Analysis of the loan portfolio and its structure of PJSC Sberbank of Russia. Bank stability and reliability
Analysis loan portfolio legal entities PJSC "Sberbank of Russia"
We will analyze the loan portfolio of legal entities of PJSC Sberbank of Russia in Perm.
So, let’s analyze the loan portfolio of legal entities of Sberbank of Russia PJSC in the structure of the bank’s loan portfolio as a whole (Table 2.1).
As can be seen from Table 2.1, Sberbank of Russia PJSC is experiencing a process of stable growth of its loan portfolio.
In 2014, there was a process of increasing debts by 26.41% compared to 2013, in 2015 - by 27.10% compared to 2014, which indicates that the bank was conducting a successful credit policy, which targets the extended supply process credit resources various categories of borrowers.
Table 2.1
Analysis of the loan portfolio of legal entities in the structure of the loan portfolio of Sberbank of Russia PJSC as a whole for 2013-2015, thousand rubles.
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Balance sheet items |
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amount (thousand rubles) |
beat weight (%) |
amount (thousand rubles) |
beat weight (%) |
(thousand roubles.) |
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1. Short-term loan debt (Kk) |
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1.1. personal loans Persons |
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1.2. legal loans Persons |
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2. Long-term loan debt (Kd) |
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2.1. personal loans Persons |
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2.2. legal loans Persons |
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3. Total (Kk+Kd) |
The main share in the loan portfolio of Sberbank of Russia PJSC belongs to loans to legal entities. In 2014, the volume of debts of legal entities increased by 37.1% compared to 2013, in 2015 - by 19.31%.
All this allows us to conclude that the process of lending to legal entities is the banking service most in demand by clients, and income from it is the main source of bank profit.
Changes in the sectoral composition of the loan portfolio of legal entities of Sberbank of Russia PJSC as a percentage of the total portfolio amount will be presented in Table 2.2.
As can be seen from the data in Table 2.2, in the industry composition of the loan portfolio of legal entities of Sberbank of Russia PJSC, the largest share belongs to the mining industry, construction, leasing and trade (wholesale and retail). In 2015, there was a significant increase in the share of trading enterprises in the loan portfolio of Sberbank of Russia PJSC (by 1.81% compared to 2011), and there was also a process of decreasing the share of leasing companies by 2.10%.
There was also a process of significant reduction in the share investment enterprises in 2014. In 2015, the situation stabilized somewhat.
Table 2.2
Changes in the sectoral composition of the loan portfolio of legal entities of PJSC Sberbank of Russia for 2013-2015, %
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Lending industry |
Shares in credit portfolio, % |
Change, % |
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Mining industry (gold mining) |
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Construction |
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Leasing companies |
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Trade |
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Car dealers |
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Investment companies |
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Industrial production |
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Transport and communications |
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Agriculture |
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Let's consider the dynamics of the loan portfolio corporate clients PJSC Sberbank of Russia by loan quality categories (Fig. 2.1).
From Figure 2.1, it is clear that during the analyzed period there is a process of improving the quality of the loan portfolio of corporate clients of Sberbank of Russia PJSC: the share of clients in the 1st and 2nd quality categories in the portfolio has increased, the number of problem loans has decreased (quality categories 4 and 5). The largest share for the entire 2013-2015 years. Loans of the 2nd quality category with moderate credit risk are characterized, which allows us to talk about the effectiveness of the bank’s work with corporate clients.
Figure 2.5 Analysis of the dynamics of the loan portfolio of legal entities of Sberbank of Russia PJSC by loan quality categories, %
The largest share of loans of quality categories 4 and 5 was characteristic of the bank in 2013 (4.81% and 6.11%, respectively). In 2015, the shares of problem and bad loans in the total loan portfolio of Sberbank of Russia PJSC were 1.71% and 2.82%, respectively, which indicates stabilization activities of PJSC Sberbank of Russia in the field of servicing legal entities.
Next, we will analyze the indicators of overdue debts of legal entities in the structure of overdue debts in general in PJSC Sberbank of Russia; they are one of the important indicators of the quality of the bank’s loan portfolio (Table 2.3).
Table 2.3
Analysis of the structure of overdue debts of legal entities in the total volume of debt (LO) of Sberbank of Russia PJSC for 2013-2015, thousand rubles.
Table 2.3 shows that the indicators of overdue debts increased during the analyzed period and by 2015 they grew by 79.1%, which is a large indicator that worsens the quality of the bank’s loan portfolio. Overdue debt of legal entities in 2015 increased by 59,510 thousand rubles.
In this case, it is necessary to find out the reason for the increase in overdue debt, since it can occur either as a result of an increase in the volume of the loan portfolio, or as a result of a deterioration in the level of solvency of bank clients.
To identify the cause of growth, the lead coefficient (Ko) is used, calculated as the ratio of the growth rate of the bank's loan portfolio to the growth rate of overdue debts. If the result obtained is greater than 1, then this indicates that the volume of overdue debts is increasing as a result of the growth of the loan portfolio, which is not a threat to financial condition jar. If the result obtained is less than 1, then this indicates that the process of growth of overdue debts is associated with the process of deterioration in the financial situation of borrowers, which threatens the bank with a loss of liquidity.
Let's calculate the lead coefficient for PJSC Sberbank of Russia for the analyzed period.
Lead rate (2013-2015) = 63.1%/79.1% = 0.792
The result obtained is less than 1, which indicates a sharp decline in the solvency of bank clients.
Considering the structure of overdue debts of PJSC"Sberbank of Russia" by type of borrower, we came to the conclusion that for 2013-2015. There was a process of increasing the share of overdue debts of individuals by almost 2 times in 2015 compared to 2013. At the same time, there is a process of increasing overdue debts and corporate clients.
In general, the existing amounts of overdue debts are not critical, since they amount to no more than 5%, and indicate the effective work of the credit divisions of Sberbank of Russia PJSC.
An important characteristic that assesses the quality of the loan portfolio is the amount of reserves for possible loan losses.
Let's analyze the dynamics of the volume of reserves for possible loan losses (LLP) and the share of loans written off due to LLP in the total volume of the loan portfolio of Sberbank of Russia PJSC (Table 2.4).
Table 2.4
RVPS and written off due to it PJSC loans"Sberbank of Russia"
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RVPS amount (thousand roubles.) |
Write-offs for RVPS account* (thousand roubles.) |
volume of loans (thousand roubles.) |
Ud. weight of loans written off (%) |
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From Table 2.4 it is clear that there is an increase in the amount of the formed reserve for possible losses. The highest growth rates of RVPS occurred in 2014 - reserves increased by 43.91% compared to the actual values of 2013. In 2015, the amount of reserves increased by 2.20% compared to 2014. The process of growth of RVPS is associated with the process of increasing the total volume of loans issued.
In the process of evaluation credit risk Using RVPS indicators, it is also necessary to calculate their lead coefficient (Ko), which allows one to find out the reasons for its growth. In the event that the growth rate of the loan portfolio is higher than the growth rate of RPVS (Co), then there is no threat to the bank, since it is the process of growth of placed loans that determines the growth process of RPVS in the bank. When the growth rate of RVPS is higher than the growth rate of the loan portfolio (Ko), then we can say that the financial condition of borrowers is deteriorating, which forces the bank to create a reserve, insuring itself against possible losses associated with the insolvency of clients.
So, the growth rate of the loan portfolio of Sberbank of Russia PJSC for 2013-2015. amounted to 63.1%, the growth rate of RVPS was 47%.
Ko=63.1%/46%=1.37
As calculations show, the lead coefficient is greater than 1, which determines the reasons for the growth of RVPS associated with the process of active expansion of lending volumes; this fact positively assesses the activities of Sberbank of Russia PJSC.
