing the volume of long-term loans, both in absolute and relative terms. The volume of loans placed for a period of one to three years increased from 3,198,098 thousand rubles. to 4,687,365 thousand rubles, or by 46%, while their share in the total loan portfolio increased from 0.5 to 0.6. Also, long-term loans placed for a period of more than three years had a high growth rate, for the analyzed period it amounted to 95%, which is high rate. As a result, we can say that the bank under study is able to satisfy its customers in long-term resources, which increases its reputation in the market.
Long-term credit placements are the main income-generating resources for the bank, since the interest rate on such loans is higher. In this regard, an increase in their share indicates an increase in the level of profitability banking operations, and, as a consequence, the growth of the bank's profit. That is why some domestic banks are currently moving away from short-term lending (except for "overdraft") and focus their work on medium and long-term loans.
Particular attention in the research process should be paid to determining the level of profitability of various types of credit products and the level of their risk, which, as a result, constitutes a qualitative assessment of the bank's lending activities.
The profitability of the loan portfolio (D) is calculated by allocating the bank's total income on loans (Dk) (items of form No. 102
"Profit and Loss Statement") as of a certain date to the value of the total loan portfolio (KP) in the same period.
The level of profitability should be analyzed in dynamics in order to be able to determine the trends in the development of lending activities in a given bank. For a more detailed assessment, the profitability of each type of placed loans should be calculated.
When evaluating the calculated profitability indicators, it should be taken into account that the results obtained may have high errors, which is associated with the peculiarities of accounting and reporting form No. 102. The fact is that the volumes of interest income on loans are recorded in income accounts on receipt. However, by the first number, when it is formed given form, on part of the loans, income has not yet been received, since the terms for paying interest payments by customers are stipulated in the contract after the first day. As a result, the return on the total loan portfolio may be lower.
In the process of analysis, the most and least profitable types of loans are identified. It is obligatory to study the yield of various items of credit placements in dynamics. Objective conclusions in this study can only be obtained by comparing the calculated yield with the average lending rate prevailing in the regional market, as well as taking into account the refinancing rate of the Bank of Russia. Identified decrease credit rate in the bank under study, occurring against the background of a decrease in the regional rate of return, allows us to determine that the main reason for this situation is external factors, for example, a decrease in demand for loans or a decrease in the refinancing rate. However, if during the analysis it was revealed that the rate in the bank under study has a negative trend at a time when it is growing in the market, the reasons for this situation should be identified. Factors for reducing the rate of return may be different - both provided by the bank, and resulting from an unskilled approach to the asset management process. So, for example, the foreseen factors include the pricing policy of entering the market, which implies a decrease in prices for loan products, or a reduction in the rate on certain credit products in order to stimulate their implementation, or the reduction may
occur as a result of the formation by the bank of a cheaper funding base, which allows the bank to reduce the price of loans.
The assessment of the loan portfolio by risk level is carried out using four main coefficients that evaluate lending activity from three aspects:
From the side of the risk level of the borrower, for which the coverage ratio is used;
From the side of supporting the credit transaction - the ratio of overdue payments on the principal debt and the default ratio;
On the part of ensuring the repayment of loans - the coefficient of security.
1) coverage ratio (Kp) is calculated as the ratio of the reserve (P) for possible losses created by the bank to the total loan portfolio (KP):
The ratio shows what share of the reserve falls on one ruble of the loan portfolio, and allows you to assess the riskiness of the loan portfolio. An increase in this indicator is a negative side of the bank's activity, as it indicates an increase in risk. The increase in the coefficient in dynamics can occur according to different reasons, firstly, as a result of an increase in the volume of the reserve for possible losses on loans, and secondly, as a result of a decrease in the volume of the loan portfolio with a constant value of the reserve, both of which negatively assess the credit activity of the bank.
To identify the most risky loans, it is necessary to calculate the share of the reserve for losses of each of the loan portfolio items in the total amount of the reserve for possible losses.
In addition, this study should calculate the value of the net loan portfolio, which allows you to determine how much of the placed loans will return to the bank under the worst circumstances. The value of the net loan portfolio is calculated as the difference between the total loan portfolio (CL) and the amount of the provision for possible losses on loans (R).
NPV = KP - R. This indicator needs to be studied in dynamics, which makes it possible to determine how effective the credit management policy is used in the bank. Growth in NCR positively assesses lending activity and determines the reduction of credit risk in the bank.
In addition to assessing the net loan portfolio in absolute terms, it is necessary to calculate the net loan portfolio ratio (Kfkp), which shows what share of the net portfolio falls on one ruble of the total loan portfolio
Kchkp = Chkp.
The growth of the coefficient is positively assessed by the bank and indicates both a decrease in credit risk and an increase in the profitability of bank lending operations.
