The passive operations of a commercial bank include operations related to the formation of resources or sources of financing, and generated from their own and borrowed funds.

It is advisable to begin the analysis of the structure of the liability by identifying the size of the bank's own funds, as well as their share in the formation of the total amount of the balance sheet currency (Table 20).

“I.D.E.A. Bank "for the period 2012-2015. showed a positive trend: as of 01.01.2015, the bank's resources increased by 178.23%, this was largely due to the growth of liabilities. The largest share in the structure of the balance sheet currency is stably occupied by liabilities, in 2015 their share was 88%. On the one hand, the more equivalent the ratio of liabilities and equity funds, the higher the level of the bank's reliability, and on the other hand, the greater the share of liabilities in the total amount of the bank's resources, the higher (other things being equal) the return on capital will be.

Analyzing the report on the level of capital adequacy, the amount of reserves for covering doubtful loans and other assets (form 0409808), we will highlight the main elements of capital in the structure of the Bank's own funds (table 21).

The Bank's equity capital in dynamics has a slight increase, which, nevertheless, indicates an increase in the Bank's stability. The largest share in the structure of the Bank's own funds is occupied by the funds of shareholders. The reserve fund and revaluation of fixed assets have a small share. Thus, the structure of the sources of the Bank's own funds is little diversified, since it mainly consists of shareholders' funds. Despite this, such proportions are considered normal in banking practice.

To assess the quality of equity capital, we will conduct a ratio analysis of the Bank's capital (Table 22).

Table 20 - Analysis of resources “I.D.E.A. Bank"

Table 21 - Analysis of the sources of own funds “I.D.E.A. Bank"

Table 22 - Ratio analysis of the quality of equity capital "I.D.E.A. Bank"

During the analyzed period, the bank did not always comply with the requirements for mandatory ratios in accordance with the requirements of instruction 139-I "On the mandatory ratios of the bank."

Capital adequacy indicators consist of the equity capital adequacy indicator and the total capital adequacy indicator.

Total capital adequacy ratio (PC 2) after growth in 2013 tended to decrease in 2014 and 2015, which indicates the declining financial stability of the bank. During the entire period under review, the ratio decreased and by 01.01.2015 decreased to 12.072%, which suggests the threat that the bank's own funds can cover only 12% of its obligations to depositors and creditors. This situation on the negative side characterizes the level of the bank's own funds (capital) adequacy.

The capital quality assessment indicator (PC3) is defined as the percentage of additional capital to fixed capital, it decreased in 2013 due to an increase in additional capital.

According to these indicators, a point and weight score was determined, on the basis of which a generalizing result was calculated for a group of indicators of capital assessment (RGC). According to instruction 139-I, the financial stability of the bank in terms of the group of indicators for assessing capital is considered satisfactory if the value of the RGK is less than or equal to 2.3 points. Thus, the bank has a regulatory significance and it can be considered that the financial stability of the bank is satisfactory.

The equity capital utilization ratio shows what part of the equity capital with which the bank started its activities in the reporting period was used in the course of the business entity's activities. The highest indicator was at the beginning of 2013, based on which, we can conclude that the largest part of the IC was used in working operations in 2012. In the following years, the use of borrowed funds increased.

The indicator of attracting deposits from the population is also the highest at the beginning of 2013, which indicates that in 2012, the largest share of the IC (85%) was occupied by deposits of the population.

The return on equity in the studied periods has been steadily increasing.

Analysis of the factors responsible for the decline in the return on equity shows that in 2014 it was influenced by a decrease in the margin of banking products.

Most of the methods used in practice for analyzing the financial condition of a bank are based on CAMEL - a method used in international practice.

Let's consider the essence of this method used for rating banks. The name of the method comes from the initial letters of the names of five groups of coefficients:

"C" (capital adequacy) - capital adequacy indicators that determine the size of the bank's equity capital (which serves as a guarantee of the bank's reliability for depositors) and the correspondence of the actual amount of capital to the required one;

“A” (asset quality) - indicators of asset quality, which determine the degree of “recovery” of assets and off-balance sheet items, as well as the financial impact of problem loans;

"M" (management) - indicators for assessing the quality of management (management) of the bank's work, policy, compliance with laws and regulations;

"E" (earnings) - indicators of profitability (profitability) from the standpoint of its sufficiency for the future growth of the bank;

"L" (liquidity) - liquidity indicators that assess the bank's ability to timely meet the requirements for payments on obligations and the willingness to meet the need for a loan without losses.

In the course of the study, the coefficients for assessing the capital adequacy offered by the world banking practice in the analyzed Bank were calculated and analyzed.

