MINISTRY OF EDUCATION AND SCIENCE OF THE RUSSIAN FEDERATION
FEDERAL AGENCY FOR EDUCATION
STATE EDUCATIONAL INSTITUTION
HIGHER PROFESSIONAL EDUCATION
"KURSK STATE UNIVERSITY"
Faculty Economics and management
department Finance, credit and taxation
On the discipline "Organization of the activities of commercial banks"
on the topic"Assessment of the financial stability of a commercial bank"
Specialty "Finance and Credit"
Full-time form of education
Sychev Vitaly Sergeevich ______
Checked by: Candidate of Economics, Associate Professor Artemov V.A. _______
Kursk 2009
Introduction…………………………………………………………………………….3
1. Theoretical aspects of financial stability
commercial bank …………………………………………………………….5
1.1. The concept of financial stability of a commercial bank………………..5
1.2. The tasks of analyzing the financial stability of a commercial bank………...8
1.3. Information base for assessing the financial stability of a commercial bank……………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………………….
2. Methodology for analyzing the financial stability of a commercial bank ...... 13
2.1. Calculation formulas for determining indicators for assessing capital and assets………………………………………………………………………….14
2.2. A group of indicators for assessing profitability…………..16
2.3. Indicators that determine the liquidity of a commercial bank and methods for their calculation……………………………………………………..……………….18
3. Assessment of the financial stability of Sberbank of Russia OJSC ……………………………………………………..………………………………..22
3.1. The role of Sberbank of Russia OJSC in the banking system of Russia…………………………………………………………………………..22
3.2. Analysis of Financial Stability Indicators of Sberbank of Russia OJSC………………………………………………………………………...26
Conclusion…………………………………………………..………………..…39
List of used sources…………………………………………..40
Applications
INTRODUCTION
Recently, the situation in the financial markets of Russia has changed significantly. This is due to the growth of production, although insignificant, and an increase in investment in the national economy against the backdrop of a decreasing total volume of non-payments and a tough monetary policy of the Government. All this leads to an increase in the resource base of commercial banks, customers have the opportunity to choose a bank, and this leads to a significant increase in competition between banks. And now, in this situation, more than ever, stable partners are needed.
Financial stability is a complex characteristic of the quality of a commercial bank and includes 2 aspects: objective - the ability to fulfill the specific obligations assumed; and subjective - the ability to inspire confidence in the fulfillment of one's obligations.
The issue of financial stability is especially acute during the financial crisis, when many banks are forced to leave the market. In such conditions, depositors are more attentive to the choice of a credit institution and seek to cooperate only with trusted banks. Therefore, one of the main tasks of a commercial bank is to convince potential customers of its reliability and financial stability.
To improve the financial stability of a commercial bank, it is necessary to operate with a whole range of measures and methods in managing the bank's assets and liabilities, profitability and risks.
The purpose of the study is to study the methodology for assessing the financial stability of a commercial bank on the example of JSC "Kurskprombank". To achieve the goal, it is necessary to solve the following tasks:
- define the concept of "financial stability";
- to establish the objectives of the analysis of the financial stability of a commercial bank;
− determine methods for assessing the financial stability of a commercial bank;
− identify sources of information needed to assess financial stability;
− apply methods for assessing the financial stability of a commercial bank to calculate the financial performance of OAO Kurskprombank;
− identify the weaknesses in the activity of OJSC “Kurskprombank” and develop appropriate recommendations for their improvement.
The main sources of information used in the course of the study were the Federal Laws of the Russian Federation and regulatory legal acts of the Bank of Russia, textbooks on economic theory and on the discipline "Money, Credit, Banks", scientific journals "Bulletin of the Financial Academy", "Economic Sciences", "Finance and credit".
1. FINANCIAL SUSTAINABILITY AS AN ECONOMIC CATEGORY
1.1. The concept of financial stability of the bank
Financial stability is such a state of the financial resources of an enterprise, their distribution and use, which ensures the development of production (and services) based on the growth of profits and capital while maintaining solvency and creditworthiness under conditions of an acceptable level of risk; parameter of the position of the company, that is, the company's position on the ratio of assets and liabilities over a certain period of time.
The concept of "financial stability" currently has numerous interpretations. However, there is still no well-defined definition of "financial stability" in relation to commercial banks. The authors of many textbooks offer different approaches to interpreting the definition of "financial stability of a commercial bank":
The financial stability of a bank can be assessed by the quality of assets, capital adequacy and performance;
The position of a commercial bank is stable if it has stable capital, has a liquid balance, is solvent and satisfies the requirements for the quality of capital;
It attaches paramount importance in determining the financial stability of the bank to its own funds;
The financial stability of a bank is understood as its ability to withstand destructive fluctuations, while performing operations to attract funds from individuals and legal entities to deposits, open and maintain bank accounts, as well as place funds raised on its own behalf and at its own expense on terms of payment, urgency and recurrence. That is, the author focuses on the bank's ability to provide a range of specific banking services of adequate quality.
But in general, Russian economists and banking practitioners agree on one thing - that the financial stability of a commercial bank is the stability of its financial position in the long term. It reflects the state of financial resources in which a commercial bank, freely maneuvering cash, is able to ensure an uninterrupted process of its economic activity through their effective use.
Describing the concept of "financial stability of a commercial bank", we define its main features.
First sign – the category "financial stability" is a public category, which is manifested in the interest of society and its members in the sustainable development of commercial banks. Thus, the population is directly interested in the sustainable development of banks, which, thanks to their savings, forms the resource base of a commercial bank. The deposits of the population are not only a significant, but also a stable resource of the bank. Direct interest in the stability of credit institutions is also shown by clients and counterparties who are directly related to the formation of the resource base and operate promptly in various market segments. A commercial bank traditionally serves enterprises of various sectors of the economy, organizational and legal forms of ownership, and fields of activity. From this point of view, it is also possible to consider counterparty banks that have direct correspondent relations with each other. The sphere of direct interest in the stable functioning of commercial banks also includes the state, which is interested in timely tax revenues.
The second sign of the concept of "financial stability of a commercial bank" is the dependence of financial stability on the volume and quality of the resource potential. The resource potential of the bank predetermines the qualitative level of the bank's financial stability. The more resources the bank attracts, and the better these resources, the more active it is in investing its resources, the more it strengthens its financial condition and, accordingly, financial stability.
The financial stability of a commercial bank is a dynamic category (the third sign), which is the property of returning to an equilibrium financial state after leaving it as a result of some kind of impact. Based on the financial stability of the bank, its performance is largely revealed, since in order to be efficient and function normally, a commercial bank must be insensitive to extraneous disturbances of various kinds for a sufficiently long period of time. Thus, clients and counterparties of commercial banks are directly interested in their smooth operation, both at a certain point in time and in the long term.
From the perspective of clients and depositors, a stable bank is associated with confidence that the bank will fulfill its obligations to them.
The notion of sustainability has somewhat different shades from the standpoint of the bank itself. However, not everything is clear-cut here either. For example, shareholders of a bank, investing their capital in banking, believe that the bank will become a profitable place for investing capital, that it is here that a profit will be made that is equivalent to the profit from investments in other sectors of the economy. In general, they are interested in a sufficient return on their capital.
Bank employees also have their own position, who are interested in the continuity of work in this credit institution, and therefore in receiving high wages. In their opinion, a stable bank is one that gives them confidence in a well-paid job.
Assessment of banks' stability is carried out by specialists of the Central Bank.
Thus, the category of stability of a commercial bank includes two aspects: the objective one is the ability of the bank to fulfill its specific obligations and the subjective one is the ability to inspire confidence in the fulfillment of its obligations.
The study of the financial stability of a commercial bank includes the study of the essence of this concept, processes and patterns of development, analysis of the evolution of this phenomenon.
The financial stability of a commercial bank is determined through a system of indicators describing:
The quality of the bank's assets;
The quality of the resource base;
The quality of banking products and services;
Profitability of the bank's activities;
Management of risks;
The quality of bank management.
The methodology for assessing financial stability was developed by the Bank of Russia for the participation of banks in the deposit insurance system - Instruction No. 1379-U dated January 16, 2004. The methodology involves the calculation of a group of indicators for assessing capital, assets, management quality, profitability and liquidity.
In the theory and practice of banking management, such important areas of analysis as liquidity, solvency, cash flows, profitability of individual operations and services, capital adequacy are traditionally distinguished. At the same time, in the Russian context, it is customary to link these areas of analysis with the areas of state control and supervision by the Bank of Russia. Within the framework of this concept, these indicators are included in the methodology for analyzing and assessing the quality of assets.
1.2 Factors of sustainable functioning of a commercial bank
The activity of commercial banks is a complex of interrelated processes that depend on numerous and diverse factors. If any factor falls out of the chain of consideration, then the assessment of the influence of other factors taken into account, as well as the conclusions, risk being wrong.
Being closely interrelated, these factors often affect the performance of a commercial bank in different directions: some positively, others negatively, forcing it to urgently change its strategy and tactics in the financial market. At the same time, it is necessary to take into account the fact that the negative impact of some factors can reduce or even negate the positive impact of others. In this case, banks are more likely to survive in such conditions, which, thanks to their already created potential, can mitigate the negative impact of these factors and suffer minimal losses in the current economic environment.
When talking about the sustainability factors of a commercial bank, they most often refer to external and internal ones, but they should be classified as follows, as shown in table 1.2.1
Table 1.2.1. Classification of factors affecting the stability of a commercial bank
Any classification of factors serves certain purposes. The most important is the classification according to the method of occurrence. Therefore, we will consider in more detail the external and internal factors, the grouping of which is presented in the form of a diagram (see Figure 1.2.1)
Figure 1.2.1. Grouping of factors influencing the stability of a commercial bank according to the method of occurrence
The need to specify the factors that determine the stability of the functioning of banks in the economic environment is due to the need to develop a strategy and tactics for their behavior.
According to the scheme, the stability of commercial banks is determined by external and internal factors. At the same time, external factors do not depend on the work of a commercial bank, and internal ones are a reflection of the effectiveness of the functioning of the bank itself.
In the mass bankruptcy of banks, the decisive role belongs to external factors, which are a probabilistic set of interrelated factors. It is appropriate to divide external factors into six groups: 1) general economic; 2) political; 3) financial; 4) legal; 5) socio-psychological; 6) force majeure. Let's take a closer look at these factors.
