Loan portfolio of the bank under study: analysis of size, dynamics, structure according to various classification criteria. Loan portfolio Characteristics of credit risk areas

Banking

methodological approaches to the analysis and assessment of the bank’s loan portfolio by external users

AND ABOUT. SOROKINA, candidate economic sciences, Associate Professor of the Department of Finance and Credit, Volga University. V. N. Tatishcheva

The peculiarities of the development of the Russian financial system have led to the fact that the main burden of resource redistribution fell on commercial banks. The main instrument of redistribution was Bank loan, as a result of which lending activities have acquired fundamental importance for banks.

The assessment of credit activity, obtained on the basis of the analysis, is the basis for making strategic decisions regarding the long-term development of the bank. However, at present, the methods for analyzing a bank’s lending activities presented in the literature have a number of shortcomings, which raises the issue of developing a more complete and objective approach to the analysis of a 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. So, for example, in the work of G. Shcherbakova in section. “Analysis of loans issued by a bank”, it is proposed to use for research such forms of bank reporting as No. 0409115 “Information on the quality of loans, loan debt and equivalent debt”, No. 0409128 “Data on weighted average interest rates on loans provided by a credit institution”, etc. ., which get in open access does not seem possible. In this regard, the methods proposed in the book lose their practical applicability for external analysts, for example, bank outsiders or external experts. In educational

Nom manual by authors Yu. G. Veshkin and G. L. Avagyan in chap. "Analysis credit operations commercial bank" there is no coefficient analysis of lending activity, which does not allow making an objective conclusion about the state of the loan portfolio in the bank.

Therefore, in our opinion, at present there is a real need to develop a method that would take into account all the listed disadvantages.

In this article, the author has attempted to summarize theoretical knowledge and practical experience banks in the analysis of lending activities and proposed a detailed formal methodology containing aspects of the analysis of the main activities of the bank with the interpretation of possible results obtained. Special attention The article focuses on ratio analysis of a bank's lending activity as the most common type of analysis used in modern banks. The peculiarity of this method is that it can be carried out using bank reporting forms provided in the public domain both directly by commercial banks in their official sources and on the website of the Bank of Russia.

The author of the article admits that the estimates obtained may be insufficient due to the lack of more detailed primary information material and contain some errors, however, the results of such an analysis will be sufficient for external users who want to get an idea of the bank they are researching.

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.

An analysis of any type of bank activity, including its lending activity, must begin with an assessment of the bank’s position in the relevant market, its competitiveness, as well as with a study of changes occurring in the market itself.

In order to determine the place of the analyzed bank in the market, a number of absolute values of the loan portfolio, which is the result of the bank’s lending activities, should be calculated, 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. To calculate the volume of the loan portfolio, you can use the most accessible form of accounting reporting “Turnover sheet of accounts accounting credit organization (No. 0409101)”, from where they receive data on balances Money on the following balance sheet accounts:

Interbank loans: accounts 320 (excluding 32015), 321 (excluding 32115);

Loans provided to the Russian Ministry of Finance: account 441 (excluding 44115);

Loans provided to financial authorities of constituent entities Russian Federation And

local governments: account 442 (excluding 44215);

Loans provided to state extra-budgetary funds: account 443 (excluding 44315);

Loans provided to off-budget funds of constituent entities of the Russian Federation and local governments: account 444 (excluding 44415);

Loans provided to legal entities various forms property: account 445 (excluding 44515), 446 (excluding 44615), 447 (excluding 44715), 448 (excluding 44815), 449 (excluding 44915), 450 (excluding 45015), 451 (excluding 45115 ), 452 (excluding 45215), 453 (excluding 45315);

Loans provided to individuals - private entrepreneurs: account 454 (excluding 45415);

Loans provided to individuals: account 455 (excluding 45515);

Loans provided to non-resident legal entities: account 456 (excluding 45615);

Loans provided to non-resident individuals: account 547 (excluding 45715). To identify the bank’s place among others

banks taken for comparison, based on the loan portfolio indicator, a table can be constructed. 1.

Based on the results of the study of the results obtained, it is necessary to assess the place of the analyzed bank in the loan capital market among regional banks, namely, to determine the emphasis of its lending activities in retail or wholesale credit business(to do this, evaluate the dynamics of the share of loans to legal entities and individuals in the total loan portfolio); generally

Table 1

Comparative table of loan portfolios of commercial banks

Indicator Our bank Bank 2 Bank 3 Bank 4 Bank 5

Volume of assets, million rubles. 8 346 387 6234109 11 087 426 10 634 209 7 956 364

Loan portfolio volume, million rubles, including 6,209,398 5,108,390 7,308,387 8,458,328 6,459,205

Loans provided to government agencies and extra-budgetary funds, million rubles. (accounts 441-444) 0 0 249 590 102 398 0

Loans issued to other banks, million rubles. (accounts 320-321) 56,302 0 540,298 1,376,003 0

Loans issued to legal entities, million rubles. (accounts 445-453; 456) 4,205,998 3,229,866 5,002,867 4,119,594 4,238,576

Loans issued to individuals, RUB million. (454, 455, 457) 1,947,098 1,878,524 1,515,632 2,860,333 2,220,629

Share of loan portfolio in bank assets 0.7 0.8 0.65 0.8 0.8

Share of loans to legal entities in the loan portfolio 0.7 0.6 0.7 0.48 0.65

Share of loans to individuals in the loan portfolio 0.3 0.4 0.3 0.52 0.35

determine the significance of lending activities for the analyzed bank (by the indicator of the share of the loan portfolio in the bank’s assets).

Use in analysis only absolute indicators is not enough, as this may lead to erroneous conclusions. For example, the largest volume of certain types of loans only indicates the expansive nature of the bank’s activities in the loan capital market. At the same time, the credit specialization of a bank can be judged only by the share of the loan portfolio in total assets (the higher the share, the more specialized the bank is in a particular lending sector).

Using the above approaches to analyzing the market share occupied by the bank under study (see Table 1), we can say the following. In terms of the volume of its loan portfolio, the bank occupies an average position, without any sharp deviations from the volumes of other banks. At the same time, the share of the loan portfolio in the assets of the analyzed bank, when compared with others, is approximately equal and amounts to 0.7. This indicates that the banks included in the sample occupy approximately equal positions in the market, corresponding to their lending capabilities. The structure of the loan portfolio by type of borrower in the analyzed banks also does not have strong differences: banks are focused on lending to corporate borrowers, as shown by the share of loans to legal entities in the total loan portfolio, which has a value of 0.65 - 0.7. In this sample, only one bank has a different structure from the others (Bank 4), whose loan portfolio is dominated by loans issued to individuals (0.52). The volume of loans issued to legal entities is only 2 times greater than to individuals, while for other banks it is 4 and 5 times. Therefore, we can say that this bank focuses on

the private market, which also shows the absolute value of the volume of loans to the population.

Determining the bank's place in the market allows us to draw only preliminary conclusions about the bank's credit preferences. For a more detailed assessment, it is necessary to analyze the dynamics of the loan portfolio for the period under study using table. 2.

The growing dynamics of the volume of the loan portfolio in absolute terms indicates the expansion of the sector of the credit market in which this bank operates. As the data in table shows. 2, the analyzed bank has a growing loan portfolio, which allows us to positively assess its behavior in the market. As a rule, an increase in lending volumes occurs in a bank as a result of the influence of any factors, which include: a decrease in lending rates, an increase in loan terms, an increase in lending limits, a reduction in requirements for the preparation of a package of documentation, a reduction in requirements for ensuring loan repayment; For individuals, banks can apply such forms of incentives for obtaining a loan as reducing the minimum age limit for the borrower, the absence of a military ID in the package of documents, the presence of one guarantor, etc.

When analyzing, it is necessary to pay attention to such an indicator as the growth rate of the TPR of the loan portfolio over time. A growing TPR indicator of a loan portfolio is considered a necessary sign of successful lending activity, since otherwise the bank faces the threat of losing its share of the credit market and being squeezed out by strong and competitive banks. If the bank under study observes an increase in the growth rate, then this is a positive side of lending activity, since it indicates that the bank has a developed credit policy that takes into account

table 2

Analysis of the dynamics of the loan portfolio of a commercial bank

indicators period 1 period N-1 period N

Loan portfolio volume, thousand rubles. 6 209 398 7 386 208 8 003 765

PeriodK - PeriodK -1 Loan portfolio growth rate, % Tpr - x 100 PeriodK -1 - 18.9 8.3

Share of the loan portfolio (Kp) in total assets (Ac) (currency Kp balance sheet) Yes = - Ac 0.7 0.82 0.89

Kp Share of the loan portfolio (Kp) in working assets (Ar) Dr = - Ar 0.6 0.67 0.73

both changes in market demand and the internal lending potential of the bank itself.