Capital adequacy ratio K1 determines the level of equity in the structure of all liabilities. Its recommended values \u200b\u200bare in the range of 0.15 - 0.2. At the same time, it is considered normal if the attracted funds make up 80 - 85% of the bank's balance sheet currency.

Own funds

K1 \u003d _____________________,

Total liabilities (1)

By 1 2011 \u003d 269563/3854863 \u003d 0.069

By 1 2012 \u003d 348589/4391378 \u003d 0.079

By 1 2013 \u003d 621576/7042158 \u003d 0.088

By 1 2014 \u003d 738618/9803132 \u003d 0.075

Thus, we can conclude that the share of the Bank's own funds in 2011 is 6.9%, in 2012 - 7.9%, in 2013 - 8.8%, in 2014 - 7.5% , which is much lower than the recommended values.

The capital adequacy ratio K2 indicates the maximum amount of losses of one kind or another, at which the remaining capital is sufficient to ensure the reliability of the funds of depositors and other creditors of the bank. It is assumed that the bank's capital should cover its liabilities by 25-30%.

Own funds

K2 \u003d ________________________, (2)

Involved funds

By 2 2011 \u003d 269563/3585300 \u003d 0.075

By 2 2012 \u003d 348589/4042789 \u003d 0.086

By 2 2013 \u003d 621576/6420582 \u003d 0.097

By 2 2014 \u003d 738618/9064514 \u003d 0.081

The Bank's capital covers liabilities by 8-9%.

Capital adequacy ratio K3 is the ratio of the bank's own funds to those assets that contain the possibility of losses (income-generating assets). The recommended values \u200b\u200bof the K3 coefficients are in the range 0.25 - 0.3, i.e. is considered normal if the bank's risks of allocating resources are covered by 25 - 30% of its own funds... The recommended values \u200b\u200bof the coefficients K2 and K3 are the same, since it is assumed that the risk of attracting and allocating resources is adequate.

Own funds

K3 \u003d __________________________, (3)

Income-generating assets

The Bank's risks related to the allocation of resources are covered by only 10% of its own funds.

Capital adequacy ratio K4 characterizes the dependence of the bank on its founders. The amount of funds invested in the development of the bank must at least double the contributions of the founders.

The minimum value is 0.15.

The maximum value is 0.5.

Authorized capital

K4 \u003d ____________________, (4)

Own funds

By 4 2011 \u003d 110870/269563 \u003d 0.412

By 4 2012 \u003d 110870/348589 \u003d 0.318

By 4 2013 \u003d 332610/621576 \u003d 0.535

By 4 2014 \u003d 332610/738618 \u003d 0.450

For clarity, we will combine all the calculated capital adequacy ratios in table 23.

Table 23 - Capital Adequacy Ratios

Thus, analyzing Table 23, we can conclude that all capital adequacy ratios have low values \u200b\u200band are much lower than the recommended values.

One of the most important conditions for the successful management of a financial institution is the assessment and analysis of its financial condition, the size and quality of the bank's capital, since the results of activities in any area of \u200b\u200bentrepreneurial activity depend on the availability and efficiency of use of financial resources, and the level of its capital adequacy forms the basis for the investment attractiveness of any bank ...

As part of a comprehensive systematic analysis of the financial and economic results of the bank's activities, an analysis of the capital adequacy of a credit institution is carried out, aimed at assessing the adequacy of the size of the bank's own funds (capital) and their growth to the pace of business development, identifying the degree of protection against risks and searching for reserves to increase the efficiency of using shareholders' funds.

The bank's own funds (capital) include its own, and in some cases also borrowed funds that meet the following criteria at the same time: stability, non-consumability in the process of activity; independence in relation to the rights of creditors; lack of fixed income charges. The bank's own funds (capital) is a set of specially created funds and reserves intended to ensure its economic stability, absorb possible losses and are in use by the bank throughout the entire period of its operation. The bank's capital performs the most important functions: providing resources for starting a new credit institution, creating a base for further growth and expansion of activities and its regulation, protecting the bank from risk, maintaining confidence in the bank and its management from potential clients and counterparties; providing access to markets for financial resources. Own funds (capital) occupy a relatively low share in the total resources of a commercial bank, which is explained by their specific role in the system of economic relations - the role of financial intermediaries. As a result, banks have a much higher indicator of financial leverage compared to enterprises in other sectors of the economy, which makes it possible to receive a large net profit per unit of equity (capital) with a significantly higher level of accepted risk. Large banks are able to manipulate financial leverage, while for small and medium-sized banks this opportunity is limited: the asset portfolio is less diversified and more risky, access

to the markets of loan capital is difficult or absent altogether, which requires higher indicators of equity capital.