The results of the analysis of the state of business activity of commercial factors, presented by the Center for Economic Research under the Government of the Russian Federation, revealed that the most significant factor negatively affecting the stability of commercial banks is the general economic instability in the country. This opinion is shared by 79% of respondents. This suggests that the level of stability of commercial banks is determined, first of all, by general economic factors. They have a significant impact on the stability of Russian commercial banks. The totality of economic factors reflects the state of the economy, expressed in the intensity and methods of establishing economic relations with the participation of banks. Economic factors include: the potential of the real sector of the economy, the renewal and disposal of production capacities, the competitiveness of commodity producers, the balance of the country's balance of payments (export/import), the possibility of intersectoral overflow of resources, investments (inflow/outflow of capital), the value of GDP.
In general, the economic situation, both in the country and in the region, is characterized by the following indicators:
Production and technical potential, which depends on the quantity and quality of the workforce. Volumes, structure and quality of production assets and natural resources;
Structural changes taking place in the economy;
The investment climate of the country;
The state of the payment system and its development trends.
A stable economic base of the country is the basis for the stability of banks, their foundation. Difficulties in the economy seriously affect the stability and viability of banks. Thus, economic crises primarily reduce the financial stability of bank customers, which accordingly leads to an outflow of funds from banks and a decrease in the repayment of loans issued, and this ultimately negatively affects the stability of commercial banks. Economic booms, on the contrary.
Financial factors, that is, the state and development of the financial market, have a huge impact on the stability of commercial banks. The state of the financial market is determined by the following factors: money supply, inflation rates, interest on short-term loans, changes in state regulation in the foreign economic and foreign exchange areas, the country's gold and foreign exchange reserves, the size of the country's external debt, the state and prospects of the stock market, etc.
The generally recognized influence on the stability of both individual commercial banks and the banking system as a whole is exerted by political factors. The political situation in the country is determined by the stability of the existing government, its policies, the influence of opposition, stability or social tension in the administrative-territorial units. Political stability is a condition for the successful development of the banking services market, since it determines the possibilities for the socio-economic development of the country and strengthening its position in the international market.
Significantly affect the stability of commercial banks and legal factors, that is, the forms and methods of legal regulation of banking activities. The stability of legislation, its relative conservatism creates the prerequisites for the normal legal regulation of emerging problems. At the same time, the legislation influences the development of the banking system with special rules for regulating certain banking operations and transactions. The preparation of draft laws aimed at improving the current legislation, eliminating the gaps in it, is one of the priority tasks, the solution of which largely determines the stability of the domestic banking system.
Economic, financial, legal and political factors largely determine the complex of socio-psychological factors. The socio-psychological factors include: the confidence of the majority of the population in the correctness of the ongoing economic reforms, in the stability of tax, customs and currency legislation, in good prospects for the development of the economy as a whole and its individual sectors. All of the above together form the level of confidence in commercial banks, the willingness to carry out banking operations and use banking services.
The stability of commercial banks can also be influenced by any force majeure factors, that is, factors. As a result of natural disasters and unpredictable events that lead to disruptions in the activities of banks. These factors can be divided into natural, political and economic. Natural factors rightly include those that technically impede the functioning of commercial banks (floods, earthquakes, hurricanes, etc.). Political factors include: border closures, the introduction of international bans on economic relations with other states, military conflicts. These factors lead to the need for a significant revision of the terms of interaction between banks and their clients. The list of economic factors should include the government's refusal to fulfill its financial obligations, changes in the taxation system, crises in financial markets, and the introduction of restrictions on export-import activities.
Internal factors should be understood as a set of factors that are formed by the commercial banks themselves and depend directly on their activities.
The internal stability factors of the bank should be divided into three groups:
1. Organizational factors;
2. Technological factors;
3. Financial and economic factors.
Organizational factors influencing the stability of credit institutions include: the bank's strategy, the level of management (management), staff qualifications, relationships with the founders, and the bank's internal policy. In this case, the strategy of the bank, that is, the conceptual basis of its activities, is of the greatest importance. The development of a bank's strategy is a search for a balance between the forces of the bank itself and its environment. Balance can be achieved by selecting options. The assessment of the situation is based on an analysis of market requirements, the technical capabilities of the banking business, and the availability of infrastructure.
An important organizational factor influencing the stability of Russian banks is the quality of management. Banks should pay considerable attention to this factor. A study in this direction showed that the poor quality of management was one of the main causes of the banking crisis in 1998. Many strategic and tactical miscalculations of credit institutions were associated precisely with insufficiently qualified bank management. The inefficiency of management in commercial banks can be judged by the following results of their work:
Mass revocation of licenses by the Central Bank of the Russian Federation, an increase in the number of their bankruptcies, exacerbation of problems of unprofitability or unprofitability;
Acceptance of numerous violations of the current legislation and the requirements of regulations established by the banking supervisory authorities.
Of particular importance for the stability of banks is the internal policy pursued by them. It should be aimed at preventing the main causes of bankruptcies: loss of assets due to overdue loans or a fall in the market value of securities; illiquidity; losses from the main activity; rising costs; prevention of crimes by highly qualified specialists, corruption. In addition, the bank's internal policy should be aimed at attracting the most qualified specialists, since high-quality management is the main condition for the bank's profitable and reliable operation, especially during economic crises.
The second group of internal factors influencing the stability of the bank, as noted earlier, includes technological factors, including the bank's focus on the development of banking technologies, market needs for new banking products and services. Modern banking puts forward such problems for banks that simply cannot be solved without the wide and complex use of the latest information technologies. Automation has affected traditional banking services extensively. Today it is impossible to imagine the successful operation of a bank without the use of computer networks. Thus, banking computer and telecommunications technology is becoming a significant factor in accelerating the adaptation of the banking sector to the requirements of the international banking community and, accordingly, contributes to a more sustainable functioning of commercial banks.
Despite the importance of organizational and technological factors influencing the stability of commercial banks, the decisive role still belongs to the group of financial and economic factors. The generally recognized financial and economic factors of the bank's stability are: the volume and structure of own funds, the level of income, expenses and profits, the structure, sources of funds and their effective placement. These factors are valid only in interaction with each other, that is, they must be taken into account by commercial banks as a whole.
Thus, the stability of a commercial bank is a complex general economic category that works only if all its rules are observed and requires constant monitoring by banks. Therefore, an important condition for the existence of any bank is the need to assess its financial stability, taking into account all of the above factors.
1.3. Information base of financial stability analysis
The information base of the analysis assumes the possibility of carrying out any type of analysis - retrospective, operational, prospective, strategic.
The system of economic information that provides analysis of the financial stability of a commercial bank is shown in fig. one .
Rice. 1. Information support for the analysis of the financial stability of a commercial bank.
The effectiveness of analytical procedures is largely determined by the quality of internal information, which makes up a large part of the entire information base. The most stringent requirements are traditionally imposed on accounting sources of information. They combine formalized criteria for organizing their collection and generalization, as well as a high degree of demand from various user groups. More than any other commercial organization, the accounting data and reporting of banks are subject to control and supervision by state and other regulatory bodies (the Bank of Russia, the tax service within the Ministry of Finance, the Federal Commission for the Securities Market, the Federal State Statistics Service, etc. .), which, on the one hand, simplifies the process of systematizing information (when the procedures are described in detail in the regulations governing banking activities), and on the other hand, increases the minimum level of information quality requirements.
In order to analyze financial stability, data from internal, operational and management accounting and reporting are also used. A variety of information, systematized in an arbitrary form (but quite regularly) provides the analysis with additional data for interpreting banking operations.
However, not all necessary information is subject to accounting. Part of it is contained in extra-account sources:
Acts of various inspections - official (for example, tax, audit or inspections of the Bank of Russia), internal control and audit services, audits, inventory, etc.;
Reporting, official and explanatory notes of bank employees.
Often, the assessment of the facts revealed in the process of analysis depends on the availability of relevant grounds in the above documents.
Analytical calculations also use planned data and various internal standards - limits.
External information occupies a special place in the methodology of financial stability analysis. It is a reflection of the interaction of the bank with the external environment.
A large array of external information is banking legislation. This incoming stream is extremely mobile, the information in it is constantly updated, which complicates the task of the analyst, who must not only take into account the current state of the issue, but also model the situation of the future, taking into account changes in legislation that have not yet entered into force.
The decisions of bank managers are determined, among other factors, by market conditions. The values of indicators characterizing the state of the financial, stock, and foreign exchange markets are monitored on a daily basis. Information related to completed transactions is archived in banking information and reference databases.
Analysts also collect reference information for various purposes - for example, to reassess the bank's property, prepare reports in accordance with international accounting and reporting standards, and present information to shareholders at the end of the year. Reference information includes: external standards (limits set by the Bank of Russia, transaction partners, central banks of other countries, if the bank has a foreign branch or representative office); data on prices for information, equipment, services of banks and non-bank credit institutions, etc.
The situation in the industry markets affects the activities of the banking clientele. Russian commercial banks are still closely connected with their client base, and therefore changes in the activities of clients are important input for the bank for the purposes of analyzing and managing its own activities.
Abroad, the usual practice is to collect and process information about the clientele, including potential, counterparties, competitors. Conducting such an external economic analysis provides management with the necessary information for intra-bank analysis and management. The source of such information is the periodical press, which publishes annual reports of the largest firms, information on the release of certain types of products, volumes of capital investments, export transactions, purchase of shares, mergers and acquisitions, personnel policy and personnel changes. In addition, the companies themselves publish a number of important information about themselves - annual financial reports, prospectuses (a detailed description of the company's production activities, information about the composition of the Board, history of development, prospects), catalogs (by product range, mail order, etc.).
Thus, the financial stability of the bank is the state of reliability and constancy of the bank in fulfilling its obligations. During periods of crisis, the importance of these factors becomes much higher.
2. METHODOLOGY FOR ANALYZING THE FINANCIAL STABILITY OF A COMMERCIAL BANK
The following groups of indicators are used to assess the financial stability of a bank:
· a group of capital assessment indicators;
a group of indicators for asset valuation;
a group of indicators for evaluating profitability;
· a group of liquidity assessment indicators.
2.1. Methodology for determining capital assessment indicators
Includes indicators for assessing capital adequacy and capital quality.
Capital adequacy indicators consist of:
a) The own funds (capital) adequacy ratio (PC1) is determined in the manner established for the calculation of the mandatory ratio H1
b) The overall capital adequacy ratio (PC2) is defined as the percentage ratio of own funds (capital) to the bank's assets, which does not include assets with a zero risk ratio, and is calculated using the following formula:
PC2 \u003d K / (A - Arisk0) * 100% (1)
Where K - own funds (capital) of the bank
A - assets. Represents the indicator of "Total assets" of form 0409806 "Balance sheet (published form)"
Arisk0 - assets with a zero risk factor in accordance with the Instruction of the Bank of Russia N 110-I.
c) The capital quality assessment indicator (IC3) is defined as the percentage of additional capital to fixed capital and is calculated using the following formula:
PC3 \u003d Kdop / Kosn x 100% (2)
Where Kdop - additional capital of the bank;
Kosn - the main capital of the bank.
