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Analіz bankіvskoї dіyalnostі - Gerasimov AM

7.3. Analіz valyutnoї pozitsії bank

The following Etap analіzu Je otsіnyuvannya valyutnoї pozitsії bank that operatsіy, SSMSC vplivayut on її camp. For rozrahunku pokaznikіv scho harakterizuyut Monetary pozitsіyu bank vikoristovuyut turnover balance balance balance zvіtnі, Zvіt about dotrimannya ekonomіchnih normativіv (Form 611), Rozshifruvannya Monetary rahunkіv (Form 550).

Dіyalnіst bankіv on the foreign exchange market, in scho polyagaє upravlіnnі asset i pasiv in іnozemnіy valyutі, pov'yazana s Monetary rizikami (one s elementіv rinkovogo riziku) SSMSC vinikayut in zv'yazku s vikoristannyam rіznih currency pid hour Venue of bankіvskih operatsіy.

Monetary pozitsіya - tse spіvvіdnoshennya vimog (balance pozabalansovih i) that zobov'yazan (balance pozabalansovih i) the bank in kozhnіy іnozemnіy valyutі. In razі їh rіvnostі pozitsіya vvazhaєtsya Closed-have razі nerіvnostі - vіdkritoyu. Vіdkrita pozitsіya Je short, Yakscho obsyag zobov'yazan for Prodan currency perevischuє obsyag vimog, i Dovgy, Yakscho obsyag vimog of purchased currency perevischuє obsyag zobov'yazan.

When tsomu dovga vіdkrita Monetary pozitsіya at rozrahunku zaznachaєtsya Zi plus sign, and short vіdkrita Monetary pozitsіya - Zi sign mіnus.

W metoyu zmenshennya currency riziku in dіyalnostі bankіv Natsіonalny Bank ustanovlyuє standard riziku zagalnoї vіdkritoї (dovgoї / korotkoї) valyutnoї pozitsії Bank (H13), in addition chislі obmezhuєtsya rizik zagalnoї dovgoї vіdkritoї valyutnoї pozitsії Bank (N13-1) i rizik zagalnoї korotkoї vіdkritoї valyutnoї pozitsії bank (N13-2). Odnochasno bank on Vlasnyi rozsud ustanovlyuє vnutrіshnі lіmіti Monetary pozitsіy:

• lіmіti skin on the dealer;
• lіmіti on fіlії;
• lіmіti kinds of currencies.

Rozrahovuyuchi standard riziku zagalnoї vіdkritoї valyutnoї pozitsії, upovnovazheny bank regulatory kapіtalu priymaє scrip, yak rozrahovana for the balance of the camp on the cob passed robochem day, scho Tsikh pereduє day rozrahunku normativіv. Napriklad for rozrahunku normativіv rozporyadzhennya Monetary pozitsієyu 3-tє number zvіtnogo mіsyatsya takes rozmіr regulatory kapіtalu scho rozrahovany for danimi balance for pitched for the 1 than the number tsogo mіsyatsya.

Standard riziku zagalnoї vіdkritoї (dovgoї / korotkoї) valyutnoї pozitsії upovnovazhenim Bank zaznachaєtsya in formі 611 "Zvіt about dotrimannya ekonomіchnih normativіv".

Monetary pozitsіya upovnovazhenogo bank viznachaєtsya schodenno, okremo schodo kozhnoї іnozemnoї currency. On rozmіr vіdkritoї valyutnoї pozitsії upovnovazhenogo bank vplivayut:

• kupіvlya (sales) gotіvkovoї that bezgotіvkovoї іnozemnoї currency, potochnі th strokovі operatsії (on minds "swap", "forward", "optsіon" that іn.), for yakimi vinikayut vimogi that zobov'yazannya in іnozemnih currencies Square od sposobіv that forms rozrahunkіv them;
• obsession (splat) іnozemnoї currency from viglyadі dohodіv abo vitrat that narahuvannya dohodіv i vitrat, SSMSC vrahovuyutsya on vіdpovіdnih rahunkah;
• kupіvlya (sales) mainly zasobіv i inventory materіalnih tsіnnostey for іnozemnu currency;
• nadhodzhennya koshtіv in іnozemnіy valyutі to statutory kapіtalu;
• Banks Repay beznadіynoї zaborgovanostі in іnozemnіy valyutі (writedowns yakoї zdіysnyuєtsya s vіdpovіdnogo rahunka vitrat);
• INSHI obmіnnі operatsії s іnozemnoyu currency (viniknennya vimog in odnіy valyutі at rozrahunkah them in іnshіy valyutі have to chislі natsіonalnіy scho prizvodyat to zmіni structuring aktivіv for nezmіnnostі pasivіv, i navpaki).

Before іnshih obmіnnih operatsіy banks can be vіdnesti operatsії of acceptance abo writedowns, yaky vistupaє zabezpechennyam zaborgovanostі (outpost garantіya, bail), vіdobrazhennya oblіku in non-monetary balance sheet items kupіvlya currency for vikonannya zobov'yazan before klієntami of deposit that Credit operatsіyami toscho. In furrows of the established value of the standard riziku zagalnoї vіdkritoї (dovgoї / korotkoї) valyutnoї pozitsії upovnovazheny bank Mauger zdіysnyuvati takі valyutnі operatsії:

• іnozemnoї purchase currency for vikonannya zobov'yazan to non-residents for Vlasnyi zovnіshnoekonomіchnimi agreements (contracts), and takozh for vikonannya Vlasnyi zobov'yazan for Vidanov garantіyami, guarantees, bills of exchange;
• purchase of vlasnі Costa for doruchennyam klієntіv іnozemnoї currency for vikonannya їhnіh zobov'yazan to non-residents for zovnіshnoekonomіchnimi agreements (contracts) that zareєstrovanimi Natsіonalnim bank loans (pozikami), scho oderzhanі residents od upovnovazhenih bankіv that upovnovazhenih fіnansovih SET and takozh od nerezidentіv;
• іnozemnoї purchase currency for vikonannya zobov'yazan before klієntami for netorgovelnimi operatsіyami. Operatsії s sale gotіvkovoї іnozemnoї kasі currency in the bank that in paragraphs obmіnu іnozemnoї currencies, scho s not pov'yazanі vikonannyam vischezaznachenih zobov'yazan, mozhut zdіysnyuvatisya deprivation in the furrows of sumi іnozemnoї currency, kuplenoї kasoyu bank that point obmіnu іnozemnoї currency;
• purchase-sales for the currency of the primary іnozemnu zasobіv i inventory materіalnih tsіnnostey;
• zaluchennya koshtіv in іnozemnіy valyutі to statutory kapіtalu that rozrahunki bank i s residents for nonresidents іnshimi views kapіtalnih operatsіy (for operatsіyami s tsіnnimi Papero, deposits, deposits toscho);
• Banks Repay beznadіynoї zaborgovanostі in іnozemnіy valyutі (s writedowns zdіysnyuєtsya vіdpovіdnogo rahunka vitrat);
• bezgotіvkovі rozrahunki upovnovazhenih bankіv s mіzhnarodnimi platіzhnimi systems for platіzhnimi kartka toscho.

Upovnovazheny Bank nabuvaє right to vіdkritu Monetary pozitsіyu s dati od otrimannya him Natsіonalnogo bank allowed to zdіysnennya operatsіy іz Monetary tsіnnostyami i vtrachaє tse s right dati vіdklikannya lіtsenzії Natsіonalnim bank that / abo pripinennya allowed to zdіysnennya operatsіy іz Monetary tsіnnostyami.

