Bank division for assessing the financial position of counterparties. Features of assessing the financial condition of a counterparty bank when working on the interbank market

At the present stage of development banking system the most significant for commercial banks are credit risks, which is due to the structure of active operations of banks, among which the issuance of loans prevails. Pay particular attention to managing aggregate credit risk needs to be analyzed financial condition counterparties in the interbank market. Assessment of the financial condition of counterparty banks is an integral part of the activities of any commercial bank when working on interbank market and the debt market, for which the counterparty banks are the issuer.

The financial condition of the counterparty bank is the main parameter for making a decision on the opening and the amount of the limit on operations with it. In addition to financial sustainability the counterparty bank, when determining the limit, it is necessary to take into account the risk associated with the type of operations performed. Commercial banks place temporarily free funds on the interbank market, raise funds from counterparty banks, and carry out purchase and sale operations foreign currency(in cash and cashless form), carry out transactions with debt obligations and other transactions in accordance with the legislation Russian Federation... Placement (attraction) of temporarily vacant Money commercial banks is carried out using the following financial instruments: interbank loans, interbank deposits, cash on nostro accounts (loro accounts) and bank debt obligations. These transactions are subject to credit risk and require limitation by the bank.

When working in the interbank lending market, the creditor bank has a need to develop and apply its own assessment methods, with the help of which professional judgments about the level of the bank's financial condition are formed. The use of its own assessment methods is due to the fact that the Bank of Russia has formulated only General requirements to assess the financial condition of banks, and did not offer a standardized approach to assessment. Methods for assessing the financial condition of a bank must comply with the requirements and restrictions imposed on the activities of commercial banks in accordance with banking legislation and regulations of the Bank of Russia.

A feature of assessing the financial condition of a bank is that the assessment is based on an analysis of the available bank statements posted on the official website of the Bank of Russia and the credit institution. The published official reporting does not fully reflect the financial condition of the credit institution due to the fact that falsification of reporting is widespread in Russian banking practice. Moreover, even if we assume that the balance sheet information is reliable and infallible, conclusions about the general financial position of credit institutions that are identical from the point of view of reporting may differ dramatically. For the most complete and reliable assessment of the financial condition of the bank, in addition to the available official reporting, it is also necessary to analyze the data of rating agencies, publications in the press and the Internet, information on the quality of bank management and other informal data.

The result of the assessment is the determination of the level of financial condition based on the received rating. The level of a bank's financial condition characterizes its ability to survive and break even, subject to timely fulfillment of all obligations undertaken and compliance with all regulatory requirements within a given period of time or in an unlimited time horizon.

When analyzing the financial condition of a counterparty, it is necessary to use both quantitative (formal) information and qualitative (informal) information. Accordingly, the indicators reflecting the final assessment of the financial condition of the bank can be divided into two large blocks: financial indicators and business risks.

Financial indicators reflect financial implications all completed operations and status current operations the bank, as well as, possibly, the projected financial results of future activities. Financial indicators are quantitative and are calculated according to the data of the accounting or management accounting(when assessing the financial condition of a counterparty bank, the analyst mainly uses official reporting, therefore, we are talking only about data accounting).

Let us consider in more detail the methodology for assessing the financial condition of a counterparty bank, in particular, financial indicators used in assessing credit institutions and calculating limits in order to assess risks (determine reserves) when a bank performs transactions in the interbank market.

Minimum required list documents for analyzing the financial condition and setting the limit for interbank lending includes the following reporting forms (in accordance with the Bank of Russia Ordinance No. central bank Russian Federation"):

• "Turnover sheet for the accounts of the credit institution" (form according to OKUD 0409101) - monthly;
• "Payment own funds(capital) (Basel III) "(form according to OKUD 0409123) - monthly;
• "Information on mandatory standards and on other indicators of the credit institution's activity" (form according to OKUD 0409135) - monthly.
• "Report on financial results"(Form according to OKUD 0409102) - quarterly.

These reporting forms are posted on the official website of the Bank of Russia if credit institutions have agreed to disclose this information. To assess the financial condition of a credit institution in dynamics banking analyst it is necessary to analyze the information contained in these reporting forms for the last twelve months.

Additional information for analyzing the financial condition of the counterparty bank may include other forms of reporting (if provided by the counterparty), as well as annual accounting statements(according to RAS and IFRS) with auditor's report for the last financial year.