The summary result for the group of capital assessment indicators (RGA) is the weighted average of the indicators and is calculated using the following formula:
RGK = SUM (score i * weight i) / SUM weight i (3)
weight i - weight assessment on a scale of relative significance from 1 to 3 of the corresponding indicator;
The financial stability of the bank according to the group of capital assessment indicators is recognized as satisfactory if the value of the RGC is less than or equal to 2.3 points.
2.2. Calculation formulas for determining asset valuation indicators
Includes indicators of the quality of debt on loans and other assets, the amount of provisions for losses on loans and other assets, the degree of risk concentration on assets:
a) Loan quality indicator (LA1) is the share of bad loans in total loans and is calculated using the following formula:
PA1 = ------ x 100% (4)
Where SZ - loans
SZbn - bad loans
b) The asset quality indicator (PA2) is defined as the percentage of uncovered assets, reserves for which are more than 20 percent, to equity (capital) and is calculated using the following formula:
PA2 \u003d (A20 - RP20) / K * 100% (5)
Where A20 - assets, reserves for possible losses for which should be formed in the amount of more than 20 percent;
RP20 - reserves actually formed under A20
c) The share of non-performing loans (PA3) represents the share of non-performing loans in total loans and is calculated using the following formula:
PA3 \u003d Szpr / SZ * 100% (6)
Where SZpr - loans overdue over 30 calendar days
d) The indicator of the amount of reserves for losses on loans and other assets (PA4) is defined as the percentage of the actually formed reserve for possible losses on loans to the total volume of loans and is calculated using the following formula:
PA4 = RVPSf / SZ * 100% (7)
Where RVPSf is the actually formed reserve for possible losses on loans
e) Indicators of the degree of concentration of risks by assets consist of an indicator of the concentration of large credit risks ((PA5) is determined in the manner established for calculating the mandatory ratio N7 "Maximum size of large credit risks"), an indicator of the concentration of credit risks on shareholders (participants) ((PA6 ) is determined in the manner established for the calculation of the mandatory ratio N9.1 "Maximum amount of loans, bank guarantees and guarantees provided by the bank to its participants (shareholders)") and the concentration of credit risks on insiders ((PA7) is determined in the manner established for the calculation mandatory ratio H10.1 "The total amount of risk for the bank's insiders").
The summary result for the group of asset valuation indicators (RAI) is a weighted average of the indicators and is calculated using the following formula:
RGA = SUM (score i * weight i) : SUM weight i (8)
Where score i - score from 1 to 4 of the corresponding indicator;
The financial stability of the bank in terms of the group of asset valuation indicators is considered satisfactory if the RGA value is less than or equal to 2.3 points.
2.3. Profitability assessment indicators and methods for their determination
Includes indicators of return on assets and capital, the structure of income and expenses, the profitability of certain types of operations and the bank as a whole.
The return on assets and capital indicators consist of the return on assets and the return on equity:
a) The return on assets indicator (RP1) is defined as the percentage ratio (in percent per annum) of the financial result to the average value of assets and is calculated using the following formula:
PD1 = FR / Asr * 100% (9)
Where FR is the financial result of the bank. Represents the indicator "Profit (loss)" of form 0409102 "Profit and loss statement of a credit institution"
Asr - the average value of assets. Calculated using the chronological average formula for indicator A.
b) The rate of return on capital (RP2) is defined as a percentage (percentage per annum) ratio of the financial result to the average value of capital and is calculated using the following formula:
PD2 \u003d FR / Ksr * 100% (10)
Where Kav is the average value of capital. Calculated using the formula for the chronological average for the indicator K.
Indicators of the structure of income and expenses consist of an indicator of the structure of income and an indicator of the structure of expenses:
a) The Composition of Income Index (IR3) is defined as the percentage of net income from one-time operations to the financial result and is calculated using the following formula:
PD3 \u003d Fdraz / FR * 100% (11)
Where ChDraz - net income from one-time operations.
b) The cost structure indicator (AP4) is defined as the percentage of administrative and management expenses to net income (expenses) and is calculated using the following formula:
PD4 \u003d Rau / BH * 100% (12)
Where Rau - administrative and management costs.
NB - indicator "Net income (expenses)" of form 0409807 "Profit and loss statement (published form)".
The profitability indicators of certain types of operations and the bank as a whole consist of indicators of net interest margin and net spread from lending operations:
a) The net interest margin (IA5) is defined as the percentage (in percentage per annum) of net interest income to the average value of assets and is calculated using the following formula:
PD5 \u003d Ndp / Asr * 100% (13)
Where NPV is net interest income.
b) The Net Lending Spread Ratio (PD6) is defined as the difference between the percentage (percentage per annum) ratios of interest income on loans to the average value of loans and interest expenses to the average value of interest-generating liabilities and is calculated using the following formula:
PD6 \u003d Dp / SZav * 100% - Rp / Obsr * 100% (14)
Where SZav is the average value of loans.
Oavr - the average value of liabilities that generate interest payments. Calculated using the chronological average formula.
The summary result for a group of indicators for assessing profitability (RGD) is a weighted average of the indicators and is calculated using the following formula:
RGD = SUM (score i * weight i) : SUM weight i (15)
Where score i - score from 1 to 4 of the corresponding indicator;
weight i - weight assessment on a scale of relative significance from 1 to 3 of the corresponding indicator.
The financial stability of the bank in terms of the group of indicators for assessing profitability is considered satisfactory if the value of the RGD is less than or equal to 2.3 points.
2.4. Indicators that determine the liquidity of a commercial bank and methods for their calculation
Includes indicators of liquidity of assets, liquidity and structure of liabilities, general liquidity of the bank, risk on large creditors and depositors.
The liquidity indicators of assets consist of the ratio of highly liquid assets and borrowed funds, the indicator of instant liquidity and the indicator of current liquidity:
a) The ratio of highly liquid assets to borrowed funds (PL1) is defined as the percentage of highly liquid assets to borrowed funds and is calculated using the following formula:
PL1 = Lam / PS * 100% (16)
Where Lam - highly liquid assets of the bank
PS - borrowed funds
b) Instant liquidity ratio (PL2) is determined in accordance with the procedure established for the calculation of the obligatory ratio H2 "Bank instant liquidity ratio"
c) The indicator of current liquidity (PL3) is determined in the manner established for the calculation of the obligatory ratio H3 "Normal current liquidity of the bank"
The indicators of liquidity and the structure of liabilities consist of an indicator of the structure of attracted funds, an indicator of dependence on the interbank market, an indicator of the risk of own promissory notes and an indicator of non-bank loans:
a) The structure of borrowed funds indicator (PL4) is defined as the percentage of demand liabilities and borrowed funds and is calculated using the following formula:
PL4 \u003d Ovm / PS * 100% (17)
Where Ovm - obligations (liabilities) on demand,
b) The indicator of dependence on the interbank market (PL5) is defined as the percentage of the difference between attracted and placed interbank loans (deposits) and attracted funds and is calculated according to the following formula:
PL5 \u003d PSbk - SZbk / PS * 100% (18)
Where PSbk - interbank loans (deposits) received. They represent the result of section II of form 0409501 "Information on interbank loans and deposits"
SZbk - interbank loans (deposits) provided
c) The risk indicator of own promissory notes (PL6) is determined as a percentage of the amount of promissory notes and bank acceptances issued by the bank to own funds (capital) and is calculated according to the following formula:
PL6 \u003d Ov / K x 100% (19)
Where Ov - bills of exchange issued by the bank and bank acceptances.
d) The indicator of non-bank loans (PL7) is defined as the percentage of loans granted to clients - non-bank organizations and balances on the accounts of clients - non-bank organizations and is calculated using the following formula:
PL7 \u003d Sznb / PSnb * 100% (20)
Where SZnb - loans granted to customers - non-credit organizations (including loans granted to individuals). It is defined as the difference between SZ and Szbk;
PSNB - indicator "Accounts of clients (non-credit organizations)" of form 0409806
The bank's overall liquidity indicators consist of the required reserves averaging indicator and the required reserves indicator:
a) The required reserves averaging indicator (RL8) characterizes the absence (presence) of the bank's failure to fulfill its obligation to average the required reserves. If the bank does not use the averaging of required reserves in the analyzed period, the PL8 indicator is assigned a score of 1.
b) The indicator of required reserves (RL9) characterizes the absence (presence) of the facts of the bank's unpaid underpayment to the required reserves. Estimated in calendar days of the duration of non-payment for the month preceding the reporting date, for which financial stability indicators were calculated
The risk indicator for large creditors and depositors (PL10) is defined as the percentage of the amount of the bank's liabilities for creditors and depositors, whose share in the total value of all liabilities of the bank is 10 percent or more, to liquid assets and is calculated using the following formula:
PL10 \u003d Ovkk / Lat * 100% (21)
Where Ovkk is the sum of the bank's liabilities to creditors and depositors (groups of related creditors and depositors), whose share in the total value of all bank liabilities is 10 percent or more.
Lat - liquid assets
The summary result for a group of liquidity assessment indicators (RGL) is a weighted average of the coefficients and is calculated using the following formula:
RGL = SUM (score i * weight i) : SUM weight i (22)
score i - score from 1 to 4 of the corresponding indicator;
weight i - weight assessment on a scale of relative significance from 1 to 3 of the corresponding indicator.
The bank's financial stability in terms of a group of indicators for assessing liquidity is recognized as satisfactory if the RGL value is less than or equal to 2.3 points.
The financial stability of the bank is recognized as sufficient to recognize the bank as meeting the requirements for participation in the deposit insurance system if there is a “satisfactory” result for all groups of indicators.
