Analysis of liquidity risk otp bank. Conducting an analysis of the liquidity of OJSC OTP Bank based on published reports

2. Analysis of the activities of OJSC "OTP Bank"

2.1 Express diagnostics of the activities of OJSC OTP Bank

OJSC "OTP Bank" provides the following services:

Operations on stock market;

Operations on FOREX market;

Credit cards;

Plastic cards;

Tariffs for individuals;

Individual safes;

Consumer loans;

Bank transfers and payments;

Private wealth management;

Collection operations;

Brokerage services;

Targeted loans;

Car loans;

Currency exchange.

Calculation of indicators financial stability will be carried out based on the data balance sheet for 2007-2009 and income statement data for 2007-2009.

Table 4 – Analysis of the dynamics of financial stability indicators of OJSC OTP Bank for 2007-2009.

Indicators	Normative value	2007	2008	2009	Deviation 2009 (+;-)
Indicators	Normative value	2007	2008	2009	2007	2008
1. Financial stability ratio	0,08-0,15	0,08	0,06	0,07	-0,01	0,01
2. Surplus (shortage) of sources own funds	1,0	2,36	2,35	2,29	-0,07	-0,06
3. Immobilized assets, thousand rubles.	-	1496841	2340565	4162342	2665501	1821777
4. Independence (autonomy) coefficient	1,0	1,57	2,46	2,74	1,17	0,28
5. Risk of unbalanced sustainability	-	10,94	14,49	9,51	-1,43	-4,98
6. Coverage ratio of working assets	-	0,08	0,09	0,12	0,04	0,03
7. Maximum size attracted cash deposits(deposits) of the population	>100,0%	82,1	68,6	36,7	-45,4	-31,19
8. Standard for using the bank’s own funds (capital) to acquire shares (shares) of other legal entities	>25,0%	5,27	1,67	5,25	-0,02	3,58

According to Table 4, the following changes are observed during the analyzed period:

The financial stability coefficient at the beginning of the year corresponds to the standard value (0.15), which indicates the security of the bank’s risky investments own capital, by the end of the analyzed period the indicator was marked by a slight decrease, but this fact does not pose a particular danger, which indicates a normal level of financial stability;

The coefficient of surplus (shortage) of sources of own funds was marked by a decrease during the analyzed period. Thus, the indicator at the beginning of the analyzed period was equal to 2.36, which indicates security Money diverted from productive turnover with their own working capital. The indicator at the end of the analyzed period is equal to 2.29, which also indicates the sufficiency of own working capital, although with a slight decrease. That is, the bank’s desire to maintain its financial position;

The independence (autonomy) coefficient was marked by an increase over the analyzed period, thus, there was an increase in financial stability by the end of the analyzed period, and there were no problems with current liquidity Jar;

The coefficient of unbalanced stability decreased over the analyzed period, which indicates shortcomings in the management of active and passive operations on timing, volumes of attraction and placement of resources;

The coverage ratio of working assets was marked by an increase over the analyzed period. The dynamics of the indicators of the analyzed period indicate high level security and safety banking operations in case of unfavorable changes in market conditions and accumulation of banking risks;

The maximum amount of attracted cash deposits decreased during the analyzed period. The indicator at the beginning of the analyzed period (82.1%) and the indicator at the end of the reporting date (36.7%) do not correspond to the standard value (max100.0%), which indicates a decrease in the level of protection of depositors with bank capital;

The standard for using the bank's own funds (capital) to acquire shares (shares) of other legal entities decreased during the analyzed period. The calculated indicators do not correspond to the standard value (max 25.0%). This indicates a decrease in the level of immobilization of bank capital in investments in other legal entities.

As part of a comprehensive system analysis of the financial and economic results of the bank’s activities, a capital adequacy analysis is carried out credit organization, aimed at assessing the adequacy of the size of the bank’s own funds (capital) and their growth at the pace of business development, identifying the degree of protection against risks and searching for reserves for increasing the efficiency of using shareholders’ funds.

Let us calculate the capital adequacy indicators of OJSC OTP Bank (Table 5) based on the balance sheet data for 2007-2009. income statement data for 2007-2009.

Table 5 - Dynamics of capital adequacy indicators of OJSC OTP Bank for 2007-2009.

Indicators	Standard value	2007	2008	2009	Deviation 2009 (+;-)
Indicators	Standard value	2007	2008	2009	2007	2008
A	1	2	3	4	5	6
1. Fixed capital adequacy level	<0,5	0,30	0,37	0,23	-0,07	-0,14
2. Equity coverage ratio	-	0,51	0,95	0,83	0,32	-0,12
3. Capital adequacy ratio for deposits, %	<10,0	9,76	13,14	28,89	19,13	15,75
4. Loan debt coverage ratio	-	12,74	13,29	17,92	5,18	4,63
5. Capital adequacy indicator based on redundancy indicator	-	0,04	0,08	0,21	0,17	0,13
6. Capital protection ratio	-	0,43	0,51	0,66	0,23	0,15
7. Return on assets, %	-	1,17	0,78	2,41	1,24	1,63

According to Table 5, the following changes in the dynamics of capital adequacy indicators are observed: the level of fixed capital adequacy is marked by negative dynamics (growth rate of 76.7%), thus, there was a decrease during the analyzed period. The calculated indicators do not correspond to the standard value (more than 0.5), which indicates that the bank does not have a sufficient level of fixed capital; the equity coverage ratio is marked by an increase, this indicates an increase in the level of stability of the bank due to the provision of core (fixed) capital of gross own funds used as part of productive and immobilized assets, in addition, this indicates an increase in the solvency of the Bank; the capital adequacy ratio for deposits increased during the analyzed period. The indicator at the beginning of the analyzed period does not correspond to the standard value (more than 10.0%), the indicator at the end of the reporting period is higher than the standard value, which indicates an increase in the degree of coverage of client funds by equity capital; The loan debt coverage ratio decreased during the analyzed period. This indicates that the bank’s ability to return borrowed funds in the event of loan default is reduced; the capital adequacy indicator in terms of redundancy tends to increase over the analyzed period, which indicates an increase in the degree of provision of the bank’s activities with its own capital to cover possible losses; By the end of the analyzed period, the capital protection ratio increased to 0.66. The dynamics over the analyzed period indicate an increase in the protection of the bank’s capital from risk and inflation due to investments in real estate and valuables; return on assets was marked by an increase, which indicates an increase in the bank's ability to provide a sufficient amount of profit in relation to the bank's assets.

Thus, the calculations made showed that the degree of coverage of clients' funds by its own capital has increased, the bank has a high degree of provision of the bank's activities with its own capital to cover possible losses.

Analysis of a bank's solvency combines into a single system a set of interrelated and interdependent categories, indicators, approaches aimed at assessing the liquidity of liabilities and assets, the liquidity of the balance sheet and the bank as a whole, and the actual assessment of the bank's solvency.

Let us calculate the solvency and liquidity indicators of OJSC OTP Bank (Table 6) based on the balance sheet data for 2007-2009. and income statement data for 2007-2009.

Table 6 - Analysis of the dynamics of solvency and liquidity indicators of OJSC OTP Bank for 2007-2009.

Indicators	Normative value	2007	2008	2009	Deviation 2009 (+;-)
Indicators	Normative value	2007	2008	2009	2007	2008
A	1	2	3	4	5	6
1. Capacity utilization factor, %	65,0%-70,0%	62,9	67,9	67,1	4,2	-0,8
2. Dependency ratio on large liabilities	-	0,92	0,90	0,88	-0,04	-0,02
3. Term deposit utilization rate	1,0	0,06	0,04	0,06	0,00	0,02
4. Customer base ratio	0,3-0,5	0,55	0,38	0,24	-0,31	-0,14
5. Instant liquidity ratio, %		32,0	26,0	78,0	46,0	52,0
6. Current liquidity ratio, %	<70,0%	83,0	83,0	77,0	0,00	-6,0
7. Long-term liquidity ratio, %	>120,0%	64,99	71,86	73,56	8,57	1,7
8. General liquidity ratio, %	<20,0%	31,49	17,35	19,10	-12,39	1,75
9. General liquidity ratio	-	0,40	0,35	0,37	-0,03	0,02
10. Local coverage coefficient	-	0,06	0,06	0,11	0,05	0,00