Department of Monetary regulyuvannya fallow od situatsії on vnutrіshnomu that zovnіshnomu penny and credit Rink viznachaє osoblivostі schodo okremih napryamіv dіyalnostі upovnovazhenih bankіv, SSMSC pov'yazanі Zi zdіysnennyam operatsіy mіzhbankіvskomu on the foreign exchange market of Ukraine. In furrows of established standards riziku zagalnoї vіdkritoї (dovgoї / korotkoї) valyutnoї pozitsії (H13), in addition chislі obmezhennya riziku zagalnoї dovgoї vіdkritoї valyutnoї pozitsії Bank (N13-1) that riziku zagalnoї korotkoї vіdkritoї valyutnoї pozitsії Bank (N13-2), Department of Foreign Exchange regulyuvannya is the Department of exchange controls that lіtsenzuvannya Natsіonalnogo bank mozhut ustanovlyuvati pevnі obmezhennya schodo regulyuvannya okremih Activity operatsіy іz Monetary tsіnnostyami upovnovazhenih bankіv scho pov'yazanі s power kursoutvorennya natsіonalnoї currency that stvorennya chіtkіshogo th prozorіshogo mehanіzmu control over their currencies operatsіyami okremih bankіv.

Standard riziku zagalnoї vіdkritoї (dovgoї / korotkoї) valyutnoї pozitsії bank vstanovlyuєtsya for obmezhennya riziku, pov'yazanogo h Carrying operatsіy on the foreign exchange market, scho Mauger digit vtrat prizvesti to the bank. Standard riziku zagalnoї vіdkritoї (dovgoї / korotkoї) valyutnoї pozitsії Bank (H13) viznachaєtsya yak vіdnoshennya zagalnoї quantities vіdkritoї valyutnoї pozitsії bank for vsіma іnozemnimi currency in hryvnia ekvіvalentі to regulatory kapіtalu bank.

For cutaneous іnozemnoyu currency obchislyuєtsya pіdsumok for carrying vsіma i pozabalansovimi asset i vsіma carrying that pozabalansovimi zobov'yazannyami bank that rozrahovuєtsya zagalna vіdkrita pozitsіya foreign exchange bank in UAH ekvіvalentі okremo for cutaneous іnozemnoyu currency (rozrahunok a run for zvіtnu date).

The value zagalnoї vіdkritoї valyutnoї pozitsії bank viznachaєtsya yak scrip absolute value of usіh Dovgy i short vіdkritih Monetary pozitsіy in hryvnia ekvіvalentі (without urahuvannya sign) for vsіma іnozemnimi currencies.

For bankіv, statutory kapіtal yakih splacheno in vіlno konvertovanіy valyutі (vnaslіdok chogo vinikaє zbіlshennya zagalnoї dovgoї vіdkritoї valyutnoї pozitsії bank in vіlno konvertovanіy valyutі) nadaєtsya mozhlivіst rozmіschennya Tsikh koshtіv on okremomu deposit rahunku in Natsіonalnomu Bank of Ukraine in chastinі, yak generally produces up torn down established standards . So rank, Costa scho rozmіschuyutsya on deposit rahunku, viluchayutsya іz pіdrahunku rozmіru vіdkritoї valyutnoї pozitsії bank.

Obsyag okremomu currency on deposit in rahunku Natsіonalnomu bank for rozrahunku normative riziku zagalnoї vіdkritoї (dovgoї / korotkoї) valyutnoї pozitsії viznachaєtsya upovnovazhenimi samostіyno banks. When tsomu banks zdіysnyuyut rozrahunok normative riziku zagalnoї vіdkritoї (dovgoї / korotkoї) valyutnoї pozitsії s virahuvannyam sumi koshtіv, SSMSC rozmіschuyutsya on okremomu deposit rahunku in Natsіonalnomu bank.

For vіdkrittya okremogo rahunku upovnovazhenim banks potrіbno vikoristovuvati korespondentskі rahunki Natsіonalnogo bank behind a cordon, about іnformatsіya SSMSC brought to bankіv okremo.

The bank upovnovazhenomu Costa, scho rozmіschuyutsya in deposit, balance on povinnі oblіkovuvatisya rahunku 1212 "Korotkostrokovі deposits in Natsіonalnomu Bank of Ukraine."

