Among the traditional activities of commercial banks, the provision of loans has been and continues to be the main operation that ensures the profitability and stability of its existence. The importance of credit operations is determined by many circumstances, among which are the following:

Their predominance in the assets of commercial banks, their share can be up to 50-70%;

Received interest on credit operations is the main source of income for a commercial bank;

Credit operations are the most risky and therefore the most responsible for the reputation of the bank and its stability, since borrowed rather than its own funds predominate in the composition of credit resources;

The ability to ensure the repayment of a loan from the borrower is an indicator of the professional viability of the bank's staff and its management;

The size, composition and structure of credit investments in terms of risk and liquidity are the basis for calculating the bank's main estimated indicators - liquidity and capital adequacy.

Quality is a set of properties of an object that determines its ability to meet specified requirements. Loan portfolio quality criteria: financial position of the borrower (basic assessment); debt service characteristics; credit security; liquidity and profitability of the loan. When assessing the quality of the loan portfolio, all of the above characteristics are evaluated only from the perspective of credit risk.

Analysis tasks:

1 assessment of compliance with the standards, the reasons for changing the values ​​of the standards, including in compliance with the standard values;

2 assessment of the diversification of the bank's loan portfolio, taking into account national priorities for economic development;

3 assessment of credit risk levels and risk concentration. (The National Bank of the Republic of Belarus distinguishes the following main areas of analysis of this risk: sectoral, country risk, risk concentration in a separate banking product, approaches used to assess concentration risk for a group of interrelated debtors, comparative analysis.)

The study begins with the identification of types of relationships, groups of interrelated debtors. Types of economic relationships - one activity, project, object; supplier-buyer; debtor-guarantor.

Risk concentration also arises when there are loans with the same maturity. Risk concentration is possible not only in the provision of loans, but also in all other types of banking activities that, by their nature, involve counterparty risk.

4 evaluation of the profitability of the loan portfolio; including the study of the dynamics of the full interest rate for the use of credit; analysis of the stability of the flow of interest income;

5 substantiation of the level of optimization of the structure of assets and liabilities in terms of fulfillment of obligations;

6 comparative analysis of the achieved quantitative and qualitative parameters for the development of the bank's loan portfolio:

· with the parameters determined by the main directions of the monetary policy of the Republic of Belarus, the Bank's Development Program;

· with the corresponding indicators of banks-competitors, reference bank (analogue bank).

7 study of the structure and composition of secured, insufficiently secured and unsecured debt;

8 analysis of the composition and movement of the bank's special reserves to cover possible losses on bank loans exposed to credit risk;

9 assessment of the degree of interdependence (interdependence) and the relationship of credit risk with currency, interest rate, operational and other risks of the loan portfolio.

The solution of these problems consists of a number of stages of analysis. For example, in the banks of the Republic of Belarus that apply IAS 39 “Financial Instruments: Recognition and Measurement”, the analysis of credit risk for the loan portfolio of legal entities includes the following steps:

1) about valuation of individually significant credit transactions. Such operations are recognized as the total amount of credit operations of one debtor, if on the reporting date it is more than XX percent of the bank's capital. The main criteria taken into account when assessing risk are usually the client's credit rating, which is calculated in a number of areas (dynamics of the financial condition, etc.); sufficiency and liquidity of the collateral (including an assessment of the dynamics of its market value); the dynamics of the total cash flow, which is calculated as a cash flow to maturity, taking into account the probability of repayment of the loan and the value of collateral, and the calculation of the impairment of the cash flow for a credit operation;

2) d loan portfolio disaggregation to groups of operations that are subject to similar risks (in the context of the main sectors of the national economy; legal entities and private entrepreneurs, etc.);

3) about risk assessment for each group, including analysis of the movement of bad loans, their share in the group;

4) calculation of risk factors loan portfolio (for example, it can be an indicator - the ratio of subprime, doubtful and bad debts, weighted by risk groups, less the amount of the reserve created for these groups, to the bank's regulatory capital).

When analyzing credit debt of individuals, a wide range of methods and indicators is used. For example, rating (scoring) estimates of borrowers; quantity and quality of support; analysis of the age of overdue debts, the method of migration of overdue debts, etc. Let us consider the method of migration of overdue debts. It is recommended by the US Banking Supervisory Authority for banks that do not have a significant share of individuals in the loan portfolio to predict losses on consumer loans. For the analysis, retrospective information on bank lending operations for 3-5 years is used in conditions of stability or relative stability in this segment of the financial market. The loan debt portfolio of individuals is divided into groups with homogeneous characteristics depending on the type of loan product (overdraft on a card account, real estate financing, etc.), type of property being loaned, quantity and quality of collateral; maturity, arrears, geographic location and other features. Further, in each group of credit debt, the structure of overdue debt is studied and migration coefficients (probability of default) and loss coefficients are calculated. The loss ratio characterizes potential losses for a group of homogeneous loans.

The probability of default reflects changes only in the solvency of borrowers without taking into account the economic state of the country or region.

The study of credit investments makes it possible to assess the validity of the credit policy adopted by the bank and the degree of its implementation based on the actual state of the loan portfolio, to identify the most dubious and risky operations, directions for credit management.

Analysis and evaluation of the credit activity of the bank is carried out in two directions. The first direction is to determine the composition and structure of the bank's credit investments according to various classification criteria, that is, their quantitative characteristics. The second is a qualitative characteristic of the composition and structure of credit investments, i.e. assessment of the bank's loan portfolio.

The first direction of analysis involves determining the composition and structure of credit investments by recipients, types of borrowers, their industry affiliation, subjects, types and objects of lending, terms and nature of debt.

Credit investments of the bank are reflected in the 1st and 2nd classes of the "Chart of Accounts in Banks located in the Republic of Belarus", which are respectively called "Cash, precious metals and interbank transactions" and "Credit transactions with customers". The information base is the balances and turnovers on the accounts of these classes, including the balance sheet of the daily form, as well as reporting containing information on credit operations and the composition of the loan portfolio.

Depending on the loan recipients There are two main groups: client loans and interbank loans. These two groups differ significantly from each other in terms of parameters: the degree of risk, the level of profitability, the order of registration, types. Differences between them should be taken into account both in the process of analysis, its scope and focus, and in the evaluation of indicators.

Subjects credit relations are legal entities and individuals.

By types loans are classified into short-term and long-term.

The classification by type of loan reflects objects lending. The object of lending is understood as an integral part of the totality of current or non-current assets, for the payment of which a credit transaction was concluded. In case of short-term lending, the object may be any goods, inventories, finished products, goods shipped, etc. In long-term lending, the object of lending is the construction of various industrial facilities, reconstruction, purchased machinery, equipment, etc.

Loan classification by deadline should reflect the periods for which the loan is issued and the time of its repayment. The division of credit investments into short-term and long-term reflects only the deadlines for debt. In the process of analyzing the loan portfolio, it is advisable to classify term debt into the following groups: up to 1 month, from 1 to 3 months, from 3 to 6 months, from 6 to 12 months, more than 1 year.

A quantitative analysis of the composition and structure of credit investments is carried out according to the above characteristics in dynamics, because it is necessary to determine the main trends in the placement of bank credit investments. Evaluation of credit investments also involves the study of the movement of loans using information not only about the balances of debt on accounts, but also taking into account the turnover on them. Among these indicators are the following:

1 share of newly issued loans as the ratio of loans issued for a certain period to the total amount of loan investments;

2 loan repayment percentage as the ratio of the amount of loans repaid in the reporting period to newly issued ones;

3 the ratio of turnover on the issuance and repayment of loans, i.e. debit and credit turnover for a certain period.

The evaluation of the obtained results should give a quantitative idea of ​​the composition and dynamics of credit investments. At the same time, when considering a loan portfolio, it is obligatory to study debt on qualitative grounds, which implies the second direction of analysis.