The main indicator for assessing bank capital is generally recognized as the capital adequacy ratio, but approaches to its calculation and standardization are different. Capital adequacy is the ability of a bank to continue to provide the same volume and the same quality of the traditional set of banking services, regardless of possible losses. The following factors influence the degree of capital adequacy: volume, structure, liquidity and quality of assets; risk management policy; the number and quality of customers, their industry affiliation; dynamics, volume, structure and quality of the resource base; professionalism of management; legal regulation of the activities of credit institutions; local conditions of the bank's functioning. The general criterion for determining capital adequacy is to maintain its value at a level that ensures, on the one hand, the maximum profit, and on the other hand, the minimum risk of loss of liquidity and insolvency. Thus, capital adequacy reflects the overall assessment of the bank's reliability.

Hence follows the basic principle of capital adequacy prevailing in modern theory banking: the amount of the bank's own funds (capital) should correspond to the size of assets, taking into account the degree of risk. At the same time, excessive capitalization of a bank negatively affects the results of its activities, reducing the efficiency of using its own funds: mobilizing cash resources by issuing shares is an expensive method of financing compared to raising borrowed funds.

Determining the optimal amount of bank capital, as well as deciding who (objective market mechanisms or the state) should set this value, as well as the way of assessing capital, to this day remain one of the most controversial points in the theory of banking. Historically, there have been three main ways of measuring bank capital: by book value or "generally accepted accounting principles", by "regulated accounting principles" and by market value.

From the point of view of the balance sheet valuation, the bank's capital is the difference between the bank's total assets and liabilities (liabilities). Capital valuation in accordance with regulated accounting principles involves the calculation of its value in accordance with the requirements established by the supervisory authorities that regulate banking activities. The methodology for calculating equity capital established by the Central Bank of the Russian Federation is presented in Appendix 1. Finally, the market value of capital is equal to the product of the market value of one share by the number of shares in circulation and reflects the real value of the bank's capital as a buffer capable of absorbing any, not just credit, banking risks.

The search for criteria for determining the sufficient amount of the bank's own funds has a long history. So, until the 40s. XX century. in the United States, the ratio of capital to deposits at a level of at least 10% was considered sufficient; in the 1940s. a ratio was used to reflect the ratio of capital to assets, with the required minimum level of 8%, since 1981, the ratio of equity to assets of at least 6% was considered sufficient, and for financially stable banks at least 5%, since 1985 the primary capital (the same composition as the share capital) had to be at least 5.5% of the total assets, and the amount of primary and secondary capital (preferred shares that can be presented for redemption, convertible debt obligations and subordinated bonds) - at least 6%.

Capital adequacy indicators, based on the methodology for their calculation, can be combined into two main groups: the ratio of capital to total deposits (contributions); the ratio of capital to assets (of various groupings and valuation). These and other indicators are presented in table. 2.7.

At the same time, as E. Reed, R. Cotter, E. Gill correctly note, “it cannot be assumed that a bank has sufficient capital just because the latter corresponds to some statistical average. ... ... The analysis of capital adequacy indicators is not much different from the analysis of the creditworthiness of borrowers based on their financial statements. Not only these indicators should be analyzed, but also banking operations, as well as the measure of risk that characterizes the structure of its loans and investments. "

Table 2.7 Main indicators for assessing the adequacy of the bank's own funds (capital)

With the growth in the volume of international transactions, the problem of capital adequacy as a condition for reducing the risk of interbank relations has become common for the world banking community. The first attempts to solve it were made by the Committee on Banking Supervision over the Activities of International Banks in the Agreement on the International Unification of Capital Calculation and Capital Standards of 1988, called the Basel Accord. The concept of capital adequacy assessment was based on the following principles: division of capital into two levels - capital of the first (main) and capital of the second (additional) level; accounting for asset quality by weighing assets and off-balance sheet risk transactions, and, consequently, capital assessment taking into account the risk accepted by the bank; emphasis on the quality of the loan portfolio and a balanced credit policy; setting restrictions on the ratio between the capital of the first and second level; determination of the regulatory requirement for the capital adequacy ratio (adequacy ratio or Cook's ratio) at the level of 8% for the total amount of equity capital and 4% for the first tier capital. Tier 1 capital includes paid-in share capital, reserves created by capitalizing part of retained earnings, share premium, retained earnings of previous years left at the disposal of the bank, ordinary shares of the bank's consolidated subsidiaries paid by third parties - participants. Tier II capital consists of the following elements: reserves for the revaluation of assets as a result of fluctuations in exchange rates and assets on the balance sheet in the form of securities; reserves to cover losses (within 1.25% of the amount of risk-weighted assets); provisions for impairment of assets (up to 1.5% of the amount of risk-weighted assets); perpetual preference shares not subject to redemption and subject to redemption based on the issuer's option; subordinated bonds. Along with the obvious advantages, the proposed method had a number of significant drawbacks that led to its further revision and improvement: lack of the necessary clarity in determining the elements of capital by levels; excessively aggregated differentiation of assets by risk groups; understatement of requirements for reserves for certain types of operations; focus on capital assessment only taking into account the credit risk while ignoring all other inherent risks of the bank, in particular market and interest rates; underestimation of the degree of credit risk reduction in the presence of asset collateral. In order to clarify the calculation of the bank's capital adequacy, taking into account interest and market risks, amendments to the Basel Agreement were adopted in 1996. Currently, work on the document continues, and it is planned that the new Basel Agreement, which provides for three levels of comprehensive regulation of capital adequacy (setting minimum requirements for the size of equity capital, increasing the role of prudential supervision, strengthening the role of market discipline through detailed and regular information to market participants and supervisory authorities