3. ASSESSMENT OF FINANCIAL STABILITY OF SBERBANK OF RUSSIA
3.1. The role of Sberbank of Russia OJSC in the banking system of Russia
Table 1
Key Performance Indicators of OAO Sberbank of Russia in 2005-2009
| Index | Year | ||||
| 2005 | 2006 | 2007 | 2008 | 2009 | |
| Capital adequacy ratio H1, % | 13,4 | 12,7 | 19,1 | 14,8 | - |
| Instant liquidity ratio H2, % | 60 | 64,8 | 74,3 | 44,7 | - |
| Current liquidity ratio H3, % | 65,9 | 69,9 | 90,4 | 53,7 | - |
| Long-term liquidity ratio H4, % | 77,6 | 92,9 | 87,7 | 102,6 | - |
| Demand liabilities, million rubles | 251151 | 238414,2 | 334127,9 | 1030998 | - |
| Cash, million rubles | 29570 | 61990,3 | 58669,4 | 92780,1 | 223667,4 |
| Assets, billion rubles | 2072,1 | 2660,2 | 3946,5 | 5244,7 | 6739 |
| Capital, billion rubles | 217,4 | 273 | 602 | 727,5 | 1156 |
| Funds in the Central Bank, million rubles | 54549 | 85175,6 | 69986,5 | 147568,9 | 166997,9 |
| Funds in other credit institutions, million rubles | 3119 | 3524,7 | 25836,5 | 7908 | 70190,7 |
| Loan portfolio, RUB bn | 1353,2 | 1933,1 | 2901,3 | 4195,7 | 5561,2 |
| Balances on accounts of individuals, billion rubles | 1500,1 | 2147,7 | 2639,3 | 3089,4 | |
| Balances on accounts of legal entities, billion rubles | 583,4 | 956,5 | 1397,3 | 1785,3 | |
| Profit, billion rubles | 18024 | 21755 | 25937 | 36127 | 309 |
In recent years, the banking system of Russia has experienced rapid growth, growing volumes of lending, the range of services offered by banks. The volume of net assets of banks also increased, which is shown in Figure 2.
Rice. 2. The total volume of net assets of the 10 largest banks in Russia
OJSC Sberbank of Russia is the largest bank in Russia in terms of net assets (Appendix D). However, the share of its assets in the total volume of net assets of the 10 largest banks has been steadily declining in recent years (from 52.2% in 2006 to 43.5% in 2009, this is shown in Figure 3), which indicates increasing competition in the banking sector. .
Rice. 3. Share of assets of OJSC Sberbank of Russia in the total assets of the 10 largest banks in the Russian Federation
The total volume of loans issued by Russian banks over the past 4 years increased 4.46 times from 4,462.4 billion rubles in 2004 to 19,885 billion rubles in 2008. The loan portfolio of Sberbank of Russia increased 4.11 times over the same period and by the end of 2008 amounted to 5,561.2 billion rubles. As can be seen from Figure 4, the share of Sberbank of Russia in the total volume of Russia's loan portfolio is high and has only slightly decreased in recent years.
Rice. 4. The share of loans issued by OJSC Sberbank of Russia in the total volume of loans issued in Russia in 2004-2008.
In mid-2008, the financial crisis began all over the world and in Russia, which had a strong impact on the activities of credit institutions. However, this has not yet affected the liquidity indicators of the Russian banking system as a whole. The average values of mandatory ratios H1 (instant liquidity, the minimum allowable value is 15%), N2 (current liquidity, the minimum allowable value is 50%), N3 (long-term liquidity, the maximum allowable value is 120%) of Russian commercial banks in 2008 slightly increased compared to indicators for 2007. This is shown in Figure 5. .
Rice. Fig. 5. Liquidity indicators of the banking sector in 2007-2008 The indicators of Sberbank of Russia according to these standards deteriorated quite strongly in 2008 compared to 2007, which is shown in Figure 6. This indicates that the bank is experiencing a lack of liquidity and its performance is lower than the average for the entire banking system as a whole.
Rice. 6. Liquidity indicators of JSC Sberbank of Russia in 2007-2008
OJSC Sberbank of Russia is the largest bank in Russia, being the leader in terms of the volume of loans issued and in terms of net assets. Over the past few years, other banks have been approaching Sberbank in terms of their performance. During the financial crisis, OJSC Sberbank of Russia is experiencing some liquidity problems, which are reflected in the indicators of mandatory ratios.
3.2. Analysis of Financial Stability Indicators of OJSC Sberbank of Russia
Let us analyze the financial stability of Sberbank of Russia OJSC based on the methodology of the Central Bank presented in Chapter 2.
table 2
Dynamics of the group of indicators of the capital of Sberbank of Russia for 2007-2009
| Index | 2007 | 2008 | 2009 | Absolute deviation | Growth rate, % | ||
| 2008 to 2007 | 2009 to 2008 | 2008 to 2007 | 2009 to 2008 | ||||
| Capital adequacy ratio | 19,10 | 15,36 | 14,80 | -3,74 | -0,56 | 80,42 | 96,35 |
| Overall capital adequacy ratio | 15,26 | 13,90 | 17,00 | -1,36 | 3,10 | 91,09 | 122,30 |
| Capital quality assessment indicator | 58,40 | 71,90 | 82,70 | 13,50 | 10,80 | 123,12 | 115,02 |
| Generalizing result for the group of capital indicators | 1,16 | 1,33 | 1,30 | 0,17 | -0,03 | 114,66 | 97,74 |
Calculations of indicators and generalizing results are given in Appendix G.
The summary result for the group of capital indicators is significantly lower than the maximum allowable and increased by 12% over the period under review. Among the indicators, one can single out a decrease over the last 2 years of the capital adequacy ratio H1. As of April 1, 2009, H1 decreased in relation to the level of April 1, 2007 by 22.5%.
It's clear 
shown in Figure 7:
Rice. 7. Dynamics of the overall capital adequacy ratio of Sberbank of Russia for the period 2005-2009
A decrease in this indicator indicates a decrease in the volume of the bank's own funds in relation to its assets. It is possible to increase the amount of own funds by additional issue of shares, by increasing the profitability of operations (which will increase the attractiveness of the bank and the growth of its stock quotes), by increasing profits (which is an element of own funds and from which deductions are made to reserve funds).
Table 3
Dynamics of the group of indicators of the assets of Sberbank of Russia for 2007-2009
Table 3 continued
| The indicator of the amount of reserves for losses on loans and other assets | 3,40 | 2,80 | 2,30 | -0,60 | -0,50 | 82,35 | 82,14 |
| Concentration of Large Credit Risks | 45,40 | 121,72 | 111,10 | 76,32 | -10,62 | 268,11 | 91,28 |
| The indicator of the concentration of credit risks on shareholders | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | - | - |
| The indicator of the concentration of credit risks on insiders | 1,20 | 1,70 | 1,70 | 0,50 | 0,00 | 141,67 | 100,00 |
| Generalizing result for a group of asset indicators | 1,44 | 1,44 | 1,33 | 0,00 | -0,11 | 100,00 | 92,36 |
The summarizing result of the group of indicators of the assets of Sberbank of Russia is also significantly lower than the maximum allowable and decreased by 7.6% over the period under review. Among the indicators, the greatest concern is the growth of arrears on loans. During the financial crisis, an increasing number of individuals and companies are facing financial difficulties and are unable to make debt payments on time. Over the past six months, the overdue debt of OJSC Sberbank of Russia has almost doubled, reaching by April 2009 2.4% of the total loan portfolio. This is shown in Figure 8.
The growth in arrears makes it necessary to increase
Rice. 8. Growth dynamics of overdue debt of Sberbank of Russia for the period from August 1, 2008 to April 1, 2009
reserves for possible losses. As of today, Sberbank's reserves are 2.44 times larger than the total debt of its borrowers. In January 2009, 39% of the bank's expenses (or 37 billion rubles) was the creation of reserves, while in January 2008 only 5% (2 billion rubles) of all Sberbank's expenses went to the creation of reserves.
The situation is aggravated by the fact that OJSC Sberbank of Russia lends to many social facilities, which in the current situation find it difficult to meet all their obligations. However, due to the nature of the activities of these organizations, their financing cannot be stopped, including by Sberbank, which will contribute to the continued growth of overdue debts.
But today the amount of overdue debt of Sberbank of Russia is lower than in the Russian banking system as a whole. In general, for all banks, the level of overdue has already reached 3.4%.
Table 4
Dynamics of a group of indicators of profitability of OJSC Sberbank of Russia for 2007-2009
| Index | 2007 | 2008 | 2009 | Absolute deviation | Growth rate, % | ||
| 2008 to 2007 | 2009 to 2008 | 2008 to 2007 | 2009 to 2008 | ||||
| Return on assets | 0,80 | 1,60 | 1,10 | 0,80 | -0,50 | 200,00 | 68,75 |
| Return on equity | 5,30 | 2,10 | 0,70 | -3,20 | -1,40 | 39,62 | 33,33 |
| Income structure indicator | 5,80 | 4,30 | 0,80 | -1,50 | -3,50 | 74,14 | 18,60 |
| Cost structure indicator | 74,50 | 52,20 | 83,80 | -22,30 | 31,60 | 70,07 | 160,54 |
| Net interest margin | 2,20 | 2,50 | 3,10 | 0,30 | 0,60 | 113,64 | 124,00 |
| Net spread from lending operations | 1,24 | 4,01 | 2,20 | 2,77 | -1,81 | 323,39 | 54,86 |
| Generalizing result for a group of profitability indicators | 2,15 | 2,15 | 2,23 | 0,00 | 0,08 | 100,00 | 103,72 |
The general result of the group of profitability indicators is only slightly lower than the maximum allowable and for the period under review increased by 3.7%. This indicates the need for a more efficient use of the funds of Sberbank of Russia OJSC. Among the indicators of profitability, one can single out a sharp drop in the return on capital over the 3 years under consideration. As can be seen from Figure 9, since 2007 it has decreased by more than 5 times.
Return on equity shows how much profit per 1 ruble of capital. A decrease in this indicator means a decrease in the efficiency of capital use by the bank. At the same time, Sberbank's net lending spread and net interest margin grew over the corresponding period. Therefore, the reasons for the decline in return on capital may be high administrative and management costs, inefficient management, and a high proportion of overdue debts. As measures to increase the return on equity of Sberbank of Russia, it is recommended to reduce management costs, optimize the staffing of bank branches, and exclude unreliable loans from the loan portfolio.