According to Table 6, the following changes are observed: the capacity utilization rate is marked by an increase over the analyzed period. This indicates that the bank’s assets are used efficiently, as well as the liquidity of the balance sheet; the coefficient of dependence on large liabilities decreased during the analyzed period. This indicates insufficient provision of the bank's main income-generating assets with large liabilities; the utilization ratio of time deposits (stable) deposits is below the standard value (1.0). This indicates that the bank is not a credit institution with accumulated liquidity; The customer base ratio decreased during the analyzed period. The estimated indicators at the end of the analyzed period are below the standard value, which indicates a decrease in the degree of dependence on borrowed funds, that is, the bank uses the growth potential in the balance sheet currency; the instant liquidity ratio increased during the analyzed period. The calculated indicator at the end of the analyzed period is higher than the standard value, which indicates that the bank is not able to fulfill obligations on demand; The current liquidity ratio decreased during the analyzed period. The calculated indicators do not correspond to the standard value (min 70%), which indicates the Bank’s inability to fulfill obligations on demand and for a period of up to 30 days within 30 days from the analyzed date; The long-term liquidity ratio was marked by positive dynamics for the analyzed period. The calculated indicators correspond to the standard value (max 120.0%), which indicates the balance of the Bank’s assets and liabilities for a period of more than one year; The general liquidity ratio decreased during the analyzed period. The calculated indicator at the end of the analyzed period corresponds to the standard value (min 20.0%), this indicates that the bank is increasing its total provision of liquid funds per unit of borrowed funds, but, nevertheless, there are still not enough liquid funds; the general liquidity ratio decreased during the analyzed period, this indicates a decrease in the provision of client funds with cash and highly liquid assets: the provision of client funds with cash and highly liquid assets at the beginning of the analyzed period amounted to 40.0%, at the end of the reporting period - 37.0% Therefore, the bank needs to increase liquid assets; The local coverage ratio was marked by a significant increase towards the end of the analyzed period (growth rate of 83.3%). This indicates that free (non-immobilized) own funds placed in active operations can cover attracted funds: 2007 - 6.0%, 2008 - 6.0% and at the end of the reporting period 11.0%, therefore , it is necessary to continue working to increase the bank's own capital. The analysis showed that the bank is increasing its total provision of liquid funds per unit of borrowed funds, but, nevertheless, while liquid funds are not sufficient, reducing dependence on borrowed funds, that is, the bank is using the growth potential in the balance sheet currency, the provision of customer funds with cash and highly liquid assets are low; low share of free (non-immobilized) own funds placed in active operations, which can cover raised funds.

Thus, from the analysis of solvency and liquidity, positive dynamics are observed in a number of indicators, which indicates a balanced financial policy of the bank.

We will analyze the accounts receivable and payable of OJSC OTP Bank for 2007-2009. according to the balance sheet (Table 7).

Table 7 - Analysis of the dynamics of receivables and payables of OJSC OTP Bank for 2007-2009.

Indicators	2007	2008	2009	Deviation 2009 (+;-), thousand rubles
Indicators	2007	2008	2009	2007	2008
1. Accounts receivable.	27776803	41298125	53361418	25584615	12063293
2. Accounts payable.	40579846	78487003	386580421	346000575	308093418

According to Table 7, the following changes are observed:

Accounts payable increased by 2009. for 346,000,575 thousand rubles. (from 405,79846 thousand rubles to 386,580,421 thousand rubles compared to 2007 (growth rate - 952.6%), compared to 2008 by 308,093,418 thousand rubles (growth rate - 492.5%) Accounts receivable increased by 2009 by 25584615 thousand rubles from 27776803 thousand rubles to 53361418 thousand rubles in comparison with 2007 (growth rate - 192.1%), in comparison with 2008 by 12063293 thousand rubles (rate growth – 129.2%).

Thus, from the analysis it was revealed that accounts payable exceeds accounts receivable: in 2007 by 12803043 thousand rubles, in 2008 - by 37188878 thousand rubles, in 2009 by 333219003 thousand rubles.

This indicates that most of the debt is formed from funds of credit institutions and funds (deposits) of clients. There is an increase in the value of both accounts receivable and accounts payable.

Income must be maintained to maintain the standard level of return on assets and investments; the current level of loan repayment must be determined based on the criterion of a decrease in the level of profitability. § 2. Regulation of banking activities using the example of OJSC AK BARS Bank The Bank of Russia is the body for banking regulation and supervision of the activities of credit institutions. Regulation...

Date of credit report 02.09.2019
Recommendations are valid for 1 year

1. Full name of the issuer

Joint Stock Company "OTP Bank"

Reg. number: 2766

The table shows the final rating.

Main components:

The bank's own rating in a stable situation is B
Bank rating in a stressful situation (excluding shareholder support) - C.
The expected level of support is high.

Based on the results of the risk assessment, we recommend carrying out operations to place funds in the Bank’s financial instruments within the amounts limited by the insured amount of the DIA Group - 1.4 million rubles.

3. SWOT analysis

Key positive points:

JSC "OTP Bank" is a medium-sized Russian bank (46th place in terms of assets and 32nd place in equity capital as of 08/01/2019).
The bank has a medium-sized network: 6 branches, 81 additional offices, 50 operational offices, 87 credit and cash offices.
Reserve according to capital adequacy standards (N1.0 = 16.398%, N1.1 = 12.783% as of 08/01/2019 with thresholds of 8% and 4.5%, respectively).
Good diversification of the loan portfolio and low share of loans issued to legal entities,
Adequate liquidity position and diversified funding.
The bank is part of the banking group - OTP Group, represented in 8 countries of Europe and Russia. The likelihood of parent structures providing support to the bank if necessary is assessed as high.

Key negative points:

A significant share of individual deposits in attracted customer funds (61.66% of raised funds according to RAS as of 08/01/2019) creates a potential threat to liquidity, due to the possibility of early recovery provided for by law (the threat is partially offset by a significant share of balances less than the insured amount of the Civil Code " DIA").
Poor quality of the retail and corporate loan portfolio - the share of overdue debt under RAS as of 08/01/2019 was 14.46% and 10.26%, respectively.
The concentration of the loan portfolio on unsecured retail loans is 78.0% of the loan portfolio according to IFRS as of June 30, 2019.
In June, the media wrote about the leak of the OTP Bank customer database. Kommersant: “The database, indicated as OTPbank, contains data about 800 thousand people throughout Russia, such as full name, telephone numbers, postal address, approved credit limit, work notes on how the contact with the client went. The relevance of the database is autumn 2013. Several people from this list confirmed that they took out a loan from OTP Bank.”

4. Ownership structure

97.9077% - OJSC Bank OTP (OTP Bank Plc.) location (postal address): Hungary, 1051, Budapest, st. Nador, 16 (shares are in public circulation) - directly and through AllianceReserve LLC.
0.8923% - minority shareholders.

The basis of the OTP Group is OTP Bank, the largest commercial bank in Hungary. OTP Bank is ranked 952nd on the 2018 Forbes Global 2000 list of the world's largest public companies with revenues of US$4 billion, net income of US$1 billion (ranked 788th), assets of US$51.1 billion (ranked 586th) place) and market capitalization of 10.9 billion US dollars (1288th place). The likelihood of support for the Bank from the main shareholders is assessed as high.

Bank statements as of 08/01/2019 (billion rubles, changes for 12 months) according to RAS.

Capital - 33.928 billion rubles. (+2.070 billion rubles) according to form 123.

Assets - 166.120 billion rubles. (+17.685 billion rubles)

4.520 billion rubles. (-1.551 billion rubles.) - cash register and correspondent accounts.

7.559 billion rubles. (-0.339 billion rubles.) - attachmentsVvaluablepaper.

43.391 billion rubles. (+12.991 billion rubles.) - interbank loans.

17.350 billion rubles. loanslegalpersons. (+9.085 billion rubles), including balance sheet overdue debt -1.780 billion rubles (+0.798 billion rubles) or 10.26%.

80.620 billion rubles. loansphysicalpersons. (+9.085 billion rubles), including balance sheet overdue debt - 11.659 billion rubles (+0.440 billion rubles) or 14.46%.

2.830 billion rubles.(+0.367 billion rubles)- property (fixed assets, capital investments, etc.)

Liabilities:

RUB 3.261 billion (-0.411 billion rubles)- funds from credit institutions.

39.910 billion rubles. (+9.389 billion rubles.) - legal means. persons

65.378 billion rubles. (+5.649 billion rub.) - contributions from individuals. persons

24.080 billion rubles. (+2.231 billion rub.) - formed reserves.

Profit/loss (according to RAS):

For 7 months of 2019 - net profit +1.504 billion rubles. For 2018, net profit +1.721 billion rubles. (For 2017, net profit was +2.249 billion rubles).

97.9027% - OJSC Bank OTP (OTP Bank Plc.) location (postal address): Hungary, 1051, Budapest, st. Nador, 16 (shares are in public circulation) - directly and through AllianceReserve LLC.
1.2% -Hungary (through CJSC MFB Magyar Feilesteshi Bank and CJSC for investment and property management "MFB Invest".
0.8973% - minority shareholders.

4.1. Primary ultimate beneficiary

OJSC Bank OTP (OTP Bank Plc.) Hungary, 1051, Budapest (public company).

4.2. Probability of shareholder support in case of crisis

The likelihood of support for the Bank from the main shareholders is assessed as high.

5. Analysis of key financial indicators

Bank reporting as of 10/01/2018 (billion rubles, changes for 9 months) according to RAS (data and interpretations according to IFRS for 2017 and the 1st half of 2018 are also used).

Capital - 32.013 billion rubles. (+2.891 billion rubles)123 eachform.

Assets - 158.376 billion rubles. (+13.780 billion rubles), including:

4.305 billion rubles. (-1.457 billion rubles.) - cash register and correspondent accounts.

38.318 billion rubles.(RUB 15.5578 billion) - interbank loans.

7.243 billion rubles. (-2.821 billion rubles)-attachmentsVvaluablepaper.

73.528 billion rubles. loansphysicalpersons (-914.9 billion rubles), including balance sheet overdue debt - 11.232 billion rubles. (15.28%). As of July 1, 2017, according to IFRS reporting, the share of retail loans with overdue payments of more than 30 days was 16.46%.