on the structure of risk and capital) and accounting, in addition to credit and market risks, also of operational risk, will come into effect in 2005 and will allow creating equal competitive conditions for credit institutions in international markets, ensuring the most complete correspondence of the size of banks' equity capital to the entire set of risks, accompanying their activities. It is proposed to calculate the capital adequacy ratio according to the following formula:

where K is the bank's own funds (capital), thousand rubles. ;

TFR is the total amount of credit risk, thousand rubles. ;

COP - the total amount of operational risk, thousand rubles. ;

СРР - the aggregate value of the market risk, thousand rubles.

The methodology for calculating the capital adequacy ratio, adopted today in Russia, basically corresponds to the procedure defined by the current Basel Agreement. However, the capital adequacy ratio is set more stringently: for banks with capital of 5 million euros or more - 10%; for banks with capital less than 5 million euros - 11%. It is also important to note that, starting from the reporting as of April 1, 2000, Russian banks calculate the capital adequacy ratio taking into account the accepted market risks (interest, stock, currency) according to the algorithm below.

where Н1 is the capital adequacy ratio,%;

SK - the bank's own funds (capital), calculated in accordance with the Regulation of the Central Bank of the Russian Federation of November 26, 2001 No. 159-P, thousand rubles. ;

A - the sum of the bank's assets, weighted by the risk, thousand rubles. ;

K. - the amount of the created reserve for the depreciation of securities, thousand rubles. ;

K - the amount of the created reserve for possible losses on loans (part), thousand rubles. ;

K is the amount of the created provision for other assets and for settlements with debtors, thousand rubles. ;

K is the amount of credit risk for instruments reflected in off-balance sheet accounts, thousand rubles. ;

К, с - amount of credit risk for forward transactions, thousand rubles. ;

K 5 - the size of market risk, including interest rate, stock and currency risks, thousand rubles.

Objectively, there are two main sources of increasing the bank's equity capital: internal (retained earnings) and external (issue of shares, debt obligations of a certain type). The choice of one or another source of increasing equity capital and their ratio are determined by a complex set of factors: the relative costs associated with each source of capital funds; influence on property and control over the activities of the bank; the risk associated with each of the sources of capital and the bank's overall exposure to risk; the level of development of financial markets where it is possible to attract new capital funds; Central Bank regulation policy. For most medium and small banks, capital increase from retained earnings is preferable. However, the possibility of capitalizing profits is directly and directly related to the bank's dividend policy: the more profits are paid as dividends, the smaller part of it will be capitalized. Low capitalization rates increase the risk of bankruptcy and restrain the development of active operations; at the same time, a too low share of dividends or an unstable dividend policy can lead to a decrease in the market value of the bank's shares, which in turn indicates a low market assessment of the effectiveness of the bank's performance. One of the key factors that determine the proportions of the distribution of profits to the capitalized part and the part directed to the payment of dividends is the requirement to maintain the relative security and efficiency of capital use at a constant (not lower than the achieved) level. The most important indicator that allows us to assess the impact of dividend policy on the adequacy of bank capital is considered to be the accumulation ratio (K n), the value of which depends on four factors: dividend policy, characterized by the share of net profit remaining after dividend payment in the bank's net profit (GR / YY ); the effectiveness of the bank's tax policy and the use of net income before income tax; gauze arrived; return on assets and the structure of sources of bank funds, characterized by the capital multiplier:

where P ° is the net profit remaining after the payment of dividends, thousand rubles. ;

ГГ - profit for the reporting period after taxation and other payments from profit (net profit of the bank), thousand rubles. ;

P - net income before income tax, thousand rubles. ;

D is the bank's income for the reporting period, thousand rubles. ;

A - the sum of the bank's assets, thousand rubles.