To assess trends in lending activity, it is possible to conduct a comparative analysis of the growth rate of the loan portfolio in the bank under study with the growth rate of the loan portfolios of competing banks, as well as with the average growth rate, for example, of the top hundred Russian banks1. Such a comparison will make it possible to determine whether the position of the bank under study corresponds to the general trends that have developed in the credit market of the region and the country as a whole. A decrease in the growth rate in the bank under study will not be threatening if such a trend is identified in competitor banks and others Russian banks. If, during the analysis process, it is determined that, against the backdrop of credit expansion observed in other credit institutions, the bank under study is experiencing a decrease in the growth rate of the loan portfolio, then one should try to identify the reasons for this decrease. If it is not possible to explain the decline in the growth of the loan portfolio due to the lack of relevant information, the user should take this fact into account as inhibiting the growth of the bank.

Relative indicators of the loan portfolio make it possible to identify the significance of lending activities for the bank. Thus, the Yes indicator (the share of the loan portfolio in the balance sheet currency) allows us to determine how much the bank’s activities in placing monetary resources in the form of loans are focused on the loan capital market. An increase in the share indicates an increase in the importance of lending activities for the bank and, at the same time, the likelihood of an increase in credit risks. Otherwise, the Yes coefficient is called the “concentration coefficient,” which shows how concentrated banking assets are in the credit market. Today, the practical activities of domestic banks show that the concentration ratio in many large banks reaches the level of 90 - 95%, which is associated with a decrease in the level of profitability and an increase in the risk of other active operations, which forces banks to mainly operate on the loan capital market. Ratio of growth rates of TPK loan portfolio. p. with the growth rate of total

1 Information on the volume of the loan portfolio of thirty or a hundred of the largest banks in Russia can be obtained from the official information source of the Bank of Russia “Bulletin of the Bank of Russia”, posted on the Bank of Russia website www. cbr. ru or on the website www. banker. ru

TPS assets. A. allows us to draw a conclusion about which assets account for the growth of the balance sheet currency. This coefficient is called the “advance coefficient Cop”.

The lead coefficient shows how many times the growth of the loan portfolio outpaces the growth of total assets. A coefficient value greater than one indicates the bank’s active work in the field of lending compared to other active operations. A more objective assessment will be obtained if we examine the lead rates over several periods. As a result, we can draw a conclusion about the tactics of the bank’s behavior in the market: if in some of the analyzed periods Kop was less than one, then we can assume that the bank increased its assets through other operations, reducing the activity of lending activities.

The share of the loan portfolio in working assets2 Dr allows us to conclude how much the loan portfolio prevails in working assets. Height this indicator allows us to conclude that the higher profitability of these assets forces the bank to bypass other types of placement and carry out its activities mainly in the credit market.

In the analyzed example (see Table 2), there is an increase in the share of the loan portfolio in the bank’s assets from 0.7 to 0.89. The advance coefficient is in specified periods 1.2; 1.4; 1.46. As a result, the values of the obtained coefficients allow us to conclude that the bank is increasing its assets, mainly due to the monetary resources placed on loans. This behavior can probably be explained by two reasons:

2 Working assets are assets that provide the bank with income - credit investments, funds in NOSTRO accounts, investments in securities, placement of funds in other banks, investment assets. The following accounts of Form No. 101 should be classified as operating assets:

Placements to correspondent accounts: 30110, 30114, 30118, 30119;

placements on loans: 319, 320, 321, 322, 323, 441, 442, 442, 444, 445, 446, 447, 448, 449, 450, 451, 452, 453, 545, 455, 456, 457, 460, 461, 462, 463, 464, 465, 466, 467, 468, 469, 470, 471, 472, 473. For the calculation, balances on second-order accounts are accepted, except for passive accounts of reserves for possible losses;

Placements in securities: 501 (except for 50120 and 50121), 502 (except for 50220 and 50221), 503 (except for reserves), 506 (except for 50620 and 50621), 507 except for (50720 and 50721); 512, 513, 514, 515, 516, 517, 518, 519.

more low level risk of credit transactions compared, for example, with operations on stock market and the absence of volatility in interest rates. The increase in the share of the loan portfolio in operating assets from 0.6 to 0.73 confirms the assumption that loan placements are more profitable for the bank.

Analyzing the dynamics of the volume of the loan portfolio over the period, it is necessary to identify internal factors that led to its increase or decrease, for which it is necessary to structure the loan portfolio by type of borrower and examine changes in each of the items (Table 3). This kind of analysis allows us to assess the degree of diversification of the loan portfolio, which follows from the concept of liquidity of the loan portfolio: the more diversified the loan portfolio, the less risky the loan placements will be, since the degree of their protection from changes in market conditions can be called sufficient.

In the process of analyzing the table, you should pay attention to two indicators: firstly, the share of the item in the total loan portfolio, and secondly, the growth rate of the item.

The largest share of a particular item makes it possible to determine in which sector of the credit market the bank operates: lending to state financial authorities; lending to extra-budgetary funds; lending to legal entities; lending to individuals. For example, in the table presented above, the bank observed an increase in the volume of loans issued to legal entities with a simultaneous increase in the share of this item in the total loan portfolio (from

0.7 to 0.76), as a result of which we can conclude that the bank focuses its attention on services to corporate clients, which may be due to various factors, for example, the bank’s reluctance to bear additional expenses for development retail business. In some cases, the bank may experience an increase in the absolute value of the volume of the loan portfolio to legal entities, but with a simultaneous decrease in its share, in this case it can be assumed that with active credit expansion, the bank focuses its activities on the interbank market or in the private lending sector. It should be noted that lending to enterprises and organizations is currently a priority activity of Russian banks. The main reason for such priorities is the lower credit risk compared to lending to individuals, firstly, because enterprises have more transparent financial statements, and, secondly, the repayment of such loans has higher security in the form of collateral. But today these priorities are shifting towards retail lending, since the possibilities for banks to obtain income from lending to legal entities are exhausted, and banks are forced to look for new sources of their receipt. Therefore, in modern Russian banks, along with lending to legal entities, lending to the population is one of the most promising directions banking activities.

The highest growth rates of a particular item make it possible to determine in which market sector the bank is most active.

Table 3

structure of the loan portfolio by type of borrower

loan portfolio item period 1 period 2 period N

thousand rubles per unit weight thousand rubles per unit weight thousand rubles per unit weight

Loans issued to banks 56,302 0.01 0 - 128,540 0.01

Loans to legal entities, total 4,205,998 0.7 5,046,054 0.7 6,111,879 0.76

including:

Loans provided to non-profit 370,546 0.08 125,398 0.02 0 -

organizations that are state (except federal) property

Loans provided to non-state 3,267,308 0.77 4,529,409 0.89 5,723,089 0.93

commercial organizations

Loans provided to non-state 234,097 0.05 100,235 0.02 0 -

non-profit organizations

Loans provided to individuals 334,047 0.07 291,012 0.05 388,790 0.07

entrepreneurs

Loans to individuals, total 1,947,098 0.3 2,340,154 0.3 1,763,346 0.23

including

Loans provided to individuals 1,947,098,100 2,340,154,100 1,763,346,100

ness. To obtain a more complete assessment, you can calculate the lead coefficient by comparing the growth rate of each item with the growth rate of the total loan portfolio. As a result, a conclusion is obtained about the increase in which item led to an increase in the loan portfolio.

In addition to the analysis of the bank’s lending activities carried out on the balance sheet accounts of Form No. 101, it is necessary to pay attention to and examine the bank’s activities in terms of executed transactions on credit lines. The Bank of Russia provides for the existence of two types of credit lines - “under the issuance limit” and “under the debt limit”. A combined form is also provided, including both of these conditions.

“Issuance limit” means the bank’s conclusion of an agreement with the client, the condition of which is the issuance of a certain amount of funds (cumulatively). The loan is issued in tranches; when the last tranche is issued, when the total amount of funds issued reaches the agreement, the credit line is considered exhausted, regardless of whether the borrower has repaid the loan. Unpaid, but reserved funds under the credit line are accounted for in off-balance sheet account 91316. These funds, in essence, are a loan, but until they are paid, they are considered to be the bank's liabilities.

The “debt limit” means the issuance of funds to the client in the form of a loan, but on the condition that the client repays part of the previously received funds to the amount stipulated

Com loan portfolio structure

bank in the agreement. New tranche line of credit issued only when the client’s maximum debt to the bank is equal to that stipulated in the loan agreement. The funds reserved for this type of credit line are accounted by the bank in off-balance sheet account 91317.

Studies of cash balances in these accounts are carried out in dynamics, as a result of which a forecast is made about the volume of funds that will be placed by the bank in the future.

One of the mandatory and most important stages in the analysis of a bank’s lending activities is research on the terms of placed loans. The importance of such an analysis is, first of all, due to maintaining the bank’s liquidity, which is a fundamental criterion for assessing its solvency. This study aims to identify the bank’s capabilities, both in matters of placing long-term loans and in matters credit risk(it is known that the longer-term the loan placed by the bank, the higher the level of risk of its non-repayment as a result of a possible default of the borrower).