The difference between the first and second directions reflects the differences between the concepts of "loan investments" and "loan portfolio" of the bank. In the economic literature, they are often used as synonyms, but in reality there is a different approach to evaluating credit transactions. Thus, any classification of balances of credit debt according to the bank's balance sheet gives an idea of ​​the composition and structure of credit investments, however, their qualitative characteristics are not always present. Such an assessment of credit investments is reflected in the term "bank loan portfolio", which involves the classification of bank credit investments according to qualitative characteristics. Such signs include: types of security for the fulfillment of obligations to repay a loan, compliance with loan repayment terms, etc. Strictly speaking, both loan investments and a loan portfolio are a set of loan account balances as of a certain date. The fundamental difference between them is not in the presence of different features for classification when determining the composition, but in the presence of a qualitative assessment in any classification. Thus, the grouping of loans by industry makes it possible to judge the scope of investments and the interests of the bank, but, on the other hand, it makes it possible to determine the presence of additional risk when working with unprofitable industries or when investing in only one industry. As the scope of the borrower and its type have different risks for these economic conditions, so the types of loans, depending on the volume and purpose of lending, are evaluated differently, which should be taken into account when studying the bank's loan portfolio. This approach gives a qualitative description of the composition of credit investments, allows us to consider the loan portfolio as a result of the activities of a commercial bank.

Based on the qualitative characteristics of the loan portfolio, it is possible to assess compliance with the principles of lending and the degree of risk of credit operations, the prospects for the liquidity of this bank. The composition of the loan portfolio is the main reference point for the credit policy being developed by the bank. And therefore, each bank's own loan portfolio should be under constant supervision. For its analysis, both generally accepted classifications of loans are used in accordance with their quality, as well as indicators and ratios developed on their basis. The generally accepted classification of loans depending on their quality involves the assessment of various risk factors and ways to protect against it.

The main generally accepted risk criteria are determined by the "Rules for the formation and use of a special reserve to cover possible losses on bank assets exposed to credit risk", developed and approved by the National Bank. Such criteria are: compliance with the terms of crediting, the ability of the debtor to repay the debt and the availability of security for its repayment.

Debtor's ability to repay debt is determined by analyzing its creditworthiness, profitability, income stability, availability of government subsidies and other factors. In general, according to the results of the analysis, the debt is divided into two groups: without signs of deterioration in the financial condition of the debtor and with signs of deterioration in the financial condition of the debtor. The most obvious signs of a deterioration in the financial condition include: the debtor's losses for the reporting period, overdue debts on other loans, late payment of interest on loans, growth of receivables.

Loans, depending on the availability and quality of repayment security, are divided into three groups: secured, insufficiently secured, unsecured.

To analyze credit debt and classify loans, banks usually maintain a special table in the credit file for each borrower, which provides information on the composition of all his debt and its quality in terms of ensuring repayment in certain forms, compliance with lending terms and attributing debt to the above risk groups. Based on the data of credit files and other primary materials, a table of classification of the bank's assets is compiled, which brings together the debt for all customers and determines the size of each risk group. The classification of assets by risk groups makes it possible to calculate the amount of the required reserve to cover possible losses on the bank's assets exposed to credit risk.

The totality of all the above groups for loans as of a certain date is bank's gross loan portfolio. For a qualitative assessment of the loan portfolio, taking into account credit risk, the term " bank's net loan portfolio", which is calculated as the difference between the gross loan portfolio and the amount of the created reserve to cover possible losses.

The most common indicator for evaluating a loan portfolio is the so-called "credit quality" or NPL ratio. It is calculated as the ratio of the amount of problem loans to the size of the entire loan debt. If the value of the coefficient under consideration is higher than 5%, it can be argued that the bank has difficulties with the timely repayment of debt, while it is necessary to consider the trend of this indicator during the year.

Risk Protection Factor represents the ratio of the amount of the created reserve to cover possible losses to loans. This indicator is considered in dynamics: a decrease in the denominator indicates a positive trend.

Reserve adequacy ratio in case of default on loans is calculated as the ratio of the created reserve to the amount of the gross loan portfolio. In international practice, its normative value ranges from 1 to 5%.

Bad loans ratio is the ratio of amounts written off from the provision to the amount of the gross loan portfolio. The higher the value of this indicator, the higher the proportion of unrepayable loans.

The possibility of collecting debts on problem loans is mainly influenced by the composition of the loan portfolio by the forms of fulfillment of obligations. To assess the degree of risk of the loan portfolio, depending on the composition and structure of collateral, it is necessary to analyze all forms of collateral used by the bank. The determination of such a composition of the loan portfolio occurs when calculating capital adequacy. The calculation methodology includes a breakdown of interbank loans and loans issued to legal entities and individuals secured by various types of collateral, including secured by government securities, securities of local governments, secured by property, guarantee, guarantee, etc.

The above classification makes it possible to judge the degree of risk of the entire loan portfolio. Risk-weighted loan portfolio, is defined as the sum of the relevant debt, including collateral, multiplied by the degree of risk in percent and divided by 100 and represents the absolute amount of the projected losses. The results of calculating the loan portfolio, weighted by the percentage of risk, it is advisable to consider in the form of a table.

The calculated loan portfolio, taking into account the risk, minus the created reserve to cover possible losses, reflects the amount of the bank's potential losses.

Comparison of the size of the net loan portfolio and the risk-weighted loan portfolio reflects the difference between the risk factors taken into account when creating the provision and those available depending on the forms of collateral. Based on the data provided, it is possible to calculate the size of the loan portfolio, which is not subject to risk and is the difference between the gross loan portfolio and the risk-weighted loan portfolio.

For a qualitative assessment of the loan portfolio, depending on the forms of loan collateral used, various coefficients should be calculated.

Credit risk dependency ratio from forms of collateral is the ratio of the risk-weighted loan portfolio to the gross loan portfolio and characterizes the significance of forms of collateral in determining credit risk. This indicator is calculated in dynamics and its growth reflects the increase in the dependence of the risk of bank credit operations on the forms of collateral.

Potential credit risk ratio is determined by the ratio of the risk-weighted loan portfolio to the net loan portfolio. The coefficient under consideration gives an idea of ​​the degree of unaccounted for risk of the bank's credit investments. The higher the value of this ratio, the higher the probability of irreparable losses for the bank on high-risk investments.

Risk factor is calculated as the ratio between the amount of created reserves and the risk-weighted loan portfolio. This ratio shows the degree of dependence of the credit risk taken into account when creating provisions on the risk by form of collateral. The higher the value of this ratio, the better the bank's protection against losses.

Caution ratio of credit investments is the ratio of the difference between the gross loan portfolio and the risk-weighted loan portfolio to the size of the gross loan portfolio. This ratio characterizes the degree of caution in the bank's credit investments.

Assessment of the state and trends of the loan portfolio allows you to determine the quality of the bank's credit work and the degree of implementation of the credit policy. To assess the quality of loan portfolio management, the following indicators are used:

2) the ratio of credit investments and attracted funds of the bank. This indicator can be calculated both taking into account interbank loans received and issued, and without them; based on average balances or as of the reporting date.

3) the ratio of credit investments and assets of the bank. It can be argued that the loan portfolio is overloaded if the value is above 65%. In this case, it is necessary to diversify excessive credit risks and allocate resources in other directions.

4) lead factor as the ratio of the growth rate of credit investments and the growth rate of the bank's assets. This ratio shows how many times the growth of average balances of credit investments outstrips the growth of total assets. To assess the bank's work in the field of loan portfolio management as active, the value of the coefficient must be greater than 1.

The credit policy of each bank involves the establishment of the main directions in lending activities, specific indicators that would improve the state of the loan portfolio and the financial position of the bank. At the same time, the assessment of credit policy should take into account the influence of various factors that reflect the formulation and effectiveness of the organization of credit work.

The most complete statement of credit work in a bank is revealed in the approach to analyzing the creditworthiness and financial condition of borrowers.