The most important value of this indicator lies in the fact that it characterizes the limitation on the rate of growth of the bank's assets while maintaining this level of capital adequacy (the invariability of the ratio of equity capital to assets). The accumulation ratio makes it possible to estimate how much the bank's equity capital should be increased with an increase in the balance sheet total by 1%, provided that an increase in equity capital is possible only from internal sources. Thus, the interconnection and inconsistency of categories profitand bank capital adequacy,reflecting the antagonism of the current and future interests of the bank's shareholders and its management, is manifested through the ratio of profit aimed at paying dividends and its capitalized part. In world practice, it is generally accepted that a rational dividend policy is one that maximizes the market value of shares and the market valuation of the bank's equity (capital).

The proposed five-factor multiplicative model of the accumulation coefficient can be represented as the dependence of the generalizing indicator on factors (x, y, z, q, l): K n \u003d x * y * z * q * l. It is recommended to calculate the influence of factors on the change in the accumulation coefficient using the method of chain substitutions. Then:

where K n, K n (x), K n (y), K n (z),To n (q),K n (l) - the influence of factors (general, factors x, y, z, q, l, respectively) on the overall change in the accumulation rate; factors with index 1 refer to the reporting year, factors with index 0 - to the base (previous) year.

In resolving the issue of the adequacy of their own funds, there is a contradiction between the desire of the banks themselves to manage with the minimum own capital, on the one hand, and the requirements of the regulatory authorities to ensure the maximum amount of the bank's equity capital for its reliability. This is due to the fact that excessive capitalization of the bank (too large amount of its own funds) negatively affects the results of the bank's activity (reduces the profitability of its equity capital).

At the same time, the underestimated share of capital in the bank's resources is criticized, since there is a disproportionate responsibility of the bank in relation to depositors (or the state - under the deposit insurance system). A bank's liability is limited by the size of its capital, and depositors and other creditors of the bank risk much larger amounts of funds entrusted to the bank.

Maintaining a sufficient level of banks' aggregate capital is one of the conditions for stability banking system... The capital must be sufficient to carry out its functions, the confidence of depositors and control bodies.

For a long time, the main indicator of capital adequacy in international practice was ratio of capital to deposits... It was widely used in the US and was at 10%. It was believed that the amount of deposits in the bank by 10% (at least) should be covered by capital, and the bank is able to pay with its own funds a tenth of the deposits at the beginning of their massive outflow.

In the 40s. this indicator was replaced by another - capital to total assets ratio, approximately equal to 8%.

The third stage in calculating this indicator is associated with the adoption Basel Methodologydetermining the bank's capital adequacy. In July 1988, under the auspices of the Basel Committee on Banking Regulation and Supervision, the "Agreement on the International Unification of Capital Calculation and Capital Standards" was concluded, which introduced into practice the adequacy ratio, usually called the "Cook ratio". It came into force in 1993 and is now used as a benchmark by central banks in many countries. This coefficient establishes the minimum ratio between the bank's capital and its balance sheet and off-balance sheet assets, weighted by the degree of risk in accordance with the standards, which may differ from country to country, but must follow a certain logic.

The main provisions of the Basel Agreement methodology are as follows:

1) all assets of the bank are weighted according to the degree of risk;

2) the total capital of the bank is divided into 2 levels:

main (core) - K1,

additional - K2;

3) in calculating the total capital when determining its adequacy, the second tier capital is included in the amount not exceeding the first tier capital: К2 £ К1;

4) the minimum ratios of capital and risk-weighted assets:

K1 / Ar \u003d 4%; (K1 + K2) / Ar \u003d 8%.

Main capital includes ordinary shares, retained earnings, non-cumulative preference shares, non-controlling interests in consolidated subsidiaries minus intangible fixed capital.

Additional capitalincludes provisions for loan losses, perpetual, long-term and convertible preferred shares plus medium-term preferred shares and urgent secondary debt.

The Basel Agreement at the first stage standardized the assessment of credit and country risk, and then - interest rate and market risks. When weighing transactions according to the degree of risk, the greatest difficulties are caused by the assessment of transactions recorded off the balance sheet. Each country has a certain degree of freedom in interpreting risks and applying the recommendations of the Basel Committee, at the same time, these recommendations insist on the conversion of all off-balance sheet liabilities into equivalent credit risk using a special conversion ratio. The results are then weighted in the same way as in the case of balance sheet transactions. This does not allow many banks to use the practice of withdrawing risky types of assets off the balance sheet by introducing new financial instruments. Thus, a uniform assessment of the aggregate risk is carried out for all assets of the bank.