It should be noted that the assessment of the net loan portfolio will be justified and objective only if both its absolute expression and the Kfkp coefficient are taken into account simultaneously. In banking practice, such a situation is often observed when the absolute value of the net loan portfolio grows, but against the background of a decrease in Crcl. This situation negatively evaluates the bank's activities in terms of approaches to the selection of borrowers, as it indicates that the bank is increasing its loan portfolio at a higher rate than low-risk loans, i.e., we can say that the loan portfolio increases in this case due to risky credit placements;
2) collateral ratio (Cob) is calculated as the ratio of the amount of collateral accepted by the bank when issuing a loan to total amount loan portfolio. This ratio makes it possible to assess the extent to which possible losses associated with non-repayment of loans are covered by collateral, guarantees and sureties of third parties.
The amount of collateral is reflected in the off-balance sheet accounts of Form No. 101:
Account 91311 - securities accepted as collateral for placed funds;
Account 91312 - property accepted as collateral for placed funds (except for securities and precious metals);
Account 91313 - precious metals accepted to secure the return of placed funds;
Account 91414 - received guarantees and guarantees.
The amount of cash balances on these accounts gives the total amount of security for the repayment of the loan portfolio.
The Cob coefficient shows what proportion of the loan repayment security is accounted for by one ruble of the loan portfolio. In accordance with the law, the amount of security must exceed
the amount of the issued loan by the amount of interest accrued on the loan and possible other expenses associated with the repayment of the loan, therefore the value of Cob must exceed one. The analysis of this ratio should also be carried out in dynamics, as a result of which it is possible to draw conclusions about the periods in which the bank's lending activities were the most risky for the bank.
To analyze the composition of the security accepted by the bank, and its structure, you should form a table. 5.
When forming a conclusion on the structure of collateral, one should pay attention to the fact that the borrower's property (including precious metals and securities) is the most reliable form of collateral (especially real estate), as it has minimal loss of its market value over time. Securities should be considered in the context of issuers, however, if the user does not have other reporting, then form No. 101 will not allow this. Therefore, the conclusions should stipulate that if securities issued by state authorities or papers belonging to the category of "blue chips" are accepted as collateral, then the bank has high-quality collateral. The least quality is collateral in the form of guarantees and guarantees due to the possible default of the guarantor or guarantor. In the given example, the article “Guarantees and guarantees received” has a growing volume in absolute terms, however, the share of this type of collateral does not exceed 0.2, which does not raise concerns regarding the growth of credit risk.
In the course of the analysis, it should be noted that the increase in the amount of funds on account 91414 “Guarantees received” is usually accompanied by a simultaneous increase in the volume of the loan portfolio issued to individuals, since at present the bulk of retail loans (except mortgages) are issued banks under guarantee.
3) overdue payment ratio (CR), which is calculated as the ratio of the amount of the overdue principal debt (POd; account form No. 101 - No. 458) to the total volume of the loan portfolio (KP).
The coefficient shows what share of overdue payments on the principal debt falls on one ruble of the loan portfolio, and the increase in the coefficient in dynamics indicates an inefficient policy of the bank in terms of supporting a credit transaction. The analysis is carried out similarly to the analysis of the coverage ratio, where the reasons for the change in the value of the coefficient are also investigated, the change in the value of the coefficient in dynamics is analyzed, the coefficient is calculated for each type of loans issued;
4) the ratio of non-repayment of the principal amount of the debt (Kn), which is calculated as the ratio of the amount of debt for the amount of the principal debt written off due to the impossibility of collection (funds are recorded on off-balance accounts 91801, 91802) to the total loan portfolio.
The increase in the ratio can occur for two reasons: firstly, as a result of an increase in the volume of principal debt written off against the backdrop of a weakly growing quality loan portfolio, which is a negative result and in the short term may lead to bank bankruptcy. Secondly, due to a decrease in the volume of the loan portfolio with a constant amount of debt written off, which makes it possible to judge the presence of measures taken by the bank to improve the quality of lending activities.
As a result of the study, conclusions can be drawn about the total banking risk. In particular, if the coverage ratios of overdue payments
Table 5
Classification of types of security for repayment of loans in a commercial bank
Type of loan repayment security Period 1 Period 2 Period N
thousand roubles. share thous. rub. share thous. rub. share
Securities accepted as collateral for issued securities 1,346,867 0.2 1,235,678 0.14 1,348,521 0.14
loans
Guarantees and warranties received 1,066,380 0.15 1,750,217 0.2 1,631,255 0.18
Property accepted by the bank (except for valuables) 4,687,230 0.66 5,248,672 0.66 6,025,458 0.66
papers and precious metals)
Precious metals reserved in 0 - 0 - 0 -
as collateral
Total collateral 7,100,567,100 8,234,567,100 9,005 324,100
Table 6
Rates of return on credit investments
K1 Gives an opportunity to evaluate the profitability of the loan portfolio (Proc. income-Proc. expenses) / Loan investments 0.6 - 1.4
K2 Reflects the share of the bank's interest margin in its capital (Percentage income-Percentage expenses) / Capital of the bank 10 - 20
KZ Shows the profitability of credit investments (Proc. income - Proc. expenses) / Net loan portfolio 2 - 3.5
K4 Characterizes the real profitability of credit investments Proc. income (received) / Net loan portfolio
If, if defaults increase their values in dynamics, and the collateral ratio decreases, then a conclusion is made about the growth of credit risk in the process of conducting credit activities by the bank. In the case of unstable dynamics of each coefficient, it can be evidenced that the bank exercises control and implements various measures to maintain the level of risk at a level sufficient for it.