The analysis of the financial condition of the bank is carried out in stages. At the first stage grouping of accounting accounts by articles is carried out bank balance(according to the form according to OKUD 0409101), having a general economic content(with the highlighting of reference information for the calculation of individual financial indicators). Also, "clearing" (balancing) of the balance from technical accounts (for example, settlements with branches, etc.) is carried out.

In the second stage the calculation of indicators (coefficient analysis) characterizing the financial condition of the counterparty is carried out. Some of the indicators are calculated according to the items of the analytical balance obtained at the first stage, some are actual indicators from various reporting forms (for example, the values ​​of mandatory standards). To assess the financial risk for the counterparty bank, comparative analysis financial indicators in dynamics, including:

• capital appraisal;
• liquidity assessment;
• asset valuation;
• indicators of profitability (efficiency) of the bank.

The group of indicators for assessing capital (P1) includes mandatory standards in terms of the adequacy of the bank's own funds (capital) and an indicator of the level of capital immobilization. Capital adequacy requirements are well known and unified in world practice. They reflect the need for capital to perform the function of protection against unforeseen risks, that is, to cover the risk-weighted assets of the bank. These indicators characterize the bank's ability to perform also an operational function and affect the bank's ability to self-development. The economic content of these indicators is presented in more detail in Table 1.

Table 1

Capital appraisal indicators group (P1)

The group of indicators for assessing liquidity (P2) includes mandatory ratios for instant, current and long-term liquidity established by the Bank of Russia, as well as indicators characterizing the structure of liabilities (borrowed funds) (Table 2). Structural analysis makes it possible to determine the main sources of formation of the bank's resource base and the timing of raising funds, which allow us to assess the stability and degree of diversification of bank resources.

table 2

Group of indicators for assessing liquidity (P2)

The group of asset valuation indicators (R3) includes mandatory ratios established by the Bank of Russia (in terms of limiting credit risks by specific categories), indicators of asset quality (the level of overdue debt and the degree of loan impairment), etc. Separate financial indicators of this group make it possible to analyze the structure of the bank's active operations, assess the degree of their diversification and the bank's business profile (lending or investment direction). The share of working assets is also assessed and it is determined whether there is dependence on the resources of the interbank market, i.e. is the bank a net creditor or net borrower. More financial indicators are presented in table 3.

Table 3

Assets valuation indicators group (P3)

The final group of indicators required for assessing the financial condition of a credit institution is the group of indicators for assessing profitability (P4). This group characterizes the efficiency of banking activities, the ability of assets to generate profits (Table 4). The bank's profitability in dynamics is one of the indicators of the bank's financial stability.

Table 4

Group of indicators for assessing profitability (P4)

In order to assess the financial condition of the counterparty bank when carrying out transactions on the interbank market, the author analyzed and selected 27 indicators characterizing various aspects of the bank's activities and affecting its financial stability: 4 indicators of the capital assessment group; 7 indicators of the liquidity assessment group; 14 indicators of the asset valuation group and 2 indicators of the profitability assessment group. Tables 1-4 detail the indicators included in author's methodology assessing the financial condition of the counterparty bank, and their economic content (justification of why these indicators were chosen).

In the third stage each calculated indicator is assigned points on a scale from 0 to 1 (0 - minimum, 1 - maximum), all calculated indicators have the same specific weight and are taken as a unit. The assignment of points is considered on the example of indicators of the group for assessing profitability (Table 5).

Table 5

Scoring the indicators of the profitability assessment group

Pi - score of a financial indicator (i can take values ​​from 1 to N);

N is the number of calculated indicators.

In the fourth stage non-financial indicators (business risks) are assessed. The assessment is carried out by collecting, studying, analyzing and interpreting other factors related to the activities of the counterparty bank. These factors undoubtedly affect credit risks, but do not lend themselves to objective formalization. The degree of influence of these factors depends on various features the functioning of the counterparty bank. The main risk factors include the following groups:

• risk factors associated with the ownership structure and management: transparency of the ownership structure, owners, the possibility of obtaining financial support;
• risk factors related to corporate governance and business reputation: management experience and management effectiveness, credit history counterparty, business reputation, information transparency;
• risk factors associated with the market positions of the counterparty: position in banking sector, the degree of business diversification, the branch network and the structure of the sales network.

Each group of factors includes various indicators, which, like financial indicators, are assigned a point score from 0 to 1, while the indicators have different specific weights... The total number of points for a business block is calculated by summing the products of points received for each risk factor by their specific weights. The total number of points for a business block cannot exceed 1 point.