17.305 billion rubles. loanslegalindividuals (+3.415 billion rubles), including balance sheet overdue debt - 982.70 billion rubles. (5.68%). As of July 1, 2017, according to IFRS reporting, the share of loans with overdue payments of more than 30 days was 5.56%.

2.444 billion rubles.(-0.075 billion rubles) - property (fixed assets, capital investments, etc.).

Liabilities:

33.206 billion rubles. (+2.394 billion rubles.) - legal means. persons

6.278 billion rubles. (+4.730 billion rubles)- funds from credit institutions.

63.111 billion rubles. (+3.084 billion rubles.) - contributions from individuals. persons

22.396 billion rubles. (+0.193 billion rub.) - formed reserves.

Profit/loss (according to RAS):

Net profit for 9 months of 2018 was 2.406 billion rubles. For 2017, net profit +2.349 billion rubles. (For 2016 - net profit -1.042 billion rubles, for 2015 - loss - -6.518 billion rubles).

Appendix 1. Dynamics of the values of the main mandatory standards (liquidity and capital).

Appendix 1. Dynamics of the values of the main mandatory standards (liquidity and capital)

Dynamics of adequacy and capital standards

Dynamics of liquidity ratios

Appendix 2. Dynamics of the composition of assets, including the structure of the loan portfolio.

Asset composition

Loan portfolio

Appendix 3. Quality of the loan portfolio (RAS and IFRS).

Quality of the loan portfolio RAS (overdue debt and reserves, %).

Quality of the loan portfolio according to IFRS as of July 1, 2018

Appendix 4. Dynamics of the composition of liabilities (including raised funds) and profitability indicators.

Composition of liabilities

Involved funds

Appendix 5. Main indicators according to RAS, thousand rubles.

	ASSETS
	Availability	4 305 284	4 593 950	4 876 410	5 762 355	3 855 531
	Interbank loans (deposits) provided (placed)
	Loans to the Ministry of Finance, constituent entities of the Russian Federation and local governments
	Legal loans individuals and individual entrepreneurs
1.2.1.3.7.	incl. Overdue debt on loans to legal entities and individual entrepreneurs		1 019 875	1 026 093	1 019 707	1 020 788
	Loans to individuals
1.2.1.4.7.	incl. Overdue debt on personal loans	11 232 168	10 893 909	11 488 864	11 321 767	10 796 506

	Requirements for letters of credit
	Investments in financial lease (leasing) operations and acquired rights of claim
	Loan debt	134 285 187	118 561 082	115 091 728	115 517 838	111 267 072
	Financial assets	10 107 149	12 830 217	9 822 661	13 139 145	16 279 005
	Funds in settlements
	Accounts receivable	3 283 999	3 202 537	3 025 673	3 462 906	2 868 811
	Requirements for receiving interest	3 037 113	2 939 637	3 016 640	3 133 162	3 244 703
	Business reputation
	Property	2 445 495	2 519 166	2 663 250	2 520 353	2 466 847
	Other assets	2 346 308	2 262 541	2 279 822	2 597 195	2 602 633
	*Total ASSETS*	*159 844 452*	*146 942 951*	*140 808 699*	*146 205 248*	*142 616 972*
	LIABILITIES
	Sources of own funds	28 083 608	27 404 736	26 237 130	25 890 562	26 079 264
	Provision for possible losses	23 859 276	23 155 355	24 050 799	23 812 510	24 241 768
	Funds from credit institutions
	Legal funds persons
	Funds from budgets, the Ministry of Finance, constituent entities of the Russian Federation and local governments
	Deposits (funds) of individuals and individual entrepreneurs
	Other borrowed funds from legal entities and individuals (including unfinished settlements)
	Debt issued
	Obligations to pay interest
	Involved funds	104 247 822	92 556 667	86 990 918	93 441 365	88 708 381
	Other obligations	1 819 869	2 055 381	2 132 580	1 303 870	1 601 071
	Financial liabilities at fair value through profit or loss	1 833 877	1 770 812	1 397 272	1 756 941	1 986 488
	*Total LIABILITIES*	*159 844 452*	*146 942 951*	*140 808 699*	*146 205 248*	*142 616 972*
	OFF-BALANCE
	Securities
	Property
	Precious metals
	Collateral for placed funds	26 380 833	24 830 676	24 296 082	21 672 312	22 603 553
	Issued guarantees and warranties
	Unused limits for issuing guarantees
	Non-credit contingencies
	Unused credit lines and overdraft
	Contingent liabilities	60 061 725	54 594 412	51 119 738	45 126 062	42 412 706

Subsidiaries and related companies

There are no significant shares.

Appendix 7. Industry structure of the loan portfolio and concentration of customer funds according to IFRS

Industry structure of the Group’s loan portfolio according to IFRS (as of July 1, 2018)

Customer funds (by type) in liabilities according to IFRS (as of 07/01/2018)

Appendix 8.Dynamics of the Bank’s financial results and assets since 2008.

Dynamics of financial results (million rubles)

Dynamics of assets (million rubles) and their growth rates (year/year, %).

Appendix 9. Scheme of relationships between the bank and persons under whose control or significant influence the bank is located

Paul: Good evening! Please tell me your opinion about OTP Bank and Rosgosstrakh Bank

39th place in terms of assets.

55 billion of liabilities are deposits, another 27 billion come from the funds of organizations. They grew almost simultaneously. Deposits by 14%, funds from organizations by 16% per year.

The loan portfolio is clearly dominated by loans to individuals - 122 billion, versus 3 billion loans to organizations.

The overall growth of the loan portfolio (mostly unsecured requirements) amounted to 25%, while overdue payments grew faster - by 54%.

The final percentage of “bad” loans is terrifying - 15% of the loan portfolio is overdue! The bank is ahead of even Home Credit, known for its indiscriminateness in choosing borrowers, in the rating of “bad” loans.

Against the backdrop of a significant increase in "overdue" payments, the bank's position is worsening. This year, profits fell to almost zero, and in statistics for the month of April, the bank showed a record loss of 1.3 billion rubles!

Apparently, the bank is unable to combat the high delinquency rate even by writing off obviously bad loans at a loss.

Amid problems with lending, the bank invested an additional 4 billion in securities and increased the total amount of investments to 17 billion.

Almost entirely owned by the Hungarian OTP Bank, which owns 97.79% of the shares.

There is a lot of negative news about the bank, here are some of them:

09/19/2013, OTP Bank will fight with overdue
09/04/2013, An employee of OTP Bank in Bryansk stole 845.6 thousand rubles
08/30/2013, OTP Bank stops working with M.Video
08/27/2013, OTP Bank wrote off the debt of Fresh Line LLC in the amount of 185 million

And the list can be continued up to 10-15, only due to the news for this year!

The bank is also known for its “terrible” attitude towards customers. In the "people's rating" on "banki.ru" it consistently ranks last.

In my opinion, it's time to give it a "red" rating. I don't think the bank is capable of solving its problems. On the other hand, the parent structure (OTP Bank in Hungary) is also experiencing a lot of problems (like the entire Hungarian economy), so there is no need to expect help from it.

In the event of a collapse, the DIA will have to pay a record 55 billion rubles, I think there will be a serious scandal. I recommend watching him from the side.

METHODS FOR ASSESSING THE FINANCIAL STATUS OF AN ENTERPRISE USING THE EXAMPLE OF OTPBANK JSC

Buryat State University, Ulan-Ude

The article discusses existing methods for assessing the financial condition of an enterprise. The advantages and disadvantages of each method for assessing the financial condition of an enterprise are described. The study identified the main

8 Business education in the knowledge economy

research tools. For the practical application of these methods, a financial analysis of OTP Bank JSC was carried out. According to the methodology of equity indicators, a tendency towards an increase in the bank’s profitability was identified, however, there are negative interventions, which must be considered as risks in the activities of OTP Bank JSC.

Key words: financial analysis, factor analysis, banking

Financial analysis of an enterprise is necessary to explain management decisions in the enterprise management complex. It makes it possible to obtain accurate information about the real economic state of the organization, profitability and efficiency of its work. The economic condition of an organization can be assessed by indicators characterizing

availability, placement and use of financial resources. These characteristics show the results of the economic activity of the organization, help determine its competitiveness, business potential, the degree of guarantees of the economic interests of the enterprise and its partners in financial relations (Fig. 1).

Rice. 1. Objectives of financial analysis

The main task of financial analysis is to determine the financial position of the organization.

By means of financial analysis, the economic situation of the organization for a given period is revealed, a comparative analysis of changes in economic indicators over the past period is carried out, opportunities and patterns are determined in the effective development of the organization during the period under study, this contributes to a superficial study of the state of affairs at the enterprise, which is necessary for in-depth analysis. An in-depth analysis aims to introduce external factors: to identify factors of the internal and external environment that influence the economic situation of the enterprise, to conduct a comparative analysis of the weaknesses and strengths of the economic environment of the enterprise in order to eliminate them. After the measures taken at the enterprise, methods for controlling the finances of the enterprise are determined in order to increase the efficiency of the enterprise and make a forecast and assessment of economic risks. Thus, financial analysis allows not only to find out

the real state of the enterprise, but also suggests ways of development.

In order to conduct the most effective financial analysis, it is important to have a sufficient amount of information and highly qualified specialists with the ability to develop and implement financial analysis techniques using modern information technologies.

The main source of information for analyzing the effectiveness of an organization is financial reports, management accounting data, statistical data and regulatory planning documents.