Thus, the Unified Agreement on the Capital Standard, developed by 1988, with subsequent amendments in 1998 (Basel I), provided for the assessment of capital based on the comparison of the amount of capital and risk-weighted assets.

Modern trends in banking regulation (increased flexibility, accuracy, deformalization of regulation) made it necessary to change the standards for assessing capital, which was done in 2000, when the Basel Committee approved a new system for assessing adequacy (Basel II, III). This system is designed to comply with the new banking standards. It includes various approaches to assessing capital (standardized, external, internal ratings - IRB) and draws the attention of regulators to the need to more fully and accurately take into account the level of risks of credit institutions.

IN russian practice when developing regulatory documents for assessing capital adequacy, the Bank of Russia took into account the recommendations of the Basel Committee, taking into account subsequent amendments. According to the Regulation of the Central Bank of the Russian Federation "On the methodology for calculating equity (capital) of credit institutions", the capital of banks is divided into 2 levels: basic and additional.

The composition of the sources of own funds taken into account the mainequity capital includes:

· Authorized capital of a credit institution;

· Share premium;

· Part of the bank's funds, formed from the profits of previous years and the current year, as well as retained earnings of the current reporting year, confirmed by the conclusion of the audit firm;

· Part of the profit of the current year, profit of the previous years.

Reduce the amount of sources of fixed capital intangible assets; own shares purchased by the bank from shareholders; uncovered losses of previous years and losses of the current reporting year; investments in shares (participation interests), underexpanded reserve for repo transactions with securities; part of the authorized capital formed from improper sources.

Additional equity capitalconsists of the following elements:

· An increase in the value of the bank's property due to revaluation, taking into account inflation;

Provisions for possible loan losses to the extent that they can be considered as provisions general;

· Bank funds and profits of the past and reporting years prior to their confirmation by an audit firm;

· subordinated loans, subject to their compliance with the criteria established by the Central Bank of the Russian Federation (in rubles; for a period of at least 5 years; interest not higher than the refinancing rate; not claimed by the lender until the end of the contract term; payment of the principal amount of the debt at the end of the term; the terms of interest payment are not revised; upon liquidation of the borrowing bank, the creditor's claims cannot be satisfied earlier than the claims of other creditors);

· A part of the authorized capital of a joint-stock bank formed due to capitalization of the increase in the value of property during its revaluation;

· Preferred shares, except for those classified as equity;

The sum of sources of additional capital must not exceed the amount of the share capital.

The amount of the main and additional capital is reduced by the amount of understated reserves, the amount of overdue receivables over 30 days, by the amount of issued subordinated loans.

Capital adequacy ratiothe bank is determined in accordance with the Instruction of the Central Bank of the Russian Federation No. 110-I in the following order:

1) the absolute value of the capital is determined;

2) the amount of credit risk is calculated for the assets reflected in the balance sheet accounts (assets weighted by the degree of risk);

3) the amount of credit risk is determined for contingent credit liabilities;

4) the amount of credit risk is calculated for forward transactions;

5) the amount of market risk is calculated.

The capital adequacy ratio is calculated using the following formula:

H 1 \u003d K / (SUM Kp i (A i - Pk i) + code 8930 + code 8957 +

KRV + KRS - code 8992 + RR) * 100%,

K - the bank's capital (the sum of the main and additional capital);

Kp i - risk coefficient of the i-th asset;

Pк i - the size of the reserve for possible losses on loans;

code 8930 - the bank's claims to the counterparty on the reverse (urgent) part of transactions that arose as a result of the acquisition of financial assets with the simultaneous assumption of obligations for their reverse disposal (part of account 937 "A-reserve");

code 8957 - the sum of risk-weighted claims to persons related to the bank, multiplied by a coefficient of 1.3;

КРВ - the amount of credit risk for instruments reflected in off-balance sheet accounts;

CRC is the amount of credit risk for derivatives transactions;

code 8992 - reserve for forward transactions created in accordance with Bank of Russia Regulation No. 232-P;

RR is the value of market risks.

The minimum permissible value of the N1 ratio is set depending on the size of the bank's capital at the level of 11% (for banks with capital up to 180 million rubles) and 10% (over 180 million rubles).

