Financial management bank - Primostka LO

3.5. METHODS OTSІNYUVANNYA of Quality LOAN PORTFOLIO BY TA FORMUVANNYA REZERVІV VTRAT VІDSHKODUVANNYA for credit OPERATSІYAMI BANK

Stvorennya rezervіv for credit rizikami rozglyadaєtsya one yak s nayvazhlivіshih napryamkіv pіdvischennya nadіynostі komertsіynih bankіv. Oskіlki cutaneous Krajina, virіshuyuchi qiu problem shukaє vlasnі method kriterії otsіnyuvannya riziku credit and takozh dzherela formuvannya rezervіv then dotsіlno rozglyanuti zaznachenі power to prikladі ukraїnskoї bankіvskoї system porіvnyavshi vіtchiznyany dosvіd іz zarubіzhnim.

Dіyalnіst on stvorennyu rezervіv on vіdshkoduvannya vtrat for credit operatsіyami komertsіynih bankіv in Ukraїnі Poch in 1995 rotsі. Іsnuyucha to tsogo practice writedowns beznadіynoї kreditnoї zaborgovanostі without viznachennya specific Jerel pokrittya generally produces up viniknennya digit rozbіzhnostey mіzh real kapіtalom bankіv that rozmіrom kapіtalu, vіdobrazhenim in fіnansovіy zvіtnostі.

In Ukraїnі in 1994 i 1995 Rokach rіven nepovernenih kreditіv becomes vіdpovіdno 28.3% i 23.3% od sumi nadanih pozik, scho in penny ekvіvalentі perevischilo sukupny rozmіr kapіtalu vsіh vіtchiznyanih bankіv. Bezperechno, for such minds sama іsnuvannya bankіvskoї Sistemi is staying pid zagrozoyu and іnozemnі іnvestori not mozhut dovіryati fіnansovіy zvіtnostі bankіv i to zmenshuyut svіy rizik, obmezhuyuchi kredituvannya that visuvayuchi vimogi schodo gotіvkovogo zabezpechennya akreditivіv.

Holds NBU Pravlіnnya od 30.06.95 №167 Bulo zatverdzheno Regulation "About the order i formuvannya rozmіr insurance fund komertsіynih bankіv" Where Money Does Vpershe in vіtchiznyanіy praktitsі viznachavsya order klasifіkatsії kreditіv that formuvannya reserve (on the hour of the insurance fund). Peredbachalosya, scho for rakhunok reserve stvoryuvatimetsya vitrat bank scho for residual result vіdpovіdaє formuvannyu reserve for rakhunok pributku to opodatkuvannya, yak Tse i priynyato in mіzhnarodnіy praktitsі. Ale such іnіtsіativa NBU on the hour not znayshla zakonodavchoї pіdtrimki. Tom protyagom 1996 - 1997 rokіv komertsіynі banks Mali formuvati reserve for rakhunok pure pributku (pіslya viplati podatkіv), scho was valued on the high road pereshkodoyu stvorennya provision is adequate for rozmіrami realnіy velichinі credit riziku. Through znachnі vtrati for credit operatsіyami in poperednі prophets that Povny vіdsutnіst stimulіv to stvorennya rezervіv in Povny obsyazі Ukrainian banks so i do not zmogli virіshiti Qiu problem.

In Tsey perіod udoskonalyuvalas system klasifіkatsії kreditіv. Kriterії for yakimi loans vіdnosilisya to pevnoї groupies, boules sformulovanі chіtkіshe, of order h yakіsnimi features introduced kіlkіsnі, takі yak termіn stitching, Quantity prolongatsіy, vartіst outpost. Pereglyadalis normalized vіdrahuvan for cutaneous GROUP NAME kreditіv i own group, and takozh technique viznachennya fіnansovogo will pozichalnika.

Ninі otsіnka of Quality of the loan portfolio in banks Ukraine komertsіynih reglamentuєtsya Statute about the order formuvannya i vikoristannya reserve for vіdshkoduvannya mozhlivih vtrat for credit operatsіyami komertsіynih bankіv, zatverdzhenim Pravlіnnya Holds NBU od 03.27.98 number 122 [10]. Zgіdno іz CIM provisions of the loan portfolio bankіv klasifіkuєtsya, tobto cutaneous credit otsіnyuєtsya by step riziku i vіdnositsya to odnієї s p'yati Group: standartnі, Loans pid control substandartnі, sumnіvnі that beznadіynі loans.