Table 5
Dynamics of a group of liquidity indicators of Sberbank of Russia in 2007-2009
| Index | 2007 | 2008 | 2009 | Absolute deviation | Growth rate, % | ||
| 2008 to 2007 | 2009 to 2008 | 2008 to 2007 | 2009 to 2008 | ||||
| Ratio of highly liquid assets to borrowed funds | 4,59 | 5,50 | 7,70 | 0,91 | 2,20 | 119,83 | 140,00 |
| Instant liquidity ratio | 74,30 | 29,94 | 44,70 | -44,36 | 14,76 | 40,30 | 149,30 |
| Current liquidity indicator | 90,40 | 50,24 | 53,70 | -40,16 | 3,46 | 55,58 | 106,89 |
| Indicator of the structure of attracted funds | 19,30 | 20,00 | 21,80 | 0,70 | 1,80 | 103,63 | 109,00 |
| Indicator of dependence on the interbank market | 3,30 | 3,53 | 3,50 | 0,23 | -0,03 | 106,97 | 99,15 |
| Risk indicator of own promissory notes | 23,12 | 21,52 | 10,25 | -1,60 | -11,27 | 93,08 | 47,63 |
| Non-bank loans ratio | 135,00 | 119,80 | 81,50 | -15,20 | -38,30 | 88,74 | 68,03 |
| Required reserve averaging ratio | the obligation to average the required reserves has been fulfilled | the obligation to average the required reserves has been fulfilled | |||||
| Required reserve ratio | contributions to the required reserves have been paid | contributions to the required reserves have been paid | |||||
| Risk indicator for large lenders and depositors | 62,30 | 54,30 | 75,50 | -8,00 | 21,20 | 87,16 | 139,04 |
| Generalizing result for a group of liquidity indicators | 1,33 | 1,38 | 0,96 | 0,05 | -0,42 | 103,76 | 69,28 |
The summarizing result of the group of liquidity indicators is more than 2 times lower than the maximum allowable and for the period under review decreased by 27.8%. The liquidity indicators of Sberbank of Russia are generally at a high level, despite the decrease in the mandatory ratios H2 and H3. There is a tendency for their improvement over the period under review. Thus, the ratio of highly liquid assets and attracted funds for 2 years increased by 67.76%, there was a constant increase in the indicator of the structure of attracted funds. This is clearly shown in Figure 10.
Rice. 10. Dynamics of the ratio of demand liabilities and borrowed funds of OJSC Sberbank of Russia in 2007 - 2009
The growth in the volume of demand liabilities caused a more than twofold decrease in the instant liquidity ratio H2 in 2008. Demand obligations are forced to accumulate more reserves necessary to repay these obligations. Consequently, a larger amount of funds does not go into circulation, but simply is on the account in case the depositor contacts the bank. It is more expedient to attract term deposits and use the funds raised in this way to issue loans for the same period.
The financial indicators of Sberbank of Russia OJSC are within acceptable limits, therefore it is recognized as financially stable. The weaknesses of the activity include low profitability of operations and liquidity that decreased during the crisis.
The key to the financial stability of the bank is the attraction of funds. Sberbank of Russia OJSC is the leader among Russian banks in terms of the volume of deposits attracted from the population. Sberbank of Russia accounts for 52.5% of the total volume of all bank deposits of individuals. The share of OJSC Sberbank of Russia in the market for attracting funds from legal entities is 21.4%. Let's trace the dynamics of the growth of the volume of deposits of Sberbank of Russia OJSC using the construction of a trend line and make a forecast of the volume of deposits for 2010. The graph is shown in Figure 11.
Rice. 11. Dynamics of growth in the volume of deposits of individuals of Sberbank of Russia for the period 2006-2009.
Using the trend line equation y = 525.95x + 1029.3, we calculate the predicted value of the volume of household deposits for 2010:
y \u003d 525.95 * 5 + 1029.3 \u003d 3659.05 (billion rubles)
Similarly, we predict the amount of funds attracted by Sberbank of Russia from legal entities. The graph is shown in Figure 12.
Rice. 12. Dynamics of growth in the volume of attracted funds of legal entities of OJSC Sberbank of Russia for the period 2006-2009.
Using the trend line equation y = 404.65x +169, we calculate the predicted value of the volume of household deposits for 2010:
y \u003d 404.65 * 5 +169 \u003d 2192.25 (billion rubles)
Thus, if in 2010 OJSC Sberbank of Russia maintains the growth rate of attracted funds from organizations and individuals, they will become a guarantor of its financial stability and ability to meet its obligations.
As noted earlier, the values of mandatory liquidity ratios of Sberbank of Russia in 2008 significantly decreased compared to 2007. Let us carry out a correlation analysis of the relationship between indicators of the instant liquidity ratio H2, the volume of demand liabilities, the volume of funds, the total volume of assets and capital of Sberbank of Russia OJSC. The result is presented in the form of a table (Table 5).
Table 6
Results of correlation analysis.
Table 6 continued
Correlation analysis showed that the closest links between the dynamics of the values of the H2 ratio are observed with the dynamics of demand liabilities and the volume of funds. The correlation coefficients are -0.82 and -0.77, respectively. The minus sign indicates that the relationship is inverse.
We will carry out a regression analysis and construct a two-factor model of the dependence of the value of the H2 ratio on the volume of liabilities on demand and the volume of funds. The results of the regression analysis are presented in Appendix H.
The two-factor regression model will look like this:
y \u003d -0.2 * x 1 + 0.001 * x 2 + 58.66;
Where y is the value of the H2 standard;
x 1 - volume of liabilities on demand;
x 2 - the amount of cash.
The model's multiple correlation coefficient is 0.79; the average relative approximation error was 5.36%. These indicators indicate the high quality of the model.
Using the construction of a trend line, we calculate the predicted values of the parameters x 1 and x 2 . The dynamics of changes in the volume of demand liabilities is shown in Figure 13:
Rice. 13. Growth dynamics of demand liabilities of OJSC Sberbank of Russia in 2005-2009
Using the trend line equation y = 177.4x 2 - 643.52x + 741.95, we calculate the forecast value of demand liabilities for 2010:
y \u003d 177.4 * 25 - 643.52 * 5 + 741.95 \u003d 1,959.5 (billion rubles)
The dynamics of changes in the volume of cash is shown in Figure 14:
Rice. 14. Dynamics of growth in the volume of funds of Sberbank of Russia in 2005-2009
Using the trend line equation y = 33552x 2 – 115846x+ 147252, we calculate the forecast value of demand liabilities for 2010:
y = 33552*25 - 115846*5 + 147252 = 406,822 (billion rubles)
Substituting the resulting values into a two-factor model, we calculate the forecast value of the instant liquidity indicator H2 for 2010:
y = -0.2*1959.5 + 0.001*406822 + 58.66 = 73.58
As a result of the calculations, we find that, while maintaining the current growth rates of the volume of cash and the volume of demand liabilities, the value of the instant liquidity ratio H2 by 2010 can reach 73.58%, i.e. increase by 1.65 times compared to the level of 2009.
Thus, in order to maintain the financial stability of Sberbank of Russia, it is necessary to continue to increase the volume of attracted funds from individuals and legal entities and not to allow a decrease in the indicators of mandatory liquidity ratios.
CONCLUSION
The financial stability of a commercial bank is its qualitative state of equilibrium in motion, in which the achievement and strengthening of reliability, constancy, and customer confidence in it is realized. An assessment of the financial stability of a commercial bank is carried out in order to recognize it as sufficient for the bank to carry out operations to attract deposits from individuals and for the bank's participation in the deposit insurance system.
The methodology for assessing the financial stability of a commercial bank was developed by the Central Bank of the Russian Federation and presented in the Directive of the Central Bank No. 1379-U dated January 16, 2004. The methodology includes an assessment of four groups of indicators: asset quality, capital quality, profitability level of operations, degree of liquidity of bank assets.
The sources of information for assessing the financial performance of the bank are the bank's accounting documents (balance sheet, profit and loss statement, capital flow statement, etc.), extra-accounting sources (acts of inspections of the bank's activities, reports, official, explanatory notes of bank employees), market bank performance indicators.
As a result of the study of the financial performance of Sberbank of Russia OJSC, conclusions were drawn that the financial stability of the bank can be considered satisfactory. During the analysis, a decrease in the bank's liquidity indicators was revealed and a forecast was made for the instant liquidity indicator for 2010, according to which, if the growth rate of the money supply of Sberbank of Russia OJSC is maintained, its N2 ratio will increase by 1.65 times. As measures to strengthen financial stability, the bank is also recommended to continue increasing the volume of attracted funds from legal entities and individuals.
LIST OF USED SOURCES
1. Federal Law "On Banks and Banking Activities" dated December 2, 1990 No. 395-1 (as amended on December 30, 1990) / Information and legal system Consultant plus.
2. Federal Law "On insurance of deposits of individuals in banks of the Russian Federation" dated December 23, 2003 No. 177 - FZ / Information and Legal System Consultant Plus.
3. Ordinance of the Central Bank dated January 16, 2004 “On assessing the financial stability of a bank in order to recognize it as sufficient for participation in the deposit insurance system” No. 1379 - U / Information and legal system Consultant plus.
4. Beloglazova G.N., Krolevetskaya L.P. Banking / G.N. Beloglazova, L.P. Krolevetskaya - St. Petersburg: Peter, 2008. - 400 p.
5. Lavrushin O.I. Money, credit, banks / O.I. Lavrushin. – M.: Knorus, 2006. – 341 p.
6. Cherkasov V.E. Plotitsyna P.A. Banking operations: materials, analysis, calculations / V.E. Cherkasov P.A. Plotitsyn - M.: Knorus, 2003. - 208 p.
7. Evstratenko N.N. Russian system of deposit insurance in the context of world experience / N.N. Evstratenko // Money and credit. - 2007. - No. 3. - With. 49-55.
8. Malenko I.S. On aspects of ensuring the financial stability of commercial banks / I.S. Malenko // Bulletin of the Financial Academy. - 2008. - No. 1. - With. 181-187.
9. Melnikov A.G. Russian deposit insurance system: development paths for the medium term /A.G. Melnikov // Money and credit. - 2007. - No. 3. - p. 26-34.
10. Panov D.V. Financial stability of banks: a methodological approach / D.V. Panov // Bulletin of the Financial Academy. - 2008. - No. 3. - With. 180-200.
11. Safronov V.A. Formation by the Bank of Russia of a monitoring system for the financial stability of the banking sector / V.A. Safronov // Money and credit. - 2006. - No. 6. - With. 8-17.
12. Selevanova T.S. The banking sector of Russia in January 2009 / T.S. Selevanova // Banking. - 2009. - No. 4. – c. 54-67.
13. Lokshina Yu., Dementieva S., Pashutinskaya E. Banks survived the stress / Yu. Lokshina, S. Dementieva, E. Pashutinskaya //[Electronic resource]. - Access mode: www.kommersant.ru, free. - Zagl. from the screen.
14. Ponomareva V.A. Influence of the financial crisis on lending by banks to the real sector of the economy / V.A. Ponomarev // [Electronic resource]. - Access mode: http://koet.syktsu.ru/vestnik, free. - Zagl. from the screen.
15. Tyutyunnik A. Russian banking system after the crisis / A. Tyunik // [Electronic resource]. - Access mode: http//www.bo.bdc.ru, free - Title. from the screen.
17. Report of the Central Bank of the Russian Federation on the development of the banking sector in 2008 / [Electronic resource]. - Access mode: http//www.cbr.ru, free. - Zagl. from the screen.