At the fifth stage the final assessment of the counterparty bank is being formed. The final score of the counterparty is determined as the sum of two scores: the financial and non-financial blocks, weighted by the corresponding weights. The weight of the financial block is assumed to be 0.7, and the weight of the non-financial block is 0.3. Depending on the received rating value, each credit organization belongs to one of the classification groups (reliability categories):

1. R1.1 rating (from 0.85 to 1) - counterparties have good financial position... The highest degree of creditworthiness. High probability of full and timely fulfillment of their obligations.
2. R1.2 rating (from 0.70 to 0.85) - counterparties are in good financial position. High degree creditworthiness. High probability of full and timely fulfillment of their obligations. One or more signs of instability may appear.
3. Rating R2.1 (from 0.60 to 0.70) - counterparties have medium financial position. The creditworthiness is slightly above average. Moderate risk manifestation.
4. Rating R2.2 (from 0.50 to 0.60) - counterparties have medium financial position. The creditworthiness is medium. Moderate risk manifestation. There is a possibility that the financial situation will deteriorate.
5. R3.1 rating (from 0.25 to 0.50) - counterparties are in poor financial position. There are signs of insecurity, instability, and serious negative trends. There is a high probability of failure to fulfill its obligations in full and / or in part. Poor creditworthiness.
6. R3.2 rating (from 0 to 0.25) - counterparties are in poor financial position. There are signs of insecurity, instability, and serious negative trends. The creditworthiness is unsatisfactory. The bank is on the verge of bankruptcy.

The classification groups are presented in order of decreasing creditworthiness and reliability. The resulting rating provides an assessment of the level of the bank's financial condition, which can be used to manage credit risk when carrying out transactions with a counterparty in the interbank market.

In banking practice, the main methods of credit risk management in modern conditions there are reservation, limitation and provision. With regard to the activities of a commercial bank in the interbank market and the debt market, such a method of credit risk management as securing a loan is practically not used in the domestic banking, but provisioning and limiting act as ubiquitously necessary methods of credit risk management in the implementation of active transactions with counterparty banks.

On the basis of a summary assessment of the financial condition of the bank, organizations that establish certain financial relations, decide on the possibility and boundary of such interaction. Thus, the resulting consolidated assessment of the bank's financial condition according to the methodology considered can be used in the future by the bank's specialized divisions to establish a limit on transactions with a counterparty and reserves in order to minimize credit risk.

Based on the results of the analysis of the counterparty bank, the specialist of the risk analysis division makes a professional judgment on the assessment of the financial condition of the bank. Banks are analyzed on a monthly basis. Professional judgment contains the following main sections:

1. Business risk analysis of the counterparty bank.
2. Analysis of the financial performance of the counterparty bank.
3. The main qualitative indicators characterizing the counterparty bank and its activities.
4. Reciprocal requirements
5. Recommendations for establishing credit rating and the size of the aggregate limit for the counterparty bank.

Assessment of the financial condition of counterparty banks is an integral part of the activities of any commercial bank in the interbank market. The assessment is carried out in order to effectively manage the credit risk, balance sheet structure and liquidity of the bank. The segment of the interbank market plays key role in ensuring the sustainable functioning of both individual banks and the banking system as a whole.

Bibliography:

1. A.V. Buzdalin Bank reliability: from formalization to assessment. M .: Book House "LIBROKOM", 2015. - 192p.
2. Pomorina M.A. Methodology for determining the rating of the financial condition of the borrowing bank // Bank lending... - 2014. - No. 31. - S. 52-69.
3. Pomorina M.A. Financial management in a commercial bank: tutorial... M .: KNORUS, 2017 .-- 376 p.
4. Shatalova E.P., Shatalov A.N. Assessment of the creditworthiness of borrowers in banking risk management: a tutorial. M .: KNORUS, 2016 .-- 166 p.

Every entrepreneur, when choosing a business partner, asks himself several questions: who is in front of him and how reliable is he, is it a dubious one-day company, a dummy company used to carry out gray schemes, or a reliable company with which it will be profitable and comfortable to work?

Experienced businessmen have their own methods of assessing the reliability of partners; they are often based on intuition, feedback and assessments of other business entities, the possibility of obtaining data from insider sources, etc. However, the likelihood of error with such "risky" methods is extremely high, and the cost of incorrect conclusions is losses, participation in lengthy litigation, and sometimes the loss of your business.

The most accurate is the assessment of professional analysts, since it is based on a proven methodology, and it uses all the indicators of the economic activity of a particular company available for calculations.