Analysis of the loan portfolio by degree of maturity should be carried out using table. 4.

In the process of analysis, it is necessary to identify those items of the loan portfolio whose share is maximum and minimum, as well as those items whose volume change in one direction or another turned out to be the greatest.

Positive is the increase in the share of long-term loans in the structure of credit

Table 4

commercial bank by degree of urgency

Loan portfolio item Period 1 Period N-1 Period N

Loans provided on demand 24,568 0.004 36,098 0.004 78,409 0.009

Vania and overdraft

Loans provided for a period from 1 0 - 0 - 0 -

Loans provided for a period of 8 56 302 0.01 0 - 128 540 0.01

up to 30 days

Loans provided for a period from 31 0 - 0 - 0 -

up to 90 days

Loans provided for a period of 91,349,398 0.05 403,298 0.05 500,387 0.06

up to 180 days

Loans provided for a period of 181 1,987,305 0.32 1,824,659 0.25 1,450,708 0.2

Loans provided for a period of 1 3,198,098 0.52 4,297,564 0.6 4,687,365 0.6

years to 3 years

Loans provided for a period exceeding 593,727 0.1 824,589 0.1 1,158,356 0.15

Total loan portfolio 6,209,398,100 7,386,208,100 8,003,765,100

portfolio, which indicates, firstly, that the bank has a long-term resource base (which is typical for reliable large banks with a positive reputation in banking and client circles), and secondly, the bank’s potential to meet the needs of corporate clients various sectors of the economy, the main problem of development 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. In the above example, the analyzed bank increases the volume of long-term loans, both in absolute and relative terms. The volume of loans placed for a period of one to three years increased from RUB 3,198,098 thousand. to 4,687,365 thousand rubles, or by 46%, while their share in the total loan portfolio increased from 0.5 to 0.6. Also had a high growth rate long-term loans, placed for a period of more than three years, for the analyzed period it amounted to 95%, which is a high figure. As a result, we can say that the bank under study is able to satisfy its customers with long-term resources, which increases its reputation in the market.

Long-term loan placements are the main income-generating resources for the bank, since the interest rate on such loans is higher. In this regard, an increase in their share indicates an increase in the level of profitability banking operations, and, as a consequence, the growth of bank profits. That is why some domestic banks are currently moving away from short-term lending (except for overdraft) and focusing their work on medium- and long-term loans.

Particular attention in the research process should be paid to determining the level of profitability of various types of credit products and the level of their risk, which as a result constitutes a qualitative assessment of the bank’s lending activities.

The profitability of the loan portfolio (D) is calculated by attributing the bank’s total income on loans (Dk) (items of form No. 102

“Profit and Loss Statement”) on a certain date to the value of the total loan portfolio (CP) in the same period.

The level of profitability should be analyzed over time to be able to determine trends in the development of lending activities in a given bank. For a more detailed assessment, you should calculate the profitability of each type of loan placed.

When assessing the calculated profitability indicators, it should be taken into account that the results obtained may have high errors, which is associated with the peculiarities of accounting and reporting of Form No. 102. The fact is that the volume of interest income on loans is taken into account in income accounts upon receipt. However, by the first day, when this form is generated, some of the loans had not yet received income, since the deadlines for paying interest payments by clients are stipulated in the agreement after the first day. As a result, the profitability of the total loan portfolio may be lower.

The analysis process identifies the most and least profitable types of loans. It is mandatory to study the profitability of various items of credit placements over time. Objective conclusions in this study can only be obtained by comparing the calculated profitability with the average loan rate prevailing on regional market, and also taking into account the refinancing rate of the Bank of Russia. Detected decrease credit rate in the bank under study, which occurs against the backdrop of a decrease in the regional rate of return, allows us to determine that the main reason for this situation is external reasons, for example, a decrease in demand for loans or a decrease in the refinancing rate. However, if during the analysis it was revealed that the rate in the bank under study has a negative trend at a time when it is growing in the market, the reasons for this situation should be identified. Factors that reduce the rate of return can be different - both those provided for by the bank and those that arise as a result of an unqualified approach to the asset management process. For example, the provided factors include pricing policy entry into the market, which involves a reduction in prices for credit products, or a reduction in rates on certain credit products in order to stimulate their sales, or a reduction may

occur as a result of the bank’s formation of a cheaper funding base, which allows the bank to reduce loan prices.

The assessment of the loan portfolio by risk level is carried out using four main ratios, which evaluate lending activities from three aspects:

From the risk level of the borrower himself, for which the coverage ratio is used;

From the side of supporting a credit transaction - the ratio of overdue payments on the principal debt and the coefficient of non-repayment;

On the part of ensuring the repayment of loans - the collateral ratio.

1) coverage ratio (CP) is calculated as the ratio of the reserve (P) for possible losses created by the bank to the total loan portfolio (CP):

The coefficient shows what share of the reserve falls on one ruble of the loan portfolio and allows you to assess the riskiness of the loan portfolio. An increase in this indicator is a negative side of the bank’s activities, as it indicates an increase in risk. An increase in the ratio in dynamics can occur for various reasons, firstly, as a result of an increase in the volume of the reserve for possible loan losses, and secondly, as a result of a decrease in the volume of the loan portfolio with a constant value of the reserve, both of which negatively assess the bank’s lending activities .

To identify the riskiest loans, you should calculate the share of the reserve for losses of each item of the loan portfolio to the total amount of the reserve for possible losses.

In addition, in this study it is necessary to calculate the size of the net loan portfolio, which allows us to determine what volume of placed loans will be returned to the bank under the worst circumstances. The size of the net loan portfolio is calculated as the difference between the total loan portfolio (CP) and the volume of the reserve for possible loan losses (P).

NCP = KP - R. This indicator must be studied in dynamics, which allows us to determine how effective the credit activity management policy is used in the bank. The growth in the volume of private credit positively assesses lending activities and determines the reduction of credit risk in the bank.

In addition to assessing the net loan portfolio in absolute terms, it is necessary to calculate the net loan portfolio ratio (Kchkp), which shows what share of the net portfolio accounts for one ruble of the total loan portfolio

Kchkp = ChKP.

The increase in the ratio is positively assessed by the bank and indicates both a decrease in credit risk and an increase in the profitability of bank lending operations.

It should be noted that the assessment of the net loan portfolio will be justified and objective only if both its absolute expression and the Kchkp coefficient are simultaneously taken into account. In banking practice, a situation is often observed when the absolute value of the net loan portfolio grows, but against the backdrop of a decrease in the Kchkp. This situation negatively assesses the bank’s activities from the point of view of approaches to selecting borrowers, since it indicates that the bank is increasing its loan portfolio at a higher rate than low-risk loans, i.e., we can say that the loan portfolio is increasing in this case due to risky credit placements;

2) collateral coefficient (Kob) is calculated as the ratio of the amount of collateral accepted by the bank when issuing a loan to the total amount of the loan portfolio. This coefficient allows us to assess the extent to which possible losses associated with non-repayment of loans are covered by collateral, guarantees and sureties of third parties.

The amount of collateral is reflected in the off-balance sheet accounts of Form No. 101:

Account 91311 - securities accepted as collateral for placed funds;

Account 91312 - property accepted as security for placed funds (except for securities and precious metals);

Account 91313 - precious metals taken to ensure the return of placed funds;

Account 91414 - received guarantees and warranties.

The sum of cash balances in these accounts gives the total amount of repayment of the loan portfolio.

The Cob coefficient shows what share of loan repayment provision falls on one ruble of the loan portfolio. In accordance with the law, the amount of security must exceed

the amount of the loan issued by the amount of interest accrued on the loan and possible other expenses associated with repayment of the loan, therefore the value of Cob must exceed one. The analysis of this ratio should also be carried out in dynamics, as a result of which conclusions can be drawn about during which periods the bank’s lending activities were the most risky for the bank.

To analyze the composition of the collateral accepted by the bank and its structure, a table should be generated. 5.

When forming a conclusion about the structure of collateral, you should pay attention to the fact that the borrower’s property (including precious metals and securities) is the most reliable form of collateral (especially real estate), since it has minimal losses of its market value with time. Securities should be considered by issuer, however, if the user does not have other reporting, then Form No. 101 will not allow this. Therefore, the conclusions should stipulate that if securities are accepted as collateral, the issuer of which is government agencies or securities belonging to the “blue chip” category, then the bank has high-quality collateral. The least quality security is in the form of guarantees and sureties due to the possible default of the guarantor or guarantor. In the example given, the item “Guarantees and sureties received” has growing volumes in absolute terms, but the share of this type of collateral does not exceed 0.2, which does not raise concerns about an increase in credit risk.