18. Report of the Central Bank of the Russian Federation on the development of the banking sector in 2007 / [Electronic resource]. - Access mode: http//www.cbr.ru, free. - Zagl. from the screen.
19. Official website of the Deposit Insurance Agency / [Electronic resource]. - Access mode: http//www.asv.org.ru, free. - Zagl. from the screen.
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CRITERIA AND METHODS FOR EVALUATING FINANCIAL STABILITY OF COMMERCIAL BANKS
Tatyana Shelkunova
Candidate of Economic Sciences, Associate Professor, North Caucasian Mining and Metallurgical Institute (State Technological University),
Russia,Vladikavkaz
Zarina Tibilova
economics student, North Caucasian Mining and Metallurgical Institute (State technological university),
Russia,Republic of North Ossetia-Alania,Vladikavkaz
ANNOTATION
The article discusses the most popular methods for assessing the financial stability of commercial banks in order to identify their main advantages and disadvantages. Particular attention is paid to the transition of the Russian banking sector to the Basel standards. As an example, the activities of PJSC "Sberbank" are analyzed.
ABSTRACT
The article describes the most popular methods for evaluating the financial stability of commercial banks in order to identify their main advantages and disadvantages. Particular attention is paid to the transition of the Russian banking sector to the Basel standards. The activity of PJSC “Sberbank” is analyzed as an example.
Keywords: commercial Bank; financial stability; Kromonov's technique; CAMELS; methodology of the Bank of Russia; Basel.
keywords: commercial bank; financial stability; Kromonov's method; CAMELS; technique of the Bank of Russia; Basle.
Different authors interpret the concept of financial stability of a commercial bank in different ways. One group considers financial stability through the fulfillment by a commercial bank of the requirements for creditworthiness, liquidity, as well as the transformation of savings into credit. The second group argues that the financial stability of the bank is its ability to restore the parameters of the previous functioning in the event of adverse events. The third group defines the financial stability of banks through their ability to defend the interests of shareholders and depositors in a turbulent environment. At the same time, the concept of "financial stability" is broader than the stability of the banking system, since commercial banks make the main contribution to ensuring financial stability.
In general, we can conclude that the financial stability of a commercial bank is, first of all, the stability of its financial position in the long term, namely the state of financial resources in which a commercial bank is able, through the efficient use of funds, to ensure a continuous process of carrying out its economic activities.
The main criteria for the bank's financial stability are:
- analysis of the bank's own capital;
- liquidity analysis;
- analysis of the loan portfolio and related reserves;
- profitability analysis;
- analysis of banking risks;
- analysis of the level of management and management structure in the bank;
- analysis of the implementation of mandatory economic standards of the bank;
- analysis of the technological support of ongoing banking operations and their security;
- analysis of the use of labor resources, etc. .
To assess the above indicators, many coefficients are usually used, and the task of choosing the most significant of them for assessing financial stability becomes especially relevant. It should be noted that even world practice with its vast experience has not developed a single set of coefficients and has not created a standardized methodology for assessing the stability of not only a particular bank, but the entire banking system as a whole. There are several explanations for this situation:
- a huge array of classified information about the activities of commercial banks, which the subjects of the assessment need to analyze;
- the specifics of national economies, which should be taken into account in the process of developing a unified methodology for assessing the sustainability of a commercial bank.
Currently, the assessment of the stability of a commercial bank involves the use of a number of domestic and foreign methods. The most popular are: the methodology of the Bank of Russia; V.S. Kromonov, based on remote monitoring of the financial position of banks by analytical coefficients; the CAMELS methodology, developed in 1978 with the participation of the Federal Reserve System, the Comptroller of the Currency and the US Federal Deposit Insurance Corporation.
The methodology of the Bank of Russia is based on the official reporting of banks and the established mandatory performance standards (Instruction of the Bank of Russia dated December 3, 2012 No. 139-I (as amended on November 30, 2015) “On Banks’ Mandatory Ratios”). It is used to determine the financial stability of the analyzed bank and the development trends of its activities.
Rating of banks V.S. Kromonova uses a certain set of indicators, on the basis of which the reliability index N is calculated, the threshold value of which is equal to 50. The higher this index, the more stable the bank.
The CAMELS rating is a system for assessing the state of financial institutions, which is a comprehensive assessment issued to a bank based on data received by the supervisory authorities. The CAMELS abbreviation is based on a combination of the initial letters of the analyzed components, the names of which are actually similar to those used by Russian banking supervisors:
- C - capital adequacy;
- A - asset quality;
- M is the quality of control;
- E - profitability (profitability);
- L - liquidity;
- S is risk sensitivity.
Each indicator is evaluated on a scale from 1 to 5, where 1 is a sign of “fully healthy” (there may be only minor deviations in a number of indicators), resistant to external economic and financial shocks of the bank, and 5 indicates the existing probability of bankruptcy in the near future .
As a visual application of these methods, the activities of Sberbank PJSC were analyzed.
To assess the financial stability of a bank using the Kromonov method, it is necessary to calculate the basic analytical coefficients (Table 1).
Table 1.
The main indicators of the financial stability of Sberbank based on the Kromonov methodology
|
Index |
Indicator value |
Norm |
||
|
50 or more |
||||
From the above data, we can conclude that the bank's activities do not meet the criteria for financial sustainability of the Kromonov methodology. None of the studied indicators approached the established normal value. The general reliability coefficient (K1), which shows how risky investments are protected by equity, and is considered the most important from the point of view of the financial stability of a credit institution, turned out to be significantly below the standard. A similar situation arose with the instant liquidity ratio (K2), which shows whether the bank uses customers' money as its own credit resources; cross-coefficient (K3), which characterizes the degree of risk when using borrowed funds; general liquidity ratio (K4); capital protection ratio (K5), which shows how much the bank takes into account inflation and what part of its assets is placed in real estate, valuables and equipment; and the coefficient of stock capitalization of profits (K6), which characterizes the ability to increase equity through profits, and not additional issuance of shares.
However, if we take the final rating number (N), then the bank will be characterized as more than optimal, that is, reliable. Here lies the main contradiction of the method under consideration. It uses many indicators of different nature (most often, incomparable values), so their simple addition in the final rating formula is unacceptable, as it leads to a distorted view of the bank's condition. There are no logically justified and correct procedures for weighting coefficients. Also, the technique considers the state of the bank only at one specific point in time and does not take into account the nature of changes in the main financial indicators in dynamics. The essence of this technique is to build an ideal banking institution that will be able to repay its obligations at any time. Therefore, the client of such a bank will not bear any risk. However, in reality, this cannot be, since in this case, the bank itself will suffer heavy losses and work at a loss. Also, do not forget that traditionally banking activity is based on the principle of attracting additional funds in large volumes. In Russia, the share of attracted funds, as a rule, ranges from 70 to 90%, which, according to the Kromonov method, does not meet the standards.
Table 2.
The main indicators of the financial stability of Sberbank based on the methodologyCAMELS
|
Index |
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|---|---|---|---|
|
capital adequacy |
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Asset quality |
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|
Income asset level |
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|
Risk protection ratio |
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|
Level of high-risk assets |
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|
Doubtful debt level |
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|
Level of accounts receivable in non-earning assets |
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|
Business activity |
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|
General credit activity |
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|
Investment activity |
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|
Utilization ratio of borrowed funds |
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|
Refinancing ratio |
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|
Financial stability |
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|
Placement ratio |
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|
Bank accessibility ratio to external sources of financing |
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|
Bank accessibility ratio to external sources of financing (with turnover) |
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|
Capacity ratio |
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|
Liquidity |
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The capital adequacy ratio K1 determines the share of own funds in the structure of all liabilities. Its recommended value is 15% - 20%. The K2 coefficient shows the maximum amount of losses a bank can incur, while ensuring the safety of its clients' funds. It is believed that the bank's capital should cover its obligations by 25-30%. Deviation from the norm - 11.91%. The KZ ratio is the ratio of the bank's own funds to assets bearing the risk of loss. The risks of the bank on the placement of resources should be covered by 25-30% of its own funds. Deviation from the norm - 11.22%. The coefficient K4 characterizes the dependence of a commercial bank on its founders. The amount of funds invested in the development of the bank must be at least twice the contributions of the founders. The recommended value is 15–50%. Deviation from the norm - 2.88%. The coefficient K5 indicates that the funds of citizens attracted by the bank must be fully provided by its capital. The minimum value is 100%. Deviation from the norm - 22.04. None of the capital adequacy ratios meet the standards adopted by the CAMELS methodology. This is also evidenced by the deviations of the Bank of Russia normative standards from international requirements.
All asset quality indicators of Sberbank PJSC comply with the standards of the CAMELS methodology for all the last three years of its activity, without exceeding threshold values and not approaching critical levels.
The indicators of business activity of Sberbank as a whole are also characterized positively.
In the field of financial stability, the bank has a deviation in the coefficient of accessibility to external sources of financing (2.41%, with the recommended 20–40%), which, according to the methodology, indicates a lack of confidence in the bank. However, if we consider the value of this indicator for other banks in the country, then a similar situation is observed, therefore, this trend is inherent in the entire banking system of Russia.
In the area of liquidity, Sberbank shows slight deviations in the L3 indicator, which characterizes the required level of highly liquid assets in the balance sheet structure (6.79% against the recommended 12–15%), as well as in the L4 coefficient, which assesses the bank’s ability to simultaneously repay all of its liabilities. The recommended value of this ratio is 15–20%, i.e. at least 15% of the funds raised must be covered by highly liquid assets. At Sberbank, it is lower by 3.84% (8.16%).
Thus, from the analysis of the activities of Sberbank PJSC based on the CAMELS methodology, it follows that the main deviations are inherent in the bank in the area of its capital. This is due to the reduction in profits and the growth of reserves, which led to a slowdown in the growth of the bank's capital, which also affected the entire banking system of the country. This is evidenced by the decrease in the capital adequacy ratio of banks.
The main advantage of the CAMELS system is that it is a standardized method for evaluating banks, ratings for each indicator indicate areas for action to improve them, a comprehensive assessment expresses the degree of necessary intervention that should be taken in relation to the bank by regulatory authorities.
The disadvantages of CAMELS include the fact that the assessment of the quality of management used in the methodology is subjective and does not predict the possibility of bank failure.
Despite the simple and practical application of the Kromonov methodology and the CAMELS system, their testing is difficult for small banks. The coefficients used in the calculation of integrated indicators do not provide for a low diversification of the portfolio of passive and active operations of these banks.