The assessment algorithm may vary. The most "advanced" firms offer their clients an analysis of 40 or more indicators, including:

• Liquidity ratio (ratio of sizes accounts receivable to accounts payable, current assets to liabilities, etc.);
• Profitability and financial leverage ratio (ratio equity capital to assets, profit to revenue of the organization; profit to assets, etc.);
• The likelihood of bankruptcy;
• The presence of claims from other counterparties;
• Amount of debt by bank loans taking into account the size working capital and average industry indicators;
• The presence of claims from tax and other government agencies etc.

The grades for each of the analyzed indicators are summed up and averaged, and as a result, figures are displayed that clearly show the degree of reliability of the company.

However, professionals are well aware that beautiful graphics and pictures are sometimes used exclusively to attract customers. For an experienced specialist, it is necessary to have information on indicators that are far from always determined by estimates on a five-point scale or in percentages. The efficiency of work and financial stability of the company is clearly visible when analyzing:

• Degrees of sufficiency financial resources;
• The effectiveness of their attraction and use.

Where to get the information you need

To conduct an assessment, you need accounting documents enterprises, reports, balance sheets, information on the movement of funds. Such information is often not available to an ordinary entrepreneur. However, this does not mean at all that it is closed or secret. Some of the information is published quite legally by Rosstat, there are also special firms that collect financial information... It is extracted from a variety of sources:

• From open banking information;
• From the information of the Bureau of Credit Histories;
• From the data of official statistics, etc.

As of 2017, Russian analysts have more or less complete information about financial activities almost all large and medium-sized companies operating in our country.

The practice of data exchange is quite usual for the information market, as a result of which a certificate of the financial condition of a particular company can be obtained in a fairly short time.

Experience shows that collecting all the necessary information, analyzing it and checking it by employees of companies that do not do this professionally will take a lot of time and is unnecessary. financial costs... And the effectiveness of such work is questionable, which means that trusting such information is extremely risky.

Algorithm for assessing the company's financial position

We emphasize that there is no single correct calculation algorithm. However, a number accounting indicators will show very well, for example, the level of sufficiency of financial resources.

The main one is the amount of revenue. Knowing the approximate turnover of the company and the average profitability in the industry or a specific region, you can easily understand how the company is doing with the sufficiency of funds.

The second indicator is profit. Regular negative indicators in this column should immediately alert. Since any business aims to obtain it, then if the profit is negative, then the company has a deficit of its own funds, or it has been created this company not at all for normal economic activity.

Resource efficiency is very clearly visible when studying the structure and size of a firm's assets. Let's take a typical retail chain as an example. A very high rate of working capital should be the norm for it. But real estate, transport and other fixed assets should be as small as possible.

When analyzing this indicator, a manufacturing company should show the opposite trend. And, for example, a shortage of working capital for a manufacturing company is quite a common thing.

It is also important to take into account the specifics of the industry and the distribution of fixed assets, taking into account the specialization of the enterprise. The presence of a large number of assets that do not generate income is a sign of ineffective management and a sure sign of having financial problems from such a company.

Another characteristic sign of the unreliability of a company is a solid turnover, the implementation of non-core operations with a minimum of property.

In the arsenal of financial analysts, in addition to analytical ones, there are also mathematical methods of calculating, which very clearly show how much the company has enough funds and how effectively it is able to attract them.

In this regard, it is customary to use the term "financial stability of the company", which is determined by a number of mathematical coefficients.

The absolute norm is the use of several sources of financing, including equity and debt capital, subsidies, etc. But the ratio between them and the ability to maneuver their sources of financing clearly show how things are with a particular company.

To determine the degree of financial stability of a company, two coefficients are used:

• Long-term financial independence;
• Equity capital flexibility.

The first coefficient is calculated using the following formula:

In this formula:

• C to - the size of own sources of financing, which are formed at the expense of equity capital, profit, accounts payable etc.;
• Z cd - long-term borrowed funds, that is long-term loans delayed tax payments, bonds, bills, etc .;
• A is the value of all assets.

The closer this ratio is to one, the better the financial position of the company is balanced.

If the indicator does not reach one, then a comparison of the missing value and the company's liquid assets, that is, those that can be quickly sold without prejudice to further activities, is required. It is usually about stocks finished products or receivables. If these indicators are more or less comparable, then the company is normal.

With a strong discrepancy, the enterprise will definitely need additional sources of financing, and their absence entails the loss of fixed assets, a shortage of working capital, as well as the possibility of bankruptcy of the company.

To determine the degree of maneuverability of equity capital, the following formula is used:

Variable A in is fixed assets, which include fixed assets, intangible assets, long-term financial investments etc.