For a full analysis of the financial activities of an enterprise, complete with financial statements, management accounting, regulatory framework and statistical data are used.

In the process of long-term development of the direction of financial analysis, methods for its implementation were formed (Fig. 2).

Rice. 2. Classification of financial analysis methods

And so, horizontal analysis allows you to analyze financial indicators over time. Vertical analysis involves considering the specific weight of each factor in the corresponding amount. The combination of these two methods was comparative analysis, which allows you to compare the mandatory indicators of several companies (competitors); this method allows you to identify advantages and disadvantages in activities.

Further development was the development of factor analysis, which reveals the influence of certain factors on the indicator. It makes it easy to create a predictive model

enterprise development. Coefficient analysis is defined by regulatory documents. In reporting, each enterprise is required to calculate financial condition ratios. For example, liquidity ratio, solvency, fixed asset turnover,

profitability, etc. All these coefficients together make it possible to study the financial condition of the enterprise in full, affecting all “inaccessible places”.

And so, summarizing the above, Figure 3 shows a diagram of the analysis of the financial condition of the enterprise.

Rice. 3. Scheme for analyzing the financial condition of the enterprise

Using the financial statements of OTP Bank JSC, we will conduct a financial analysis of the bank.

JSC OTP Bank is a large Russian bank, ranked 54th in terms of net assets. As of April 1, 2017, the bank’s net assets amounted to 132.76 billion rubles, this is by 11.61%

less than last year. This decline did not have negative consequences, but only increased the return on assets from 2.25% to 1.985.

Table 1 shows data on the liquidity and reliability of the bank's activities.

Table 1. Liquidity and reliability of the bank's activities

funds in cash 2,948,028 25.58% 1,913,425 10.59%

funds in accounts with the Bank of Russia 1,600,517 13.89% 3,770,825 20.87%

NOSTRO correspondent accounts in banks (net) 176,385 1.53% 221,456 1.23%

interbank loans placed for up to 30 days 5,013,266 43.51% 9,500,889 52.58%

highly liquid securities of the Russian Federation 707,231 6.14% 1,948,652 10.79%

highly liquid securities of banks and states 1,267,975 11.00% 838,530 4.64%

highly liquid assets taking into account discounts and adjustments (based on Directive No. 3269-U dated May 31, 2014) 11,523,206,100.00% 18,067,998,100.00%

The analysis shows that the value of highly liquid assets increased by 6.5 trillion. rub. (56.8%), while in the structure of liquidity indicators there were

positive changes. Thus, funds in the cash desk decreased by 14.9%, and in accounts with the Bank of Russia

increased by 6.9%. But highly liquid securities of banks and states decreased by 6.3%. Thus, we can say that the bank’s liquidity is increasing, and OTP Bank JSC can fulfill its obligations.

Table 2. Structure and dynamics of the balance sheet

Interbank loans 14,361,393 10.85% 21,400,889 18.30%

Loans to legal entities 12,007,348 9.07% 10,510,416 8.99%

Loans to individuals 87,287,836 65.94% 73,066,215 62.46%

Bills of exchange 2,355,753 1.78% 0 0.00%

Investments in leasing operations and acquired rights of claim 3,047,179 2.30% 3,477,915 2.97%

Investments in securities 2,410,031 1.82% 5,344,466 4.57%

Other income-generating loans 6,123 0.00% 0 0.00%

Income assets 132,384,227 100.00% 116,973,755 100.00%

It is clearly seen from Table 2 that in terms of income from the decrease in investments in the amount of bills and assets, there was a decrease in their amount by 15.4 times the increase in interbank loans. thrill. rub. (11.6%). This mainly happened from_Table 3. Own funds

Authorized capital 2,797,888 12.42% 2,797,888 11.58%

Additional capital 2,561,803 11.38% 2,475,488 10.24%

Retained earnings from previous years (uncovered losses from previous years) 17,330,409 76.95% 17,491,955 72.38%

Unused profit (loss) for the reporting period -878,448 -3.90% 692,342 2.86%

Reserve fund 708,566 3.15% 708,566 2.93%

Sources of own funds 22,520,218 100.00% 24,166,239 100.00%

Table 3 shows the own funds of OTP Bank JSC. Financial analysis based on equity indicators shows positive trends in the bank’s activities (Fig. 4). It is especially important to note the increase in the indicator

“Unused profit (loss) for the reporting period,” which indicates the appearance of profit, but a sufficiently large amount indicates a debt to the owners of the bank.

Rice. 4. Own funds of OTP Bank JSC

Thus, the amount from sources of own funds increased by 1,353 billion rubles, due to an increase in the indicators “Unused profit (loss) for the reporting period” as of April 1, 2017 amounted to a positive number of 692 million rubles, retained earnings of previous years (uncovered losses of previous years) - by 161.5 million rubles.

Thus, the financial analysis of OTP Bank JSC showed a profitable state of financial condition, however, it also revealed negative downward trends in several indicators, which may affect future potential. As a consequence of this, it is necessary to conduct a financial analysis using several methods for assessing the financial condition of an enterprise. ■

1. Loseva A. Yu., Tsyrenov D. D. IT technologies in risk management of a commercial bank // in the Collection of Economic aspects of the development of Russian industry in the context of globalization: materials of the International scientific and practical conference of the department “Economics and Organization of Production”, Moscow : Publishing House Scientific Consultant, 2015. - pp. 126-129

2. Gubaeva I.V., Tsyrenov D.D. Aggregated situational factor model of the state of a set of small enterprises and their contribution to the socio-economic development of the region // Bulletin of the Buryat State University. Economics and management, 2014. - No. 4 - P. 28-40.

3. Official website of OTP Bank JSC [Electronic resource] // Official website - URL: https://www.otpbank.ru/about/ (Date of access: 09/15/2017)

4. Tsyrenov D. D., Strobel D. Client-oriented approach to enterprise management // Bulletin of the Buryat State University. Economics and management, 2014. - No. 2 - P. 69-81

BIBLIOGRAPHY

Gubaeva I. V., Tsyrenov D. D. Aggregated situational factor model of the state of a set of small enterprises and their contribution to the socio-economic development of the region // Bulletin of the Buryat State

university. Economics and management, 2014. -№ 4 - pp. 28-40.

Loseva A. Yu., Tsyrenov D. D. IT technologies in risk management of a commercial bank // in the Collection of Economic aspects of the development of Russian industry in the context of globalization: materials of the International scientific and practical conference of the department “Economics and Organization of Production”, Moscow: Publishing House - Scientific consultant, 2015. - pp. 126-129

Official website of OTP Bank JSC [Electronic resource]// Official website - URL: https://www.otpbank.ru/about/ (Date of access: 09.15.2017)

Tsyrenov D. D., Strobel D.

Client-oriented approach to enterprise management // Bulletin of the Buryat State University. Economics and management, 2014. - No. 2 - P. 69-81

A method of assessing the financial condition of the company (for example, JSC “OTP BANK”)

The article discusses the existing methods for the assessment of the financial condition of the company. Describes the advantages and disadvantages of each method of assessing the financial condition of the company. The study identified the main research tools. For the practical application of these methods conducted a financial analysis of JSC “OTP Bank”. According to the method of indicators own funds revealed a tendency to increase the Bank's profitability, however, there is negative interference that must be regarded as risks of the activities of JSC "OTP Bank".

Keywords: financial analysis, factor analysis, banking

Liquidity analysis allows us to identify potential and real trends indicating a deterioration in the liquidity of the bank’s balance sheet, analyze the factors that caused the development of negative trends, and take appropriate measures to correct the situation.

The following main objectives of banking liquidity analysis can be identified:

1. Identification of factors causing negative trends in bank liquidity and minimizing their impact;
2. Clarification of the calculated system of evaluation coefficients, identification of possible shortcomings in the calculations and elimination of these problems;
3. Identification of real or potential negative trends in the deterioration of the liquidity of the bank’s balance sheet and taking appropriate measures to change them;
4. Formation of analytical materials on the state of bank liquidity;
5. Development of recommendations regarding bank management and determination of a development strategy, taking into account the results of the analysis.

To date, in Russia, unfortunately, a unified approach to analyzing bank liquidity has not yet been developed. However, new methods of its analysis are constantly being developed and existing ones are being improved.

Let's consider the main stages of liquidity analysis in a bank.

Stage I. Assessment of the bank’s financial condition in terms of its liquidity

This stage is preparatory. At this stage, the liquidity of the bank is determined at the time the analysis begins; here the financial analyst is faced with the task of determining the base, the starting point for further analysis. If this stage does not reveal serious problems in the field of liquidity and solvency, then it makes sense to conduct further analysis in order to determine trends and prospects for the development of the situation. If any problems are identified, further analysis will allow us to determine the causes of the current situation and outline ways out of it.

Stage II. Analysis of factors affecting liquidity

The liquidity and solvency of the bank, as well as its activities in general, are affected by a huge number of multidirectional factors. Therefore, when identifying emerging negative trends in the field of liquidity, bank financial analysts need to identify the main factors that caused these trends, analyze their impact and develop recommendations for changing the bank’s policy in order to prevent negative consequences. So, the main goal of the second stage of the analysis is to take into account the impact of internal and external factors on the bank’s policy in general, and on its liquidity in particular.