In order to determine the indicators of probable loan losses, it is necessary to consider the migration of overdue debt over the last two years of activity of Sberbank of Russia PJSC and calculate the loss ratio (CL), that is, an indicator of potential losses for a group of homogeneous loans. CP is calculated by multiplying the migration coefficients (MC) of overdue debts for all groups of homogeneous loans that follow this group. The migration coefficient (MC) is defined as the ratio of the amount of overdue loans that are included in a certain group of homogeneous loans on a certain date and for which the borrowers did not fulfill the conditions loan agreement to the total amount for this group of homogeneous loans.
Based on the results of all periods under consideration, the average annual value is calculated for each of the subgroups. Let's consider migration statistics for the portfolio of legal entities of the CP in PJSC Sberbank of Russia (Table 2.5, Appendix 3).
As can be seen from the calculations made in Table 2.5, the most significant loss ratios among the portfolio of legal entities belong to the mining industry (1.01%), the most insignificant - to other lending industries (0.41%).
The highest migration rates are observed among loans that are overdue for more than one year in all lending industries, with the exception of leasing companies - in this industry, the highest migration of non-repayment of loans on time is observed among loans that are overdue for a period of 90 to 180 days - annual average The migration coefficient in this case is 80.76%, which is inferior to the value of the migration coefficient of loans overdue for more than 1 year, equal to 71.61%. Among current loans, the largest transition to overdue debt up to 30 days is noticeable in such an industry as construction - 8.81%, the smallest among other lending industries. This means that the probability of current debt becoming overdue in these industries is legally the highest and lowest in the loan portfolio, respectively.
Next, we will analyze the probable losses (in fact, the expected credit risk) for current loans at the end of 2015, which can be calculated by multiplying the loss coefficient by the numerical value of the balance of non-overdue loans. We present the results in Table 2.6.
Table 2.6
Analysis of probable losses at the end of 2015 by type of loan/industry of lending to legal entities in Sberbank of Russia PJSC, thousand rubles.
From table 2.6 it is clear that the presence of probable losses in the portfolio of legal entities amounts to 62,365,000 rubles.
The most significant losses, that is, in fact, the greatest credit risk, are observed in the field of lending to the mining industry - 35,031,055 rubles.
Consequently, this type of lending to legal entities is the most risky in the activities of Sberbank of Russia PJSC.
And in the bank under study, it is necessary to improve the process of lending to legal entities.
We will analyze the structure of the loan portfolio of legal entities of the Vladimir branch No. 8611 PJSC Sberbank.
So, let’s analyze the loan portfolio of legal entities of the Vladimir branch No. 8611 of Sberbank PJSC in the structure of the bank’s loan portfolio as a whole (Table 1).
Table 1. Analysis of the loan portfolio of legal entities in the structure of the loan portfolio of Sberbank PJSC as a whole for 2013-2015, thousand rubles.
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Balance sheet items |
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amount (thousand rubles) |
beat weight (%) |
amount (thousand rubles) |
beat weight (%) |
(thousand roubles.) |
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1. Short-term loan debt (Kk) |
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1.1. loans to individuals |
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1.2. loans to legal entities |
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2. Long-term loan debt (Kd) |
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2.1. loans to individuals |
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2.2. loans to legal entities |
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3. Total (Kk+Kd) |
From the analysis, it can be seen that in the Vladimir branch No. 8611 of Sberbank PJSC, the loan portfolio is growing steadily.
In 2014, debt increased by 8.5% compared to 2013, and in 2015 - by 18.1% compared to 2014, which is a consequence of the bank’s effective credit policy aimed at expanding the supply of credit resources to various categories of creditors.
Long-term debt on loans for 2013-2014. occupies more than 50% of the share in the total volume of loans, which shows the positive growth dynamics of the loan portfolio of the Vladimir branch No. 8611 of Sberbank PJSC.
The largest share in the loan portfolio of the Vladimir branch No. 8611 of Sberbank PJSC belongs to loans to legal entities. In 2014, compared to 2013, the volume of debt of legal entities increased by 13%, and in 2015 by 16.9% compared to 2014.
All this allows us to conclude that lending to legal entities is the most popular banking service among clients, the income from which is the main source of bank profit.
The industry composition of the loan portfolio of legal entities as a percentage of the total portfolio of the Vladimir branch No. 8611 of Sberbank PJSC and its changes are presented in Table 2.
Table 2 - Changes in the sectoral composition of the loan portfolio of legal entities of the Vladimir branch of Sberbank PJSC for 2013-2015, %
According to Table 2, we can conclude that in the industry composition of the loan portfolio of the Vladimir branch No. 8611 of Sberbank PJSC, the largest share belongs to construction, agriculture, industrial production, as well as wholesale and retail trade. In 2015, there was a significant increase in the share of trading enterprises in the loan portfolio of the Vladimir branch No. 8611 of Sberbank PJSC by 39.03% compared to 2014, and there was also a decrease in the share of transport and communications by 24.5%.
The share also decreased significantly industrial production in 2014, but already in 2015 the situation stabilized somewhat.
Analysis of the dynamics of the loan portfolio of legal entities of Sberbank of Russia PJSC No. 8628/01903 Kostomuksha by loan quality categories, %
Figure 1 shows that for the period 2013-2015. There was a process of improving the quality of the loan portfolio of legal entities in the Vladimir branch No. 8611 of Sberbank PJSC. In the portfolio given to us, the share of clients of quality categories 1 and 2 has increased and at the same time the number of problem loans has decreased, i.e. 4 and 5 quality categories. For the period 2013-2015. The largest share is occupied by loans of the 2nd quality category with moderate risk, this indicates the effectiveness of the bank’s work with legal entities.
Now we will analyze the indicators of overdue debts of legal entities in general in the Vladimir branch No. 8611 of Sberbank PJSC. These indicators are one of the important indicators of the quality of the bank’s loan portfolio (Table 3).
Table 3 - Analysis of the structure of overdue debts of legal entities in the total volume of debt (SD) of the Vladimir branch No. 8611 of Sberbank PJSC. for 2013-2015, thousand rubles.
Table 3 shows that during the analyzed period, indicators of the amount of overdue debt increased and by 2015 they increased by 25.5% compared to 2014, which is the reason for the deterioration in the quality of the bank’s loan portfolio. Overdue debt of legal entities in 2015 increased by 110,980 thousand rubles.
In this case, it is necessary to find out the reason for the increase in overdue debt, because it can occur in such cases as an increase in the volume of the loan portfolio and a decrease in the level of solvency of bank clients.
To find out the reason for the growth of overdue debts, the lead coefficient (Ko) is used, which is calculated as the ratio of the growth rate of the bank's loan portfolio to the growth rate of overdue debts. If the calculated coefficient is greater than 1, then this indicates that the volume of overdue debt is increasing as a result of the growth of the loan portfolio, which is not a threat to the financial condition of the bank. Otherwise, if the calculated coefficient is less than 1, this indicates that the increase in overdue debt is associated with a deterioration in the client’s financial situation, which threatens the bank with a decrease in liquidity.
Let's calculate the lead coefficient for the Vladimir branch No. 8611 of Sberbank PJSC for the analyzed period.
The result obtained is less than 1, which indicates a sharp decrease in the borrower’s solvency.
Considering the structure of overdue debt of the Vladimir branch No. 8611 of Sberbank PJSC by type of borrower, we can conclude that for 2013-2015. There was an increase in the share of overdue debt of individuals by more than 2 times in 2015 compared to 2013. At the same time, there is an increase in overdue debt and legal entities.
By and large, the existing amount of overdue debt is not critical, because is no more than 5%, which indicates the effective work of the credit divisions of the Vladimir branch No. 8611 of Sberbank PJSC.