Table 3
Values of mandatory performance standards for Sberbank PJSC, %
|
standard |
Permissible indicator value |
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|---|---|---|---|---|
From table 3 it follows that PJSC "Sberbank" complies with all the standards of the Bank of Russia established by the Instruction. At the same time, it is clear that the value of H.1 has been decreasing since 2013, which is observed in the entire banking sector of Russia, in connection with which, the permissible value of this indicator was reduced. The values of liquidity ratios (instantaneous and current), on the contrary, are increasing. The bank's cautious policy in the field of long-term liquidity management is also noticeable. Indicator H.4 decreased from 102.5% in 2013 to 65.4% in 2015. Sberbank’s investments in the acquisition of stakes and shares in other legal entities increased from 0.93% in 2013 to 10.53% in 2015 However, these actions had a negative impact on the bank's profit growth.
Thus, having applied various methods for assessing financial stability using the example of Sberbank PJSC and analyzing them, we can say that the most effective method is the method of the Bank of Russia, since it covers the entire volume of bank performance indicators and takes into account the current economic situation in the country , changing, if necessary, the allowable values of certain indicators. Another advantage of the Central Bank's methodology is its focus on international banking standards and their gradual introduction into the domestic banking sector. An example is the adoption of the Basel standards. If we consider the quality of banks' capital according to Basel III, we can see how much the value of capital of the first (capital capable of covering losses in the course of the bank's current activities) and the second (capital capable of covering losses in the event of bank liquidation) has increased. Also, an innovation of Basel III in the field of capital adequacy is the creation of capital buffers:
- preservation buffer;
- countercyclic buffer.
They are a kind of surcharge to the capital adequacy requirements. The conservation buffer is designed to cover losses during periods of recession in the economy, while the countercyclical one is aimed at limiting lending during an economic boom. Both buffers are formed from Tier 1 equity capital instruments, that is, the most reliable and easily convertible. The countercyclical buffer is an innovation of the Basel Committee. The world economy and its stability are extremely subject to economic cycles. As the last crisis showed, in a period of urgent need for investment in the economy, banks reduced lending. The countercyclical buffer will solve this problem: it will protect banks from excessive lending activity during periods of economic recovery and stimulate it during economic crises. The conservation buffer is being introduced to protect banks from systemic risks. It is essentially an airbag against systemic problems, also protecting banks from “contagion risks”, that is, when the economic situation in one country causes financial difficulties or a fall (for example, credit activity) in another country. This buffer is introduced in stages, starting from 2016, and by 2019 it should reach 2.5%. Banks with an insufficient conservation buffer will be limited in paying dividends and bonuses. Thus, the requirements for capital adequacy imposed by the Central Bank on commercial banks in Russia are increasing.
The only drawback of the Bank of Russia methodology is its closeness, cumbersomeness and the need to analyze a large number of values, however, in banking, in the absence of an analysis of all aspects of the bank's functioning, the data obtained will be distorted, which excludes the possibility of eliminating any indicators. Moreover, the solution to this problem can be the creation of special software that independently calculates the established standards and indicators of banking activity.
Bibliography:
- Kondratova O.S. Regulatory Capital: A Comparative Analysis of the Basel II and Basel III Agreements // Finance and Credit. - 2015. - No. 22. - P. 13–17.
- Kretova N.A. Methods of managing the financial stability of a commercial bank // Banking. - 2014. - No. 30. - P. 33-43.
- Kunitsyna N.N., Aybazova M.I. Methodology for a comprehensive rating assessment of commercial banks // Banking. - 2014. - No. 26. - P. 2-9.
- Troshin V.A. The problem of assessing the financial stability of a commercial bank // Young scientist. - 2014. - No. 10. - P. 263–266.
- Shelkunova T.G., Gagloeva K.A. Banking competition and competitiveness: essence, concept, specifics // Problems and prospects of economics and management. Proceedings of the III International Scientific Conference. - 2014. - S. 141-145.
- Shelkunova T.G., Gasieva D.K. Monitoring of liquidity management of credit institutions in Russia // Topical issues of economic sciences. - 2014. - No. 38. - P. 183-193.
As well as . The financial stability of the bank means the constant ability of the bank to respond in its own way and provide profitability at a level sufficient for normal functioning in a competitive environment.
There are three main types of financial stability of the bank according to the stability of its work:
- normal sustainability, which is characterized by stable activity, no non-payments or delays in fulfilling its obligations, stable profitability;
- unstable financial condition, characterized by delayed payments, the inability to timely fulfill certain obligations, low profitability, and the like;
- crisis financial condition, characterized by regular non-payments, the presence of overdue debts, and the like.
A financial crisis may cause the bank to finance its current activities, make payments and meet its obligations, and ultimately - to.
The financial stability of a bank is assessed by all of its (interested parties): shareholders, management, clients, counterparty banks, the investment community, the regulator and the state. As a rule, these processes use a set of indicators that can be divided into two large groups:
- financial indicators;
- business characteristics.
Financial indicators
- structure and quality and ;
- capital adequacy;
- profitability and performance.
Financial ratios reflect the financial impact of all completed and current operations of the bank. They have a monetary or other quantitative expression and are calculated on the basis of data or.
For the purposes of this analysis, assets are ranked in order of decreasing liquidity, and liabilities - in order of increasing stability, and are combined into the following large aggregates:
- for asset items:
- liquid assets (which can be quickly and without significant losses for the bank converted, if necessary, into cash or are cash);
- term assets (credit portfolios and portfolios of financial instruments traded on the market);
- immobilized assets (bad debt, investments and property that do not bring regular cash income to the bank);
- for liability items:
- unstable liabilities (borrowed resources of the bank, which can be withdrawn by clients at any time, including at moments);
- stable liabilities (borrowed resources that the bank can hold for a certain period of time, including minimum balances on customer transaction accounts);
- own funds.
Business Features include the following elements:
- risks associated with the structure of the bank's capital and the level of its concentration;
- the quality of bank management;
- competitive position of the bank in the market;
- bank image;
- jar;
- business reputation of the bank.
Business characteristics make it possible to take into account the impact on the financial stability of the bank of such events of its activity, the financial consequences of which are difficult to assess on the basis of existing information. However, these events can generally have a significant impact on a bank's future cash flows. For example, the presence of conflicts among shareholders can lead to a deterioration in the capital base of the bank, and its innovative ideas provide it with access to markets that were previously inaccessible to this credit institution.
The financial stability of the bank is determined based on the assessment of the quality of assets, capital adequacy and efficiency of its activities. At the same time, the financial stability of the bank implies the presence of stable capital, a liquid balance and an adequate level of solvency.
The financial stability of the bank lies in the ability to withstand destructive fluctuations, while performing operations to attract funds from individuals and legal entities to deposits, open and maintain bank accounts, as well as place funds raised on its own behalf and at its own expense on terms of payment, urgency and repayment .
Ultimately, the financial stability of the bank determines the stability of the financial position of the bank: the balance of its finances, the liquidity of assets, the sufficiency of formed capital, the adequacy of capital, etc.
In general, methods for assessing the financial stability of a bank can be classified as follows:
1. Methods of the Central Bank (Instruction of the Bank of Russia dated April 30, 2008 No. 2005-U, Instruction of the Bank of Russia dated January 16, 2004 No. 1379-U)
3. Statistical models (FIMS, SAABA)
4. Ratio analysis BAKIS
Russian methods can be conditionally divided into methods of the Central Bank of Russia and methods of rating agencies, author's methods.
Consider the Methodology for analyzing the financial stability of commercial banks in accordance with the requirements of the Central Bank of the Russian Federation, based on the Instruction of the Bank of Russia dated January 16, 2004 No. 1379-U “On assessing the financial stability of a bank in order to recognize it as sufficient to participate in the deposit insurance system”. The analysis of financial stability is carried out in accordance with the requirements of the Central Bank of the Russian Federation and forms a number of indicators necessary for calculation in order to determine the level of financial stability or instability of a commercial bank.
The indicators are divided into 5 groups:
Group of capital assessment indicators;
Group of indicators for asset valuation;
A group of indicators for assessing the quality of bank management, its operations and risks;
Group of indicators for assessing profitability;
Group of liquidity assessment indicators.
As part of each group, particular indicators are calculated, at the end of the calculation, a rating score is compiled, taking into account the weight of each indicator and its compliance with standard values. In total, in the methodology it is necessary to calculate 30 indicators according to the formulas presented in the regulatory document. Here you need to add also 5 generalizing estimates.
The main disadvantages of this technique are that the evaluation is static. Within the framework of this methodology, there are no calculations of predictive indicators.
In addition, in our opinion, if the assessment of financial stability is carried out in order to improve management, i.e. for internal users, then in this method there is an obvious excess of indicators, leading to cumbersome calculations.
Methodology of the Kommersant agency, within which it is proposed to evaluate a bank based on the following indicators: the size of assets, the share of loans in assets, return on capital, the dynamics of profitability and profitability. The final ranking of the bank in the rating is calculated based on the results of the aggregate criterion. The main advantage of this technique is that it has a simple calculation algorithm and interpretation of indicators. Also, this technique has a number of disadvantages, namely, it should be noted that the comparison criteria cannot be independent, since relative indicators are formed on the basis of absolute ones, which are also present in the analysis, so the use of additivity casts doubt on the result of this technique. Within the framework of this methodology, such indicators as asset quality, capital adequacy and reserves are not considered.
The Analytical Center for Financial Information has developed two methods for ranking a bank. The first method is to assess reliability based on the calculation of the following indicators: capital adequacy, quality and value of assets, quality of management, management and balance of active and passive operations, from the standpoint of providing liquidity. In this methodology, forms for providing information according to international reporting standards have been developed. This technique is not limited to the analysis of only balance sheet indicators, private indicators are also calculated, such as liquid position, asset quality, income quality, management level.
The second direction of this technique is the press rating, for the calculation of which data about the bank are grouped into the following groups: general information, the bank's development policy, analysis of the bank's activities, technical support of the bank, customer base and service in the bank, public speeches and characteristics of persons who are bank owners. For each of the six criteria, an index is formed, the final value is calculated as a weighted sum of the indices. The distinguishing criterion of this technique from all the others is that it takes into account the opinion of the press, this allows you to monitor the confidence in the bank of depositors. The main disadvantages of these two methods are that a powerful apparatus for collecting information is needed.
The methodology of the magazine "Expert", it consists of two parts, the first analyzes profitability and reliability, the second analyzes changes in dynamics. Profitability in the framework of this methodology characterizes the ratio of profit to net assets, the reliability indicator is determined based on the ratio of the bank's capital to attracted funds. The main advantages of this technique are that two-criteria statistical analysis is used. The disadvantage of this technique is that non-quantitative indicators are not taken into account.