It should be noted, however, that the bank’s liquidity is also influenced, for example, by the volume, structure and timing of off-balance sheet operations. When assessing liquidity based on balance sheet data, analysis of this factor makes it possible to take into account the influence of off-balance sheet transactions and thereby determine the actual condition of the bank with greater reliability. True, the analytical conclusions are in the nature of a forecast, since liability for the bank’s obligations reflected on the balance sheet may not always occur. However, such an analysis is important, and underestimation of the relevant liabilities can lead to a decrease in liquidity or even to the illiquidity of the bank. A similar situation may be generated, for example, by the bank’s excessive activity in issuing guarantees.

In the process of analyzing balance sheet liquidity, it is advisable to identify the extent of compliance with liquidity principles by maintaining an optimal ratio between the terms of deposits and the terms of funds placed in active operations. It is advisable to carry out the analysis by calculating the following coefficients:

K1 - liquidity ratio for resources with limited liquidity (funds in demand accounts, funds in time deposits with maturities of up to 6 months);

K2 - liquidity ratio for resources with average liquidity (funds in fixed-term accounts with a maturity of 6 months to 1 year);

K3 - liquidity ratio for resources with high liquidity (funds in fixed-term accounts with a maturity of one to 4 years).

All three liquidity ratios can be calculated using the same formula:

where: Kl - liquidity ratio (K1, K2, K3);

Zk - debt on loans granted for 6 months, a year, from a year to 4 years, respectively;

P - attracted deposits, respectively, with the specified coefficients for a period of up to 6 months, up to a year, from a year to 4 children.

These coefficients should generally be below 100%.

Additional factors for maintaining liquidity are limiting the size of the loan provided to one borrower with part of the bank’s own funds, and issuing loans to as many clients as possible while maintaining the total volume of lending, which minimizes the bank’s losses from violation of loan repayment.

Banks, with the participation of the state, usually practice the “transformation” of liquid monetary savings, primarily deposits, into medium- and long-term loans. Some banks are reducing short-term loans while simultaneously expanding medium- and long-term lending, in particular, housing construction, achieving a high coefficient of “transformation” of short-term into long-term resources. The coefficient is calculated using the formula:

where: R - short-term resources;

S - short-term loans;

K - transformation of resources over time may be one of the reasons for the aggravation of banking liquidity. Therefore, it is necessary to regulate the transformation of resources by insuring and reserving part of short-term resources at the level of 10-20%.

If the actual value of the main regulatory liquidity ratio turns out to be much greater than the established minimum acceptable one, then the activities of such a bank will be negatively assessed by its shareholders, from the point of view of unused opportunities for making a profit. In this regard, it should be noted that the analysis of balance sheet liquidity should be carried out simultaneously with the analysis of the bank’s profitability. The experience of commercial banks shows that banks make more profit when they operate on the verge of the minimum acceptable values of liquidity standards, i.e. fully use the rights granted to them to attract funds as credit resources. The state of asset liquidity is analyzed through deviations of actual values from the normatively established ratios of various groups of active balance sheet items and bank capital, deposit accounts, allocation and comparison of liquid assets with the total amount of balance sheet assets. If the ratio of issued loans and the amount of current accounts, deposits and deposits systematically exceeds the normatively established one, then the bank should change its strategy and tactics towards intensifying deposit policy, developing banking services related to attracting deposits in order to expand resource potential.

The most common tools for measuring liquidity risk are the term structure of assets and liabilities, as well as various ratios characterizing the sufficiency of the volume of highly liquid assets: instantaneous, current, long-term and total liquidity ratios, the procedure for determining which and their normative significance are regulated by Instruction No. 1 “On the procedure for regulating activities credit institutions."

The instant liquidity ratio (N2) is the ratio of the amount of the bank’s highly liquid assets to the amount of the bank’s liabilities on demand accounts and is determined by the formula

H2 = LAm 100% / OBM, (3)

where: LAm - highly liquid assets; OBM - liabilities on demand.

The minimum permissible value of the H2 standard is set at 20%. The economic meaning of this indicator is that for every 10 rubles held in demand accounts, commercial banks must keep at least 2 rubles in reserve. By increasing the value of this indicator, the Central Bank reduces the possibility of creating new money in passive accounts, and by decreasing it, it expands the issuing capabilities of banks. If the H2 value for a commercial bank is more than 20%, this means that the bank is able to make current and upcoming payments in the coming month.

The current liquidity ratio (N3) is the ratio of the amount of the bank’s liquid assets to the amount of the bank’s liabilities on demand and for a period of up to 30 days

H3 = LT 100% / OWt, (4)

where LAT - liquid assets; OBT - obligations on demand and for a period of up to 30 days. The minimum acceptable value of the standard is set at 70%. The calculation of this standard makes it possible to regulate the active and passive operations of banks in the interests of maintaining the required level of liquidity of their balance sheet. The actual values of the assessment indicator can be used in the analytical work of banking system institutions.

The long-term liquidity ratio (N4) is the ratio of all debt to the bank over a year to the bank's capital, as well as the bank's obligations on deposit accounts, loans received and other long-term obligations for a period over a year and is calculated using the formula

H4 = Krd 100% / (K + OD), (5)

where Krd - loans issued by the bank, including in precious metals, with a remaining maturity of more than a year; OD - the bank’s obligations for loans and deposits received by the bank, as well as for the bank’s debt obligations traded on the market with a maturity of more than a year. The maximum permissible value of the H4 standard is set at 120%.

Liquidity indicators of OJSC OTP-Bank for 2008 - 2009.

Thus, the value of the liquidity indicator is within the standard value. This means that the bank is able to make current and upcoming payments in the near future. In addition, the ratio of all debt to the bank over a year to the bank’s capital is within the standard value. A negative factor is the fact that by the end of the analyzed period the value of these indicators worsened. The reason for this is the financial crisis that broke out at the end of 2009, which engulfed the entire financial system of not only our country, but the entire world as a whole. Most financial institutions around the world find themselves in a similar situation.

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The scope of the UAP is increasingly expanding. Today, management departments solve problems of currency and other risks. ALM is also used in non-financial firms. Manufacturing companies use these techniques to assess interest rate, liquidity, and exchange rate risks. In addition, appropriate methods are used to assess commodity risks. For example, hedging airline fuel prices or manufacturing steel prices is often considered an element of ALM.

Asset-liability management (ALM) covers an increasingly broad range of quantitative risk management techniques. As Risk Management (RM) practices become more sophisticated and information technology becomes more powerful and adaptable, opportunities arise to improve and expand RMS. However, as technology develops, so do the demands on human resources and organizational structures.

Let's look at the different models and metrics used in asset liability management and the benefits and benefits they provide for risk management.

A) Maturity of the UAP

Despite the use of advanced analytical methods, in practice ALM is often not a sufficiently mature methodology. And although most techniques are quite accessible, the newest and most complex ones are not always applicable as management tools. This is often due to data and system integration issues.

B) Qualification of specialists

The rapid development of ALM methodology imposes significant requirements on the qualifications of personnel involved in this activity. It is necessary to study new methods and models, as well as apply them in practice to better understand the essence of balance and the influence of external factors on it. The ALM manager needs transparent results. It's important to understand how these results relate to the underlying data, analytics, models, and assumptions.

B) Enterprise Risk Management (ERM)

Many industry experts believe that the technology infrastructure and methods used in ALM and corporate risk management (including market, credit and liquidity risks) are becoming increasingly similar.

If we take into account the fact that they use the same sources of information and pursue very similar goals, then we can talk about the merging of technologies, as well as the consolidation of various internal organizational structures involved in managing financial risks. Some experts even call UAP a strategic management tool for ERM.

Modern risk management implies the use of an integrated approach to corporate risk management, where interest rate risks, credit risks, market risks and liquidity risks are considered interrelated. Integrated risk management is performed on a market basis rather than on an accounting basis, which was previously used to calculate the interest rate sensitivity gap between assets and liabilities. duration.

Combining corporate risk management and ALM makes it possible to assess all risk factors that affect the performance of a credit institution, makes it possible to adjust efficiency depending on these risks and strategically allocate capital. Such decisions are based on comparative modeling and analysis of historical, current and future financial performance and profiles.

The success of ALM depends on the quality of asset and liability management software systems. Including:

*to consider all aspects of risk and efficiency, the analyst needs integrated analysis tools;

*To effectively evaluate analytical results, flexible and transparent tools are required, which are provided by integrated systems.

Good software will enable you to manage strategic risk, performance and capital allocation in a way that enables you to see ahead and make smart decisions for the future. The likelihood of successfully solving all UAP problems is significantly higher with the available data, and the flexibility of the software is very important, which allows you to solve both today's problems and develop in the future.

Financial algorithms are only one component of a complex ALM system. For their functioning and use of the results, the correct architecture is necessary to integrate ALM into the operation of the entire banking system. One way to solve it? implementation of UAP within the framework of an integrated BPM project.

4. Analysis of the activities of OJSC "OTP Bank"

4.1 General analysis of the activities of OJSC OTP Bank

4.1.1 History of creation and pace of development of CB OTP Bank in Russia

OJSC OTP Bank was founded in 1994. Until February 2008, it was called Investsberbank -.

In 2006, the bank joined one of the largest banking groups in Europe - OTP Group. Together with the new brand, OTP Bank gained access to the financial capabilities and experience of the European parent bank, which made it possible to strengthen the development of retail and corporate business in Russia. OTP Bank continues its sustainable and dynamic development, its financial position is strengthening, all the main indicators characterizing the bank’s condition are growing steadily.