An important characteristic that assesses the quality of the loan portfolio is the amount of reserves for possible loan losses. Let's analyze changes in the volume of reserves for possible loan losses (LLP) and the share of loans written off due to LLP in the total volume of the loan portfolio of the Vladimir branch No. 8611 of Sberbank PJSC (Table 4).
Table 4 - RVPS and loans written off due to it from the Vladimir branch No. 8611 of Sberbank PJSC
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RVPS amount (thousand roubles.) |
Write-offs for RVPS account* (thousand roubles.) |
volume of loans (thousand roubles.) |
Ud. weight of loans written off (%) |
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Based on Table 4, we can conclude that there has been an increase in the reserve for possible losses. The largest increase in the RVPS indicator occurred in 2014 - reserves increased by 53.8% compared to the actual value of 2013. In 2015, compared to 2014, the amount of the reserve increased by 5.8%. This process of growth of RVPS is continuously associated with the process of increasing the total volume of loans issued.
Features of development financial system Russia led to the fact that it was commercial banks that bore the brunt of the redistribution of resources. Bank credit became the main instrument of redistribution, as a result of which lending activity acquired fundamental importance for banks.
Grade credit activities, 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 bank lending activities presented in the literature have a number of shortcomings, which actualizes the issues of forming 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 users do not have primary information materials for analysis.
The purpose of analyzing information about the bank’s lending activities is to assess its condition in order to obtain external users’ own opinion about the compliance of the bank’s capabilities with their requirements by identifying the positive and negative aspects of bank lending activities.
Analysis of any type of bank activity, incl. and its lending activities, it is necessary to begin with an assessment of the bank’s position in the relevant market, its competitiveness, as well as by studying the changes occurring in the market itself.
In order to determine the place of the analyzed bank in the market, a series of absolute values loan portfolio, which is the result of the bank’s lending activities, and relative indicators characterizing this activity.
The loan portfolio is understood as the totality of the bank's claims on loans provided to various borrowers.
Table 3.1 – Loan portfolio volume
| Indicators | 01.01.12 | 01.01.13 | 01.01.14 | 01.01.15 | Deviation 2015 from 2012 | Growth rate 2015 to 2012% | ||||
| Amount million rub. | Specific weight % | Amount million rub. | Specific weight% | Amount million rubles | Specific weight% | Amount, million rub. | Specific weight % | |||
| Loans for individuals persons | 1777,28 | 22,67 | 2528,28 | 26,48 | 3332,85 | 29,74 | 4069,34 | 27,36 | 2292,06 | 28,96 |
| Including: | ||||||||||
| Up to 180 days | 63,13 | 0,80 | 151,13 | 1,58 | 256,49 | 2,29 | 391,17 | 2,63 | 328,04 | 519,62 |
| Valid from 181 days to 1 year | 10,81 | 0,13 | 24,01 | 0,25 | 28,32 | 0,25 | 18,05 | 0,12 | 7,24 | 66,97 |
| For a period of 1 year to 3 years | 224,62 | 2,86 | 285,62 | 2,99 | 311,85 | 2,78 | 277,69 | 1,86 | 53,07 | 23,62 |
| For a period of more than 3 years | 1429,74 | 18,24 | 2015,23 | 21,10 | 2671,44 | 23,84 | 3281,02 | 22,06 | 1851,28 | 129,48 |
| Overdue indebted | 47,53 | 0,60 | 50,40 | 0,52 | 62,80 | 0,56 | 99,33 | 0,66 | 51,80 | 108,98 |
| Legal loans persons | 6061,85 | 77,32 | 7019,34 | 73,52 | 7872,18 | 70,25 | 10802,95 | 72,63 | 4741,1 | 78,21 |
| Including: | ||||||||||
| Up to 180 days | 172,14 | 2,20 | 213,10 | 2,23 | 248,92 | 2,22 | 356,04 | 2,39 | 183,90 | 106,83 |
| Valid from 181 days to 1 year | 780,41 | 9,95 | 617,78 | 6,47 | 563,73 | 5,14 | 686,93 | 4,61 | (93,48) | (11,88) |
| For a period of 1 year to 3 years | 1652,53 | 21,08 | 2073,50 | 21,71 | 2012,50 | 17,96 | 2654,75 | 17,85 | 1002,22 | 60,64 |
| For a period of more than 3 years | 3209,02 | 40,93 | 3869,27 | 40,52 | 4812,62 | 42,95 | 6854,81 | 46,09 | 3645,79 | 113,61 |
| Overdue indebted | 227,20 | 2,89 | 218,62 | 2,29 | 204,32 | 1,82 | 217,19 | 1,46 | (10,01) | (4,40) |
| Loan portfolio volume | 7839,13 | 9547,62 | 11205,02 | 14872,29 | 7033,16 | 89,71 |
The table data shows that the volume of the loan portfolio of Sberbank of Russia OJSC during the analyzed period increased by 7033.16 million rubles. and amounted to 14872.2.9 million rubles. This change occurred mainly due to an increase in issued loans legal entities.
During the analyzed period, the following changes occurred in the structure of the loan portfolio of Sberbank of Russia OJSC. The largest share in the loan portfolio are loans to legal entities and as of 01/01/12 they amounted to 77.32% or 6061.85 million rubles; during the analyzed period their share decreased slightly (by 4.69%) and as of 01/01. 15 is 72.63% or 10802.95 million rubles. This suggests that the bank specializes mainly in issuing loans to legal entities of various forms of ownership and indicates the expansive nature of the bank’s activities in the market for this type of loans.
From Table 3.1 we can conclude that, in the loan portfolio, the shares of loans granted for a period of more than 3 years are maximum and constitute the majority of the bank’s loan portfolio for the analyzed period. The volume of loans granted for a period of more than 3 years increased and as of 01/01/15 amounted to 10,135.83 million rubles, and their share in the total loan portfolio increased by 8.98%.
Increase in share long-term loans in the structure of the loan portfolio is a positive trend and 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 of various sectors of the economy, the main development problem of which is the lack of long-term investment resources. It should be noted that at present, changes are taking place in the structure of the loan portfolio of domestic commercial banks towards an increase in the share of long-term loan placements, which include funds placed for a period of 3 years and above. The growth in the dynamics of this type of credit placement allows us to evaluate the bank as meeting the needs of the market, which increases its reputation among clients, and, therefore, adds competitive advantages. The analyzed bank is increasing the volume of long-term loans, both in absolute and relative terms.
Long-term credit placements are the main income-generating resources for the bank, because The interest rate on such loans is higher. In this regard, an increase in their share indicates an increase in the level of profitability of banking operations, and, as a consequence, an increase in bank profits. This 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.
Table 3. 2 - Structure of the loan portfolio of individuals
| Indicators | ||||||
| Amount, billion rubles | Ud. weight, % | Amount, billion rubles | Ud. weight, % | Amount, billion rubles | Ud. weight, % | |
| For consumer purposes, incl. credit cards | 1426,40 | 56,41 | 1843,45 | 55,31 | 2088,93 | 51,33 |
| Mortgage loans | 1000,20 | 39,56 | 1384,27 | 41,53 | 1918,24 | 47,13 |
| Car loans | 100,01 | 3,95 | 103,42 | 3,10 | 60,74 | 1,49 |
| Others | 1,67 | 0,06 | 1,71 | 0,05 | 1,43 | 0,35 |
| Total loans individuals, before deduction of provisions for possible losses | 2528,28 | 3332,85 | 4069,34 |
Housing lending remained a priority product for Sberbank. Portfolio growth was 38.6% in 2014, market share increased to 53%. At the same time, the quality of the portfolio remained consistently high. The high growth rate was facilitated by the expansion of the product line and a new, more improved process for working with realtors and developers with the possibility of filing mortgage applications remotely through the “Partner Online” web-system throughout Russia, and a new simplified application process for clients. By product " Housing loan for two documents”, clients only need to provide two documents – a Russian passport and a second document. Sberbank was awarded the “Market Leader” award mortgage lending» rating agency “Expert RA” within the framework of the V Annual Conference “Mortgage in Russia”.