Rіven credit riziku viznachaєtsya for such acquaint themselves: otsіnka fіnansovogo will pozichalnika; doderzhannya him grafіka repayment osnovnoї sumi kreditnoї zaborgovanostі that vіdsotkіv her. The procedure is the analіzu otsіnyuvannya fіnansovogo will pozichalnika cutaneous Bank rozroblyaє samostіyno s urahuvannyam vimog that rekomendatsіy NBU, the main provisions svoєї kreditnoї polіtiki that specific ekonomіchnih minds. Kriterії otsіnyuvannya fіnansovogo will pozichalnika technique that yogo viznachennya documented fіksuyutsya bank okremomu polozhennі, yak yogo zatverdzhuєtsya Pravlіnnyam.

Repayment pozichalnikom kreditnoї zaborgovanostі for basic sumoyu i vіdsotkami viznachaєtsya as follows:

  • good - for a loan that zaborgovanіst vіdsotki splachuyutsya vstanovlenі in line for a loan that, once prolongovanim row bіlsh not yak 90 dnіv;
  • Slabko - termіn prostrochenoї zaborgovanostі for a loan that becomes vіdsotkami bіlsh Yak 90 dnіv abo for a loan, prolongovanim row Ponad 90 dnіv, vchasno splachuyutsya vіdsotki;
  • nedostatnє - stitched zaborgovanіst for a loan that vіdsotkami him becoming Ponad 90 dnіv chi zaborgovanіst for prolongovanim credit Ponad 90 dnіv that vіdsotki not splachuyutsya.

Suma zaborgovanostі for cutaneous loan at viznachennі rozmіru reserve Mauger Buti zmenshena on vartіst garantіy abo Uryadov Ukraine іnozemnih bankіv deyakih kraїn and takozh on vartіst Zastava - Penny vkladіv i depozitіv pozichalnika, rozmіschenih in bank lane that Mainova pozichalnika rights. Zastava otsіnyuєtsya for rinkovoyu vartіstyu, ale to rozrahunku rozmіru reserve vklyuchaєtsya bіlsh not yak 50% vartostі, viznachenoї contract outpost. Yakscho to force sluguyut derzhavnі tsіnnі Papero, when rozrahunkah vrahovuєtsya їh rinkova vartіst.

For zaznachenimi kriterіyami klasifіkatsії pіdlyagayut usі loans from natsіonalnіy that іnozemnіy currencies (without vіdsotkіv komіsіy i) SSMSC nadanі Bank, in addition chislі: for deposits, scho rozmіschenі in іnshih banks; loans nadanimi іnshim banks; credit, scho nadanі sub'єktam gospodarskoї dіyalnostі, vklyuchayuchi overdraft vrahovanі vekselі, factoring, fіnansovy lіzing that nadanі garantії. Reserve formuєtsya vіdpovіdno to sum faktichnoї kreditnoї zaborgovanostі for Grupo riziku that vstanovlenih standards vіdrahuvan (at vіdsotkah) SSMSC vіdobrazhayut stupіn credit riziku for cutaneous GROUP kreditіv.

Porіvnyaєmo Sistemi stvorennya reserve in Ukraїnі i USA oskіlki stench of toil bagato spіlnogo (Table 3.1). Zaznachimo scho Hoca ekonomіchne encampment Tsikh kraїn іstotno vіdrіznyaєtsya, rozmіri vіdrahuvan zagalom іdentichnі (for ostannіmi troma GROUP).

Table 3.1.

VІDRAHUVAN standards for credit to REZERVІV RIZIKAMI In UKRAЇNІ TA US

№ p / p

UKRAINE

USA

Grupa kreditіv

Norma vіdrahuvan%

Grupa kreditіv

Norma vіdrahuvan%

1

Standartnі

2

Standartnі

-

2

pid control

5

Spetsіalno zgadanі

-

3

Substandartnі

20

Substandartnі

20

4

Sumnіvnі

50

Sumnіvnі

50

5

Beznadіynі

100

Beznadіynі (vtrati)

100

For GROUP STANDARD kreditіv formuєtsya zagalny reserve for rakhunok pributkіv passed rokіv, vіdrahuvannya to yakogo conductive schokvartalno. For loans up to scho vіdnesenі іnshih group - pid control, substandard, sumnіvnimi i beznadіynimi - stvoryuєtsya spetsіalny reserve vіdrahuvannya to yakogo vіdnosyatsya to vitrat komertsіynogo bank. Zgіdno dіyuchogo podatkovih zakonodavstva 40% od obsyagu narahovanogo reserve vklyuchaєtsya to gross vitrat i do not opodatkovuєtsya and Rasht - pіdlyagaє opodatkuvannyu.