1994 - Obtaining a license to carry out banking operations.

2003 - Issue of the first consumer loan. The bank was among the first credit institutions in Russia to begin purposefully developing retail business.

2004 - Enhanced development of the bank's branch network. During the year, about 30 new credit and cash offices were opened.

2005 - Merger of Investsberbank with the Russian General Bank, specializing in working with large corporate clients. As a result of this merger, the bank entered the list of the 40 largest Russian credit institutions in terms of assets, the number of branches and affiliates in Moscow and the regions reached 20, and the client portfolio was significantly diversified.

2006 - Merger of Omskpromstroybank (Omsk) and Promfinservicebank (Novorossiysk), which were transformed into branches "Omsk" and "Novorossiysk", respectively.

Acquisition of a controlling stake in the bank by OTP Group, which serves more than 12 million clients in 9 countries. This transaction received approval from the Central Bank of Russia, the Russian Antimonopoly Agency, as well as the Hungarian Financial Supervisory Authority.

2007 - The bank entered the top 10 most dynamically developing banks according to RBC.Rating, thanks to the impressive dynamics of growth in results for 2003-2007.

2008 - Rebranding, as a result of which OTP Bank took 8th place in the loyalty rating of the National Agency for Financial Research (NAFI) and 22nd place in the ranking of bank recognition.

The “Mobile Banker” service has appeared - the sale of banking services through agents.

2009 - The net profit of OTP Bank as of January 1, 2009 amounted to 1.8 billion rubles, which is 1.5 times higher than the figure for the same date in 2008. .

OTP Bank took 2nd place in Russia in issuing pos-loans. OTP Bank POS loans have become available in the stores of large retailers - Tekhnosila, Euroset and Eldorado. The portfolio of deposits of individuals increased during the year by 10 billion Russian rubles. The number of points where OTP Bank pos-loans are available has exceeded 13 thousand.

OTP Bank opened 7 points of various formats, including a branch in Chelyabinsk - the eighth in Russia and the first in the Urals.

OTP Bank became the winner of two prestigious national awards - "Financial Olympus" and "Brand of the Year".

2010 - OTP Bank's net profit for 2009 according to RAS exceeded 536 million Russian rubles.

The loan portfolio amounted to more than 57.6 billion Russian rubles.

OTP Bank issued more than 5 million cards.

For the second time, OTP Bank won the prestigious national award "Brand of the Year".

4.1.2 Financial indicators of OJSC "OTP Bank" as of May 26, 2010 cannot be Only for the 6th and 9th months 2-10

OTP Bank (Russia) is part of the international financial OTP Group, which is one of the leaders in the financial services market in Central and Eastern Europe. OTP Bank is a universal credit organization that provides a wide range of banking services and products for corporate clients and individuals.

As of April 1, 2010, OTP Bank's own capital exceeds 12 billion rubles. The bank's assets as of April 1, 2010 amounted to about 96 billion rubles. The net profit of OTP Bank according to RAS as of the same date is 616 million rubles. The bank's loan portfolio exceeds 59 billion rubles, and the deposit portfolio - 53 billion rubles.

The net profit of the OTP Group in the 1st quarter of 2010 amounted to 151.4 million euros, which is two times higher than the profit for the 4th quarter of 2009 and higher than the net profit received by the group for the same period last year. Quarterly profit before tax amounted to 193.5 million euros, which is 120% compared to the same period in 2009.

OTP Group's capital adequacy ratio increased by 2.3% compared to the same period in 2009, reaching 17.5% at the end of March 2010. The Tier1 indicator increased by 13.8% (+3.6% compared to last year). Both indicators significantly exceeded the market average. The capital adequacy ratio according to Hungarian accounting standards reached 17.6%, being 5.3% higher than a year ago.

Operating expenses decreased to EUR 297.5 million, continuing their downward trend compared to year-on-year (-3%) and quarter-on-quarter (-12%). The cost-to-income ratio increased by 0.6% year-on-year and increased by 3.7% quarter-on-quarter.

Most of the subsidiary banks in the countries where the group operates have performed successfully in a difficult economic situation. In particular, the dynamics of the development of consumer loans (pos-lending) in the Russian OTP Bank remains at a high level. The direction of cross-selling credit cards is also intensively developing.

OTP Bank is one of the 50 largest banks in Russia, and in a number of areas it is among the market leaders. In particular, OTP Bank ranks 15th among retail banks and 2nd in the pos-lending market.

OTP Bank is a winner of the national awards “Financial Olympus 2008” in the category “Potential and Prospect” and twice winner of the “Brand of the Year 200/EFFIE” award for success in building a brand in the field of financial services

OTP Bank provides customer service through its own network, which currently consists of more than 15 thousand consumer lending points, 95 credit and cash offices (CCOs), a network of branches, which consists of 150 customer service points and an ATM network of 228 ATMs. More than 1.5 million clients constantly use the services of OTP Bank.

OTP Bank is a participant in the Deposit Insurance System, a member of the Association of Russian Banks, the Association of European Businesses, the National Association of Stock Market Participants, the National Stock Association, the RTS Stock Exchange and the MICEX.

OTP Bank is accredited to participate in competitions of the Deposit Insurance Agency, and is also included in the list of banks whose guarantee can be used to secure Bank of Russia loans. OTP Bank is admitted by the Russian Ministry of Finance to participate in auctions for placing Federal Treasury funds on bank deposits.

Licenses issued by OJSC OTP Bank are shown in Table 1.

Table 1 Licenses of OJSC OTP Bank

Name		date of issue
General license for banking operations
License of an exchange intermediary to carry out futures and options transactions in exchange trading on the territory of the Russian Federation (valid until May 27, 2008)
License of a professional participant in the securities market to carry out depository activities	177-04136-000100
License of a professional participant in the securities market to carry out brokerage activities	177-03494-100000
License of a professional participant in the securities market to carry out dealer activities	177-03597-010000
License of a professional participant in the securities market to carry out securities management activities	177-03688-001000
Certificate of inclusion of the bank in the register of banks participating in the compulsory deposit insurance system
License to carry out transactions with precious metals
License of the Center for Licensing, Certification and Protection of State Secrets of the FSB of Russia to carry out technical maintenance of encryption (cryptographic) means (valid until December 26, 2010)
License of the Center for Licensing, Certification and Protection of State Secrets of the FSB of Russia to distribute encryption (cryptographic) tools (valid until December 26, 2010)
License of the Center for Licensing, Certification and Protection of State Secrets of the FSB of Russia to provide services in the field of information encryption (valid until December 26, 2010)

4.2 Conducting a GEP - liquidity analysis of OJSC OTP Bank

The bank's balance sheet is liquid if its condition allows, through the rapid sale of assets, to cover urgent liabilities.

The main goal of liquidity management is to maintain such a state of the structure of the bank’s assets and liabilities by type and maturity, which would allow the bank to:

Ensure timely fulfillment of obligations;

Satisfy customer demand for credit resources;

Maintain a reputation among clients and counterparties of the bank as a reliable financial institution that pays special attention to regulating liquidity risk.

The most common practice in analytical work when monitoring the structural liquidity of commercial banks is GEP analysis. Its essence lies in the analytical distribution of assets, liabilities and off-balance sheet positions over specified time ranges in accordance with certain criteria. The difference between assets and liabilities in the same range is called GAP (gap - gap, interval).

Depending on the criterion for distribution over time ranges, the gap reflects exposure to either structural liquidity risk or interest rate risk. Structural (unbalanced) liquidity risk is additional costs that a bank may incur when urgently raising funds. It is caused by a mismatch between the maturities of assets and liabilities. The gap reflects the need to attract or invest in the future. Thus, the most preferable method for analyzing the risk of loss of liquidity is the method of analyzing the gap in the maturity of claims and obligations. For it, you can use form No. 125 “Information on assets and liabilities by terms of demand and repayment.” Using this form, you can calculate “Excess (deficit) of liquidity” and “Accumulated deficit (excess)”. The gap profile gives an idea of the current and future structural liquidity of a commercial bank.

Gap is the gap between assets and liabilities of a given period, sensitive to changes in interest rates in a given period. Assets form long positions, liabilities form short positions. Gap analysis involves assessing the degree of interest risk in several stages (Fig. 1):

I Distribution of assets and liabilities over time intervals depending on the period remaining until their maturity.

II Calculation in each time interval of the amount of assets and the amount of liabilities on an accrual basis (within 1 year).

Determination in each time interval of the size and type of gap as the difference between the amount of assets and the amount of liabilities.

Make it a table

Calculate the gap coefficient by dividing the indicators in each time interval.

Gap analysis allows you to draw conclusions about the directions of changes in net interest income in the coming period of time when the level of market interest rates decreases or increases, makes it possible to make decisions on hedging an interest position and prevent the formation of a negative interest margin. Based on the gap analysis, incoming cash flows should be brought into line with outgoing cash flows. At the same time, it is important to achieve a gap level at which the maturity dates of assets/liabilities were less than the time limits for claiming liabilities/assets in each forecast period (month, quarter, year, etc.). When managing a gap you must:

Maintain a portfolio of assets diversified in terms of rates, terms, sectors of the economy and select as many loans and securities as possible that can be easily sold on the market;

Develop specific operating plans for each category of assets and liabilities, for each period of the business cycle, i.e. consider decision options (for example, what to do with different assets and liabilities at a given level of interest rates and changes in rate trends);

Don't link every change in rate direction to the start of a new interest rate cycle.