The concept of a bank's loan portfolio is ambiguously interpreted in the economic literature. Some authors interpret the loan portfolio very broadly, referring to it all the financial assets and even liabilities of the bank, others associate the concept under consideration only with the loan operations of the bank, others emphasize that the loan portfolio is not a simple set of elements, but a classified set.
The regulatory documents of the Bank of Russia, which regulate certain aspects of managing a loan portfolio, define its structure, from which it follows that it includes not only the loan segment, but also various other requirements of a bank of a credit nature: placed deposits, interbank loans, claims for receipt (return ) debt securities, shares and promissory notes, discounted promissory notes, factoring, claims under rights acquired under a transaction, under mortgages acquired on the secondary market, under asset sale (purchase) transactions with deferred payment (delivery), under paid letters of credit, under financial lease transactions (leasing), for the return of funds, if the acquired securities and other financial assets are unquoted or are not traded on the organized market.
Such an expanded content of the set of elements that form the loan portfolio is explained by the fact that such categories as deposits, interbank loans, factoring, guarantees, leasing, and securities have similar essential characteristics associated with the return movement of value and the absence of a change of ownership. The differences lie in the content of the relationship object and the form of value movement.
The essence of the bank's loan portfolio can be considered at the categorical and applied levels. In the first aspect, the loan portfolio is the relationship between the bank and its counterparties regarding the return movement of value, which takes the form of credit claims. In the second aspect, the loan portfolio is a set of bank assets in the form of loans, discounted bills, interbank loans, deposits and other credit related claims, classified into quality groups based on certain criteria.
The concept of the quality of the loan portfolio and the criteria for its evaluation. To reveal the content of the quality of the loan portfolio, let's turn to the interpretation of the term "quality".
Quality is:
property or belonging, everything that constitutes the essence of a person or thing1;
a set of essential features, properties, features that distinguish an object or phenomenon from others and give it certainty2;
one or another property, a sign that determines the dignity of something.
Dal V. Explanatory Dictionary of the Living Great Russian Language. M., 1981. T. 2. S. 99.
Ozhegov S.I., Shvedov N.Yu. Explanatory Dictionary of the Russian Language / Russian Academy of Sciences; Russian Cultural Foundation. 3rd ed. M.: AZ, 1995. S. 265.
37
Therefore, the quality of a phenomenon should show its difference from other phenomena and determine its dignity.
The qualitative difference between the loan portfolio and other portfolios of a commercial bank lies in such essential properties of the loan and credit categories as the return movement of value between the participants in the relationship, as well as the monetary nature of the object of the relationship.
The set of types of operations and money market instruments used, forming a loan portfolio, has features determined by the nature and purpose of the bank's activities in the financial market. It is known that lending operations and other credit-related operations are characterized by high risk. At the same time, they must meet the purpose of the bank's activity - to obtain maximum profit with an acceptable level of liquidity. From this follow such properties of the loan portfolio as credit risk, profitability and liquidity. They also correspond to the criteria for assessing the merits and demerits of a particular loan portfolio of a bank, i.e. criteria for assessing its quality (Fig. 3.1).

Rice. Z.I.
The quality of the loan portfolio can be understood as such a property of its structure, which has the ability to provide the maximum level of profitability with an acceptable level of credit risk and liquidity of the balance sheet.
Consider the content of individual criteria for assessing the quality of the loan portfolio.

More on the topic 3.3. THE CONCEPT OF A LOAN PORTFOLIO AND ITS QUALITY:

1. 2.1. Organization of banking control in the process of diagnosing the client's credit risk and the bank's loan portfolio.

Credit operations carried out by banks are characterized by high risk, but at the same time, as a rule, they correspond to the nature and specific goals of the activity of a credit institution in the financial market, the main of which is to maximize profit while maintaining an acceptable level of liquidity. In this regard, the main properties of the loan portfolio are distinguished: credit risk, profitability and liquidity.

Consider the content of individual criteria for assessing the quality of the loan portfolio.

Degree of credit risk. The credit risk associated with a loan portfolio is the risk of loss arising from default by a lender or counterparty that is cumulative in nature. The loan portfolio, as already noted, has segments: loans granted to legal, physical, financial organizations; factoring debt; issued guarantees, discounted bills, etc.

The risk assessment of the loan portfolio has the following features. First, the total risk depends on:

• - on the degree of credit risk of individual segments of the portfolio, the assessment methods of which have both common features and features associated with the specifics of the segment;
• - diversification of the structure of the loan portfolio and its individual segments.

Secondly, to assess the degree of credit risk, a system of indicators should be used, taking into account many aspects that should be taken into account.

The level of profitability of the loan portfolio. Elements of the loan portfolio can be divided into two groups: income-producing and non-income-producing assets. The latter group includes interest-free loans, loans with frozen interest and with a long delay in interest payments. In foreign practice, with a long-term overdue interest on interest, the refusal to accrue them is practiced, since the main thing is the return of the principal debt. In Russian practice, the mandatory accrual of interest is regulated.

The level of profitability of the loan portfolio is determined not only by the level of interest rates on granted loans, but also by the timeliness of payment of interest and the amount of the principal debt.

The profitability of the loan portfolio has a lower and an upper limit. The lower limit is determined by the cost of lending operations (personnel costs, maintaining loan accounts, etc.) plus the interest payable for the resources invested in this portfolio. The upper limit is the level of sufficient margin.

The level of liquidity of the loan portfolio. Since the level of liquidity of a bank is determined by the quality of its assets and, above all, by the quality of the loan portfolio, it is very important that the loans provided by the bank be repaid within the terms established by the agreements, or the bank would be able to sell loans or part of them due to their quality and profitability. The higher the share of loans classified in the best groups, the higher the bank's liquidity.

In favor of applying the proposed criteria for assessing the quality of the loan portfolio (the degree of credit risk, the level of profitability and liquidity), the following arguments can be made. The low risk of elements of the loan portfolio does not mean its high quality: loans of the first category of quality, which are provided to first-class borrowers at low interest rates, cannot bring high income. The high liquidity inherent in short-term credit-related assets also generates low interest income. Banking risks: textbook / ed. Doctor of Economics, prof. O.I. Lavrushin and Doctor of Economics, prof. N.I. Valentseva - M.: KNORUS, 2010

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

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• Introduction
• I. Theoretical foundations of loan portfolio quality management
• 1.1 Concepts of loan portfolio and its quality
• 1.2 The system of elements for assessing the quality of the loan portfolio
• 1.3 Functions and main elements of the bank's loan portfolio management system
• II . Analysis of modern practice of loan portfolio quality management and its assessment
• 2.1 Modern approaches to loan portfolio quality management
• 2.2 Analysis of the quality of the bank's loan portfolio
• III . Problems and directions of modern practice of loan portfolio quality management
• 3.1 Problems of assessing the quality and managing the quality of the loan portfolio
• 3.2 Directions for the development of the loan portfolio quality management system
• Conclusion
• List of used literature
• Appendix 1. The system of coefficients for the summary assessment of the quality of the loan portfolio
• Appendix 2. Content of the elements of the methodology for assessing the quality of the loan portfolio segment in terms of loans to legal entities
• Annex 3. Classification of banking risks
• Appendix 4. Classification of loans based on formalized credit risk assessment criteria
• Annex 5. Conditional calculation of the amount of credit risk
• Annex 6. Updated system for assessing the creditworthiness of business entities

Introduction

In modern conditions of development, the activities of credit institutions are primarily aimed at achieving competitive advantages; strengthening its positions in the financial market; ensuring the growth of the value of the banking business and the profitability of ongoing operations.

The main ways for credit institutions to achieve these goals are: developing their own niche in the banking business; increasing the volume of operations; development of new markets and expansion of business areas; cost reduction; optimization of income and expenses.

The implementation of the chosen development strategy by the bank is always associated with numerous risks, since the bank, by virtue of its activities, is a link in the country's financial system. At the same time, one of the conditions for ensuring the stability of the banking system is effective banking supervision and a high level of business culture of commercial banks.

At present, as part of the creation of risk management systems by banks, the problem of an adequate assessment of credit risk, i.e. the risk of a bank's client/counterparty failing to fulfill its credit obligations to it, has become particularly relevant. The priority direction in the system for assessing banking risks and, in particular, credit risk is to check the quality of the bank's loan portfolio and credit policy, which, in turn, reflect the level and quality of the bank's management.

The need for banks to analyze the quality of the loan portfolio and control it is mainly due to the shift of banking priorities towards a qualitative analysis of loans issued and the development of risk management systems.