This formula clearly shows the value of the intrinsic current assets and their share in equity capital. The value of the resulting coefficient is often compared with the industry average. Since the degree of their sufficiency for each industry is different. The approximate correspondence of the indicators indicates that the company has enough funding. But sharp deviations from the industry average standards indicate the unreliability of the company.

Practice shows that the use of various methods and algorithms for assessing the financial position of a company, which, inter alia, complement and check each other, is the most effective strategy in determining the reliability of a particular counterparty.

Who evaluates the financial position of the company

For the accuracy of the assessment, not only modern and proven methods are important, but also specialists who have sufficient qualifications. The majority of financial analysts are accountants, auditors, financiers with extensive experience in both public and private structures.

To a specialist through whose hands thousands of financial documents, often even a superficial glance at the balance sheet of the organization is enough and he will be able to quite accurately determine what a particular firm is.

A detailed audit of the financial statements of such a company will clearly show the goals of the organization's activities, and even more so the degree of its reliability.

Prices for the services of lawyers and attorneys depend on the tasks.

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The purpose of setting limits on counterparty banks is to minimize the risk of non-return using procedures financial analysis... To do this, counterparty banks are subjected to a standard financial analysis procedure within the framework of the developed concept.

For simplicity, in what follows we will call the bank setting the limit "Bank", and the counterparty bank simply "Counterparty".

V general view, the limit is a function of assessing the financial condition, solvency and creditworthiness of the Counterparty, its net assets, the type and term of the proposed interbank transaction, as well as the lending Bank's own capabilities. The limit is a measure of limiting the credit risk that the Bank assumes in the event of a particular interbank transaction.

This document contains a number of methodological and technological recommendations developed on the basis of practical experience (we emphasize that practical experience, and not scientific and theoretical research) of banking and non-bank specialists who have been involved in assessing the financial condition and setting limits on interbank transactions in clearing and other for more than five years. credit institutions actively working in the interbank market.

In the context of a decrease in inflation and a fall in the profitability of basic financial instruments or the absence of such, many banks face the problem of increasing the efficiency of interbank business by increasing the range of interbank transactions and services, expanding the range of partners and counterparties of the bank. Interbank business is especially relevant when attracting and placing temporarily free, short-term financial resources, it is a necessary element in managing the liquidity of a commercial bank and, as a result, in "assets and liabilities management" in general.

Development and improvement of new methods that most adequately take into account modern stage development of the banking business and accounting features, as well as the formation of an efficiently working analytical department - in the interests not only of a particular bank, but of the entire banking system as a whole. Reasonable and timely closing of limits on operations with problem banks avoids serious shocks in the interbank market. In modern conditions, the role of the financial risk analysis division and the cost of errors in setting limits for any bank are increasing many times over.

The technologies recommended below are aimed at solving the main, interrelated tasks of financial analysis - determining the current solvency and reliability of counterparties, which is especially important in the following cases:

• targeted selection of potential contractors;

• when making a fundamental decision to work with a counterparty for any operations related to credit risk;
• when calculating limits on counterparties for specific interbank transactions for specific periods.

To carry out work on the analysis of counterparty banks, it is necessary to create an appropriate division in the bank. Experience shows that the latter should be real independently of the heads of "active" subdivisions. It is highly desirable to report directly to the Chairman of the Credit Committee or the Chairman of the Management Board. Otherwise, a conflict of interest is possible, which can be removed by linking the bank's income from work in the interbank market with the material incentives of the unit. Approval of limits is usually a discrete process, and admission new information and its analysis is continuous, therefore "expert analysts" should have the right at any time between meetings of the Credit Committee to reduce or close the limits unilaterally.

For the successful work of the analysis unit, it is necessary, together with the bank's management, to overcome the misconceptions that:

Analysis technology can be created and deployed quickly;

The division is auxiliary and does not generate income;

We do not need someone else's advice if we have our own analysts.

In fact, it takes about a year to organize systematic work, accumulate information and minimal experience.

In fact, the analysis division is a generator of "active" ("placing") bank divisions and gives them the opportunity to earn money by increasing the volume of transactions by money market at the expense of new counterparties and dealing, minimizing the risk of losses.

It is advisable to be interested in third-party competent assessments, incl. based on other techniques and information. The cost of this information is not so high, but it is justified enough.