In the process of analysis, you should pay attention to the fact that an increase in the volume of funds in account 91414 “Received surety guarantees”, as a rule, is accompanied by a simultaneous increase in the volume of the loan portfolio issued to individuals, since currently the main part retail loans(except mortgage) issued by banks under guarantees.

3) the overdue payment ratio (CPR), which is calculated as the ratio of the amount of overdue principal debt (POD; account form No. 101 - No. 458) to the total volume of the loan portfolio (CP).

The ratio shows what share of overdue payments on the principal debt falls on one ruble of the loan portfolio, and an increase in the ratio over time indicates the bank’s ineffective policy in terms of supporting the loan transaction. The analysis is carried out similarly to the analysis of the coverage ratio, where the reasons for changes in the value of the ratio are also examined, the change in the value of the ratio over time is analyzed, and the ratio is calculated for each type of issued loans;

4) the coefficient of non-repayment of the principal amount of the debt (Kn), which is calculated as the ratio of the amount of debt for the amount of the principal debt written off due to the impossibility of collection (cash funds are accounted for in off-balance sheet accounts 91801, 91802) to the total loan portfolio.

An increase in the ratio can occur for two reasons: firstly, as a result of an increase in the direct volume of written-off principal debt against the backdrop of a weakly growing high-quality loan portfolio, which is a negative result and in the short term can lead to bankruptcy of the bank. Secondly, due to a decrease in the volume of the loan portfolio while the amount of debt written off remains unchanged, which makes it possible to judge the presence of measures taken by the bank to improve the quality of lending activities.

As a result of the study, conclusions can be drawn about the total banking risk. In particular, if coverage ratios for overdue payments

Table 5

Classification of types of loan repayment collateral in a commercial bank

Type of loan repayment collateral Period 1 Period 2 Period N

thousand roubles. share of thousand rubles share of thousand rubles share

Securities accepted as collateral for issued 1,346,867 0.2 1,235,678 0.14 1,348,521 0.14

loans

Guarantees and sureties received 1,066,380 0.15 1,750,217 0.2 1,631,255 0.18

Property accepted by the bank (except for valuables 4,687,230 0.66 5,248,672 0.66 6,025,458 0.66

papers and precious metals)

Precious metals reserved in 0 - 0 - 0 -

as collateral

Total collateral 7,100,567,100 8,234,567,100 9,005 324,100

Table 6

Profitability ratios for credit investments

K1 Makes it possible to assess the profitability of the loan portfolio (Prot. income - Prot. expenses) / Loan investments 0.6 - 1.4

K2 Reflects the share of the bank’s interest margin in its capital (Proc. income-Proc. expenses) / Bank capital 10 - 20

KZ Shows the profitability of loan investments (Proc. income - Proc. expenses) / Net loan portfolio 2 - 3.5

K4 Characterizes the real return on credit investments Percent. income (received) /Net loan portfolio

and non-repayment increase their values in dynamics, and the collateral ratio decreases, then a conclusion is drawn about an increase in credit risk in the process of the bank’s lending activities. In the case of unstable dynamics of each coefficient, one can indicate that the bank is monitoring and implementing various measures to maintain the level of risk at a level sufficient for it.

Regulation of the level of risk assumed by a commercial bank is also carried out by the Bank of Russia as the main regulator of the activities of commercial banks, which has developed a number of risk standards, the implementation of which is mandatory for a commercial bank3.

In particular, the Bank of Russia controls the lending activities of banks through the latter’s compliance with the following mandatory standards.

Standard N6 - maximum size the risk per borrower or group of related borrowers is limited credit risk bank in relation to one borrower or a group of related borrowers and determines the maximum ratio of the total amount credit requirements to them to the bank's own capital. This standard is calculated as

H6 = ^ x 100, SC

where Krz is the total amount of the bank’s credit claims to the borrower or group of related borrowers,

The Bank of Russia has established that this ratio (standard) cannot be more than 25%.

Standard N7 - the maximum size of large credit risks limits the total amount of large credit risks of the bank and determines the maximum ratio of the total

3 Instruction of the Central Bank of the Russian Federation dated January 16, 2004 No. 110-I. “On mandatory standards for banks.”

the magnitude of large credit risks to the size of the bank's equity capital.

where V Kskr is a large credit risk determined taking into account the weighting of the risk coefficient established in relation to the corresponding asset;

SK is the bank's own capital.

A commercial bank, when carrying out lending activities, must proceed from the fact that this ratio cannot be more than 800% of its own capital.

Standard N10.1 - the total amount of risk for bank insiders. This standard limits the bank’s total credit risk in relation to all insiders, which include individuals, capable of influencing the decision to issue a loan by the bank.

The standard is calculated as follows

H10.1 = ^ " x 100,

where V KrsI" is the value of the i-th credit risk to a bank insider;

SK is the bank's own capital.

A commercial bank, when lending to an insider, must proceed from the fact that the value of this ratio cannot exceed 3% of the bank’s equity capital.

At the end of the process of researching lending activities, all previously calculated coefficients should be summarized in a common table and some new indicators should be calculated, which will ultimately make it possible to assess the quality of the bank’s loan portfolio.

All coefficients used for assessment can be classified into two groups: 1) indicators of profitability of credit investments (Table 6); 2) indicators of the quality of credit portfolio management (Table 7).

The above approach to the analysis of a bank’s loan portfolio as a result of its

Table 7

Quality factors for bank loan portfolio management

Coefficient Characteristic Calculation of coefficient Optimum, %

K5 Characterizes the quality of management of the bank’s loan portfolio in terms of the volume of “non-performing” loan investments (rolled over and overdue) Loan investments that do not generate income / Bank assets 0.5 - 3

K6 Detailed assessment of the quality of loan portfolio management Loan investments that do not generate income / Loan investments only 3 - 7

K7 Allows you to assess the extent to which attracted resources are used in the bank’s income-generating operations Loan investments total/Deposits 1 or less

K8 Characterizes the share of high-quality loans (Credit investments Overdue loans) /Credit investments No, is studied over time

K9 Reflects the degree of coverage of possible losses from non-returns. (The lower its denominator, the better) Volume of loan reserves/Loan investments that do not generate income (overdue payments on the principal debt) No, is studied in dynamics

credit activity, in our opinion, seems to be the most complete and accessible to external users, since it is based on information materials openly published by banks in relevant sources.

Literature

1. Comprehensive analysis financial and economic results of the bank and its branches / L. T. Gilyarovskaya, S. N. Panevina. - St. Petersburg: Peter, 2003. - 240 p.

2. Assessment of the market value of a commercial bank. Methodological developments. -M.: Maro-seika, 2007. - 224 p.

3. Shcherbakova G. N. Analysis of banking activities (based on reporting compiled according to Russian and international standards) / Galina Shcherbakova. - M.: Vershina, 2006. - 464 p.

4. Economic analysis of the activities of a commercial bank. - Textbook manual / Veshkin Yu. G., Avagyan G. L. -M.: Master, 2007. - 350 p.

5. Economic analysis of the activities of a commercial bank. Ed. 2nd, revised and additional: Textbook for universities. - M.: Logos, 2005.

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The quantitative analysis is followed by an analysis of the quality of the loan portfolio. For this purpose, various relative indicators are used, calculated on a specific date. These include, for example, the share of problem loans in the entire loan portfolio, assess the share of overdue debt, etc. Based on the qualitative characteristics of the loan portfolio, one can assess compliance with lending principles and the degree of risk of lending operations, and the liquidity prospects of a given bank.

Analysis of the loan portfolio by degree of maturity allows you to make a preliminary assessment of the risk of the portfolio and its profitability. The connection in this case will be this: the longer-term loans the bank issues, the more income it receives, and the more risky this portfolio can be called. The risk arises from the fact that the bank does not have the ability to reliably assess the possible default of the borrower in the long term, so high-quality loans can become substandard after a certain period of time, especially during periods of economic instability.

Therefore, the purpose of analyzing the maturity of a loan portfolio is to determine the degree of its diversification by placement period. We will call a portfolio diversified in which loans are evenly distributed across each of the maturity items (Table 6).

A positive thing is the increase in the share of long-term loans in the structure of the loan portfolio, which indicates, firstly, that the bank has a long-term resource base (which is typical for reliable large banks with a positive reputation in banking and client circles), and secondly, the potential bank in meeting the needs of corporate clients in various sectors of the economy. The growth in the dynamics of this type of credit placement allows the bank to be assessed as meeting the needs of the market, which raises its reputation among clients, and, consequently, adds competitive advantages.

In addition, 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. That is why some domestic banks are currently moving away from short-term lending (except for overdraft) and focusing their work on medium- and long-term loans.

This is what an analysis of a bank’s loan portfolio by placement period might look like.

Table 6. Analysis of the dynamics of the loan portfolio of Bank A OJSC by terms of placement of funds on loans.