Credit operations of commercial banks are the most important and most dynamically developing type of banking activity, due to their highest profitability compared to other types of active operations.

Thus, according to statistics for the period from 2000 to 2006, the volume of loans provided by banks to their customers (corporate, consumer and interbank loans) increased 8 times in absolute terms: if on 01.01.2001 such loans were provided in the amount of 971,518 million rubles, then as of September 1, 2007 - in the amount of 7,891,504 million rubles. Most of the funds were issued to various enterprises and organizations (except banks) for lending to current activities - their share in different periods accounted for an average of 70% -8o% of all loans provided.

At the same time, there is a noticeable increase in the interest of credit institutions in such a line of activity as consumer lending, which in turn is due to an increase in the market share of consumer goods, cars and real estate (which is influenced by the growth in real incomes of the population); outstripping the growth rate of balances on accounts of individuals compared to the growth rates of balances on accounts of legal entities; high profitability of operations of large-scale lending to individuals.

However, the intensive development of lending is accompanied by a high riskiness of such operations, as evidenced by the growth in the absolute values ​​of overdue debts. on loans: from 29,447 million rubles. for 2000 to 112,046 million rubles. for 9 months of 2006. This fact adversely affects the quality of banks' loan portfolios. The share of extended loans also has a negative impact on the quality of loans, the value of which in the loan portfolio of term loans of various banks is relatively large - from 30% to 50%.

The purpose of this work is to reveal the theoretical foundations of loan portfolio quality management, review the nature of modern practice of loan portfolio quality management and formulate the main directions for its improvement.

To this end, the objectives of the work were:

Definition of the essence of the concepts "loan portfolio" and "quality of the loan portfolio";

Substantiation of criteria and indicators for assessing the quality of the loan portfolio;

Consideration of credit portfolio quality management as an integral system;

Analysis of modern practice of managing the quality of the loan portfolio and assessing it for compliance with the requirements of regulatory documents of the Bank of Russia;

Determination of directions for solving problems in the field of quality management of credit investments.

The work uses the legislative and regulatory acts of the Russian Federation that determine the norms for the activities of credit institutions and the Bank of Russia; materials of the Basel Accord 2004 on banking supervision and comments thereto; international financial reporting standards; materials of scientific seminars and conferences on the issue under study; information published in periodicals, as well as information on the corporate website of the Bank of Russia on the Internet.

I. Theoretical foundations of loan portfolio quality management

1.1 Concepts of loan portfolio and its quality

When interpreting the concept of "loan portfolio", the authoritative opinion of Russian financial analysts is taken as a basis. Initially, the basis for the definition of the concept itself " briefcase" its peculiarity was laid down, connected with the presence of a cumulative and unifying character. With this in mind, the portfolio as a whole is a certain set of banking portfolios based on the bank's activities in the financial market. The loan portfolio characterizes directly the lending activity of the bank, which is both active and passive; in connection with which the concept " loan portfolio" considered by experts in a broad and narrow sense.

In a broad sense, the definition of a loan portfolio follows from its functions - urgency, payment, repayment, manifested in active and passive operations of a commercial bank. On the basis of which, the loan portfolio includes loans provided to borrowers, as well as loans received by the bank and attracted deposits. That is, it is a combination of credit operations, reflected in the asset balance, and credit obligations, recorded in liabilities.

In a narrow sense, a loan portfolio is a set of bank assets in the form of short-term, long-term and overdue loans, interbank loans issued and deposits placed with other banks, as well as other credit-related assets, grouped according to credit risk, profitability and liquidity criteria.

This set of assets forming the loan portfolio of a commercial bank was pledged by the Bank of Russia in Regulation No. 254-P dated March 26, 2004 "On the procedure for the formation by credit institutions of reserves for possible losses on loans, on loan and equivalent debt" (hereinafter - Regulation No. 254-P). In accordance with it, the loan portfolio includes not only the debt of customers on loans, but also various requirements of the bank of a credit nature: placed deposits, interbank loans; claims for receipt (return) of debt securities; discounted bills; factoring; claims on rights acquired through transactions, mortgages, guarantees, paid letters of credit, financial lease operations, assets sold with deferred payment, transactions with resale of securities.

In view of the above, the essence of the loan portfolio is considered in two aspects. In the first - as the relationship between the bank and its counterparties regarding the return movement of value in the form of credit claims. In the second - as a set of bank assets in the form of loans, discounted bills, interbank loans, deposits and other credit claims, classified into quality categories based on certain criteria.

In recent years, financial experts began to interpret the concept of a loan portfolio not only in terms of its content (as a set of credit requirements), but also in terms of asset management. Professionals working in the field of lending are responsible for the skillful solution of the client's problems, while ensuring a balance between his desires and the bank's credit policy. The lender, in the course of making a decision on lending to a client, has no right to make mistakes: in order to ensure an acceptable profitability of the bank, it is necessary to make the right decisions in approximately 99.5% of cases. The formation of loan portfolios by banks is not a random combination of loan assets, but a purposeful activity for structuring loan requirements in terms of ensuring the optimal level of profitability and liquidity, as well as an acceptable level of risk on loans.

The concept of loan portfolio quality follows from the very interpretation of the word quality. If you turn to the explanatory dictionary, then " quality" - this is, firstly, a set of essential features, properties, features that distinguish an object or phenomenon from others and give it certainty (this definition is applicable to the concept of "quality category"); secondly, this or that property or sign that determines the dignity of something (which is more comparable with the concept, for example, "quality of service"). Therefore, the quality of a phenomenon should show its difference from other phenomena and determine its dignity.

The qualitative difference between the loan portfolio and other portfolios of the bank lies in the essential properties of the loan and the bank itself:

The main property of the loan is the return movement of value between the participants in the relationship;

The main objectives of the bank's activities are to ensure profitability and liquidity.

Property credit follows from its functions and laws. The emergence of credit is directly related to the sphere of exchange, where the owners of goods are ready to enter into economic relations, in which one of the partners is ready to provide another with money (property) for a certain period on terms of returning an equivalent value with payment in the form of interest. The connecting link in these relations, caused by a temporary gap between the movement of money and the movement of goods and services (temporary lack of funds at the time of payments for goods and services), are commercial banks that provide loans and ensure a balance at the macroeconomic level between released and redistributed resources on basis of return and payment. A credit organization, being an intermediary between producers, directly functions in the field of redistribution of resources, facilitates the exchange of goods, and regulates money circulation. At the same time, the main product of the bank in the service sector is the provision of a loan on the terms of repayment, urgency, payment due to the accumulation of temporarily free funds.

Credit operations carried out by banks are characterized by high risk, but at the same time, as a rule, they correspond to the nature and specific goals of the activity of a credit institution in the financial market, the main of which is to maximize profit while maintaining an acceptable level of liquidity. In this regard, the main properties of the loan portfolio are distinguished: credit risk, profitability and liquidity. Accordingly, the criteria for assessing the bank's loan portfolio (its advantages and disadvantages) are the levels of credit risk, profitability and liquidity.

Thus, under loan portfolio quality one can understand such a property of its structure, which has the ability to provide the maximum level of profitability with acceptable levels of credit risk and liquidity.

1.2 The system of elements for assessing the quality of the loan portfolio

Assessment of the quality of the loan portfolio is a system of elements, consisting of an assessment base (subjects), assessment technology (criteria and indicators) and the result obtained (classification of loan portfolio elements by quality groups).

The subjects of assessment are the credit committee, credit division, internal control service of the bank; rating and analytical agencies assessing the quality of the bank's loan portfolio in accordance with the current legislation of the Russian Federation and Bank of Russia regulations, as well as internal documents of the credit institution.

The criteria for assessing the quality of the loan portfolio in accordance with its content are the degree of credit risk, the level of profitability and the level of liquidity.

Degree of credit risk. As already noted, credit risk is the probability that the borrower will not repay the principal and interest on the loan due to various circumstances.