In 2014, Sberbank prioritized maintaining the quality of its loan portfolio, focusing on attracting only high-quality borrowers. Over the year, the portfolio of consumer loans and credit cards grew by 13.3%. In 2014, Sberbank launched a number of new products, including programs that receive subsidies from the state, such as “Consumer loan for military personnel - participants of the NIS” (Savings and Mortgage System) and “Educational loan with state support" Sberbank continued to develop a loan refinancing program for clients with a good credit history.
Credit cards remain one of the important elements of the bank’s product line, successfully used for cross-selling to existing bank clients. This allows us to maintain the quality level of the loan portfolio at an acceptable level. In total, as of January 1, 2015, Sberbank issued 14.6 million credit cards. Sberbank's share in outstanding balances on credit cards and overdrafts increased from 23.5% to 29.9%, according to Frank Research. The bank has strengthened its position as the leader of this market in Russia. In 2014, the volume of outstanding credit card debt increased by 52.4% and exceeded RUB 410 billion.
In 2014, the transfer of the partner auto lending channel to subsidiary bank Setelem, started in 2013. The joint share of the car loan portfolio of Sberbank and Cetelem Bank increased in 2014 by 1.0 percentage points. up to 15.8%, which allowed Sberbank Group to take 1st place in issuing car loans in Russian market. Cetelem Bank has cooperation agreements with 23 automobile brands. Despite the decline in the car sales and car lending market in 2014, Cetelem Bank’s car loan portfolio increased by 44 billion rubles. up to 81 billion rubles
The volume of funds raised from individuals, including time deposits, demand accounts and bank cards, as well as funds in precious metals in 2014 increased by 382 billion rubles. and by January 1, 2015 exceeded 8.1 trillion rubles. Part of the growth is provided by deposits opened in remote channels. The growth of balances was largely influenced by the positive revaluation of the foreign currency component of deposits as a result of the weakening of the ruble.
Table 3. 3 - Structure of funds of individuals
In 2014, Sberbank was ahead of the market in increasing currency funds individuals and thereby increased its share in the foreign currency deposit market.
Table 3.4 - Sberbank’s share in the Russian market of retail deposits
Increasing the share of non-interest income is one of Sberbank’s strategic goals. The main factor in the growth of non-interest income in retail business is transactions with bank cards, acquiring, payments and transfers.
The growth in the issuance of bank cards significantly accelerated the growth in the volume of transactions on card accounts. In 2014, the turnover of card transactions increased by more than a third. In terms of the number of cards issued, Sberbank took first place in Europe.
Table 3.5 - Number of valid cards issued by Sberbank
The table shows that for the period 2012-2014. the number of cards increased by 24.28 million, which is 31.28%
The number of debit cards increased by 17.3 million. and in 2014 amounted to 87.3 million units, and credit ones by 7.28 million units. (which is almost 50%) and amounted to 14.60 million units.
In 2014, there was a steady increase in payments from individuals to legal entities for all main types of payments. The average number of payments increased by 27% and amounted to 10 million per day. Sberbank has become a leader in accepting payments for housing and communal services, where the Bank occupies 35% of the market, and for cellular communications - 39% of the market. This result was achieved thanks to the active development of non-cash payments through the Mobile Bank and Sberbank Online services. The share of non-cash transactions in the total volume of card turnover is growing steadily and has already reached 45%. In total, 19.6 million people have subscribed to the Autopayment service. The number of subscribers to the “Autopayment – Cellular Communications” service has reached 12.9 million people. The “Autopayment for housing and communal services” service is used by 6.7 million people in more than 100 cities of Russia. In 2014, the volume of transfers increased significantly. The increase was 60%, the total amount of transfers for the year was 4.3 trillion rubles. The growth was achieved mainly due to card transfers. The growth in the volume of non-cash payments and transfers was facilitated by the development of services of the Sberbank subsidiary Yandex.Money. In 2014, as part of the integration program with Yandex.Money, Sberbank continued to improve its payment solutions, expand its range of joint services and expand its customer base coverage. Sberbank has become the main channel for replenishing Yandex.Money electronic wallets with a replenishment volume of more than 1 billion rubles. monthly. The distribution of digital goods from Yandex.Money partners to Sberbank Online and the replication of the “Pay through Sberbank” solution in Yandex.Money products are actively developing.
Related information.
2.1. General analysis of the financial activities of PJSC Sberbank of Russia
In 2015, the bank faced difficult macroeconomic conditions, however, it managed to achieve double-digit return on equity thanks to the recovery of net interest income, good dynamics of fee income and strict cost control. Efforts were aimed at improving operational efficiency and reducing time to market.
Net profit amounted to 222.9 billion rubles. or 10.36 rub. on ordinary share.
Return on equity reached 10.2%.
Capital adequacy strengthened throughout the year, with the core capital adequacy ratio rising 30 basis points to 8.9%, while the total capital adequacy ratio reached 12.6%, an increase of 50 basis points.
Customer funds grew by 27.2% in 2015 compared to 2014 and amounted to 19.8 trillion. rubles, while funds from retail clients increased by 29.1%, and from corporate clients by 24.4%, reducing dependence on government funding.
The total loan portfolio before allowance for impairment increased by 7.0% in 2015, led by mortgage lending and commercial loans to legal entities, which increased by 12.5% and 14.9%, respectively. Sberbank's share in the Russian mortgage lending market reached 55.6%.
The ratio of the loan portfolio to customer funds amounted to 91.9% against the backdrop of an improved liquidity situation.
Let's look at the bank's main financial indicators for 2015 on a quarterly basis [Table. 2.1].
| 4 sq. 2015 | 3 sq. 2015 | 4 sq. 2014 | 4 sq. 15/Q3 15 | 4 sq. 15/4 sq. 14 | 12M 2015 | 12M 2014 | 12M15/ 12M14 | ||
| Net interest income | 297,2 | 263,4 | 274,6 | 12,8% | 8,2% | 988,0 | 1 019,7 | (3,1%) | |
| Net commission income | 95,6 | 81,9 | 80,2 | 16,7% | 19,2% | 319,0 | 259,2 | 23,1% | |
| Other income | 25,8 | 22,2 | (-3,8) | 16,2% | -- | 122,8 | 21,8 | 463,3% | |
| Total income | 418,6 | 367,5 | 351,0 | 13,9% | 19,3% | 1 429,8 | 1 300,7 | 9,9% | |
| Net expense from provision for impairment of debt financial assets | (112,7) | (130,1) | (106,0) | (13,4%) | 6,3% | (475,2) | (361,4) | 31,5% | |
| Operating expenses | (191,7) | (145,4) | (177,0) | 31,8% | 8,3% | (623,4) | (565,1) | 10,3% | |
| Net profit | 72,6 | 65,1 | 49,0 | 11,5% | 48,2% | 222,9 | 290,3 | (23,2%) | |
| Earnings per ordinary share, rub. | 3,40 | 3,04 | 2,32 | 11,8% | 46,6% | 10,36 | 13,45 | (23,0%) | |
| Total income during the period | 133,7 | 80,0 | 6,5 | 67,1% | 20.6 times | 365,8 | 214,6 | 70,5% | |
| Book value per ordinary share, rub. | 110,0 | 103,9 | 93,6 | 5,9% | 17,5% | 110,0 | 93,6 | 17,5% | |
| Return on equity | 12,6% | 11,8% | 9,7% | 0.8 p.p. | 2.9 p.p. | 10,2% | 14,8% | (4.6 p.p.) | |
| Return on assets | 1,1% | 1,1% | 0,9% | -- | 0.2 p.p. | 0,9% | 1,4% | (0.5 p.p.) | |
| Net interest margin | 4,9% | 4,7% | 5,4% | 0.2 p.p. | (0.5 p.p.) | 4,4% | 5,6% | (1.2 p.p.) | |
| Cost of risk | 2,3% | 2,8% | 2,4% | (0.5 p.p.) | (0.1 p.p.) | 2,5% | 2,3% | 0.2 p.p. | |
| Cost-to-income ratio | 45,8% | 39,6% | 50,4% | 6.2 p.p. | (4.6 p.p.) | 43,6% | 43,4% | 0.2 p.p. |
Table 2.1 Overview of key financial indicators
Net interest income for 2015 amounted to 297.2 billion rubles, adding 8.2% compared to the same period last year:
The dynamics of interest income (an increase of 14.9% to RUB 598.9 billion compared to 2014) was due to a moderate recovery in demand in the corporate segment and the growth of mortgage lending.