Decipher what GEP is

Table 2. GAP analysis of liquidity of OJSC OTP Bank for 2009

Table 3 GAP analysis of liquidity of OJSC OTP Bank for 2008

The calculations showed that the bank had a gap in the maturity of claims and obligations in the years under review. This indicates that it has a risk of unbalanced liquidity. Tables 1 and 2 show the existing gaps over the past two years. It is clear from them that in both 2008 and 2009, in terms of repayment terms “up to 1 month”, “from 1-3 months”, the bank’s volume of liabilities exceeds the volume of assets, and the bank has a liquidity deficit. This gap is the most dangerous for him, since in such short periods of time it will be difficult for the bank to find the necessary financial resources if necessary, and therefore it will suffer losses. That is, there is a risk of a change in the urgency of claims and obligations in the event of unexpected withdrawals of deposits.

Also, a liquidity deficit is observed in the period “from 1-5 years”, and in the maturity periods “from 3 months to 1 year”, “more than 5 years” and “the maturity period is not established”, the bank has an excess of liquidity. And this indicates the bank’s loss of profitability, since it has free assets from which it could receive income.

The total size of the liquidity gap shows that in 2008 and 2009 the bank had sufficient liquid funds. This, on the one hand, may indicate greater stability of the bank’s activities, i.e. the bank reduces the risk of its operations, and on the other hand, it, accordingly, loses the income that it could receive by investing these funds. Also, excess liquidity may indicate that the bank simply has nowhere to invest excess funds. When there is excess liquidity, the bank needs to look for new directions for profitable placement of financial resources.

In general, the easiest way to ensure liquidity can be achieved with a completely balanced maturity of assets and liabilities (zero GAP in the entire range of maturity). However, this is not always possible to achieve. Often, in the context of an expected increase or decrease in interest rates, in order to increase profits, they try to make the gap, respectively, positive or negative. In this case, the problem of ensuring liquidity inevitably becomes more complicated, and aggravation occurs after some time, when medium-term assets and liabilities become short-term and very short-term. In this sense, the task of maximizing profitability comes into inevitable conflict with the task of ensuring complete liquidity.

So, GEP analysis has a number of conceptual shortcomings:

First, the gap analysis does not take into account differences in the maturity dates of positions within the same range; it is assumed that they are all repaid at the same time. Gap analysis does not take into account cash flows associated with reinvestment within a separate range. For simplicity, cash flows associated with the payment and assignment of interest are also not taken into account. Due to these simplifications, the wider the time range, the less accurate the estimates.

The second conceptual shortcoming of GAP analysis is that it does not take into account changes in the timing of cash flows that may occur as a result of changes in interest rates. Consequently, differences in return sensitivity across positions with embedded or explicit options are not taken into account.

Therefore, the temporary reconciliation of assets and liabilities cannot really be the basis for assessing the bank’s liquidity. Liquidity management is one of the most important operational tasks in the bank management process. Errors made in liquidity management are extremely painful for the bank, since, firstly, they lead to significant losses (this can occur both due to a decrease in profitability due to too large a stock of highly liquid non-profitable or low-income assets, and due to the frequent attraction of external short-term and therefore, more expensive resources), secondly, due to a liquidity crisis, the bank’s work may be suspended (for example, a temporary cessation of payments or cash payments).

4.3 Conducting an analysis of the liquidity of OJSC OTP Bank based on published statements

The following main objectives of banking liquidity analysis can be identified:

1. Identification of factors causing negative trends in bank liquidity and minimizing their impact;

2. Clarification of the calculated system of evaluation coefficients, identification of possible shortcomings in the calculations and elimination of these problems;

3. Identification of real or potential negative trends in the deterioration of the liquidity of the bank’s balance sheet and taking appropriate measures to change them;

4. Formation of analytical materials on the state of bank liquidity;

Let's consider the main stages of liquidity analysis in a bank.

Stage I. Assessment of the bank’s financial condition in terms of its liquidity

Stage II. Analysis of factors affecting liquidity

K1 - liquidity ratio for resources with limited liquidity (funds in demand accounts, funds in time deposits with maturities of up to 6 months);

K2 - liquidity ratio for resources with average liquidity (funds in fixed-term accounts with a maturity of 6 months to 1 year);

K3 - liquidity ratio for resources with high liquidity (funds in fixed-term accounts with a maturity of one to 4 years).

All three liquidity ratios can be calculated using the same formula:

where: Kl - liquidity ratio (K1, K2, K3);

Zk - debt on loans granted for 6 months, a year, from a year to 4 years, respectively;

P - attracted deposits, respectively, with the specified coefficients for a period of up to 6 months, up to a year, from a year to 4 children.

These coefficients should generally be below 100%.

where: R - short-term resources;

S - short-term loans;

The instant liquidity ratio (N2) is the ratio of the amount of the bank’s highly liquid assets to the amount of the bank’s liabilities on demand accounts and is determined by the formula

H2 = LAm 100% / OBM, (3)

where: LAm - highly liquid assets; OBM - liabilities on demand.

The current liquidity ratio (N3) is the ratio of the amount of the bank’s liquid assets to the amount of the bank’s liabilities on demand and for a period of up to 30 days

H3 = LT 100% / OWt, (4)

H4 = Krd 100% / (K + OD), (5)

Liquidity indicators of OJSC OTP-Bank for 2008 - 2009.

5. Issues of liquidity management of a commercial bank

5.1 International experience in managing liquidity of a commercial bank

Theories of bank liquidity management appeared almost simultaneously with the organization of commercial banks. Currently, there are four specific theories: commercial loans, displacement, expected income - they are associated with asset management and the theory of liability management.

Bank employees responsible for managing the liquidity situation are unlikely to realize that in their practical activities they are implementing one of the theories of liquidity. In practice, all theories are used to one degree or another, but in different banks one of them is given greater importance.

In managing the state of liquidity, two extreme directions can be distinguished. One of them is a policy of close control over reserves. It boils down to preventing the bank from having funds that do not generate income, i.e. in fact, any excess of funds relative to the needs for them. Another contrast is the policy of constantly maintaining reserves at a level sufficient to meet reserve requirement requirements and during peak periods of deposit growth. Most banks adhere to some middle ground. All large banks find it advantageous to maintain tight control over cash, and smaller banks are increasingly aware of the contribution that good cash management can make to the overall profitability of operations.

In foreign practice, liquidity is measured based on:

1) financial ratios calculated on balance sheets and reflecting the liquidity of the balance sheet;

2) determining the need for liquid funds, taking into account the analysis of the turnover of assets and liabilities of the bank’s balance sheet in the relevant periods.

The coefficient method involves establishing quantitative relationships between balance sheet items. In some countries, these ratios are prescribed by the authorities, in others, like in the USA, they are introduced by the banks themselves.

The experience accumulated by banks has determined the most frequent use of certain indicators.

When determining the ratio of liquid assets and deposits, two indicators are used:

1) [Primary reserves (Cash + Correspondent account with the central bank)] / Deposits;

2) [Primary + Secondary reserves (government securities)] / Deposits.

Through these indicators, a direct connection is established between liquid assets and liabilities in the form of deposits to be fulfilled. The level of the first indicator to ensure bank liquidity is accepted at a rate of at least 5-10%; the second level is at least 15-25%. The second indicator is also used in Japan (as mandatory for all banks), where its level should not be less than 30%.

In the USA, to assess liquidity, indicators are used: the ratio of the amount of issued loans and deposits (the more it exceeds 1, the lower the liquidity of the bank) and the share of loans in total assets as a reflection of the diversification of assets (this indicator is considered optimal at the level of 65-70%) .

To assess liquidity, an indicator is also used that reflects the ability of an asset to quickly be exchanged for cash. It is calculated as the ratio of liquid assets to total assets. Liquid assets include only cash balances, funds in transit, in foreign currency accounts, and balances in NOSTRO accounts with the central bank and other banks. The higher this indicator, the higher the liquidity and the lower the profitability. The goal of management in the field of liquidity management is the optimal ratio of liquidity and profitability.

Particular attention is paid to the analysis of the structure of attracted resources and the stability of the deposit base. From the point of view of stability, deposits are divided into basic (stable) and “volatile”. Basic (stable) deposits are deposits that are assigned to the bank and do not leave it. The more there are, the higher the liquidity of the bank.

Another indicator reflecting the stability of the deposit base is the ratio of time and savings deposits to the total amount of deposits. Time and savings deposits belong to the bank's resources; they are more sensitive to changes in interest rates. Increasing their share increases the volume of “flying” deposits and reduces the bank’s liquidity.

The ability, if necessary, to quickly attract resources from the interbank market and from the central bank at a reasonable fee and eliminate a temporary shortage of liquid funds is considered a sign of high liquidity of the bank, and a large share of external borrowings indicates low liquidity of the bank. Therefore, the following are additionally analyzed:

1) frequency of borrowings;

2) borrowing conditions (with or without collateral);

3) reasons for raising funds;

4) interest on loans.