Index	Change 2005-2006	Change 2006-2007
Index	Change 2005-2006	Change 2006-2007
Loan provided on demand and overdraft
For up to 30 days
For a period from 31 to 90 days
For a period from 91 to 180 days
For a period from 181 to 1 year
For a period from 1 year to 3 years
For a period over 3 years

The data in Table 6 shows that the analyzed bank changed priorities in terms of forming the structure of the loan portfolio. Thus, if in 2006 the main share of loans was issued for a period from 91 to 180 days, then in 2008 the terms of placement of loans were reduced, and the main share began to belong to loans placed by the bank for a period from 31 to 90 days. Thus, we can conclude that the bank’s loan portfolio has become short-term in nature, which can be explained either by the short-term nature of the bank’s resource base or by an increase in credit risks.

The identified trends may positively characterize the bank in terms of credit risk management, however, such loans do not allow the bank to receive sufficient income, and enterprises real sector- decide your financial difficulties, which negatively characterizes the bank as a credit donor.

It should be noted that, in general, the current stage of lending in Russia is predominantly short-term in nature. These are mainly loans serving the circulation of working capital and the current needs of clients.

In addition to analyzing the bank’s lending activities reflected in the balance sheet accounts of Form No. 101, it is necessary to pay attention to and examine the bank’s activities in terms of executed transactions on credit lines.

A line of credit is a form of loan in which the creditor bank undertakes to issue funds to the borrower on terms of urgency, payment and repayment over a certain period of time in shares specified in the agreement.

This form is convenient, first of all, for the client because to receive next loan he does not need to draw up a new package of documents and undergo approval for this loan from the bank.

The reflection of credit lines on off-balance sheet accounts is explained by the fact that these are obligations of the bank, but have not yet been realized in time. To record these obligations of the bank, special accounts are used. The transfer of part of the loan from off-balance sheet accounts to balance sheet accounts is carried out at the moment the bank transfers part of the loan to the borrower’s current account. From this moment, the bank’s obligations turn into requirements for the borrower.

The Bank of Russia provides for the existence of two types of credit lines - “under the issuance limit” and “under the debt limit”. A combined form is also provided, including both of these conditions.

“Issuance limit” means the bank’s conclusion of an agreement with the client, the condition of which is the issuance of a certain amount of funds (cumulatively). The loan is issued in tranches; when the last tranche is issued, when the total amount of funds issued reaches a value equal to the amount of the agreement, the credit line is considered exhausted, regardless of whether the borrower has repaid the loan. Unpaid, but reserved funds under the credit line are accounted for in off-balance sheet account 91316. These funds are essentially a loan, but until they are paid, they are considered to be the bank's liabilities.

The “debt limit” means the issuance of funds to the client in the form of a loan, provided that the client repays part of the previously received funds to the amount stipulated by the bank in the agreement. A new tranche of the credit line is issued only when the client’s maximum debt to the bank is equal to that stipulated in the loan agreement. The funds reserved for this type of credit line are accounted by the bank in off-balance sheet account 91317.

Studies of cash balances in these accounts are carried out in dynamics, as a result of which a forecast is made about the volume of funds that will be placed by the bank in the future.

The assessment of the loan portfolio by risk level is carried out using four main ratios, which evaluate lending activities from three aspects:

From the risk level of the borrower himself, for which the coverage ratio is used;

From the side of supporting a credit transaction - the ratio of overdue payments on the principal debt and the coefficient of non-repayment;

On the part of ensuring the repayment of loans - the collateral ratio.

1) coverage ratio (KP) is calculated as the reserve ratio ( R) for possible losses created by the bank to the total loan portfolio ( KP):

The coefficient shows what share of the reserve falls on one ruble of the loan portfolio and allows you to assess the riskiness of the loan portfolio. An increase in this indicator is a negative side of the bank’s activities, because indicates an increase in risk. An increase in the ratio over time can occur for various reasons: firstly, as a result of an increase in the volume of reserves for possible loan losses; Secondly, as a result of a decrease in the volume of the loan portfolio with a constant reserve value. Both reasons negatively assess the bank’s lending activities.

To identify the riskiest loans, you should calculate the share of the reserve for possible losses for each item of the loan portfolio to the total amount of the reserve for possible losses.

In addition, in this study it is necessary to calculate the size of the net loan portfolio, which allows us to determine how much of the placed loans will be returned to the bank under the worst circumstances. The value of the net loan portfolio is calculated as the difference between the total loan portfolio (KP) and the amount of reserve for possible loan losses (R):

This indicator needs to be studied over time, which allows us to determine how effective the credit management policy is used in the bank. The growth in the volume of private credit positively assesses lending activities and determines the reduction of credit risk in the bank.

In addition to assessing the net loan portfolio in absolute terms, one should calculate the net loan portfolio ratio ( Kchkp), which shows what share of the net portfolio accounts for one ruble of the total loan portfolio:

The increase in the ratio is positively assessed by the bank and indicates both a decrease in credit risk and an increase in the profitability of bank lending operations.

It should be noted that the assessment of the net loan portfolio will be justified and objective only if both its absolute expression and the coefficient are simultaneously taken into account Kchkp. In banking practice, a situation is often observed when the absolute value of the net loan portfolio grows, but against the backdrop of a decline Kchkp. This situation negatively assesses the bank’s activities in terms of approaches to selecting borrowers, because indicates that the bank is growing its loan portfolio at a faster rate than if it were only low-risk loans. That is, we can say that the loan portfolio increases in this case due to risky loan placements.

2)Collateral ratio (Cob) is calculated as the ratio of the amount of collateral accepted by the bank when issuing a loan to the total amount of the loan portfolio. This coefficient allows us to assess the extent to which possible losses associated with non-repayment of loans are covered by collateral, guarantees and sureties of third parties.

The amount of collateral is reflected in the off-balance sheet accounts of Form No. 101:

Account 91311 - securities accepted as collateral for placed funds;

Account 91312 - property accepted as security for placed funds (except for securities and precious metals);

Account 91313 - precious metals, accepted to ensure the return of placed funds;

Account 91414 - received guarantees and warranties.

The sum of cash balances in these accounts gives the total amount of repayment of the loan portfolio.

Coefficient Cob shows what share of loan repayment security falls on one ruble of the loan portfolio. In accordance with the law, the amount of security must exceed the amount of the issued loan by the amount of interest accrued on the loan and possible other expenses associated with repayment of the loan, therefore the amount Cob must exceed one. The analysis of this ratio should also be carried out in dynamics, as a result of which conclusions can be drawn about during which periods the bank’s lending activities were the most risky for the bank.

To analyze the composition of the collateral accepted by the bank and its structure, Table 7 should be generated.

Table 7. Classification of types of loan repayment collateral in a commercial bank.

Type of loan repayment security
Type of loan repayment security
Securities accepted as collateral for loans issued
Received guarantees and warranties
Property accepted by the bank (except for securities and precious metals)
Precious metals reserved as collateral.
Total collateral

When forming a conclusion about the collateral structure, you should pay attention to the fact that the borrower’s property (including precious metals and securities) is the most reliable form of collateral (especially real estate), because has minimal loss of its market value over time. Securities should be considered by issuer, however, if the user does not have other reporting, then Form No. 101 will not allow this. Therefore, the conclusions should stipulate that if securities are accepted as collateral, the issuer of which is government agencies or securities belonging to the “blue chip” category, then the bank has high-quality collateral. The least quality security is in the form of guarantees and sureties due to the possible default of the guarantor or guarantor.

During the analysis, you should pay attention to the fact that an increase in the volume of funds in account 91414 “Guarantees and guarantees received”, as a rule, is accompanied by a simultaneous increase in the volume of the loan portfolio issued to individuals, because Currently, the bulk of retail loans (except mortgages) are issued by banks against guarantees.

The overdue payment ratio (CPR) is calculated as the ratio of the amount of overdue principal debt (PO; account form No. 101 No. 458) to the total volume of the loan portfolio (CP):

The coefficient of non-repayment of the principal amount of debt (Kn) is calculated as the ratio of the amount of debt for the amount of the principal debt written off due to the impossibility of collection (cash funds are accounted for in off-balance sheet accounts 91801, 91802) to the total loan portfolio.

As a result of the study, conclusions can be drawn about the total banking risk. In particular, if the coverage ratios, late payments, and non-repayment ratios increase their values in dynamics, and the collateral ratio decreases, then a conclusion is drawn about an increase in credit risk in the process of the bank’s lending activities. In the case of unstable dynamics of each coefficient, one can indicate that the bank is monitoring and implementing various measures to maintain the level of risk at a level sufficient for it.

This is, for example, what an analysis of the quality of the loan portfolio by risk of Bank A might look like.