For an adequate assessment of the financial condition of a particular bank and making a decision on the allocation of resources in it, it is necessary to collect a database consisting of a set of calculated indicators-coefficients for various banks. It is necessary to have a presence in this database for those banks about which they are known to have experienced or are experiencing difficulties of various kinds. Then, on the basis of these data, using the means of mathematical statistics, it is possible to determine those boundary values relative indicators, according to which the bank is cut off as unreliable. Through this procedure, the analytical system is "calibrated". This approach is based on the recognition of the fact that the real mechanisms and laws of development for the entire banking system are the same.

When analyzing the collected base of indicators, you can see that a number of indicators are highly correlated with each other and do not affect the final assessment. Naturally, the smaller the dimension of the space of indicators, the easier it will be to cluster, i.e. distribution of banks into groups and determine the boundary ("threshold") values ​​by which the counterparty bank is identified as unreliable. Reducing the dimension of the space of indicators is a fundamental task, since it greatly simplifies the procedure for making a decision on setting a limit ... The analytical coefficients used by the authors were refined on the basis of a database with more than 17,000 banks' balances... An approximate idea of ​​the "average" bank and the general level of development of the banking system can be obtained by consolidating all available balance sheets into one "consolidated" general bank balance sheet at one reporting date.

Practically any division of the Bank interested in carrying out certain types of transactions with the Counterparty can initiate consideration of the financial condition of the bank for setting limits. The initiating unit (" Initiator") submits to the Bank's profile division, which is engaged in assessing financial risks and setting limits (hereinafter conventionally - "Financial Risks Department") application standard sample with a request to consider the financial condition of the Counterparties specified in the application, the possibility of setting limits and quantitative needs (their proposals) on the estimated size of one-time transactions.

The initiating unit appoints from among its members a person responsible for the delivery of balances for second-order accounts, standards and other necessary forms of financial reporting via bank communication channels in in electronic format to the Financial Risks Department. The Initiator provides direct contacts with the Counterparty's specialists and the delivery of the necessary information to the Financial Risks Department.

The basis for making a decision on setting limits for counterparties is the following primary information:

• balance on accounts of the 2nd order;
• compliance with the Central Bank standards;
• other information about the founders, clients and partners of the Counterparty;
• negative and positive information about the counterparty and its founders, behavior in various segments financial market, information from periodicals.

Compliance with standards, the presence of positive information from the periodicals, as well as the presence of the counterparty in the ratings of reliability or creditworthiness of news agencies sufficient conditions to establish a non-zero limit, which has been confirmed more than once. A necessary and, in practice, sufficient condition in the technology under consideration for setting a limit on interbank transactions is, first of all, the presence of balances in the form balance sheet on accounts of the 2nd order and other prudential forms of financial reporting. Other information is considered only as information to be taken into account, helping to provide the Counterparty with an additional assessment and, first of all, an assessment of the quality of management and management technologies of the Counterparty.

The decision-making procedure is supposed to be as follows:

1. Based on the balance of the second order accounts, a number of coefficients are calculated that characterize the financial condition of this Counterparty - capital adequacy, risk ratio, profitability and liquidity. Their values ​​are compared with the threshold values. The results of the first stage show whether there is a need to perform the second and subsequent ones.

2. The dynamics of the Counterparty's development is analyzed. by trend.

3. External information about the Counterparty's behavior in the market is considered.

4. In case of a positive conclusion about the ratios and dynamics of the bank's development, the absence of negative external information, the bank may be set an initial possible limit. The result of the analysis is a proposal on the possible limit for one-day interbank transactions and the total base limit for the Counterparty. The limit on other types of transactions and terms is set, as a rule, in a certain proportion of the limit on interbank lending operations.

If necessary (if there are doubts about the assessment of the financial condition of the bank - since the balance sheet and standards of the counterparty can be heavily "embellished"), the Financial Risks Department asks Additional information about the counterparty in " Service economic security "The Bank and additional reporting forms with the Counterparty through the person in charge of the Initiator. Direct contact between the employees of the Financial Risks Department and the Counterparty's specialists is undesirable in order to avoid insider activities to the detriment of the interests of the Bank.

Note that the task of the Financial Risks and Limits Department is not only to conduct a monthly analysis of financial reporting forms, but also to constantly monitor them (see "Practical Recommendations").