The credit risk to which a commercial bank is exposed depends on a number of factors that characterize the credit policy pursued by the bank and, as a result, the quality of the loan portfolio. There are some main factors of credit risk occurrence:

Low degree of diversification of the loan portfolio by types of borrowers, regions, industries, terms of loans (the higher the diversification, the lower the risk);

The share of overdue loans in the portfolio (including restructured debt);

The share of new borrowers who do not have a credit history and business reputation;

Inadequate assessment of the borrower's creditworthiness (may be given for various reasons, for example, due to the poor quality of information about the borrower received by the bank, its insufficiency or untimeliness; existing shortcomings in the organization and management of credit risks; application of a methodology for assessing the financial condition of the borrower that a complete picture of its activities; incompetence of banking specialists);

A narrow range of credit products - the bank's focus only on traditional lending operations; application of the same methodology for assessing credit risk and the factors causing them for different types of loans. For example, when lending under an overdraft, there is a risk of an unauthorized overdraft, a risk of violation of the order of payments; for investment loans - the risks of incomplete construction, obsolescence of the project, lack of a market for finished products. In case of individual lending, there may be risks of impairment of collateral, deterioration of the financial condition of the borrower-legal entity or employer of the borrower-individual;

Low quality of the methodological support used in the bank for credit risk management;

Formal attitude of banks to the quality of collateral for loans;

Incorrect choice by a credit institution of the type and conditions of lending, which may have a negative impact on the current activities of the borrower;

Insufficient attention on the part of the bank's management bodies and its top managers to assessing the effectiveness of credit management.

In their action, the factors influencing the occurrence of credit risk differ in relation to the bank into external and internal. External factors (macroeconomic, geographical, monetary) do not depend on the direct activities of the bank; their influence can only be taken into account, for example, when forming a system of decision-making and preferences in granting loans. Internal factors may be related both to the activities of the creditor bank itself and to the activities of the borrower; they are almost completely manageable by bank management provided that the credit institution has well-developed mechanisms for conducting credit operations and credit risk management systems.

Depending on the listed factors, credit risks are classified by type (Table 1).

Table 1. Types of credit risks

Classification criteria	Types of risks
By risk level	Risks at the macro and micro levels of relationships
According to the degree of risk dependence on the bank	Independent and dependent on the activities of a credit institution
By sectoral focus of lending	Industrial, commercial, construction, etc.
By lending scale	Comprehensive and private
By type of loan	Risks by subjects, objects, terms, security
By loan structure	Risks at the stage of granting, using, repaying a loan, etc.
Decision-making stage	Risks at the preliminary and subsequent stages of lending
According to the degree of acceptability	Minimum, High, Critical, Invalid

Banks use qualitative and quantitative analysis to assess the degree of credit risk. Qualitative analysis relies on the study and identification of specific risk factors. The qualitative indicators include the results of the analysis of the borrower's development prospects: the state of the borrower's industry; the role of the borrower in the region; assessment of the economic, political, technical policy of the borrowing organization; business reputation of the enterprise and business owners. The model for conducting a qualitative analysis is a direct analysis of the bank's loan portfolio.

Quantitative risk analysis formalizes the degree of risk by calculating various indicators and financial ratios (Appendix 1). In addition, quantitative analysis involves an analysis of the factors that influenced the change in the values ​​of the applied indicators and coefficients; analysis of the dynamics of such changes; comparison with established criteria and indicators of competing banks.

The assessment of the total risk for the bank's loan portfolio is determined based on the characteristics of the elements and the risk of individual segments of the loan portfolio, for example, loans to legal entities; provided to individuals; placed deposits and interbank loans; discounted promissory notes and others (Appendix 2 contains a list of elements of the developed methodology for assessing the quality of such a segment of the loan portfolio as loans to legal entities).

The aggregated indicator for assessing the degree of credit risk of the portfolio is the ratio of the Amount of the balance of debt on loans and credit-related i-that category of quality, reduced by the percentage of risk according to i-th category to the total amount of the loan portfolio. The degree of credit risk of the portfolio, as well as the protection of the bank from it, can be assessed by indicators that determine the share of overdue loans, non-performing loans, loan losses in the balance of loan debt, the ratio of actual and estimated reserve to cover losses on loans.

To determine the level of credit risk, banks in practice use various complex systems of quantitative assessment models. Some models are based on differences in the approach to determining credit losses: in some cases, they include the actual non-payment on the loan on time; in others, a comparison of the bank's level of losses with market indicators (or with modeling indicators) is used. Some banks use a predictive approach (for example, for a line of credit) based on an estimate of the replacement cost of a loan in the event of default, while others calculate empirical data. In the methodology for assessing credit risk, there are conditional and unconditional models: unconditional, as a rule, reflect information about a particular borrower, conditional models also contain information about the state of the economy. Credit risk can be assessed at the level of an individual asset or at the level of aggregated data that is used to assess risk across a portfolio of homogeneous loans and across the entire loan portfolio. Various methods for assessing the interdependence of factors affecting credit losses are also used (for example, methods for assessing the correlation between non-payments and rating changes).

Although the approaches used to build numerous credit risk assessment models differ from each other, they all have in common that they all calculate the probability of a change in the quality of certain categories of loans and default, and also allow the bank to predict future losses from a borrower's default. The emphasis in such models is on risk assessment over a short time interval (usually a year).

The level of profitability of the loan portfolio. All operations, including credit, are carried out by banks in order to obtain maximum profit with an acceptable level of risk. The main income of banks is generated from the interest margin obtained as a result of the difference in interest rates on granted loans and interest rates on attracted deposits of individuals and funds of legal entities. In this regard, banks are required to monitor all fluctuations in interest rates, since any change in them may positively or negatively affect the amount of net interest income and, therefore, lead to financial difficulties or losses on loans.

There are several methods for analyzing changes in interest rates and its impact on a bank's profitability, for example: analysis of changes in interest margin; analysis of the discrepancy between the level of interest rates on the assets and liabilities of the bank (GAP or DGAP).

The elements included in the loan portfolio are divided into two groups: income-generating and non-income-producing. The level of profitability of a loan is determined by the level of the interest rate on it, as well as the timeliness of the borrower's fulfillment of obligations on interest payments. The group of loans that do not generate income includes interest-free loans, loans with frozen interest, as well as loans with long delays in interest payments.

When determining the profitability of a loan portfolio, its lower and upper limits are distinguished: the lower limit of profitability is determined as the sum of the cost of credit operations (personnel costs, maintenance of loan accounts), the amount of interest payable for the resources invested in the loan portfolio; the upper limit is the level of sufficient margin, which is calculated by the following formula:

In the system of bank management, including the quality of the loan portfolio, a thoughtful and balanced approach to the definition of credit and interest policies is very important. The growth rate of income from lending operations does not always correspond to the growth rate of customer lending, which may be due to an inadequate assessment of credit risk by the bank. An ill-conceived management policy can generally lead to a deterioration in the quality of banking assets, including loans; in turn, loans not repaid by borrowers and unpaid interest affect the decrease in the bank's interest income, which leads to additional deductions to loss reserves, an increase in bank expenses and a decrease in profits. When additional reserves are created, monetary resources are diverted from banking turnover, which could be directed to lending, which affects the change in the bank's liquidity balance.

With an ill-conceived interest rate policy, an imbalance between the maturities of loans and borrowed funds may arise in the bank's activities, which will lead to an increase in liquidity risk, attraction of expensive funds and their placement in high-risk transactions in order to obtain higher incomes.

Loan portfolio liquidity. Historically, there has been a direct dependence of this category on the quality of the loan portfolio - the higher the proportion of loans classified in the best quality categories, the higher the bank's liquidity. Traditionally, regulation by banks of the level of liquidity (including in the process of lending) was reduced to matching the terms for granting loans to the terms for attracting deposits, thus insuring themselves in case of unforeseen withdrawal of their funds by depositors. Loans are considered the least liquid assets, while deposits are, if not the main source of the bank's resource base, then no less significant. A high ratio of loans to deposits indicates the illiquidity of the bank, since the bank has used almost all of its resources for issuing loans, and newly issued loans will be financed by buying funds on the market. A low value of the indicator indicates that the bank has free liquidity and can finance new loans through deposits.