Interest expenses, including expenses for deposit insurance, increased by 22.3% in 2015 compared to the same period last year, amounting to RUB 301.7 billion. The cost of liabilities decreased by 50 basis points to 5.3% in 2015 compared to the previous quarter of 2015 due to a decrease in the cost of corporate and retail deposits by 50 basis points to 5.0% and by 40 basis points to 6.7%, respectively. Sberbank continued to reduce the volume of raising funds from the Bank of Russia, not taking into account subordinated debt from the Bank of Russia, reducing the amount of borrowings by 73.4% in 2015 to 269.8 billion rubles. The improved liquidity situation allows the Bank to be more flexible in managing funding costs.
Net commission income amounted to RUB 95.6 billion, an increase of 19.2% compared to 2014. Share of income from settlement and cash services clients (87.0 billion rubles) in commission income amounted to 75.7%. Revenue from bank card transactions grew by 48.6% in the 4th quarter of 2015 compared to the 4th quarter a year earlier.
Net expenses to create a reserve for impairment of the loan portfolio amounted to 112.3 billion rubles. compared to 103.4 billion rubles. for the same period in 2014, which corresponds to a cost of credit risk of 230 basis points versus 240 basis points a year earlier.
The Group's operating expenses for the year amounted to RUB 191.7 billion, an increase of 8.3% compared to the same period in 2014, while the average inflation rate for the same period was 14.5%.
| In billion rubles, unless otherwise indicated | 31/12/15 | 30/09/15 | 31/12/14 | 12M-9M 2015 | 12M15-12M14 | |||||
| Total loans, net | 18 727,8 | 17 948,7 | 17 756,6 | 4,3% | 5,5% | |||||
| Total loans (before allowance for impairment) | 19 924,3 | 19 092,9 | 18 626,1 | 4,4% | 7,0% | |||||
| Loans to legal entities (before allowance for impairment) | 14 958,7 | 14 204,7 | 13 778,8 | 5,3% | 8,6% | |||||
| Loans to individuals (before allowance for impairment) | 4 965,5 | 4 888,2 | 4 847,3 | 1,6% | 2,4% | |||||
| Restructured debt before provisions | 3 423,8 | 3 296,7 | 2 452,5 | 3,9% | 39,6% | |||||
| Securities portfolio | 2 906,0 | 2 329,1 | 2 231,9 | 24,8% | 30,2% | |||||
| Total assets | 27 334,7 | 25 934,4 | 25 200,8 | 5,4% | 8,5% | |||||
| Client funds | 19 798,3 | 18 286,5 | 15 562,9 | 8,3% | 27,2% | |||||
| Funds of individuals | 12 043,7 | 10 893,1 | 9 328,4 | 10,6% | 29,1% | |||||
| Corporate client funds | 7 754,6 | 7 393,4 | 6 234,5 | 4,9% | 24,4% | |||||
| Basic financial ratios | ||||||||||
| Ratio of loan portfolio to customer funds | 91,9% | 95,3% | 110,8% | (3.4 p.p.) | (18.9 p.p.) | |||||
| Share of non-performing loans in the loan portfolio | 5,0% | 5,4% | 3,2% | (0.4 p.p.) | 1.8 p.p. | |||||
| Provision for impairment of loan portfolio non-performing loans | 1.2X | 1.1X | 1.4X | |||||||
| Share of restructured loans in the total loan portfolio | 17,2% | 17,3% | 13,2% | (0.1 p.p.) | 4.0 p.p. | |||||
Table 2.2 Key indicators of the statement of financial position
The loan portfolio net of reserves increased by 4.3% to 18,727.8 billion rubles in the 4th quarter of 2015 compared to the 3rd quarter of 2015. The main factor in the growth of the corporate portfolio was the revaluation of the foreign exchange portfolio. High-quality demand for mortgage loans contributed to the growth of the loan portfolio of individuals.
Customer funds showed strong growth in Q4 compared to the previous quarter in both the retail (10.6% increase) and corporate (4.9% increase) segments. Funds in customer current accounts increased by 7.5% over the same period.
The share of non-performing loans in the loan portfolio in the 4th quarter decreased to 5.0% from 5.4% in the previous quarter of 2015, mainly due to the corporate segment. The reserves created on the balance sheet exceeded the volume of non-performing loans by 1.2 times in the 4th quarter of 2015 compared to 1.1 times in the previous quarter.
The portfolio of restructured loans remained stable at about 17% of the total portfolio in the 4th quarter of 2015 compared to the 3rd quarter of 2015 and amounted to 3.4 trillion. rub. The quarterly dynamics of the quality of restructured loans is due to the macroeconomic situation, which was reflected in a slight increase in the share of non-performing loans in the restructured portfolio from 10.3% to 11.0%.
| According to Basel I Billion. rub | 31/12/15 | 30/09/15 | 31/12/14 | 12M-9M 2015 | 12M15-12M14 |
| Tier 1 capital | 2 226,7 | 2 150,8 | 2 007,8 | 3,5% | 10,9% |
| Total capital | 3 151,2 | 3 046,7 | 2 835,3 | 3,4% | 11,1% |
| Risk-weighted assets | 24 995,5 | 23 618,8 | 23 365,0 | 5,8% | 7,0% |
| Own funds | 2 375,0 | 2 242,7 | 2 020,1 | 5,9% | 17,6% |
| Fixed capital adequacy ratio | 8,9% | 9,1% | 8,6% | (0.2 p.p.) | 0.3 p.p. |
| Total capital adequacy ratio | 12,6% | 12,9% | 12,1% | (0.3 p.p.) | 0.5 p.p. |
Table 2.3 Key indicators of the change report
as part of own funds
The Group's total capital increased by 3.4% in the 4th quarter of 2015 compared to the previous quarter and amounted to 3.2 trillion. rub. mainly due to fourth quarter earnings as well as other comprehensive income.
The Group's risk-weighted assets increased by 5.8% in the 4th quarter of 2015 compared to the previous quarter and amounted to 25.0 trillion. rub. mainly due to changes in exchange rates. Thus, the total capital adequacy ratio (Basel I) decreased by 30 basis points in the 4th quarter of 2015 compared to the previous quarter, amounting to 12.6%. The capital adequacy ratio decreased by 20 basis points in the 4th quarter of 2015 compared to the 3rd quarter of 2015, amounting to 8.9%.
2.2. Analysis of the loan portfolio of PJSC Sberbank of Russia
User fee credit funds– the main income line in the structure of cash receipts from operating activities.
Table 2.4 Loans and advances to customers
Commercial lending to legal entities is represented by loans to legal entities, individual entrepreneurs, federal subjects Russian Federation and municipal authorities. Lending is carried out for current purposes (replenishment working capital, acquisition of movable and real estate, portfolio investments in securities, business expansion and consolidation, etc.). Most commercial loans are provided for terms of up to 5 years, depending on the risk assessment of the borrowers. Commercial lending also includes overdraft lending and lending for export-import transactions. The source of loan repayment is the cash flow generated by the current production and financial activities borrower.