The following analysis levels are offered according to the technologies:

1. Preliminary calculation based on balances on second-order accounts at the reporting date without considering off-balance sheet and off-balance sheet positions and splitting into ruble and currency components.
2. The level that allows assessing the dynamics of the bank's development at the level of balance sheet items and analytical ratios over the past six months - analysis of the dynamics by trend.
3. A detailed snapshot for a specific date, which is a consolidated analytical balance sheet of the bank, broken down into currency and ruble components, detailing off-balance sheet and off-balance sheet items.
4. At the level of the Moscow region and St. Petersburg, it is realistic to build a system for daily analysis of the flows of client ruble payments through the RCC system, which makes it possible to give a more accurate and factual assessment of the counterparty's liquidity in terms of executing client orders.
5. An additional assessment of the level of counterparty management allows one to analyze information from specialized agencies, the Central Bank of the Russian Federation and the media (information about the counterparty's management, its founders and shareholders / shareholders, the largest clients and borrowers of the bank and major events in the life of the bank, including negative moments).

In the absence of negative trends in the development of the counterparty, a conditionally positive opinion on its financial condition, a positive opinion of its own and third-party experts analyzing criminal and other negative / positive aspects in the counterparty's life, the limits for interbank transactions are directly calculated.

It is desirable that the methodology for assessing the financial condition and software to analyze the balances of counterparties, it was possible to calculate the preliminary credit limit LC("line of credit") based on analytical indicators characterizing the condition of the Counterparty.

When calculating the real base limit RLC("real line of credit") obtained on the basis of the credit limit LC, it is necessary to impose several additional restrictions related, first of all, to the Bank's own capabilities, setting the limit.

We list several possible restrictions on the establishment of the base limit. RLC:

· RLC<=c *Anet , i.e. the established limit for one-day interbank lending operations cannot be more than a certain, empirically established share c (usually a few percent) of the Counterparty's net assets.

For ultra-reliable borrowers (about which a little below), the base limit is determined based on the maximum risk per borrower established in the bank:

where: maxRisk- the standard value of the risk per borrower (according to the Central Bank of the Russian Federation, it is 25% of the lending bank's equity capital). Note that this value is one of the fundamental internal standards for the bank's activities. The calculation should be done not by standard capital, but by net capital. Depending on the strategy and credit policy, the internal normative value of the risk per borrower may be (and in our opinion should be) less than the norm of prudential supervision.

For other categories of borrowers, the base limit is limited to a value comparable to the average monthly profit of the bank that sets the limit:

RLC<= mProfit

To facilitate the limit approval procedure, the following classification of Counterparties is possible:

• R0 - government or systemically important counterparty banks with a high reputation and close ties with government agencies, the solvency and creditworthiness of which is beyond doubt ... For example, Sberbank of the Russian Federation. The question about the value of the limit is only in the needs of the Bank (in "production need").
• R1 - counterparties with stable balances, high turnover, a solid client base . The calculated LCR limit may be exceeded. It is permissible to conduct a detailed analysis of the financial condition of banks in this category on a quarterly basis.
• R2 - stable and dynamically developing counterparties with a limit for at least 3 recent months. A slight increase in the limit is possible.
• R3 - counterparties whose balance requires monthly monitoring . Increasing the limit is out of the question.
• R4 - counterparties whose balance requires monthly monitoring, but have not submitted their balance on time. You can only raise the question of reducing or closing the limit.
• R5 - counterparties in which the bank is interested in making customer payments through a correspondent account of the "Nostro" type.
• R6 - counterparties with whom the bank does not work, but has an interbank agreement .
• R7 - all others (their balances are needed to improve the method) .

Of course, you should not rashly follow the values ​​of the formulas for calculating the credit limit. Calculation formulas LC and RLC are of a general nature, as estimates are made on the basis of statistical averages. The limit for individual counterparties can be increased or decreased based on the actual volumes of transactions with them and the degree of presence of this counterparty in a particular sector of the financial market, taking into account the opinion of experts. For ultra-short transactions, it is possible to increase the limit for Counterparties from the RO, R1, R2 groups.

The formula for calculating the limit for a specific type of operation is as follows:

RLC (i) = k (i) * RLC,

Where k (i)- normalizing coefficient, depending on the term and type of transaction (interbank credit = 1, FOREX, SWAP, bill of exchange, etc.).

Based on the results of the analysis and calculation of limits, the Financial Risks Department prepares a draft table of limits with a breakdown by counterparties and types of transactions and submits it to the relevant collegial body of the Bank (about which below) for consideration.

The table with the draft limits should contain, among other things, the draft on the values ​​of the so-called "Total Limit", since the Bank can simultaneously carry out several types of interbank transactions. Their sum should not exceed the "total limit" value. the "total limit" limits the amount of the Counterparty's current obligations to the Bank. The distribution of amounts by types of transactions of simultaneously conducted transactions is decided by the operational management bodies of the Bank in the current order.