Mіnіmalna scrip deposit with the deposit rates, deposit termіn rozmіschennya that INSHI minds viznachayutsya vіdpovіdnimi legal acts Natsіonalnogo bank.

Normative values ​​zagalnoї vіdkritoї valyutnoї pozitsії Bank (H13) Got Booty not bіlshe, nіzh 35%. When tsomu vstanovlyuєtsya obmezhennya riziku okremo for dovgoї vіdkritoї valyutnoї pozitsії that korotkoї vіdkritoї valyutnoї pozitsії bank:

• zagalna dovga vіdkrita Monetary pozitsіya (N13-1) Got Booty not bіlshoyu, nіzh 30%;
• zagalna short vіdkrita Monetary pozitsіya (N13-2) Got Booty not bіlshoyu, nіzh 5%.

Stan valyutnoї pozitsії otsіnyuєtsya in rozrіzі zagalnogo rozmіru, dovgoї that korotkoї valyutnoї pozitsії. Form 611 formuєtsya Bank schomіsyachno in automaticity rezhimі that zabezpechuє іnformatsієyu in Povny obsyazі. Danі tsієї FORMS toil has rozrahovany standard vіdkritoї valyutnoї pozitsії, analіz yakoї Dusty zmogu otsіniti rizik for cutaneous views currencies.

Pobuduєmo for danimi analіtichnih rahunkіv balance rahunku number 3800 "Pozitsіya Bank schodo іnozemnoї currency that bankіvskih metalіv" taku table.

table 7.10

ANALІZ VALYUTNOЇ POZITSІЇ banks, yew. UAH

Table. 7.10 pokazuє scho zagalna vіdkrita Monetary pozitsіya bank becomes - 33.9%, tobto is staying in furrows of the norm. In rozrіzі okremih currency bank Got short currency pozitsіyu on kіnets zvіtnogo perіodu in US Dolar, yak descho Vishcha becoming the norm of i 5.9%. Zagalna dovga vіdkrita Monetary pozitsіya becoming 28.0%. Detailed analіz operatsіy scho vplinuli rozmіr at that camp valyutnoї pozitsії give mozhlivіst zrozumіti for yakimi operatsіyami vinikla short pozitsіya, that otsіniti rizik.

Yakscho Dolar US toil negativnі tendentsії schodo stabіlnostі, such situatsіya for bank rizikovana. Odnochasno Yakscho bank Got dovga vіdkritu Monetary pozitsіyu in tіy valyutі, yak Got forecasting stosovno znizhennya rate Tse TER Mauger prizvesti to vtrat.

Vipiska for pozabalansovim rahunkom valyutnoї pozitsії number 9920 for vikoristovuєtsya formuvannya Informácie stosovno perelіku pozabalansovih іnstrumentіv, viznachennya їh vidіv, obsyagіv that їh vplivu fіnansovy on the results of the Bank.

table 7.11

ANALІZ structures VALYUTNOЇ POZITSІЇ have ROZRІZІ OPERATSІY Stan on 01.01.03 p., Yew. UAH

* Primіtka: on obchislyuєtsya.

Structure operatsіy valyutnoї pozitsії daє mozhlivіst otsіniti for yakimi sama operatsіyami vinikaє vіdkrita Monetary pozitsіya. So, Nashomu prikladі-valued chastka dovgoї vіdkritoї valyutnoї pozitsії molded for rakhunok operatsіy torgіvlі bezgotіvkovoї іnozemnoї currency (39.95% on the cob perіodu that 43.10% on yogo kіnets) that formuvannya dohodіv in іnozemnіy valyutі (31.57% on the cob perіodu that 36.78% on kіnets perіodu). Dinamіka rozmіru valyutnoї pozitsії positive i becoming 12.11%. Structure valyutnoї pozitsії printsipovo not zmіnilasya. However statte "INSHI operatsії" zbіlshilasya mayzhe vdvіchі i stand on kіnets perіodu 20.69% od zagalnogo rozmіru valyutnoї pozitsії. Before іnshih operatsіy scho vplivayut on rozmіr valyutnoї pozitsії, nalezhat takі operatsії:

• transformatsіya aktivіv;
• Banks Repay beznadіynoї zaborgovanostі;
• kupіvlya currency for zakrittya valyutnoї pozitsії;
• kupіvlya currency for vikonannya zobov'yazan bank before klієntami toscho.