The disadvantage of this indicator of the level of liquidity is that it does not take into account the structure of the loan portfolio and the portfolio of deposits. Some loans may be short-term or sold on the secondary market; others - to be of a long-term nature and at the same time provide for the possibility of deferred payments (can only be implemented with a significant discount). Consequently, banks with the same ratio of loans and deposits will have different credit liquidity due to differences in their loan portfolios. In addition, this indicator does not take into account receipts of amounts in repayment of principal debt and interest on loans.

In modern banking practice, various methods are used to regulate the level of liquidity, for example, by forming such an asset structure that allows the bank to maintain a liquidity balance and restore it if necessary (including through the rapid sale of liquid assets, mainly quoted government debt, or attracting interbank loans, which can be used to pay depositors the previously requested funds in order to avoid losses on long-term loans, for which the amounts of proceeds in payment of principal and interest are insignificant).

Recently, the cash flow calculation method is also used, which is based on the principle of comparing the amount of outflow and inflow of client funds for the required period. In general, the amount of expected cash flows is determined based on the quality of bank assets and the level of problem loans. The indicator for this category is the bank's interest income margin.

To ensure balanced liquidity, it is important that the loans provided are repaid in full and within the terms established by the agreements, so that the bank has the opportunity to allocate resources to new loans (or sell loans to third parties, due to their quality and profitability). All this is possible thanks to the competent organization in the bank of a system for managing the quality of credit investments and business processes, and the creation of an effective risk management system.

The occurrence of liquidity problems in the bank's activities leads to a weakening of its financial position and the emergence of difficulties associated with the preservation and maintenance of its resource base (for example, an outflow of deposits and deposits; an increase in the cost of interbank loans). At the same time, the current activities of banks should be aimed at ensuring the optimal ratio of liquidity and profitability levels: the higher the liquidity level of a credit institution, the lower its profitability, since the income on highly liquid assets is lower compared to other active instruments, due to the lower degree of risk .

The indicators used to assess the quality of credit investments are divided into three groups:

1. Financial indicators that combine indicators for assessing the quality of individual elements of the loan portfolio and indicators for assessing the quality of the portfolio as a whole.

2. Segmentation indicators used to identify risk areas.

3. Predicted loss associated with the application of the VAR method and simulation.

Financial indicators are applied in the context of the criteria for assessing the quality of credit investments (Table 2).

Table 2. Interrelation of criteria and indicators for assessing the quality of the loan portfolio

The quality of the loan portfolio as a whole depends on the quality of each individual loan included in it, or the quality of a portfolio of homogeneous loans. To classify elements of the loan portfolio by quality groups, the number of quality groups and classification methods are determined. Standard approaches to assessing the quality of loans, which are mandatory for use by all credit institutions, are established by the Bank of Russia in Regulation No. 254-P. Loan quality is assessed based on the financial position of the borrower and its ability to service principal and interest-bearing debts. At the same time, the activity of the borrower must be legal in nature with real cash flows and generate income sufficient to repay the debt to the bank (or several banks).

The criteria for assessing the financial condition of the borrower are based on a comprehensive analysis of its production and financial and economic activities, as well as other information available about it, using banks of various methods of calculation and assessment of performance indicators.

To assess the quality of loans, the conscientiousness of the borrower is important, that is, a good history of servicing his debt, as well as the credit history available about him in banks. An indicator of the timeliness of the loan repayment is the absence of overdue loans and interest payments. At the same time, overdue debt is differentiated by duration; also takes into account the number of cases and the reasons for the renewal of the loan agreement.

The presence of collateral for a loan is taken into account only when creating a reserve for possible losses, but not when determining the quality of a loan, since in banking practice, for various reasons, legal difficulties arise in the exercise of rights to the accepted collateral. An indicator of the security of loans is the presence of liquid collateral sufficient to repay the principal, interest on it and possible costs associated with the implementation of collateral rights.

The assessment of the financial condition of the borrower and his good faith allow the bank to assess the quality of the loan in one of five categories: risk-free (or standard - 1 quality category) and impaired (with a risk value of 1% to 100% - 2-5 quality categories).

Particular attention in assessing the quality of the loan portfolio should be given to loans:

The amount of which is more than 5% of the total capital of the bank;

Provided to shareholders, insiders and persons related to the bank, groups of related persons;

The value of which exceeds 50% of the net assets of the borrower (group of related borrowers);

Restructured, the essential terms of the original agreement on which are changed in the direction more favorable for the borrower;

Arising as a result of the termination of the borrower's pre-existing obligations by novation, the provision of compensation (including the assignment of claims);

Provided for a period of more than 6 months with payments on principal or interest not earlier than 6 months after the loan issuance;

Payments for which are made at the expense of funds provided to the borrower by the creditor bank directly or indirectly;

Classified as non-standard, doubtful or unprofitable (problematic).

Problem loans have a negative impact on the quality of the loan portfolio - debt for which the bank has doubts about the financial condition of the borrower or collateral. Their impact on the quality of loans is manifested through: the occurrence of direct losses for the bank from non-repayment of loans and non-payment of interest; freezing funds in non-profitable assets; undermining the bank's business reputation and confidence in it on the part of creditors and depositors; the outflow of qualified personnel from the bank due to a decrease in the profitability of the bank and financial incentives.

In addition, when analyzing "non-performing" loans, increased attention should be paid to:

Loans (principal and interest) overdue by more than 30, 90, 180 and 360 days;

The reasons for the appearance of such loans;

Material information on non-performing loans;

The adequacy of the formed reserves for possible losses and the procedure for using such reserves;

The degree of influence of such loans on the level of profitability and profitability of the bank.

1.3 Functions and main elements of the bank's loan portfolio management system

The formation and analysis of the loan portfolio allow the bank to more clearly develop tactics and development strategy, its capabilities in lending to customers and developing business activity. The value of loan portfolio management is manifested through several functions.

Analytic function. The Bank, based on certain criteria and indicators, analyzes the movement of its loans and forecasts their further development. From an economic point of view, interacting with the external environment, the bank, when forming a loan portfolio, selects the most and least rational areas, areas of application of the loan. In this sense, the loan portfolio classifies the scope of loans, divides customers into certain groups, determines the bank's preference among them, the level of profitability and reliability of loans.

The second function of loan portfolio management provides credit risk diversification, which allows you to minimize or limit it.

Loan portfolio management gives the bank the opportunity to develop or restrain lending operations, improve their structure, determine the degree of protection from the insufficient quality of the structure of loans issued. A consistent approach to managing a loan portfolio can significantly improve a bank's performance, strengthen its financial soundness and improve its rating.

Loan portfolio management is based on certain economic and organizational principles.

1. Loan portfolio management is interconnected with the management of other activities of the bank, for example, liquidity, income. In turn, the scale and quality of loans directly depend on the size of the bank's own funds, the structure of funds raised, the lending culture, the level of organization and the functioning of the general management system in the bank.

2. Analysis of the loan portfolio is comprehensive, and the quality of the loan portfolio depends on the quality of an individual loan or a homogeneous group of loans.

3. Loan portfolio analysis is a systematic monitoring of the bank's activities, which allows assessing the composition and quality of loans in dynamics.

4. The data obtained from the results of the analysis of loans make it possible to use them for making prompt management decisions by various departments of the bank involved in the lending process.

5. Loan portfolio management involves the use of various evaluation criteria and systems of indicators of the bank's activities in the lending sector. At the same time, the value of such criteria and the composition of indicators are determined by the bank independently, based on its own accumulated experience and well-known world practice.

In the process of managing a loan portfolio, banks need to be guided by basic components, for example: obey the rules of risk management; comply with established credit limits; follow the priorities in lending to subjects and objects.

There are certain rules for managing credit risks that it is advisable to follow when implementing a credit policy and managing loans, in particular:

It is impossible to risk more than the size of the bank's own funds allows;

It is necessary to calculate the consequences of the accepted risk;

It is inappropriate to carry out a transaction with a risk greater than the expected income from it;

Make a positive risk decision when there is no doubt; if they exist, make a negative decision;

Undertake a search for alternative solutions leading to risk minimization.