Oskіlki rozmіr spetsіalnogo reserve s look around at the real camp of Ukrainian Credit portfelіv bankіv dosit digit (i tse not daє zmogi sformuvati yogo in short perіod), NBU peredbacheno spetsіalny grafіk stvorennya reserve. For beznadіynimi loans formuєtsya reserve until 01.01.98 and nadalі - not pіznіshe the following quarter pіslya vіdnesennya loan to the category beznadіynih. For loans pid control, subprime i sumnіvnimi spetsіalny reserve formuєtsya not pіznіshe yak 01.07.99 rіvnimi chastkami schokvartalno in rozmіrі 12.5% ​​od rozrahunkovoї amount of reserves.

Otzhe magnitude spetsіalnogo reserve, vіdnesena on vitrati bank zmenshuє Prybutok i vіdpovіdno opodatkuvannya base. Tse stvoryuє for bankіv incentive for adekvatnoї otsіnki of Quality of the loan portfolio is the Reserve formuvannya in Povny obsyazі. In razі zmenshennya rozrahunkovoї quantities spetsіalnogo reserve porіvnyano s poperednoyu zvіtnoyu datoyu vnaslіdok polіpshennya portfolio of Quality abo in razі Povernennya poperedno loan writedowns nadlishkova scrip reserve chi won kompensatsіya spryamovuєtsya on zbіlshennya dohodіv. Credit zaborgovanіst for rakhunok i zagalnogo spetsіalnogo rezervіv spisuyut for rіshennyam Pravlіnnya komertsіynogo bank that zgіdno s chinnim zakonodavstvom.

Stvorennya Sistemi rezervuvannya for loans in bankіvskіy praktitsі rozglyadaєtsya yak vazhlivy Etap processes stabіlіzatsії bankіvskoї system in tsіlomu, ale for otsіnki sukupnogo riziku bank absolutely danih slit nedostatno. loan portfolio Yakіst viznachayut for Relief vіdnosnih pokaznikіv such yak spіvvіdnoshennya amount of provision i zagalnogo obsyagu Vidanov kreditіv abo pratsyuyuchih aktivіv bank.

In bagatoh kraїnah yakіst loan portfolio, the credit abo rizik bank rozglyadaєtsya yak pokaznik of Quality vsіh sukupnih aktivіv. Taqiy pіdhіd vipravdany, oskіlki loans Je naybіlsh rizikovoyu Chastain aktivіv i sama bank loan portfolio valued mіroyu viznachaє zagalny rіven rizikovostі aktivіv. Tse daє pіdstavi for rozmіrami reserve to judge about yakіst aktivіv bank. For otsіnyuvannya of Quality aktivіv bank zastosovuєtsya koefіtsієnt k, obchisleny yak vіdnoshennya serednozvazhenoї sumi klasifіkovanih aktivіv to kapіtalu jar i have virazheny vіdsotkah. Pid serednozvazhenoyu sumoyu klasifіkovanih aktivіv rozumіyut sukupny rozmіr mozhlivih vtrat for active operatsіyami i, nasampered, for loans, yaky viznachaєtsya rozmіrami spetsіalnogo reserve.

(3.5)

de GCA - serednozvazhena scrip klasifіkovanih aktivіv; K - kapіtal bank.

Napriklad for techniques priynyatoyu the US, chiselnik tsogo pokaznika dorіvnyuє sumі 20% Substandard 50% sumnіvnih i 100% beznadіynih kreditіv, tobto factuality viznachaєtsya for rozmіrom reserve on vіdshkoduvannya vtrat for credit operatsіyami bank. Vіtchiznyana technique otsіnyuvannya of Quality aktivіv for analogіchnimi pokaznikami slit residually not vіdpratsovana.