The bank's capital, being one of the most important characteristics of its financial condition, is used as a basis for calculating other indicators of financial condition, in particular , economic standards for the activities of credit institutions, such as:

- the maximum amount of risk per borrower or a group of related borrowers(N6), which is determined by the ratio of the aggregate amount of the bank's claims to the borrower or to a group of related borrowers on loans, discounted bills, deposits in precious metals, other debt obligations, as well as off-balance sheet claims in cash (Крз) to the bank's capital (К) in percentage :

H6 \u003d (Krz / K) 100%.

The maximum allowable value of the coefficient H6 \u003d 25%;

- the maximum size of large credit risks(N7) is calculated as a percentage of the total amount of large (more than 5% of capital per borrower, taking into account the degree of risk) loans issued by the bank (Kskr) and its own funds (K):

H7 \u003d (Kskr / K) 100%.

The total amount of large loans and borrowings, taking into account 50% of off-balance sheet claims, cannot exceed the size of the bank's capital by more than 8 times (800%);

- the total amount of loans and borrowings issued to shareholders (participants) of the bank(H9.1) cannot exceed 50% own funds (capital) of the bank. The indicator is calculated in relation to claims on the bank's shareholders, whose contribution to the authorized capital exceeds 5%;

- the total amount of loans and borrowings issued to insiders(H10.1), as well as guarantees and sureties issued in their favor, cannot exceed 3% of K;

- the standard for the use of banks' own funds for the acquisition of shares (stocks) of other legal entities(N12) is set in the form of a percentage of the invested (Kin) and the bank's own funds:

H12 \u003d (Kin / K) 100%.

The maximum allowable value of the standard is 25%.

Regulatory methods for determining adequate capital are accounting estimate ... Their main goal is to optimize the ratio between the value of the bank's debt obligations and its assets. The disadvantages of accounting procedures include a systematic underestimation of the real amount of capital.

Another approach is market valuation method in which the value of capital is measured as price of one share multiplied by the number of shares in circulation, and the minimum level of its sufficiency depends on market conditions, and not from restrictions imposed by supervisory authorities. Although the second method (market) for assessing capital is more accurate, the problems arising in determining the price of shares of banks that do not put them up for quotation and other objective factors make it difficult to apply this method by Russian (and even foreign - for the same, basically, reasons) commercial banks.

"Topical issues of accounting and taxation", 2012, N 9

We invite readers to familiarize themselves with an alternative methodology for assessing capital adequacy. Perhaps right now it will be in demand - in connection with the recognition of IFRS in our country and with the newly imposed requirements for the state of internal control at enterprises. This method is based on assessing risks and comparing them in monetary terms with the size of the company's own funds. Currently, capital adequacy in the banking sector is calculated in a similar way.

Protective role of capital in the risk management system

We addressed the topic of adequate capital valuation earlier<1>when the crisis in the American mortgage bond market made us think about the consequences it would have for our country and our enterprises. At the same time, we pointed out that of the existing methods for calculating capital adequacy, the one that evaluates assets from the point of view of risks is the most adequate in a crisis. In addition, recommendations were made that were more "firefighter" than methodological.

<1> See the article "Risk, Capital and Liquidity Management", N 14, 2008.

Now the time has come to present the methodology for assessing capital adequacy in detail, since it will contribute to solving several problems of the enterprise: 1) implementation of IFRS requirements; 2) creation of an adequate risk assessment system; 3) building an internal control system.

Capital adequacy - This is an indicator that characterizes the ability of an enterprise to work during periods of not only economic growth, but also recession even in times of crisis.

By establishing the permissible value of capital adequacy, the risk of insolvency of the enterprise is limited and the minimum value of the capital required to cover the risks assumed by the enterprise (credit, operational, market, etc.) is determined.

Let's agree on the concepts. In the article we operate with the term "capital", assuming that it equally characterizes such concepts as "equity" and "net assets". The procedure for their calculation is given in the Order of the Ministry of Finance of Russia N 10n, the Federal Commission for the Securities Market of Russia dated January 29, 2003 N 03-6 / pz "On approval of the Procedure for assessing the value of net assets of joint stock companies."

Calculation of the capital adequacy ratio

Capital adequacy means such a value that is adequate to the size and risks of balance sheet assets and off-balance sheet liabilities. If the indicator is low, we either reduce risks by managing the portfolio of assets, or increase capital due to additional contributions from the owners of the enterprise.

From a methodological point of view, the formula looks like this:

Capital adequacy \u003d NA / Risks \u003d NA / SUM A x k,
i i

where CHA is the net assets (capital) of the enterprise;

AND - i-th asset;
i
k is the risk coefficient of the i-th asset.
i

That is, capital adequacy is defined as the ratio of the size of the enterprise's capital to the sum of its assets, weighted by the level of risk.