Table 8. Loan portfolio assessment by risk level


Coverage factor (Kp)	1742272/ 153721263=	3605016/ 300990802=	7304941/ 650600396=0,0112
Net loan portfolio (NCP)	153721263-1742272=	300990802-3605016=	650600396-7304941=
Net loan portfolio ratio (Kchkp)	151978991/153721263=	297385786/300990802=	643295455/650600396=
Overdue payment ratio (LPR)		4294435/ 300990802=0,014	14994418/ 650600396=0,023
Collateral Ratio (Kob)	673915262/ 153721263=4,384	1351770870/ 300990802=4,5	2155486303/ 650600396=3,31
Principal non-repayment ratio (Kn)	32730/ 153721263=2,13	97443/ 300990802=3,24	111373/ 650600396=1,711

As the analysis showed, the coverage ratio is extremely low, which indicates the high quality of the loan portfolio of Bank A; in general, for every ruble of the loan portfolio, the bank creates 1 kopeck of reserve. The insignificant dynamics of this ratio does not have a negative impact on the quality of the loan portfolio.

According to the calculation results, the net loan portfolio indicator shows positive dynamics, both in absolute and relative terms. Therefore, we can say that the bank is doing effective work to manage lending activities in terms of reducing risk.

The value of the overdue payment ratio is growing, which allows us to conclude that the credit risk in the bank is increasing. However, in general, this coefficient is insignificant, which positively assesses the bank’s lending activities from the point of view of risk management.

In order to assess the quality of ensuring the repayment of the loan portfolio, the collateral ratio was calculated. This coefficient is greater than one, which allows us to conclude that the amount of valuables, guarantees and sureties accepted by the bank will be able to cover the debts of clients in the event of their failure to return the funds received from the bank. Even a reduction in the ratio to 3.31 is not critical for the bank.

The profitability of the loan portfolio also allows us to qualitatively assess the bank's loan portfolio. Profitability is calculated by attributing the bank’s total income on loans (Lk) (items of form No. 102 “Profit and Loss Statement”) to the value of the total loan portfolio (KP). The level of profitability should be analyzed over time to be able to determine trends in the development of lending activities in a given bank. For a more detailed assessment, the profitability of each type of placed loans should be calculated (Table 9).

Table 9. Analysis of the profitability of commercial bank loan investments.

Factors that reduce the rate of return can be different, both those provided for by the bank and those that arise as a result of an unqualified approach to the asset management process. So, for example, the provided factors include the pricing policy of entering the market, which implies a reduction in prices for credit products, or a reduction in the rate on certain credit products in order to stimulate their implementation, or the reduction may occur as a result of the formation by the bank of a cheaper funding base, which allows bank to reduce loan prices.

Practical use this approach to the analysis of the profitability of the loan portfolio showed the following.

Table 10. Analysis of the profitability of commercial bank loan investments.

As a result of the calculations carried out in Table 10, we can conclude that the profitability of the loan portfolio is increasing.

All coefficients used for assessment can be classified into three groups: indicators of profitability of credit investments (Table 11); indicators of the quality of loan portfolio management (Table 12).

Table 11. Return on credit investments.

Coefficient	Characteristic	Calculation of coefficient	Optimum,%
	Allows you to evaluate the profitability of your loan portfolio	(Proc. income - Proc. expenses)/Credit investments
	Reflects the share of the bank's interest margin in its capital	(Proc. income - Proc. expenses)/Bank capital
	Shows the profitability of credit investments	(Proc. income - Proc. expenses)/Net loan portfolio
	Characterizes the real profitability of credit investments	Interest income (received) /Net loan portfolio

Table 12. Quality factors for bank loan portfolio management

Coefficient	Characteristic	Calculation of coefficient	Optimum,%
	Characterizes the quality of management of the bank’s loan portfolio in terms of the volume of “non-performing” loan investments (rolled over and overdue)	Credit investment, not generating income/ Bank assets
	Detailed assessment of the quality of loan portfolio management	Credit investment, not generating income / Credit investment total
	Allows you to assess the extent to which attracted resources are used in the bank’s income-generating operations	Total investment credit/Deposits	1 or less
	Characterizes the share of quality loans	(Credit.investment-Credit.overdue)/Credit.investment	No, it is studied in dynamics
	Reflects the degree of coverage of possible losses from non-returns (the smaller its denominator, the better)	The volume of provisions for loans/Credit investments that do not generate income (overdue payments on the principal debt)	No, it is studied in dynamics

To be continued.

Loan portfolio is a set of loans issued by a bank. It is considered by the bank as a single management object with a structure (directions of investments and types of loans, types of borrowers, lending conditions, etc.), profitability, and total risk. Characteristics of the loan portfolio:

amount of loans issued;
weighted average interest rate;
weighted average loan term;
riskiness (share of overdue loans and provision of reserves);
concentration (share of large loans);
diversification (the share of a group of loans that is dominant by any characteristic).

The assessment of the loan portfolio is based on an analysis of its quality. Regulatory acts The Bank of Russia has established 4 groups for assessing the quality of loans:

1st – standard loans (virtually risk-free);
2nd – non-standard loans (moderate level of risk of non-repayment);
3rd – doubtful loans (high level of risk of non-repayment);
4th – bad loans (the probability of repayment is almost zero, the loan represents the actual loss of the bank).

Loan portfolio structure

The volume and structure of the loan portfolio of a particular commercial bank is determined by a number of factors:

1. Specifics of the market sector served by the bank. The influence of this factor on the volume and structure of the loan portfolio is determined by the credit specifics of a commercial bank in certain sectors of the economy, types of loans provided and borrowers;

2. The amount of bank capital. This factor determines limit amount loan (limiting factor) provided to an individual borrower, and the bank as a wholesale or retail lender;

3. Rules for regulating banking activities. This factor determines the establishment of credit risk standards, restrictions and/or prohibitions on the provision of certain types of loans. The degree of influence of this factor is determined legislatively in the form of resolutions of the National Bank of the Republic of Kazakhstan, approval of instructions and mandatory standards for banking activities;

4. Bank credit policy, which defines the goals and priority areas lending to a specific commercial bank;

5. Experience and qualifications of bank managers. The influence of this factor is determined by the fact that the bank provides loans that cannot be professionally assessed by bank specialists;

6. Expected bank income from lending operations. This factor involves the bank using those types of lending that provide a higher level of profitability for the bank;

7. The level of profitability of other areas of investment of funds. Yes, when equal conditions profitability of various types of assets of a commercial bank, preference is given to the least risky areas for placing funds, although they are less profitable.

Loan portfolio quality

The quality of a loan portfolio is understood as a property that can maximize the level of profitability at an acceptable level of credit risk and liquidity. Let's consider the content of individual criteria for assessing the quality of a commercial bank's loan portfolio.

1. Degree of credit risk. Credit risk associated with a loan portfolio is the risk of loss that arises due to default by a lender or counterparty. The loan portfolio of a commercial bank has the risk of losses that arise as a result of default by a lender or counterparty. The loan portfolio is segmented into:

loans provided to legal, physical, financial organizations;
factoring debt;
issued guarantees;
discounted bills, etc.

Assessing the degree of risk of a loan portfolio has its own peculiarities. First, the total risk depends on:

the degree of credit risk of individual portfolio segments, the assessment methods of which have both common features, and features related to the specifics of the segment;
diversification of the structure of the loan portfolio and individual segments.

Secondly, to assess the degree of credit risk, you need a system of indicators that takes into account many aspects.

2. Level of profitability of the bank's loan portfolio. Since the goal of a bank’s operation is maximum profit at an acceptable level of risks, the profitability of the loan portfolio is a criterion 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, the practice is to refuse to accrue interest, and the main thing is to repay the principal debt.

In Russian practice, mandatory interest accrual is regulated. The level of profitability of the loan portfolio is determined both by the level of interest rates on loans provided and by the timeliness of payment of interest and the amount of principal.

The profitability of a commercial bank's loan portfolio has a lower and an 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 of the portfolio is the level of sufficient margin. The profitability of a commercial bank's loan portfolio directly depends on the volume and structure, which are determined by a number of factors. Let us highlight the main ones:

Specifics of the market sector served by the bank. The influence of this factor on the volume and structure of the loan portfolio is determined by the credit specifics of a commercial bank in certain sectors of the economy, types of loans provided and borrowers;
The size of the bank's capital. This factor determines the maximum amount of credit (limiting factor) provided to an individual borrower, and the bank as a wholesale or retail lender;
Rules for regulating banking activities. This factor determines the establishment of credit risk standards, restrictions and/or prohibitions on the provision of certain types of loans. The degree of influence of this factor is determined by legislation, approval of instructions and mandatory standards for banking activities.

IN modern conditions Banks strive to increase profits by offering customers a large number of loan products. In this way, two goals are achieved at once: on the one hand, to reduce credit risk, the bank diversifies its loan portfolio, which allows it to compensate for possible losses from some transactions with profits from others.

3. Level of liquidity of the loan portfolio. Since the level of liquidity of a commercial bank is determined by the quality of assets and the quality of the loan portfolio, it is important that the loans provided by the bank are repaid within the terms established by the agreements, or whether the bank could sell the loans due to their quality and profitability. The higher the share of loans classified into the best groups, the higher the liquidity.