In many countries, liquidity indicators of commercial banks are calculated based on the ratio of active and passive balance sheet items, grouped by maturity. In France, this period is three months with a value of at least 60%, in England - one month (liquidity ratio of at least 12.5%). In Germany, commercial banks report monthly to the Deutsche Bundesbank on their balance sheet liquidity position. The required level of coefficients within 100% suggests the possibility of partially covering longer-term investments with less short-term resources. Along with the coefficient method, assessment of bank liquidity based on cash flow has been developed in Japan, the USA and many European countries. Abroad, great importance is attached to limiting credit risks to ensure banks' liquidity.

As noted above, a bank is considered liquid (through an assessment of its balance sheet) if the assets of the asset allow them to be quickly sold to pay off urgent debt obligations on the liability.

In practice, the success of solving this problem depends on the strategy for managing active and passive operations of the bank simultaneously.

In solving the problem of ensuring liquidity, world banking practice widely uses the so-called “portfolio approach” in managing a bank’s balance sheet.

Portfolio management is the management of the bank's assets and liabilities, pursuing the achievement of liquidity, profitability and solvency, ensuring the stability and reliability of its operation as a whole.

A key aspect of bank portfolio management is the need to constantly balance liquidity and profitability.

The portfolio approach to bank asset management is based on grouping assets by reserves (their level of liquidity). This grouping is based on the economic relationship between liquidity and return on assets - the higher the return on an asset, the lower its liquidity, and vice versa. Grouping of assets by reserves is carried out according to a decreasing level of their liquidity and, consequently, according to an increasing level of their profitability.

To protect against risks, banks can use the following basic methods and actions to implement investment policies.

1. Bank liquidity can be planned if the borrower’s income is used as the basis for the schedule of future loan repayments. In this case, by changing the structure of loan repayment periods and investments in securities, it is possible to influence banking liquidity as a whole.

2. The bank can ensure the management of assets of the second group - secondary reserves - so that they act as a kind of shock absorbers in case of possible financial complications of the bank, restoring its liquidity to the required level.

3. In pursuit of the goal of achieving the required level of liquidity, the bank may take the following actions:

* demand repayment of loans on demand;

* do not renew loans that have expired;

* implement measures to attract additional deposits;

* resort to loans on the money market;

* sell part of the secondary reserve securities.

4. To maintain the required level of liquidity, banks can protect themselves from risks associated with changes in interest rates on securities by coordinating the terms of return of their time deposits with the maturity dates of securities of federal structures, treasury obligations and other securities.

5. In case of maintaining liquidity by emergency sale of securities at a price lower than the purchase price, banks may create special reserves to compensate for losses from such transactions. And although such reserves do not generate income and are associated with the depletion of bank funds, it is difficult to do without them in conditions of constant fluctuations in stock market interest rates.

6. One of the important directions of investment policy and the most reliable method of reducing investment risk in ensuring the profitability and liquidity of the bank is the diversification of the bank's securities portfolio, especially in relation to assets of the third group.

The totality of securities acquired by the bank during active operations constitutes the bank's investment portfolio. The distribution of the bank's investment portfolio between different types of securities in order to reduce the risk of active operations to ensure the profitability and liquidity of the bank is called diversification. It should be borne in mind that diversification helps reduce investment risk, but does not ensure its absolute elimination.

Ensuring liquidity of commercial banks through liability management is based on finding sources of banking resources and those practical and methodological principles for attracting them, which are currently widely used in global banking practice.

Historically and traditionally, the most important source of funds for a commercial bank has been and is deposits. The composition of the main deposits opened in commercial banks, to attract which the marketing efforts of banking services are directed, may include the following.

1. Check deposits, or “classic” check books and settlement checks - financial documents containing the order of the drawer to the bank to transfer a certain amount from his account to the account of the check holder.

2. Savings deposits of the population - funds of citizens (individuals) temporarily stored in bank accounts. The terms and conditions for storing funds in the bank are established by a contractual agreement between the client and the bank when opening accounts for this type of deposit.

3. Time deposits are deposits of funds of limited sizes that have a strictly specified maturity date. (In the USA, the amount of time deposits is set at $100 thousand). The certificate of deposit is a certificate of deposit containing the terms of the deposit agreement (contract), such as the size of the deposit, storage period, interest rate, etc. This is their main difference from savings deposits.

In world banking practice, certificates of deposit are widely used. Thus, in the UK, Germany, the USA, and Japan, the practice is to issue negotiable term certificates, which not only can be sold to the issuing bank, but also resold to other subjects of deposit operations using inscriptions on them, and also sold, thereby forming a market for certificates of deposit.

In foreign banking practice, almost a third of the base of attracted resources of universal banks is formed by certificates of deposit, which are one of the types of short-term securities. Today, world banking practice offers so-called managed liabilities as a reasonable alternative to ensuring liquidity of commercial banks through a system of reserves of managed assets.

The essence of this liquidity management policy is that banks that need liquid funds in order to pay off their unexpected debt obligations do not expect depositors to come to the banks with their deposits, but actively search for additional sources of necessary funds, not limited to narrow region and traditional deposits. Markets for this kind of sources of liquid funds have a national, and in some cases, global scale.

Thus, managed liabilities are certain sources of monetary resources that the bank is able to attract on its own, through the use of a combination of a number of financial instruments: large certificates of deposit, loans from the Federal Reserve System, purchases of federal funds, sales of securities with a repurchase agreement, as well as Eurodollar loans.

The main practical advantage of managed liabilities is the ability to quickly obtain the necessary liquid resources to ensure the sustainable and reliable functioning of commercial banks. Let's consider the economic content of the most important types of managed liabilities used by US banks.

1. In US banking practice, large time deposits (certificates of deposit), in contrast to main deposits, include deposits over $100 thousand with payment terms within six months. Certificates of deposit of this type have the properties of circulation in the secondary market, when the owner can sell them before the maturity date for them in the absence of restrictions on the upper limit of the interest rate. Therefore, they have acquired the properties of fluctuating sources of banking resources and are currently considered not as main deposits, but as managed liabilities.

The essence of regulating the liquidity of commercial banks using managed certificates of deposit is that when the demand for loans increases, banks increase the interest rate on both their loans and their certificates of deposit, attracting a larger amount of funds to channel them into loans. When demand for loans decreases, banks lower both the lending rate and the interest rate they pay on certificates of deposit. This banking technique reduces the growth rate of banking resources attracted from certificates of deposit, ensuring the maintenance of the required level of bank liquidity.

2. Among managed liabilities, an important relatively new source of banking resources are securities sold with a repurchase agreement (REPO), which can be either overnight or term. The essence of this transaction is that when a certain company wants to profitably place a large amount of money for a very short period, it places it not in demand deposits, but in repurchase agreements. The securities in this case serve solely as collateral for the repurchase agreement.

3. Purchase of federal funds. These are loans in the federal funds market. They are formed as excess funds compared to the amount of required reserves that commercial banks must hold at the Federal Reserve Bank for attracted deposits.

At first, banks turned to purchasing federal funds solely to bring their required reserve levels into compliance with the law. Subsequently, this operation expanded to expand its sources of funds, thereby ensuring the ability to manage bank liquidity. For federal funds purchased, banks generally are not required to hold reserves. The interest rate on federal funds is slightly lower than on some types of deposits.

4. Loans from the Federal Reserve System, which are also called discount loans, are resorted to by commercial banks that are faced with any unfavorable circumstances associated, for example, with a massive withdrawal of deposits or a lack of funds to meet the demands of depositors, etc.

Discount loans act as an alternative to purchasing federal funds, are classified as managed liabilities and are used as a financial instrument by commercial banks to regulate their liquidity.

5. Eurodollar loans are borrowings by US banks from Eurodollar banks located in foreign countries. The main clients holding dollar deposits in Eurodollar banks are commercial and central banks. The main borrowers of these banks' Eurodollar funds are large corporations, governments and banks. Eurodollar loans as a money market instrument are generally similar to repurchase agreements. They can also be one-day and urgent, relate to managed liabilities and are used by commercial banks as a source of raising the necessary funds and a financial instrument in regulating the level of banking liquidity.

6. Among other types of loans as ways for a bank to attract funds to ensure the required level of liquidity, it should be noted the sale by some large commercial banks of special bills and bonds. In addition, a method of obtaining loans secured by bank buildings is often used.

And another source of bank funds, which are not classified as managed liabilities, but the absolute value of which directly determine the reliability, stability and liquidity of any commercial bank, is the bank’s share capital or equity capital, including share capital itself, reserve capital and retained earnings.

Thus, the bank’s own capital as the initial source of banking funds initially determines the minimum acceptable level of its liquidity and acts as a guarantor of the stability and reliability of the activities of a commercial bank as a whole.

5.2 Features of liquidity management in a Russian bank

In the Russian banking system, financial instruments for managing the liquidity of commercial banks through passive operations (managed liabilities) are currently very limited. This is due to reasons related both to certain difficulties and complexities of the transition of the entire national economy to market relations, and to the fact that the Russian banking system is still too young, is at the stage of formation, development and, in essence, has very little operating experience. For these reasons, Russian commercial banks in many respects do not correspond to the real images of commercial banks that have established themselves in countries with stable market economies.

The low activity of many commercial banks in Russia is associated with very severe economic consequences, including their closure or bankruptcy. Therefore, those banks that quickly master the arsenal of global liquidity management practices will ensure for themselves a stable, reliable, competitive nature of work in banking systems as a whole.