Specialized lending to legal entities represents the financing of investment and construction projects, as well as lending to enterprises engaged in development activities. The terms for which the bank provides loans of this class, as a rule, are associated with the payback period of investment and construction projects, with the terms of contract work and exceed the terms for providing commercial loans to legal entities.
Loan repayment and income generation can occur during the operation phase investment project due to the cash flows it generates. Consumer and other loans to individuals are represented by loans issued to individuals for consumer purposes and current needs not related to the acquisition, construction and reconstruction of real estate, as well as car loans, credit cards and overdrafts.
Housing lending to individuals is lending to individuals for the purchase, construction and reconstruction of real estate. These loans are long-term in nature and are secured by collateral in the form of real estate.
Credit cards and overdrafts are renewable credit lines. These loans are a convenient source of additional funds for the client, available at any time if necessary. Credit cards are provided for a period of up to 3 years.
Interest rates for such loans is higher than for consumer loans, since they involve a greater risk for Sberbank OJSC. Car loans to individuals are represented by loans issued to individuals for the purchase of a car or other vehicle. Car loans are provided for a period of up to 5 years.
The table below provides an analysis of loans and impairment provisions as at 31 December 2015:
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Chapter 1. Theoretical aspects of analysis of the loan portfolio of a commercial bank
Chapter 2. Analysis of the loan portfolio of a commercial bank using the example of Sberbank of Russia
2.1 Characteristics of the lending activities of Sberbank of Russia
2.2 Analysis of the loan portfolio of Sberbank of Russia OJSC
Chapter 3. Measures to improve the quality of loan portfolios of commercial banks in Russia
3.1 Problems of diversification of loan portfolios of commercial banks in Russia
3.2 Problems of managing the quality of the loan portfolio in the banking sector of the Russian economy and ways to solve them
CONCLUSION
BIBLIOGRAPHY
Chapter 1. Theoretical aspects of analysis of the loan portfolio of a commercial bank
1.1 The essence and concept of a commercial bank’s loan portfolio
IN modern world credit is an active and very important effective “participant” in national economic processes. Neither states, enterprises, organizations and the population, nor the production and circulation of a social product can do without it. With the help of a loan, resources and capital are transferred, and new value is created.
Credit activity is one of the most important features constituting the very concept of a bank. Organization level credit process- perhaps the best indicator of the bank’s overall work and the quality of its management.
Before starting to issue loans, the bank must formulate its credit policy (along with and in accordance with its policies in relation to all other areas of activity - deposit, interest, tariff, technical, personnel, in relation to clients, competitors, etc.) , as well as provide ways and means of translating it into real practice.
The formulation of a bank's policy(ies) is one of the stages of planning its activities. To define and approve your credit policy means to formulate and consolidate in the necessary internal documents the position of the bank’s management.
For the bank to make informed decisions on the specified range of issues, a clear and balanced statement of the general goals of the bank’s activities for the coming period (i.e., good planning in general), an adequate analysis of the credit market (i.e., good work of the marketing service), clarity of prospects for the development of the bank’s resource base, a correct assessment of the quality of the loan portfolio, taking into account the dynamics of the level of personnel qualifications and other factors.
All provisions of the credit policy are aimed at achieving the highest possible quality of the bank’s lending activities.
The quality of a bank’s lending activities (the quality of the bank’s organization of its lending activities) can be judged by a number of criteria (signs), including:
· profitability credit operations(in dynamics);
· the presence of a clearly formulated credit policy for each specific period, adequate to the capabilities of the bank itself and the interests of its clients, as well as clearly defined mechanisms (including organizational, information and analytical support) and procedures for the implementation of such a policy (regulations for all stages of a credit operation);
· compliance with legislation and regulations of the Bank of Russia related to the credit process;
· condition of the loan portfolio;
· presence of a working credit risk management mechanism.
Loan portfolio- a set of bank claims for loans, which are classified according to criteria associated with various factors of credit risk or methods of protection against it.
The regulatory documents of the Bank of Russia regulating certain aspects of loan portfolio management define its structure, from which it follows that it includes not only the loan segment, but also various other requirements of the bank of a credit nature: placed deposits, interbank loans, requirements for receipt (repayment) ) debt securities, shares and bills, discounted bills, factoring, claims on rights acquired under a transaction, on mortgages purchased on the secondary market, on transactions for the sale (purchase) of assets with deferred payment (delivery), on paid letters of credit, on financial lease transactions (leasing), upon return Money, if the purchased securities and others financial assets are unquoted or not traded on an organized market.
This expanded content of the totality of elements that form the loan portfolio is explained by the fact that such categories as deposit, interbank loan, factoring, guarantees, leasing, security have similar essential characteristics associated with the return movement of value and the absence of a change of owner. The differences lie in the content of the object of relationship and the form of movement of value.
Analysis of the bank's loan portfolio is carried out regularly and forms the basis of its management, which aims to reduce the total credit risk through diversification of loan investments and identifying the riskiest segments of the credit market. The main stages of the analysis: selection of criteria for assessing the quality of loans, determination of the method of this assessment (number or point system of assessment, classification of loans by risk groups, determination of the percentage of risk for each group, calculation of the absolute value of risk in the context of each group and in general for the loan portfolio, determination the amount of reserve sources to cover possible loan losses, assessment of the quality of the loan portfolio based on a system of financial ratios, as well as through its segmentation - structural analysis).
When forming a “loan portfolio”, it is necessary to take into account the following risks: credit, liquidity and interest.
Credit risk factors are the main criteria for its classification. Depending on the scope of the factors, internal and external credit risks are distinguished; on the degree of connection of factors with the activities of the bank - credit risk, dependent or independent of the activities of the bank. Credit risks dependent on the bank’s activities, taking into account its scale, are divided into fundamental (related to decision-making by managers involved in managing assets and passive operations); commercial (related to the area of activity of the Central Federal District); individual and aggregate (loan portfolio risk, risk of a set of credit transactions).
Fundamental credit risks include risks associated with collateral margin standards, decisions to issue loans to borrowers who do not meet the bank’s standards, as well as those resulting from the bank’s interest rate and currency risk, etc.
Commercial risks are associated with credit policy in relation to small businesses, large and medium-sized clients - legal entities and individuals, with certain areas of the bank’s lending activities.
Individual credit risks include the risk of a credit product, service, operation (transaction), as well as the risk of the borrower or other counterparty.
For liquidity risk, the factor side lies in the possibility of not fulfilling obligations to depositors and creditors due to the lack of necessary sources or fulfilling them at a loss for oneself.
Internal liquidity risk factors usually include: the quality of assets and liabilities, the degree of imbalance of assets and liabilities in terms of terms, amounts and by individual currencies, the level of bank management, and the image of the bank.
The quality of assets is expressed in low liquidity, which does not allow timely provision of cash flow.
The quality of liabilities determines the possibility of unexpected, early outflow of deposits, which increases the volume of claims on the bank every this moment.
The imbalance of assets and liabilities in terms of terms, amounts and by individual currencies does not in all cases pose a threat to liquidity. If the level of this imbalance does not go beyond critical points, and if there is a different direction of deviations in subsequent periods, the liquidity risk is minimal.
Interest rate risk refers to those types of risk that the bank cannot avoid in its activities. Moreover, the responsibility for measuring, analyzing and managing it lies entirely with the management of the credit institution. Supervisory authorities are limited mainly to assessing the effectiveness of the risk management system created in a commercial bank.
Interest rate risk factors can be divided into internal and external. In the Russian economy, unlike developed countries, the level of risk is mainly increased by external factors.