The methodology of the MBO "Ogrbank", this methodology is based on statistical models of the formation of dependencies. The advantage of this technique is the construction of an evaluation system, which is produced by means of processing statistical information. The disadvantage of this technique is that it is necessary to obtain expert information on a group of banks, which determines the accuracy of the results.
Let us consider the domestic methodology of V. Kromonov, which has found a fairly wide application in the Russian practice of evaluating banks. The concept of V. Kromonov's methodology lies in the fact that in it the analyzed bank is compared with the ideal bank, the value of which is taken as 100%, the closer the real analyzed bank is to the ideal one, the higher its reliability. The reliability of the bank according to this method characterizes it as an object of break-even or safe investments for depositors.
The initial information for the calculations are the balances, the data of which is grouped into economically homogeneous groups.
Authorized fund (UF) - the total amount of issued and paid-in shares of the bank (shares, deposits), including the revaluation of its currency part.
Equity capital (IC) - funds owned by the bank, free from obligations to customers and creditors and serving as collateral for such obligations. It is equal to the sum of UV, other funds and profit minus immobilization.
Demand liabilities (OS) – the amount of the bank's liabilities, the maturity of which is zero or unknown. It mainly includes balances on settlement, current, budget, correspondent "Loro" accounts of legal entities and individuals.
Total liabilities (CO) - the total amount of all liabilities of the bank. It consists of demand liabilities, as well as term liabilities (deposits, deposits, interbank loans received, etc.).
Liquid assets (LA) are bank assets that have a minimum period of "activation" as a means of payment. This is all the bank's funds on hand, on correspondent accounts with other banks, in the reserves of the Central Bank of the Russian Federation, as well as in government securities.
Working (risk) assets (RA) - the amount of funds provided to someone or due from someone on certain conditions, implying the possibility of non-return for one reason or another. Includes issued loans (loan debt), purchased securities, leasing, factoring, etc.
Capital protection (PC) - the amount of capital investments in property and other tangible property of the bank (land, real estate, equipment, precious metals, etc.).
Based on the data, six coefficients are calculated.
The coefficients used in the Kromonov methodology reflect various aspects of the bank's activities: in addition to coefficients that reflect the requirements for the capital and liquidity of the bank, this methodology uses indicators that characterize the profitability of banking activities, as well as the riskiness of using customer funds.
According to the Kromonov method, a bank with the following coefficients is considered to be an optimally reliable bank: K1 = 1, K2 = 1, K3 = 3, K4 = 1, K5 = 1, K6 = 3. This means that such a bank:
Invests in operating assets in the amount of equity capital;
It contains funds in liquid form in the amount equal to demand liabilities;
Has three times more liabilities than working assets;
It contains funds in liquid form and in the form of capital investments in an amount equal to total liabilities;
Has capital assets in the amount equal to the amount of equity capital;
It has a capital three times larger than the authorized capital.
The second stage of the proposed methodology is the calculation of the composite reliability rating. To do this, the actual coefficients obtained are considered ideal in order to identify the deviation. To complete the procedure, the coefficients must be weighted and summed. The weighting system consists in taking into account the different preferences of consumers of a particular rating, that is, it should reflect the dream of a competent investor about the bank he needs. It seems that the most important coefficient of reliability of any bank is the general K 1 = SK / RA, that is, the degree of coverage of risky investments by equity capital. Therefore, he was assigned the highest weight - 45%. The second most important (especially for clients who are on settlement and cash services) is the K 2 = LA / OB coefficient, which characterizes the bank's ability to respond to demand obligations in full at any time. He received a share of 20%. The rest of the indicators were assigned the following weights: K 3 - 10%, K 4 - 15%, K 5 - 5%, K 6 - 5%.
The final formula for calculating the current reliability index is as follows:
N=45×(K 1/1)+20×(K 2/1)+10×(K 3/3)+15×(K 4/1)+5×(K 5/1)+5×( K 6 /3) (1.1)
Based on the formula, the maximum value of the reliability index is 100. The higher this index, the more reliable and financially stable the bank is.
The disadvantage of V. Kromonov's methodology, in our opinion, is the absence of a bank's profitability in the system of indicators. Meanwhile, it is necessary to focus on the assessment of profitability (Table 1).
Table 1 - Indicators that make up profitability
The analysis of the profitability of banking activities is carried out in order to assess its sufficiency for the continued successful functioning of the bank, including for the timely and full coverage of expenses associated with the non-return of banking assets, for the formation of the required level of dividends paid to shareholders, as well as for the formation of intra-bank sources for the implementation development and competitiveness costs .
Given the shortcomings of the methods noted in the article, it is proposed to synthesize both methods and derive an algorithm for assessing the financial stability of a bank for the purposes of internal audit, for bank managers. In our opinion, it is necessary to evaluate the ratio of the bank's highly liquid assets and liabilities, mandatory ratios, calculate the reliability coefficients using the V. Kromonov method and evaluate the profitability indicators.
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Financial stability of the bank characterized by the composition and placement of funds, the structure of their sources, the ability of a given financial institution to repay its obligations on time and in full. Therefore, we can formulate several different methods of analysis, we will consider them in more detail.
Methodology for assessing the financial stability of the Bank of Russia
The Russian methodology for assessing the financial stability of commercial banks in the Russian Federation was developed by the Bank of Russia and is given in Bank of Russia Ordinance No. 2005-U dated April 30, 2008 “On assessing the economic situation of banks”. According to the document, the economic position of banks is determined based on an analysis of such factors as capital, assets, liquidity, compliance with mandatory standards and limits set by the Bank of Russia, quality of management, and transparency of the ownership structure. It should be noted that Bank of Russia Ordinance No. 2226-U dated April 29, 2009 established that the assessment of the economic position of banks is carried out without taking into account the results of assessing their profitability up to December 31, 2011.
According to this methodology, it is proposed to evaluate a credit institution based on the results of assessments: capital; assets; profitability; liquidity; amounts of mandatory standards; management quality; transparency of the bank's ownership structure.
CAMELS methodology for assessing the financial stability of a bank
The essence of the CAMELS methodology lies in the rating system for evaluating credit institutions. It is based on determining the quality of such basic components of the activities of commercial banks as capital, assets, management, profitability (profitability), liquidity, sensitivity to market risks.
The analysis of capital in this method determines the sufficiency of the bank's own funds, which ensure the solvency of the bank in the event of a risk situation. The main marking role is played by the capital adequacy ratio (K1) and the adequacy ratio of the total (main and additional) capital (K2):
K1 = capital/risk-weighted assets * 100%
K2 = total capital / risk-weighted assets * 100%
SR = non-standard assets * 0.2 + doubtful assets * 0.5 + unprofitable assets * 1.0
Asset Quality = SR/Equity
There are also indicators of the ratio of assets by the degree of risk to the total value of assets, the share of overdue and doubtful loans in the total volume of loans.
Profitability is associated with determining the effectiveness of a financial organization.
The assessment of the level of profitability is carried out primarily using the profitability ratio (Kfp):
KNP = net profit / average size of assets * 100%
The normative size of the coefficient refers to the groups of the credit institution, depending on the size of the assets.
Sensitivity to market risks reflects the impact of market risks on a bank's profitability and capital. The indicator includes an assessment of market risks (interest rate, currency, price, etc.), as well as an assessment of the risk management system.
In risk management, financial stability is characterized through risk appetite and risk tolerance, which determines the level of the organization's tolerance for risks and possible losses, and also depends on the bank's strategy.
Risk appetite is the degree of risk that the organization as a whole considers optimal for itself in the process of generating income and performing core activities. Risk appetite can be assessed both quantitatively and qualitatively.
Risk tolerance of a financial institution is the amount of material losses at which the company will continue to function effectively, covering all necessary current expenses. Risks exceeding the level of tolerance of the organization are high, threaten the financial stability of the credit institution and are subject to reduction.
The assessment of the bank's liquidity shows its capabilities related to the fulfillment of obligations to creditors and depositors in the shortest possible time. The CAMELS methodology does not establish a standard system for assessing liquidity. The main attention is paid to the adequacy of sources of liquidity support to the current and future needs of a credit institution, the possibility of rapid sale of assets with the least losses, the structure and dynamics of deposits, and the ability of managers to control a liquid position.
Management in the CAMELS methodology is assessed last, since the quality of management of a credit institution is directly related to the assessment of the above indicators. This factor is mainly related to the assessment of non-formalized criteria of banking activities (competence, ability to lead, compliance with the rules of banking, the adequacy of internal and external audit, etc.)
For each of the six factors, a rating score is assigned depending on the score received for each of them. Then a summary rating is given.
For the final analysis of financial stability, an analysis of the structure of the bank's income and expenses is carried out. The awareness that an organization is in a certain group does not provide the possibility of strategic and operational management of activities, but there is also an innovative approach to determining financial stability, which needs to be mentioned - this is determining the level of tolerance for bank risks, forming a range, at the intersection of which it is necessary to change the credit management strategy. organization.
Analysis of the financial stability of a credit institution according to the method of V. Komonov
V. Kromonov's methodology has found a fairly wide application in the Russian practice of financial assessment of credit institutions. The initial information for calculations is the balance sheets of banks on accounts of the second order, the data of which are grouped into economically homogeneous groups: authorized capital (UF), equity (K), demand liabilities (OV), total liabilities (SO), required reserves fund (FOR). ), liquid assets (LA), performing assets (AP), capital protection (PC).
Based on the aggregated data, six coefficients are calculated:
1) General reliability factor: K1 = K/AR
It characterizes to what extent the bank's risky investments in operating assets are protected by equity capital.
2) Instant liquidity ratio: K2 = LA / OV
Shows whether the bank uses client money as its own credit resources.
3) Cross-coefficient: K3 = CO / AP
Determines what degree of risk the bank allows when using borrowed funds.
4) General liquidity ratio: K4 = (LA + ZK + FOR) / SO
Shows the bank's ability to meet the requirements of creditors within a reasonable period of time in case of non-repayment of loans issued.
5) Capital protection ratio: K5 = ZK / K
It illustrates how much a credit institution takes into account inflationary processes and what proportion of its assets it places in real estate, valuables and equipment.
6) Coefficient of stock capitalization of profit: K6 = K / UF
This indicator characterizes the ability to capitalize the received profit.
The values of the above indicators according to the standards are: 1; one; 3; one; one; 3 respectively. Their weight values are: 45%, 20%, 10%, 15%, 5%, 5%.
N = 45K1 + 20K2 + 10K3 / 3 + 15K4 + 5K5 + 5K6 / 3
Based on the formula, the maximum value of the reliability index is 100. The higher this index, the more reliable and financially stable the bank is.