Analіz structures in rozrіzі currency in Nashomu prikladі svіdchit about perevagu operatsіy s Dolar US is the EURO including, scho zabezpechuє Pevnyi masshtabnіst operatsіy that optimіzuє їh rizikovanіst.

Operatsії s torgіvlі іnozemnoyu currency Je dosit digit for obsyagami that dosit pributkovimi, ale th odnochasno naybіlsh rizikovanimi. Zmіni exchange rate at vіdkritіy valyutnіy pozitsії vplivayut fіnansovy on the results of the Bank. So, pіdvischennya rate іnozemnoї currency from razі dovgoї vіdkritoї valyutnoї pozitsії Veda to zbіlshennya fіnansovogo (nerealіzovanogo) result znizhennya rate іnozemnoї currency vіdpovіdno to zmenshennya fіnansovogo (nerealіzovanogo) result. Yakscho bank Got Short vіdkritu Monetary pozitsіyu, then razі pіdvischennya іnozemnoї currency rate yogo zmenshuyutsya revenues, while znizhennі, navpaki - pіdvischuyutsya. Nerealіzovany fіnansovy result scho vinikaє od pereotsіnki vіdkritoї valyutnoї pozitsії, vіdobrazhaєtsya on balance rahunku number 6204. Yakscho bank Veda okremo Obl_k realіzovanogo that nerealіzovanogo fіnansovogo result, the іnformatsіya for tsimi analіtichnimi rahunkami Mauger vikoristovuvatis:

- For otsіnyuvannya vplivu vіdkritoї valyutnoї pozitsії on the results of the Bank;

- For otsіnyuvannya efektivnostі torgovelnih operatsіy bank.

Not Mensch vazhlivo proanalіzuvati structure valyutnoї pozitsії in rozrіzі operatsіy is the currency in dinamіtsі. Zmіni in strukturі operatsіy will naslіdkom zovnіshnіh faktorіv:

• prognozuvannya for Change in exchange rates (skorochennya obsyagіv torgіvlі, vіdsutnіst propozitsіy toscho);
• polіtika NBU stosovno obmezhen on the foreign exchange market (installed on obmezhen rozmіr marzhі, zaborona torgіvlі s metoyu otrimannya speculative pributku);
• rіznitsya mіzh komertsіynim gotіvkovoї currency rate is the rate bezgotіvkovoї;
• perevagi pributkovostі operatsіy natsіonalnoyu s currency, tobto percent over operatsіyami in natsіonalnіy valyutі vischі of Interest for operatsіyami in іnozemnіy valyutі;
• seasonal nature okremih operatsіy;
• nizky rіven konkurentsії.

Mozhlivy vpliv vnutrіshnіh faktorіv:

• zmіni eksportno-іmportnih tendentsіy klієntіv Bank (appears vigіdnih proektіv klієntіv scho potrebuyut fіnansuvannya);
• Sponsored polіtika bank;
• kvalіfіkatsіya personnel;
• tehnіchna that tehnologіchna osnaschenіst.

Analіz valyutnoї pozitsії that upravlіnnya her tіsno pov'yazanі mіzh him. In protsesі analіzu viyavlyayutsya Ti skladovі valyutnoї pozitsії scho mіstyat in sobі mozhlivіst otrimannya for bank dodatkovih pributkіv yak, so i zbitkіv. Tsі components neobhіdno zgrupuvati in odnorіdnі groupies th otsіniti їh vpliv on Prybutok. Upravlіnnya Monetary pozitsієyu peredbachaє of acceptance rіshen schodo її zmіni s metoyu dosyagnennya zaplanovanogo result i bezposeredno realіzatsіyu this result.