The following arguments support the use of criteria for assessing the quality of a commercial bank’s loan portfolio (degree of credit risk, level of profitability and liquidity). Low risk 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, do not bring high income. As a rule, the high liquidity inherent in short-term credit assets brings a commercial bank low interest income.

Thus, credit risk is not the only criterion for the quality of a bank’s loan portfolio, since the concept of loan portfolio quality is broader and is associated with the risks of liquidity and loss of profitability by the bank. However, the significance of these criteria will vary depending on the conditions, place of operation of the bank, as well as its strategy.

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Khalilova M.Kh. 1, Sergeeva S.M. 2

1 ORCID: 0000-0001-7312-2517, Doctor of Economics, Professor, 2 ORCID: 0000-0003-0105-9621, Master of Economics, St. Petersburg State University

ASSESSMENT OF THE QUALITY OF THE BANK’S LOAN PORTFOLIO

annotation

The article discusses the problems of assessing a bank's loan portfolio and analyzes changes in the quality of the loan portfolio. Recommendations are proposed for making management decisions by the bank's risk management, which can be aimed at increasing its efficiency.

Keywords: banks, bank credit risk, bank loan portfolio, bank risk management.

Khalilova M.Kh. 1 , Sergeeva S.M. 2

1 ORCID: 0000-0001-7312-2517, PhD in Economics, Professor, 2 ORCID: 0000-0003-0105-9621, Master of Economics, St. Petersburg State University

QUALITY ASSESSMENT OF THE BANK LOAN PORTFOLIO

Abstract

The article investigates the assessment of the loan portfolio, analyzes changes in the quality of the loan portfolio and proposes recommendations to take effective decisions of the risk management of the bank, which would be aimed at improving its quality.

Keywords: banks, credit risk of the bank, the bank’s loan portfolio, bank risk-management.

The Russian banking system periodically faces crisis phenomena that have a significant impact on the conditions of economic activity and its development. Now the economy and banking sector Russia is experiencing negative processes caused by devaluation national currency, increase interest rates and strengthening of inflationary processes. Therefore, the relevance of this study is due to the need to improve theoretical and practical methods for constructing a comprehensive assessment system and methods effective management quality of loan portfolios of Russian banks.

The purpose of the study is to develop methodological and practical approaches to assess the quality of the loan portfolio and offer recommendations for making effective decisions on the part of the bank's risk management that can improve its quality.

Lending continues to be the main type of banking activity. This makes the credit risk assessment process a top priority for risk management. Banks develop policies and procedures to identify, control and manage credit risk, as well as related provisions and methodologies. An important role in assessing credit risk is played by identifying the main segments for assessment purposes. financial condition counterparty.

The bank's management structures, the Board of Directors and the Management Board of the Bank, as well as the Credit Committee, develop and approve the Bank's credit policy, conduct risk reports on a regular basis, which allow assessing the state of the loan portfolio and assessing the effectiveness of credit risk management within the framework of the assumed powers.

The source of banking credit risk in scientific research on risk management and in banking practice is considered default, that is, the actual non-fulfillment or incomplete fulfillment by the borrower client of the prescribed conditions loan agreement(contract).

The formation of credit risk occurs due to various factors that depend both on the borrower himself and on the bank’s policy. The most significant factors that have a strong influence are the creditworthiness of the counterparty and the nature of the transaction. An essential factor that influences the value of a bank’s credit risk includes the organization of the credit process itself.

Significant components of the organization of the credit process, which allow managing bank credit risk, are: development of methodological documents that would allow regulating credit transactions; establishing clear procedures for reviewing questionnaires and applications; reliability of received loan approvals, development mandatory requirements to maintain the borrower’s credit file; effective control over the existence of a justification for the loan issued and the reality of sources for its repayment; implementation of the work of the bank’s analytical department, as well as a high degree of customer awareness.

When assessing the quality of a loan portfolio, experts use a system that includes both absolute and relative indicators that allow them to take into account the share of individual loans in the structure of the loan portfolio.

The quality coefficient of the loan portfolio can be represented as the ratio of overdue debt on credit operations to the amount of all debt on loans, that is, loan debt taken without interest:

where PZS is overdue loans,

LS – loan debt.

According to methodological recommendations Central Bank RF is determined by the ratio of the estimated reserve for possible losses and damages on loans to the total amount of debt on the principal debt. A value exceeding 10% indicates a high value of the bank’s credit risk. In Fig. 1 shows the dynamics of change for the 30 largest banks in the Russian Federation.

Rice. 1 – Dynamics of overdue debt and RRP.

Having analyzed analytical materials, published Central Bank RF, it was revealed that the annual growth rate of loans is growing at a lower rate than the growth of loan arrears and equivalent debt. This indicates ineffective bank management policies

To solve problems with problem loans, banks are beginning to restructure previously issued loans, hoping for the recovery of borrowers. Due to the deterioration economic situation, the volume of overdue debt increases. In the long term, banks further deteriorate the quality and structure of the loan portfolio (Fig. 1, Table 1).

Table 1 – Loan portfolio structure

	01.01.2015	01.04.2015	01.07.2015	01.10.2015	01.01.2016	01.02.2016
I quality category	63,80%	63,30%	61,70%	61,50%	58,60%	57,20%
II quality category	24,70%	23,60%	24,50%	24,80%	27,20%	28,30%
III quality category	5,90%	7,20%	7,20%	7,20%	7,70%	7,90%
IV and V quality categories	5,60%	5,90%	6,60%	6,50%	6,50%	6,60%

All banks, trying to improve the quality of their loan portfolio, are faced with choosing their strategy. Some credit institutions prefer to create a risk-neutral loan portfolio, which is characterized by a low degree of risk and a low level of profitability.

A number of banks prefer to form a balanced portfolio of loans, in which it is possible to increase the share of risk, allowing them to strengthen their competitive advantages or attract new borrowers.

Most preferred is optimal portfolio loans. It implies complete correspondence between the general line of development banking structure and planned indicators.

A well-formed loan portfolio is capable of ensuring the maximum level of profit with a given value of credit risk and the existing liquidity of the bank balance sheet.

In order to manage credit risk, banks implement a balanced limit policy. Banking limits are established in the context of areas of activity, taking into account the specifics of the operations being carried out.

The study presents a set of key parameters, according to which the limits are set for bank counterparties individually in order to limit the risks of transactions carried out with them:

the borrower's creditworthiness and financial stability;
client's credit history and reputation;
industry and regional affiliation of the borrower;
specificity of the requested credit product and the risks associated with it;
level of collateral for a credit transaction;
market conditions and macroeconomic situation observed in the industry, region and country.

When managing credit risk, banks set portfolio limits in order to limit the total amount of credit risk for borrowers associated with the Bank, for companies belonging to the same industry, as well as for transactions with clients exposed to banking risks.

For lending operations, banks create reserves adequate to the risks assumed. Throughout the entire period of validity of concluded credit transactions, banks periodically monitor the creditworthiness of borrowers and their payment discipline, evaluate the proposed collateral and carry out subsequent monitoring of changes in its liquidity and market value, as well as regularly monitor the entire loan portfolio of the bank, taking into account the main client segments.

In order to introduce various approaches to managing bank credit risk, the basis of which is world practice, as well as the recommendations of the Basel Committee on Banking Supervision, credit institutions are developing special methods for assessing credit risk, which make it possible to assign an internal rating to each borrower and assess the likelihood of default. The models being developed make it possible to estimate the value at risk at the time of the borrower's default and the expected amount of losses. In order to increase the profitability of ongoing credit operations and the efficiency of using banking economic capital in credit process integrate the RAROC indicator - risk-adjusted return on capital (Risk-adjusted Return on Capital), which implies the establishment of a planned value of the relative indicator and subsequent monitoring of its compliance. Periodically, banks conduct stress testing of their loan portfolio, which allows them to identify possible consequences macro- and microeconomic events and respond adequately to their manifestations.

Taking into account the growth of currency and macroeconomic risks, banks are developing measures aimed at strengthening approaches to managing the quality of the loan portfolio. In particular, banks are beginning to introduce increased requirements for financial stability the borrower and the quality of the collateral he offers for a number of industries and areas of activity that may be most affected or have already been affected by the deterioration of the market situation. Priority is given mainly to lending to clients who have high creditworthiness and are able to provide reliable and liquid collateral for existing obligations to banks.

Thus, when analyzing banking activities, the structure and quality of the bank’s loan portfolio are significant indicators. In addition, these indicators can influence the rating assigned to a credit institution. Therefore, building a bank’s risk management system should be carried out in such a way as to ensure the greatest profit from lending activities while minimizing the associated credit risk. This is a rather difficult task that requires a competent approach.