Credit portfolio management is considered by experts from two positions: at the macro and micro levels. Thus, at the macro level, analysis and regulation of credit relations is carried out in conjunction with macroeconomic (national economic) proportions, linking the volume and structure of credit investments in the economy with solving problems of increasing gross domestic product, developing money circulation, investment, and reducing inflation. At the micro level, it is envisaged to develop and comply with a strategy for the development of credit operations of each individual bank; search and selection of clients, study of their needs and creditworthiness; control in the process of using the loan by the borrower.

At all levels of credit management, analytical and organizational work is envisaged in the field of forming an information base; planning and regulation of development directions, supervision and control; development of measures to improve the lending process.

Participants in the process of managing a loan are not only credit institutions, but also the borrowers themselves - by organizing control over the intended use of the loan, the principles and conditions of lending. Credit management is therefore defined as the activity aimed at regulating credit relations in order to ensure the efficient functioning of both the lender and the borrower.

For a bank, credit management is aimed, on the one hand, at increasing profitability, and on the other hand, at providing liquidity. Lending operations are the main activity for banks due to their predominance in the structure of assets and ensuring profitability. At the same time, the task of banks is not only to make a profit, but also to ensure their reliability, which increases the requirements for loans as a sustainable source of bank income and bank liquidity. At the same time, the management of loans should also be aimed at ensuring the preservation of the properties of the loan as a form of repayable advances for the needs of clients in additional capital, that is, to ensure that borrowers return the received loan funds.

Loan portfolio management and loan portfolio quality management are not the same concepts. Loan portfolio management is a broader term; it can be considered in terms of solving more general problems of ensuring the reliability and stability of a commercial bank, in terms of meeting the needs of customers for additional funds. Loan portfolio quality management represents a more particular task related to the development by the bank of a set of actions related to the scope of its active and passive operations in general and the lending process in particular; aimed at meeting the needs of customers on the one hand, and increasing the profitability of the bank with acceptable levels of credit risk and liquidity, on the other hand.

The development of mechanisms for managing the quality of the loan portfolio provides for the determination of:

Criteria for assessing the debt that forms the loan portfolio;

The structure of the loan portfolio in the amount of the classification group of loans;

The composition of the indicators necessary to assess the loan debt;

The quality of loans, including in terms of risk for each group and the entire set of loans;

Reasons for changing the structure of the loan portfolio;

A sufficient amount of the reserve to cover the irrational allocation of loans;

A range of measures to improve the quality and structure of the loan portfolio, loan portfolio management.

Loan portfolio management is effective when a complete system of the lending process has been created and is functioning in a credit institution. As a rule, it consists of several blocks:

1. Fundamental. Provides for the development of a bank development strategy; determination of targets for activities; approval of credit and interest policies, liquidity management policies; credit conditions; current and prospective lending plans; corporate (credit) culture codec.

2. Legal. Availability of a set of federal laws and regulations of the Bank of Russia regulating the activities of credit institutions in the field of lending.

3. Objects of lending. At this level, the study and evaluation of a potential borrower is carried out; study of the loan application and the package of documents to it; assessment of the financial condition of the borrower; identification and selection of the most effective lending projects; evaluation of loan collateral; assessment of the borrower's creditworthiness and the level of credit risk on the loan.

4. Organizational and analytical. Includes the development of the structure of the management apparatus, standards and procedures for lending; determination of the hierarchy of rights and powers in making managerial decisions; development and introduction of new types of credit; organization of the process of issuing and repaying loans; loan portfolio monitoring, control over credit operations.

5. Credit infrastructure. Includes information, methodological, staffing; security system; the mechanism of interaction between departments in the process of lending.

The loan portfolio management system functions in the presence of all blocks and their interaction with each other.

The process of managing a loan portfolio, like any other activity, in its content consists of separate subsystems.

1. Planning - development of long-term and current credit plans, new credit products and services; making forecasts, cost estimates for the implementation of credit projects; development of organizational structure and personnel planning; calculation of expected financial results (all activities are carried out within the framework of the banking development strategy).

2. Analysis - assessment of the bank's activities in the field of lending; comparison of actually achieved results in lending with forecasted values.

3. Regulation - mechanisms for supervision by the state and the Bank of Russia over the implementation of credit operations by banks (through the development of legislative and regulatory acts); carrying out internal activities to finalize existing structures, procedures, regulations, policies, volumes of operations.

4. Control - a system of measures aimed at identifying deviations in the bank's compliance with the laws and regulations of the Bank of Russia, internal regulations and instructions, negative trends in the bank's activities, as well as eliminating such deviations.

The activities of any credit institution must begin with an assessment of the competitive position of the bank and the development development strategies. The strategy of a credit institution should be a set of programs for long-term and sustainable development in accordance with the goals of the bank. The choice of directions and volumes of the bank's activity should be carried out taking into account the possibilities of forming its resource base and maintaining equity capital at a level adequate to the scale of activity. At the same time, bank assets should allow the bank to generate a permanent income that allows covering bank expenses and generating profit.

The developed strategy is the basis of its credit policy. The strategic position of the bank in the lending process must be determined on the basis of calculating the indicators of strengths and weaknesses. The strengths of lending include: highly qualified staff; good knowledge of customers who have long-term relationships with the bank; good results from the development of credit operations; high reputation of the bank; the possibility of expanding lending through the branch network; lending services to successful clients and financial and industrial groups; participation of the bank as an authorized agent in the financing of government programs.

Weaknesses in the field of lending may consist of: losses from lending; limited resources for lending; weak diversification of the loan portfolio; inadequate information support for the bank's management and divisions responsible for credit risk management; concentration of credit risks on borrowers in industries in difficult condition.

It is the development of the bank's strengths in the field of lending that will allow it to implement its credit strategy and, ultimately, develop its competitive advantages.

Credit policy regulates the relationship between the bank and the client in order to meet mutual interests. In banking practice, credit policy is usually developed for the current year in the form of a separate regulation, which comes into force after approval by the bank's authorized management body (general meeting of shareholders/participants or the Board of Directors).

This document should contain: the basic principles of lending; distribution of powers in making credit decisions; system of limits; asset quality assessment procedures; credit monitoring; the procedure for informing management about the deterioration in the creditworthiness of borrowers; the procedure for settling accounts outstanding on time; requirements for the financial condition of borrowers and types of collateral accepted for loans, the procedure for assessing collateral; the procedure for accounting for loans issued; procedure for setting interest rates.

The credit policy can be supplemented by separate bank regulations on various aspects of lending, for example: on lending to certain categories of borrowers, taking into account the type and form of the loan, its security; related loans; on the procedure for the formation of reserves for possible losses on loans and others; dealing with problem loans. The bank's internal documents should disclose information about the lending process itself, namely: a list of documents required for obtaining a loan; the procedure for considering credit applications; credit limits; the procedure for granting and repaying loans, debt servicing; reflection in the account.

The quality of loan portfolio management largely depends on the correct definition organizational structure bank and the correct interaction of all departments, including those involved in the lending process, providing for:

Distribution of functions and responsibilities between the bank's management bodies (meeting of shareholders, Board of Directors, Management Board) and heads of structural divisions;

Availability of approved internal documents that define the goals and objectives of each division of the bank, as well as job descriptions for bank employees containing their rights, duties, subordination, accountability and level of responsibility;

Systems for detection (identification), measurement (assessment) and monitoring of banking risks; information support of the bank divisions responsible for the accepted risks;

Mechanisms for determining the degree of influence on the performance of the bank "stress" situations (stress testing).

To manage the credit process, a special apparatus is created in the bank, which consists of several internal units that have their own level of competence, their own functions and tasks.

The leading link in any organizational structure of a credit institution is the Board of Directors (Supervisory Board), on which the efficiency of the entire banking risk assessment system, including credit risk, largely depends. It is the Board of Directors that is responsible for the activities of the bank as a whole and the successful implementation of the developed development strategy, as well as for the consequences of implementing an unreasonable credit policy. With regard to the credit management system, the Board of Directors is obliged to carry out general management of the credit process by approving strategic directions for the development of the bank's credit policy; control over its implementation; control over the selection of qualified bank managers; for the presence in the bank of risk management and internal control systems that are adequate to the scale of activities and the amount of risks taken.