These include:
Instability of market conditions in terms of interest rate risk;
Legal regulation interest rate risk;
Political conditions;
Economic situation in the country;
Competition in the market banking services;
Relationships with partners and clients;
International events.
Internal interest rate risk factors include:
Lack of a clear bank strategy in the field of interest rate risk management;
Miscalculations in the management of banking operations, leading to the creation of risky positions (the emergence of an imbalance in the structure and maturities of assets and liabilities, incorrect forecasts of changes in the yield curve, etc.);
Lack of a developed interest rate risk hedging program;
Disadvantages of planning and forecasting of bank development;
Personnel errors during operations.
The essence of a bank's loan portfolio can be considered at the categorical and applied levels. In the first aspect, the loan portfolio is the relationship between the bank and its counterparties regarding the return movement of value, which takes the form of credit requirements. In the second aspect, the loan portfolio is a collection of bank assets in the form of loans, discounted bills, interbank loans, deposits and other credit-related claims, classified into quality groups based on certain criteria.
1.2 The concept of loan portfolio quality
The most important indicator of the level of organization of the lending process is the quality of the loan portfolio.
To reveal the content of the quality of the loan portfolio, let us turn to the interpretation of the term “quality”.
Quality is:
1. property or accessory, everything that constitutes the essence of a person or thing;
2. a set of essential features, properties, features that distinguish an object or phenomenon from others and give it certainty;
3. this or that property, a sign that determines the dignity of something.
Consequently, the quality of a phenomenon should show its difference from other phenomena and determine its dignity.
The qualitative difference between the loan portfolio and other portfolios of a commercial bank lies in such essential properties of the loan and credit categories as the return movement of value between the participants in the relationship, as well as the monetary nature of the object of the relationship.
A set of types of operations and tools used money market, forming the loan portfolio, has features determined by the nature and purpose of the bank’s activities in financial market. It is known that loan transactions and other credit transactions are characterized by high risk. At the same time, they must meet the goal of the bank’s activities - obtaining maximum profit with an acceptable level of liquidity. This leads to such properties of the loan portfolio as credit risk, profitability and liquidity.
The quality of a loan portfolio can be understood as a property of its structure that has the ability to provide the maximum level of profitability at an acceptable level of credit risk and balance sheet liquidity.
Let's consider the content of individual criteria for assessing the quality of the loan portfolio.
Degree of credit risk. Credit risk associated with a loan portfolio is the risk of losses that arise as a result of default by a lender or counterparty, which is cumulative in nature. The loan portfolio, as already noted, has segments: loans provided to legal entities, individuals, financial institutions; factoring debt; issued guarantees, discounted bills, etc.
Assessing the degree of risk of a loan portfolio has the following features. First, the total risk depends on:
On the degree of credit risk of individual segments of the portfolio, the assessment methods of which have both common features and features associated with the specifics of the segment;
Diversification of the structure of the loan portfolio and its individual segments.
Secondly, to assess the degree of credit risk, a system of indicators must be used, taking into account many aspects that should be taken into account.
Profitability level of the loan portfolio. Since the purpose of the bank’s operation is to obtain maximum profit at an acceptable level of risks, the profitability of the loan portfolio is one of the criteria for assessing its quality. Elements of the loan portfolio can be divided into two groups: income-generating and non-income-producing assets. The last group includes interest-free loans, loans with frozen interest and long overdue interest payments. In foreign practice, in case of long-term overdue debt, interest is waived, since the main thing is to repay the principal debt. IN Russian practice compulsory interest accrual is regulated. The level of profitability of the loan portfolio is determined not only by the level of interest rates on loans provided, but also by the timely payment of interest and the amount of principal.
The profitability of the loan portfolio has a lower and upper limit. The lower limit is determined by the cost of carrying out credit operations (personnel costs, maintaining loan accounts, etc.) plus the interest payable on the resources invested in this portfolio. The upper limit is the level of sufficient margin.
Liquidity level of the loan portfolio. Since the level of liquidity of a bank is determined by the quality of its assets and, above all, the quality of the loan portfolio, it is very important that the loans provided by the bank are repaid within the terms established by the agreements or the bank has the opportunity to sell loans or part of them, due to their quality and profitability. The higher the share of loans classified into the best groups, the higher the bank's liquidity.
The following arguments can be given in favor of using the proposed criteria for assessing the quality of the loan portfolio (degree of credit risk, level of profitability and liquidity). The low risk of elements of a loan portfolio does not mean its high quality: loans of the first quality category, which are provided to first-class borrowers at low interest rates, cannot generate high income. The high liquidity inherent in short-term credit assets also brings low interest income.
Thus, credit risk cannot be the only criterion for the quality of a loan portfolio, since the concept of loan portfolio quality is much broader and is associated with risks of liquidity and loss of profitability. However, the significance of these criteria will vary depending on the conditions, place of operation of the bank, and its strategy.
1.3 Loan portfolio quality management
In managing a loan portfolio, changing the system for managing the maturities of assets and liabilities and, consequently, the difference in interest rates and, ultimately, profitability is of great importance. Each resource source has its own unique characteristics, variability, and reserve requirements. The approach to their management is the conversion method financial resources, which considers each source of funds individually.
Loan portfolio management has several stages:
1. determination of the main classification groups of loans and the risk coefficients assigned to them;
2. assignment of each issued loan to one of the specified groups;
3. clarification of the portfolio structure (shares of various groups in their total amount);
4. assessment of the quality of the portfolio as a whole;
5. identification and analysis of factors that change the structure (quality) of the portfolio;
6. determining the amount of reserves that must be created for each loan issued (except for loans for which a single reserve can be created);
7. determination of the total amount of reserves adequate to the total risk of the portfolio;
8. development of measures aimed at improving the quality of the portfolio.
The key point in managing a bank's loan portfolio is the choice of criterion(s) for assessing the quality of each loan and their entire aggregate.
The formation of the reserve is determined by credit risks in the activities of banks. The bank creates a reserve for possible impairment of the loan (credit), i.e. against the possible loss of value of the loan (in whole or in part) due to the realized credit risk associated with this loan. The amount of such impairment is determined as the difference between the balance sheet value of the loan (the outstanding balance of the loan reflected in the bank's accounts at the time of its assessment) and its so-called fair value at the time of assessment (the current market valuation of the loan). In this case, the fair value of the loan must be assessed on an ongoing basis, starting from the moment the loan is issued.
When forming a reserve, the bank, based on the category of the loan, determines the size of the so-called settlement reserve, i.e. reserve reflecting the amount of its possible financial losses on the loan, which will be recognized as such subject to compliance with the procedure for assessing credit risk factors provided for in the Regulations, but without taking into account the availability and quality of loan collateral.
In order to determine the size of the estimated reserve in connection with the expected effect of credit risk factors, loans (except for loans grouped into homogeneous portfolios) are classified into one of 5 quality categories:
Sources for obtaining information about the risks associated with the borrower are: central bank considers the borrower's title documents, his accounting, tax, statistical and other reporting, additional information provided by him, as well as the media and other sources that the bank determines independently. That is, the bank is legally required to obtain from a variety of sources information necessary and sufficient to form a professional judgment about the size of the estimated reserve. At the same time, he is also obliged to record all such information about each borrower in a special dossier, and this dossier must be available to management bodies, internal control services of the bank, auditors and supervisory authorities.
The bank forms (regulates) the reserve at the time it receives information about the emergence (change) of credit risk and/or the quality of loan collateral. If the financial situation of the borrower changes, the quality of loan servicing changes, as well as if there is other information about the borrower’s risks, the bank is obliged to reclassify the loan and, if there are grounds, clarify the amount of the reserve.