Literature

Khalilova M.Kh., Belousova A.A. Adequacy own funds(capital) of the bank: assessment and forecast // Economics and entrepreneurship. 2014. No. 12-4 (53-4). pp. 516-519.
Khalilova M.Kh., Polynov S.M. Indicators of bank financial stability // Financial world. Edited by V.V. Ivanov and E.A. Pochikovskaya. Moscow, 2014. pp. 60-67.
Federal Law of December 2, 1990 N 395-I “On Banks and Banking Activities”.
Regulation of the Bank of Russia dated March 26, 2004 N 254-P “On the procedure for credit institutions to form reserves for possible loan losses.”
Instruction of the Bank of Russia dated December 3, 2012 N 139-I “On mandatory standards for banks.”
Volkova, O.N. Analysis of factors influencing the formation of the loan portfolio of Russian banks / O.N. Volkova, S.I. Gruzdev // Finance and credit. 2013. No. 45(183)
Grebenik, T.V. Quality of the loan portfolio of Russian banks: features of assessment and management / T.V. Grebenik, E.P. Ternovskaya // Electronic periodical “Science Studies”. – 2014. – No. 3 (22).
Pustovalova T. A., Kutuev R. R. Management of credit risk of a commercial bank’s loan portfolio // Bulletin of St. Petersburg State University. – 2008. – Ser. 8. – Issue 1. – 40 p.

References

Khalilova M.K., Belousova A.A. Dostatochnost’ sobstvennykh sredstv (kapitala) banka: otsenka i prognoz // Ekonomika i predprinimatel’stvo. 2014. No. 12-4 (53-4). S. 516-519.
Khalilova M.K., Polynov S.M. Indikatory finansovoy ustoychivosti banka // Finansovyy mir. Pod redaktsiyey V. V. Ivanova i Ye. A. Pochikovskoy. Moskva, 2014. S. 60-67.
Federal'nyy zakon from December 2, 1990. N 395-I “O bankakh i bankovskoy deyatel’nosti.”
Polozheniye Banka Rossii from March 26, 2004. N 254-P “O poryadke formirovaniya kreditnymi organizatsiyami rezervov na vozmozhnyye poteri po ssudam.”
Instruktsiya Banka Rossii ot 03.12.2012 N 139-I “Ob obyazatel’nykh normativakh bankov”.
Volkova, O.N. Analiz faktorov, vliyayushchikh na formirovaniye kreditnogo portfelya rossiyskikh bankov/ O.N. Volkova, S.I. Gruzdev // Finance i kredit. 2013. No. 45(183)
Grebenik, T.V. Kachestvo kreditnogo portfelya rossiyskikh bankov: osobennosti otsenki i upravleniya / T.V. Grebenik, Ye.P. Ternovskaya // Elektronnoye periodicheskoye izdaniye “Naukovedeniye”. – 2014. – No. 3 (22).
Pustovalova T. A., Kutuyev R. R. Upravleniye kreditnym riskom kreditnogo portfelya kommercheskogo banka // Vestnik SPbGU. – 2008. – Ser. 8. – Vypusk 1. – 40 c.

In domestic banking practice, most often only their own analysis of the quality of the loan portfolio is carried out, based on determining the total financial ratios that have a direct impact on him. These coefficients are considered in dynamics and in comparison with each other.

The quality of a bank's loan portfolio can be assessed based on the calculation of a number of relative indicators and coefficients in certain areas of analysis.

Assessing the riskiness of a bank's lending activities.

The indicators of this group make it possible to determine the level of risk of the bank’s loan portfolio, its dynamics (growth, reduction, stabilization), as well as the quality of the loan portfolio from a risk perspective.

Coverage ratio (an indicator of the average degree of credit risk).

where RVPS are reserves for possible loan losses,

KP - volume of the loan portfolio.

The coefficient shows what share of the reserve falls on one ruble of the loan portfolio and allows you to assess the riskiness of the loan portfolio.

An indicator of the degree of protection of a bank from total credit risk.

where CC is the bank’s own funds (capital).

Clean loan portfolio.

ChKP = KP - RVPS (3)

The indicator allows you to determine what volume of placed loans will be returned to the bank under the worst circumstances.

Net loan portfolio ratio.

The increase in the ratio is positively assessed by the bank and indicates both a decrease in credit risk and an increase in the profitability of bank lending operations.

Assessing the “problematic nature” of the loan portfolio.

It allows for early diagnosis of the “problem part” of the loan portfolio. In this case, the problematic part of the loan portfolio will be understood as the presence in the portfolio of overdue loans and uncollectible loans.

Late payment ratio.

where Pr is the amount of the overdue principal debt.

An increase in the ratio over time indicates the bank’s ineffective policy in terms of supporting a credit transaction.

Principal default rate.

where ODnv is the principal debt written off due to impossibility of collection.

The indicator characterizes the percentage of loans written off. The criterion value is usually 1.5%.

Assessing the security of loan investments.

Allows you to determine the sufficiency and quality of collateral accepted by the bank from borrower clients for loans provided

Collateral ratio.

where About is the amount of collateral accepted by the bank.

The coefficient allows you to assess the extent to which possible losses associated with non-repayment of loans are covered by collateral, guarantees and sureties of third parties. Recommended indicator value: Kob?100%

Property collateral ratio.

where I is the volume of property accepted as collateral.

This coefficient reflects the level of coverage of loan investments in the event of their non-repayment by the most stable type of collateral - property. Desired value of the indicator: Ki? 100%, but it should not be less than 0.5 (50%).

Standards reflecting the level of credit risk of the bank.

Standard N6 - the maximum amount of risk per borrower or group of related borrowers. Limits the bank's credit risk in relation to one borrower or a group of related borrowers and determines the maximum ratio of the total amount of credit claims against them to the bank's equity capital. The calculation uses a formula.

where Krz is the total amount of the bank’s credit claims to the borrower or group of related borrowers,

The Bank of Russia has established that this ratio cannot be more than 25%.

Standard N7 - the maximum size of large credit risks. Limits the total amount of large credit risks to the size of the bank's equity capital.

where is a large credit risk determined taking into account the weighting of the risk coefficient established in relation to the relevant asset,

SK is the bank's own capital.

A commercial bank, when carrying out lending activities, must proceed from the fact that this ratio cannot be more than 800% of its own capital.

Standard N10.1 - the total amount of risk for bank insiders. This standard limits the bank’s total credit risk in relation to all insiders, which include individuals who can influence the bank’s decision to issue a loan. The standard is considered as follows.

where is the value of the i-th credit risk to a bank insider,

SK is the bank's own capital.

A commercial bank, when lending to an insider, must proceed from the fact that the value of this ratio cannot exceed 3% of the bank’s equity capital.

Let us calculate and evaluate the coefficients characterizing the degree of risk of the loan portfolio and the degree of protection of the bank from risk (Table 10).

Table 10 - Calculation of the main ratios characterizing the quality of the bank’s loan portfolio in percentage

Coefficient	Meaning



ChKP, in thousand rubles.

The calculation of credit risk ratios revealed certain problems of the bank regarding the management of the loan portfolio and the risk of the loan portfolio.

First of all, we can see an increase in the coverage ratio from 6.49 to 8.64%. An increase in this indicator is a negative side of the bank’s activities, as it indicates an increase in risk. The dynamic growth of the ratio occurs due to an increase in the amount of reserve for possible loan losses. This reason negatively evaluates the bank’s lending activities.

The indicator of the degree of protection of the bank from total credit risk increases in dynamics, since the value of the bank's own funds grows at a slower pace than the value of newly created reserves for possible loan losses.

The bank's net loan portfolio increases over the period under review from 7,282,548 to 8,756,850 thousand rubles, which in percentage terms is 20.24%. The growth in the volume of the net loan portfolio has a positive impact on lending activities. However, for a full assessment, the net loan portfolio ratio should be analyzed. The dynamics show a decrease in the share of the net portfolio per one ruble of the total loan portfolio from 93 to 91%, which may indicate an increase in credit risk.

An increase in the absolute value of NCI against the background of a decrease in NCI negatively assesses the bank’s activities from the point of view of approaches to selecting borrowers, as it indicates that the bank is increasing its loan portfolio at a higher rate than low-risk loans, i.e. we can say that the loan portfolio increases in this case due to risky loan placements.

An increase in the Kpr ratio from 1.17 to 2.14% indicates the bank’s ineffective policy in terms of supporting a credit transaction. The change in the value of the ratio occurs due to an increase in the amount of overdue principal debt at a faster rate than the amount of the loan portfolio.

The property collateral ratio of the loan portfolio is below the standard value and, moreover, tends to constantly decrease. This factor is negative, since property is the most stable type of security.

The bank complies with all regulations of the Central Bank. Their dynamics are unstable and are associated with the financial crisis.

Thus, as a result of this study, conclusions can be drawn about the total banking risk. Since the coverage ratios, late payments, and non-repayment ratios increase their values in dynamics, and the collateral ratio decreases, a conclusion is drawn about an increase in credit risk in the process of the bank’s lending activities.