The regulation of the level of risk assumed by a commercial bank is also carried out by the Bank of Russia as the main regulator of the activities of commercial banks, which has developed a number of risk standards, the implementation of which is mandatory for a commercial bank3.
In particular, the Bank of Russia controls the lending activities of banks through the latter's compliance with the following mandatory ratios.
The H6 ratio - the maximum amount of risk per one borrower or a group of related borrowers limits the bank's credit risk in relation to one borrower or a group of related borrowers and determines the maximum ratio of the total amount of credit claims to them to the bank's equity capital. This standard is calculated as
H6 \u003d ^ x 100, SC
where Krz - the total amount of the bank's credit claims to the borrower or a group of related borrowers,
The Bank of Russia has established that this ratio (standard) cannot be more than 25%.
N7 ratio - the maximum amount of large credit risks limits the total amount of large credit risks of the bank and determines the maximum ratio of the total
3 Instruction of the Central Bank of the Russian Federation dated 16.01.2004 No. 110-I. "On the obligatory standards of banks".
the magnitude of large credit risks to the size of the bank's own capital.
where V Kcr - determined taking into account the weighting by the risk factor, established in relation to the relevant asset, a large credit risk;
SC is the bank's own capital.
A commercial bank, carrying out lending activities, should proceed from the fact that this ratio cannot be more than 800% of equity capital.
Ratio H10.1 - the total amount of risk for the bank's insiders. This standard limits the total credit risk of the bank in relation to all insiders, which include individuals who can influence the decision to issue a loan by the bank.
The standard is calculated as follows
H10.1 \u003d ^ "x 100,
where V KrI" - the value of the i-th credit risk to the bank insider;
SC is the bank's own capital.
A commercial bank, when lending to an insider, should proceed from the fact that the value of this ratio cannot exceed 3% of the bank's own capital.
At the end of the process of studying credit activity, all previously calculated coefficients should be summarized in a common table and some new indicators should be calculated, which will ultimately allow assessing the quality of the bank's loan portfolio.
All coefficients used for evaluation can be classified into two groups: 1) indicators of profitability of credit investments (Table 6); 2) indicators of the quality of loan portfolio management (Table 7).
The above approach to the analysis of the bank's loan portfolio as a result of its
Table 7
Bank loan portfolio management quality ratios
Coefficient Characteristic Coefficient calculation Optimum, %
K5 Characterizes the quality of the bank's loan portfolio management in terms of the volume of "non-performing" loan investments (prolonged and overdue) Credit investments that do not generate income / Bank assets 0.5 - 3
K6 Details the assessment of the quality of loan portfolio management Loan investments that do not generate income / Loan investments total 3 - 7
K7 Allows you to evaluate how much the attracted resources are used in income-generating operations of the bank Total credit investments/Deposits 1 or less
K8 Characterizes the share of quality loans (Credit investments Overdue loans) / Credit investments No, it is studied in dynamics
K9 Reflects the degree of coverage of possible losses from defaults. (The lower the denominator, the better) Volume of the reserve for loans/Loan investments that do not generate income (proper payments on the principal debt) No, it is studied in dynamics
credit activity, in our opinion, seems to be the most complete and accessible to external users, as it is based on information materials openly published by banks in relevant sources.
Literature
1. Complex analysis financial and economic results of the bank and its branches / L. T. Gilyarovskaya, S. N. Panevina. - St. Petersburg: Peter, 2003. - 240 p.
2. Estimation of the market value of a commercial bank. Methodical developments. -M.: Maro-seika, 2007. - 224 p.
3. Shcherbakova G. N. Analysis of banking activity (on the basis of financial statements prepared in accordance with Russian and international standards) / Galina Shcherbakova. - M.: Vershina, 2006. - 464 p.
4. Economic analysis activities of a commercial bank. - Textbook. allowance / Veshkin Yu. G., Avagyan G. L. - M .: Master, 2007. - 350 p.
5. Economic analysis of the activities of a commercial bank. Ed. 2nd, revised. and additional: Textbook for universities. - M.: Logos, 2005.
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