The Central Bank document states that the borrower’s financial position is assessed:
How good if a comprehensive analysis of the borrower’s production, financial and economic activities and all other information about it indicate stability of production, positive net assets, profitability and solvency and there are no phenomena (trends) that could negatively affect financial stability borrower in the future (a significant decrease in the growth rate of production volumes, profitability indicators, a significant increase in accounts payable and/or accounts receivable and etc.);
As average (not better), if an analysis of the borrower’s activities and/or other information about him indicates that there are no direct threats to his current financial position, but there are negative phenomena (trends) that in the foreseeable future (a year or less) can lead to financial difficulties if the borrower does not take measures to improve the situation;
It is bad if the borrower is declared bankrupt or if he is persistently insolvent, as well as if an analysis of the borrower’s activities and/or other information about him indicates threatening negative phenomena (trends), the likely result of which may be his bankruptcy or persistent insolvency of the borrower (losses, a negative value or a significant reduction in net assets, a significant drop in production volumes, a significant increase in accounts payable and/or receivables, etc.).
Regulation No. 254 states that, depending on the quality of debt service by the borrower, loans should be classified into one of three categories: well serviced; serviced average; poorly maintained.
Debt servicing on a loan can be considered good if:
Payments of principal and interest are made on time and in full;
There is only a single case of late payments of principal and/or interest within the last 180 calendar days, including:
For loans provided to legal entities - up to 5 calendar days;
For loans granted to individuals - up to 30 calendar days.
Debt servicing must be considered unsatisfactory if:
There are overdue payments on principal and/or interest within the last 180 calendar days:
For loans granted to legal entities - over 30 days;
Provided to individuals - over 60 days;
The loan has been restructured and there are overdue payments on principal and/or interest, and the financial position of the borrower is assessed as poor;
The loan was provided to the borrower directly or indirectly (through third parties) for the purpose of repaying a debt under a previously received loan, or the bank directly or indirectly assumed the risk of loss in connection with the provision of money to a borrower whose financial position cannot be assessed as above average, provided that the previously issued loan was classified based on the quality of debt servicing as a loan with average servicing, or if there were overdue payments on the new loan.
Formulated professional judgments about the financial situation of the borrower and the quality of their debt service make it possible, by combining these two criteria, to determine the quality category of each specific loan as presented in Table 1.
The procedures for assessing credit risk and determining the amount of reserves for loans grouped into a homogeneous portfolio have their own characteristics. Such loans, at the discretion of the bank, may include, in particular, loans to individuals, individual entrepreneurs, enterprises and small business organizations.
In reality, the reserve is formed (except for loans of the first quality category) taking into account the availability and category of loan collateral. If there is provision of quality category I or II minimum size reserve is determined by the formula:
P = PP * (1 - (ki * Оbi /Ср)), (1)
where P is the minimum reserve size. The reserve actually formed by the bank cannot be less than this value;
РР - size of the estimated reserve;
ki is the coefficient (index) of the security quality category. To ensure quality category I, ki is taken equal to 1, to ensure quality category II, ki is taken equal to 0.5; Oi - the cost of collateral of the corresponding quality category (minus additional bank expenses associated with the sale of collateral);
Wed is the amount of the principal debt on the loan.
If ki * Оbi ≥ Ср, then Р is taken equal to 0.
Let's consider methods of analysis and evaluation of the loan portfolio.
When analyzing the bank’s loan portfolio in the approach we propose, we will focus on assessing 3 positions:
The first is to diversify the bank’s loan portfolio;
The second is the quality of the bank’s loan portfolio;
The third is the profitability of the bank’s loan portfolio.
The main sources of information for analyzing bank credit operations can be:
1. form No. 101 “Turnover statement of accounts of a credit organization” and transcripts for synthetic accounts;
2. Form No. 102 “Profit and Loss Statement”;
3. f. No. 806 " Balance sheet(published form)";
4. Form No. 115 “Information on the quality of loans, loans and equivalent to debt”;
5. Form No. 118 “Data about large loans»;
6. Form No. 128 “Data on weighted average interest rates on loans provided by a credit institution”;
7. Form No. 302 “Information on loans and debt on loans issued to borrowers in various regions”;
8. Form No. 325 “Interest rates on interbank loans”;
9. Form No. 501 “Information on interbank loans and deposits.”
It should be noted that it is quite difficult for external users to determine the specifics of the bank’s lending activities. The composition of reporting forms for remote analysis is quite meager; with such an analysis, the analyst will have to limit himself to form No. 101, form No. 102, form No. 806.
Candidate of Economic Sciences, analyst of OJSC CIB "EUROALLIANCE" - O. V. Kotina offers the following methods for analyzing the loan portfolio. The analysis can be carried out in the following stages:
First, we determine the total amount of credit investments, find its share in the bank’s balance sheet assets, and evaluate the dynamics for the analyzed period.
Secondly, we will group the items of the loan portfolio and analyze the structure and dynamics of the structure of the loan portfolio in the context of the main elements of its formation.
To assess the structure of issued loans, it is possible to use various groupings of loans. When analyzing a loan portfolio, the following groupings can be used:
· by main types of loan debt;
by type credit products;
· for main portfolios formed according to the “homogeneity/heterogeneity” principle;
· by subjects of lending or categories of borrowers (differing in form of ownership and field of activity);
· according to the repayment terms of issued loans;
· by currencies of loans issued;
It is also important to evaluate not only the structure, but the quality of the loan portfolio.
The loan portfolio quality assessment system includes:
· selection of evaluation criteria;
· a method for assessing the quality of elements and segments of the loan portfolio;
· determination of methods for classifying portfolio elements into quality (risk) groups;
· assessment of the quality of the loan portfolio as a whole based on a system of financial ratios;
· assessment of the quality of the loan portfolio based on its segmentation.
The system of quality assessment coefficients proposed by Doctor of Economic Sciences, Professor O.I. Lavrushin, is shown in Table 2.
table 2
Coefficients for assessing the quality of the loan portfolio
| Evaluation criterion | Financial ratios |
| 1 | 2 |
| Credit risk level | Quantitative assessment of the degree of credit risk. Amount of debt balance for the i-th cereal x Weight of the i-th group: |
Degree of bank protection from risk |
|
| Profitability of the loan portfolio | |
| Liquidity of the loan portfolio | 7) Instruction of the Central Bank of Russia No. 110-I dated January 16, 2004 “On mandatory standards for banks” 8) Regulations of the Central Bank of Russia No. 54-P dated August 31, 1998 “On the procedure for provision (placement) credit organizations funds and their return (repayment)"; 9) Regulations of the Central Bank of Russia No. 39-P dated July 26, 1998 “On the procedure for calculating interest on transactions related to the attraction and placement of funds by banks and reflecting these transactions in bank accounts”; 10) Regulations of the Central Bank of Russia No. 89-P dated September 24, 1999 “On the procedure for calculating the amount of market risks by credit institutions”; 11) Regulations of the Central Bank of Russia No. 254-P dated March 26, 2004 “On the procedure for the formation by credit institutions of reserves for possible losses on loans, on loan and equivalent debt” 12) Regulations for the provision of loans to legal entities by Sberbank of Russia and its branches dated December 8, 1997 N 285-r 13) Beloglazova G.N., Krolivetskaya L.P. Banking. – St. Petersburg: Peter, “Textbook for universities,” 2004. -384 p. 14) Sukhova L.F. Workshop on analyzing the financial condition and assessing the creditworthiness of the borrowing bank. –M.: Finance and Statistics, 2003. -152s. 15) Gurvich V., Credit quality banking assets, Banking, 2004, No. 1, p. 43 16) Sabirov M., Characteristics of a diversified loan portfolio of a commercial bank, Auditor, 2006, No. 10, P. 47 17) The best banks in the personal lending market in 2007, |