Rіven mozhlivih vtrat for credit operatsіyami porіvnyuєtsya s kapіtalom bank, rather than s іnshimi pokaznikami, to scho tsі vtrati toil kompensuvatisya for rakhunok Vlasnyi koshtіv bank. Banks, SSMSC volodіyut digit kapіtalom, toil i vischy stupіn Zahist svoїh vkladnikіv.

For koefіtsієnta k zaprovadzheno scale values for yakoyu otsіnyuєtsya yakіst aktivіv. Same Taqiy pіdhіd to otsіnyuvannya aktivіv proponuєtsya rating system «CAMEL», yak priynyata in praktitsі bankіvskogo lucid bagatoh kraїn. Scale values koefіtsієnta the k, for yakoyu bank prisvoyuєtsya Pevnyi rating of Quality aktivіv not Je unіfіkovanoyu Chi Accessories. Konkretnі mezhі zmіni koefіtsієnta toil Buti viznachenі for kozhnoї Kraina s urahuvannyam іsnuyuchih ekonomіchnih minds that will bankіvskoї system. In 1994 rotsі system «CAMEL» ​​Bula priynyata in Russie, and at the hour of Quality kriterії otsіnyuvannya aktivіv uniquely vіdrіznyalis od priynyatih, napriklad, the United States (Table 3.2.). W 1997 roku system «CAMEL» ​​vikoristovuєtsya NBU for otsіnyuvannya fіnansovogo will komertsіynih bankіv Ukraine.

Table 3.2.

OTSІNKA of Quality AKTIVІV BANK

USA

OOO Russian Federation

Otsіnka

The values of k,%

Rizikova Chastina kapіtalu

The values of k,%

Rizikova Chastina kapіtalu

aktivіv (rating)

0? k <5

1/20

0? k <25

1/4

1 - Welcome

5? k <15

Vid 1/20 to 1/7

25? k <50

Vid 1/4 to 1/2

2 - zadovіlno

15? k <30

Vid 1/7 to 1/3

50? k <75

Vid 1/2 to 3/4

3 - poseredno

thirty? k <50

Vid 1/3 to 1/2

75? k <100

Vid 3/4 to 1

4 - boundary

k? 50

Bіlsh 1/2

k? 100

Uves kapіtal

5 - nezadovіlno

Yak bachimo s Table. 3.2 from pіdhodah to otsіnki of Quality aktivіv in rіznih kraїnah іsnuyut znachnі vіdmіnnostі scho zakonomіrno. Procedure otsіnyuvannya, priynyaty the US, orієntovany on stabіlnu, rozvinenu i strongly in fіnansovomu planі bankіvsku system, de banks volodіyut digit kapіtalom. Automaticity of transferring such an order at Kraina Zi Slabko bankіvskimi systems scho perebuvayut in stadії formation, Bulo used incorrectly prizvelo i used to nezadovіlnogo rating bagatoh bankіv. Prote otsіnok system priynyata in Russie, not zahischaє vkladnikіv that aktsіonerіv bank oskіlki bank, Money Does vtrati for loans mozhut poglinuti all kapіtal, oderzhuє navіt not "nezadovіlny" and "Boundary" rating.

Naukova obґruntovana system of Quality otsіnki aktivіv viznachaєtsya on bazі doslіdzhen randomness. For vsіh bankіv, SSMSC dіyut in danіy kraїnі, rozrahovuєtsya koefіtsієnt k. Fallow od values ​​koefіtsієnta banks podіlyayutsya 5 group. Dіapazon zmіni koefіtsієnta k for bankіv scho uvіyshli to groupies naybіlsh nadіynih stabіlnih i is taken as a basis for the admissibility of between viznachennі for otsіnki aktivіv s rated "good." Analogіchnі rozrahunki conductive for cutaneous GROUP bankіv have rezultatі chogo i formuєtsya scale otsіnki of Quality aktivіv.

Otzhe, the credit portfolio of the bank yakіst otsіnyuєtsya for rozmіrom mozhlivih vtrat for credit operatsіyami, yaky viznachaєtsya in protsesі formuvannya spetsіalnogo reserve. Spіvvіdnoshennya reserve i kapіtalu bank rozglyadaєtsya mostly yak pokaznik otsіnki of Quality aktivіv bank at viznachennі rating system for «CAMEL».