The final process of approving the limits takes place at a separate meeting of the relevant working body (Board, Finance Committee or "Credit Committee") of the Bank, dedicated to setting limits for interbank transactions. It is recommended to hold such meetings separately from the discussion of issues devoted to other problems of the bank's activities. It is possible to reduce the time for holding a meeting of the Credit Committee on the basis of preliminary approval of the project according to the limits of the experts of the Financial Risks Department with the members of the Credit Committee on an individual basis. It goes without saying that the activities of the Credit Committee are regulated by the relevant Regulations. Practice shows that the absence of preliminary approvals can significantly complicate the operational management of the Bank and significantly slow down its activities, since in most cases almost all members of the Bank's Management Board and heads of its key divisions are present at the meeting of the Credit Committee. It is recommended to gradually delegate the appropriate authority to the Financial Risks Department for assessing the financial condition of counterparties in order to make the decision-making process on limits effective and to avoid unnecessary controversy.

The approval of the limits is documented in the minutes of the meeting of the Credit Committee. The table with limits (hereinafter the "Table") is drawn up in the form of an Appendix to the Protocol and endorsed by all its participants (permanent members and invitees). The table should contain the names of those responsible for the delivery of financial reporting forms from counterparties, as well as the name of the country and the date of the last analyzed balance sheet. In order to avoid unnecessary questions and controversy, it is advisable to insert a column into the Table containing the class assigned by the Financial Risks Department to counterparties - the reliability category (see "Calculation of the credit limit").

An approximate view of the table:

I approve

Chairman of the Credit Committee

(signature)

Limits on counterparty banks for interbank transactions from "__" ____ 2000

The limits and the Table containing them are a commercial secret of the bank, which is directly indicated in the Order for the bank, containing general provisions on the methodology for assessing the financial condition, the procedure for calculating and approving limits on 1-2 sheets (since the methodology is constantly changing and modified for the better ).

Due to the fact that the assessment of financial condition and limits are extrapolated from the previous reporting date to the receipt and processing of the next financial statements, the establishment of "non-zero" limits, the absence of balances or other forms of financial reporting of counterparties is, in principle, a sufficient basis for the "closure" of the limit on transactions with the counterparty who did not submit the balance sheet before the meeting of the Credit Committee.

During a crisis aggravation of the situation in the financial markets, all limits are closed or a reserve table of limits is introduced unilaterally.

Ideally, the automated banking system (ABS) for registering transactions should contain this Table of Limits in the form of an integrated database and automatically monitor the limits on transactions and their compliance with the total limit. For example, with a total limit of 30 million rubles. The counterparty received a one-day interbank loan in the amount of RUB 25 million. Then, despite the open limit on FOREX operations in the amount of 25 million rubles. an operation is actually possible only in the amount of 5 million rubles, about which the dealer should be given an appropriate warning. Thus, the general limit limits the total amount of the Counterparty's obligations to the Bank for all types of transactions.

To simplify the procedure for approving limits, as a rule, two types of the Table are provided - a table with currently approved limits, open to the relevant users, and a table with a draft of a new Table of Limits proposed by the Financial Risks Department. Accessing the Table- " the project"Only the Financial Risks Department has access to both reading and making changes. For other ABS users, the Project Table is not available.

After approval of the Table of Limits, the data from the Project Table with adjustments approved by the Credit Committee are entered into the "working" Table. The Financial Risks Department will send an e-mail about the entry into force of the new table of limits to the relevant users - employees of the Bank.

Appendix 1. Block diagram of business processes for setting limits

1. A. Smirnov, D. Misulin. "Analytical balance sheet of the bank", "Business partner", N 12, 1997
2. D. Misiulin, A. Smirnov, A. Krutov "Remote analysis of the financial condition of a commercial bank. New approaches", "Financier", N 5/6, 1997, pp. 24-28.
3. A. Krutov, D. Misiulin, A. Smirnov, "Experience in the analysis of the financial condition of banks", "Business and banks", N 31, 1997, pp. 1-2.
4. The system of internal control in banks: the foundations of the organization. (Recommendations of the Basel Committee on Banking Supervision, LETTER of the Central Bank of the Russian Federation dated July 10, 2001 N 87-T)
5. VT Sevruk, "Banking Risks", Delo LTD, Moscow, 1994.
6. Materials of the interbank conference. Organizer - European Trust Bank. http://www.etrust.ru
7. VV Ivanov, "A new approach to solving problems associated with the calculation of interbank lending limits". "Accounting and banks", N10 / 2000.