The role of the executive bodies of a credit institution, or its top managers (the Management Board, executive director, committees), is to create mechanisms and tools for implementing the bank's development strategy approved by the Board of Directors, including the credit one; monitoring and risk management systems; ensuring the formation of complete and accurate information for making managerial decisions.

At the same time, the actions of the Council and the Management Board of the bank, in order to eliminate the conflict of interest, must be clearly distinguished from each other. This is especially true for the functions of monitoring, control and risk assessment, which should be independent of the persons associated with their occurrence.

Determination of target lending markets, parameters and structure of the loan portfolio, setting the level of interest rates on lending operations, as well as making decisions on the issuance of large loans and their restructuring, as a rule, are assigned to the functions of the Bank's Credit Committee.

The main center of gravity of all lending work is concentrated in the bank's credit division (department or department / department - depending on the volume of the bank's business), which works on the formation of a loan portfolio, direct lending to customers, analysis of loan debt and the loan portfolio as a whole, control over security of loans, development of mechanisms for analysis and assessment of the quality of the loan portfolio. In addition, if there are branches and additional offices in the structure of the bank, they exercise control over their activities on lending issues. The tasks of this division are also the preparation of conclusions and proposals for the Credit Committee to consider issues on issuing loans.

Some of the functions of the credit process are within the scope of authority of the planning and economic division of the bank, for example, those related to the planning and regulation of the bank's resource base, including determining the volume and terms of lending; compliance with the maximum established values ​​for lending (limits, standards).

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Bank loan portfolio: general concept, types and classification. Analysis and assessment of the quality of the loan portfolio on the example of CJSC "RRB-Bank". Priority directions in the formation of an optimal loan portfolio and its management in modern conditions.

term paper, added 02/11/2015


The concept and stages of the formation of a loan portfolio, its structure and management process. Classification of credit risks and their impact on the formation of a portfolio of a commercial bank. Bank loan portfolio analysis. Credit risk management mechanism.

Both to build an effective system for managing the quality of the loan portfolio as a whole, and to manage a separate category of loans, problem loans, it is necessary to understand the origins of the problem in order to use the overdue debt settlement tool that is most appropriate in a particular situation. In addition, knowledge of these causes allows developing tools for dealing with bad debts. To do this, it is necessary to define what we mean by a loan portfolio, introduce a criterion for determining its quality, and classify the known causes of bad debts.

The loan portfolio is understood as the totality of loans provided by the bank, which reflects the socio-economic and monetary relations between customers and the bank regarding the provision of repayment of loan debt.

In the works of economists in the field of credit policy, the quality of a bank's loan portfolio is considered from the standpoint of its ability to provide the highest level of interest yield with a sufficient level of liquidity and an acceptable level of bank credit risk.

In this regard, there are three criteria for the quality of the loan portfolio:

• Profitability;
• Liquidity;
• Riskiness.

In addition to the above criteria for the quality of the loan portfolio, in accordance with the current Strategy for the Development of the Banking Sector of the Russian Federation for the period up to 2015 and the Concept for the Long-Term Socio-Economic Development of the Russian Federation for the period up to 2020, some authors began to single out another criterion - purposefulness, which is characterized by "orientation lending to industries and specific companies that are strategically important for the country or region” .

To quantify this indicator, Degtyarenko Yu.S., Glotova I.I. propose, for example, to calculate the share of loans issued to enterprises of industries from the list of strategically important enterprises taken into account by the Bank of Russia when granting loans secured by non-marketable obligations in the order of refinancing.

Yaroshchuk A.B., Grebenik T.V. in their work devoted to the creation of a model for an integral assessment of the quality of a loan portfolio, they distinguish the following indicators for assessing the quality of a loan portfolio, shown in table 1.

Table 1.

Loan portfolio quality indicators

If we consider the assessment of the quality of the loan portfolio in terms of overdue debt management, but it is necessary, first of all, to determine the level of credit risk, the risk of loan default. It is noted that the level of quality of the loan portfolio is inversely related to the level of credit risk. The opposite can be said about the level of profitability and liquidity of a loan: the more reliable its security, and the more income it brings, the higher the quality of the loan portfolio.

The most common indicator for assessing the quality of a loan portfolio in terms of riskiness is a coefficient that reflects the share of overdue debt in the loan portfolio of a commercial bank, or in the bank's assets as a whole. The lower the value of the coefficient, the higher the quality of the portfolio, which means that the bank becomes more resistant to the negative impacts of macroeconomic and microeconomic factors.

However, at the moment, most large banks have a high value of this coefficient, which is presented in table 3.

Table 3

The share of overdue debt on consumer loans in the loan portfolio of banks

	Portfolio of consumer loans (without overdue debt)			Share of delay, %
	As of 01.01.17, million rubles		Growth per year, % *
SBERBANK OF RUSSIA
ROSSELHOZBANK
GAZPROMBANK
ALFA BANK
RAIFFEISENBANK
FC OTKRITIE
UNICREDIT BANK
TINKOFF BANK
CREDIT BANK OF MOSCOW
EASTERN EXPRESS

High-quality work with overdue debts involves at the initial stage the establishment of the causes of its occurrence.

Determining the reasons why the borrower is not able to repay the debt makes it possible to objectively assess both the specific current situation and take the necessary measures to facilitate the repayment of the debt, so to prevent, knowing the reasons, the formation of overdue debt in the future.

Yusupova O.A. in his article devoted to the study of the causes of overdue debts, he cites the results of a survey conducted by the Sequoia Credit Consolidation collection agency. During this survey, debtors were asked to answer the question: “What is the reason for non-payment of loans?”, The most popular answer was: “Loss of work” (21% of answers). In second place was disagreement with the amount of debt (18% of responses). 17.1% of respondents referred to the deterioration of the financial situation, while 10.4% of respondents answered that they did not know about the delay, which indicates an insufficient level of financial literacy of citizens, requiring a more responsible attitude to their credit obligations.

It is interesting to consider the causes of debt from the point of view of psychology. For example, if you try to identify the causes of credit card debt, then J. Bachman suggests dividing all debtors into the following groups:

1. Sloppy credit card holders who live for today and do not think about the future;
2. Naive holders who do not fully understand the consequences of indebtedness. Here we can note the peculiarity of Russian borrowers who do not consider loan default a crime;
3. Borrowers affected by unforeseen circumstances for whom an extraordinary life event led to a financial collapse;
4. Unprincipled, immoral debtors who borrow, but know in advance that they will not repay the debt;
5. Knowingly financially incompetent holders who were issued credit cards by mistake.

Thus, all the proposed causes of overdue debt can be divided into two categories: external, independent of the bank, and internal, due to errors and shortcomings in its activities.

The group of internal reasons includes the low level of reliability of the internal control system. In the works of economists, one can often come across the conclusion that the reason for overdue debts in Russian banks is the lack of an effective system for protecting the bank from the risk of non-repayment of loans issued. That is, Russian banks do not use effective methods for assessing the creditworthiness of customers, in addition, banks do not have an effective collateral mechanism for ensuring the repayment of loans.

The group of external causes includes the instability of the financial and economic situation in the country. In the conditions of stable, sustainable development, potential borrowers can make forecasts of their own cash flows, which will be realized in the future. This allows the borrower to assess its creditworthiness realistically by relating the obligations received under the loan agreement to its future opportunities. Otherwise, in the absence of such stability, the borrower's assessment of his ability to repay the loan becomes incorrect.

The second reason, related to the group of external reasons, is the occurrence of financial problems with the borrower. For organizations, these problems are expressed in the absence of funds to repay a loan due to temporary interruptions in production, a decrease in consumer interest in the product offered, etc., and for individuals, employees, in the loss of a job or salary delay. This reason is closely related to the first one: most of the problems of legal entities and individuals, which make it impossible to repay loans received, appear precisely during a period of financial and economic instability. However, it should be noted that the problems caused by bad faith of borrowers, the use of inefficient methods of work by organizations, as well as an irresponsible attitude to work, are in no way related to problems in the economic environment, but can also cause delays in payments on existing loans.

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