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RBC: Central Bank allowed the second Bank to assess borrowers ' risks monitoring of the banking press 29.12.2018 at 06:40

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The Bank of Russia approved the Raiffeisenbank use of own methodology for credit risk management implementation approach based on internal ratings (ISD), told RBC in the Raiffeisenbank. The ISD approach is considered "advanced" compared to the used by most of the banks "simplified and standardized" approach, it allows you to save capital and to increase lending. Now in Russia TACs are allowed to use only the Sberbank (November 2017).

the Permission of the Bank would enter into force on 1 February 2019. The request for transition to the PVR-approach was submitted in October 2015, in January 2017 Raiffeisenbank began to pass the certification that took two years.

what is the "advanced approach" or PVR

the mechanism of the "advanced approach" (provided by the standard "Basel II") is that the Bank can assess the credit risk on the basis of the retrospectively accumulated over previous years in the Bank of statistics on service of loans, to build on the basis of this analysis model and to accrue reserves for possible loan losses based on the risks calculated by this model. "Advanced approach" allows you to more accurately assess the risks of a particular Bank and to economize on reserves, freeing up capital.

Now the Russian banks use a different approach — "simplified standardized" when the risks and the necessary values of the reserves are determined by regulations of the Central Bank.

the First of the Russian banks on the "advanced approach" in November of 2017 moved Sberbank, which has applied for the transition in 2015.

Raiffeisenbank will use an "advanced approach" to all significant segments of its loan portfolio. The first will be corporate clients, and then, by 2021, the "advanced approach" will be transferred to individuals, and by 2022 — the enterprises of small and medium business, said the representative of the Bank. To separate nonessential segments of Raiffeisenbank will continue to apply the standardized approach, for example, claims to sovereign borrowers, such as Central banks, but their number is small.

the Application of the ISD approach will allow Raiffeisenbank to reduce the use of capital due to the higher quality of the loan portfolio. In the first year the Bank will transfer to the "advanced approach" more than 50% of the loan portfolio to 2022-mu — more than 95%. The remaining 5% are the credit requirements to individual segments is insignificant.

the rating of Raiffeisenbank, the amount of savings capital from moving to the "advanced approach" in 2019 will amount to 9.5 billion rubles, equivalent to about 80 b.p. the indicator of the standard of the capital adequacy ratio N1.0 (it should be at least 8%). According to the Central Bank, the Bank's capital on December 1, is 151,1 billion rubles., N1.0 to 12.7%. In the case of PVR-approach N1.0 if we proceed from the Bank could grow to 13.5%.


the decision of the regulator on the accreditation PVR-approach the first of the three large subsidiaries of foreign banks in Russia is not a market surprise, notes associate Director on Bank ratings "Expert RA" Ivan Uklein. Risk management of these banks reflects global best practices and meets regulatory requirements of the countries where these credit institutions are present.

if the effect of the use of internal ratings will amount to 9.5 billion rubles, capital adequacy ratio of the Bank may rise by 0.6–0.8 p. p. Change is not very significant in the scope of business of the Bank; most likely, given the current market conditions, it will have no impact on the credit policy of the Bank, but could potentially allow you to increase the loan portfolio at 7-9% (about 45-60 billion rubles.), estimated Uklein.

To the Bank this amount of savings is not very significant — the high profitability of Raiffeisenbank and good quality assets allow us to support almost any comfortable level of capital, Fitch agrees analyst Ruslan Bulatov. However, even the transition to "advanced approach" does not allow Raiffeisenbank to reduce the amount of credit risk as they would be allowed to do the internal technique. This reduction is still limited to 10% of the standardized approach in the first year, then not more than 20%, said Ruslan Bulatov. On the other hand, PVR-approach gives the Bank more flexibility, more space, released as part of the capital by reducing the risk-weighting. "A more comfortable capital ratios may encourage the Bank to allocate part of the capital in the form of dividends, which he may not have done in the standardized approach" — suggests the expert.

the Transition to "advanced approach" may be an ode to a smoothing measure in preparation for the transition of the banking sector on Basel III and IFRS 9 (banks moved to a new form of reporting from January 2018), which, on the contrary, "eats" the capital, says principal analyst "BCS Premier" Anton Pokatovich. Savings of 0.8 percentage points of capital adequacy ratio, in fact, does not look big, but to a certain extent can afford to ease the pressure on capital in future periods, he said.

Who's next?

the Number of banks that the Central Bank potentially allows the use of "advanced approach" (after validation by the regulator), is small. Banks with assets of at least 500 billion by the time of application. According to the ranking of banks "Interfax-100", in the first three quarters of 2018, there were only 18. A year ago, applying for PVR was filed by UniCredit Bank.

RBC sent requests to the remaining 15 banks on their plans to use the PVR-approach.

Alfa-Bank in December 2018 has applied to the securities for the transition to the assessment of credit risk based on internal ratings, RBC reported in its press-service. The transition to the assessment of credit risk based on internal ratings would give some benefit on the capital requirements, given the growing share of mortgage lending, said the Bank.

the Question of obtaining the permission of the controller to use the PVR for the calculation of capital adequacy is analyzed by ROSBANK, currently the decision to move is not accepted, said the head of the centre for implementation of the recommendations of the Basel risk management and mathematical modeling of ROSBANK Elizaveta Rozanova. Assessment and deadlines the feasibility of switching to PVR "FC Opening" plans no earlier than 2020, the press service of the Bank.

the Other banks did not respond to a request RBC.

Catherine LTL