How is this formula fundamentally different from calculating the coefficient of financial independence? Recall that the autonomy ratio is calculated as follows: The autonomy ratio \u003d NA / Assets, or, following the logic of the previous formula:

Autonomy coefficient \u003d NA / SUM A x 1.
i

That is, in this formula, the risk of all assets is the same and amounts to 100%. Our task is to distinguish assets that have lower and higher risk, and calculate weighted by risk, rather than the nominal value of assets.

As we talk about the risks of an enterprise, we will complicate this formula, with the goal of taking into account the totality of risks in one indicator and calculating resistance to the threat of bankruptcy.

At the first stage, we recognized that the assets of the enterprise are subject to risks
different values, and took into account this difference through the coefficient k: Sufficiency
i
capital \u003d CHA / SUM А x k.
i i

The second stage is associated with the placement of the weight of assets depending on the risks to which they are exposed. An asset can be exposed to more than one risk. for example, the company has opened a foreign currency deposit in the bank. On the one hand, this deposit is subject to market (in this case, currency) risk, on the other hand, to credit risk, as it is kept in a specific bank. Operational risk cannot be ruled out either: like all funds, a foreign currency deposit can be stolen (although it is obvious that the risk of stealing money from a foreign currency deposit is many times lower than the risk of stealing cash from the cash desk).

So, it is necessary to decide how to assess the risks: taking into account all of them
the aggregate in relation to a specific asset (option 1) or is it
calculating part of the risks separately (option 2)? for example, by the same
foreign currency deposit in the first option, we estimate the credit risk at 20%,
currency - 100%, operational - 0.2%. In the second option, separately
we define currency and operational risks, and credit through k. include in
i
calculation of weighted assets. We leave the choice of this or that option at the mercy
readers, but in the future the author will follow the path chosen by the Central Bank of the Russian Federation
when calculating the capital adequacy of credit institutions: part of the risks
priced separately. This is a matter of convenience rather than methodology. However
using the example of the same foreign currency below, we will prove that the calculation
foreign exchange risk beyond assets is justified.
For the time being, let's leave the question of assigning risk weights to assets (k), since
i
coefficient k depends on which of them we "put out of the brackets".
i
First, let's deal with those risks that are more convenient to calculate separately, and
the residual risk for a specific asset is the last to be determined.

Currency risk

Let's go back to the example with a foreign currency deposit. We recognize that foreign currency deposits are subject to currency depreciation risk. However, this is only true if there are no other assets and liabilities in the same currency. for exampleif the balance includes a deposit of 100 thousand US dollars and accounts payable in the same amount, the risks are equalized, closed. Therefore, it is easier to calculate the foreign exchange risk separately by determining the position (in the context of foreign currencies) for all assets and liabilities.

If assets exceed liabilities, we have a long foreign exchange position: we bear the risk of a fall in the foreign exchange rate against the ruble. If liabilities exceed assets, the foreign exchange position is short: we bear the risk of the exchange rate growth against the ruble. In addition, to calculate the position, we take into account off-balance sheet claims and liabilities in foreign currency.

Thus, the presence of a foreign currency deposit on the balance sheet of an enterprise only indicates that a foreign exchange risk may occur, but what its value and whether it exists at all will become known only after calculating the value of the foreign exchange position.

The third stage of our actions is to take into account the currency risk when calculating the capital adequacy:

Capital adequacy \u003d NA / (SUM A x k + BP),
i i

where ВР - currency risk.

Market risk

Market risk is calculated for securities with a market quotation, currencies, precious metals, as well as for derivative financial instruments. Currency risk, as the most common, we have already described. Other types of market risk are less common. Since not all enterprises bear market risk (or its influence is insignificant), we propose to determine the level of materiality. for exampleif the share of a market asset (position) exceeds 3% of the total value of assets, then the risks are assessed and included in the calculation of capital adequacy. Otherwise (with the share of assets with a market quotation less than 3% of the balance sheet total), the risk can be neglected. At the same time, the asset will not be "lost" anyway, since it will be weighted for risk among other assets, but only for one type of risk (credit).

The fact that one and the same asset is simultaneously exposed to several risks is confirmed by the position of the Ministry of Finance of Russia, expressed in Letter No. PZ-4/2009 dated December 21, 2009 "On disclosure of information on the organization's financial investments in the annual financial statements." In particular, it says: special attention should be paid to disclosure of information on potentially significant financial risks associated with the organization's financial investments: market risks (currency, interest rate, price), credit risks. This information provides an understanding of the organization's exposure to financial risks, the reasons for their occurrence, mechanisms for managing them (policies, procedures applied, etc.), methods used to assess risks, indicators of risk exposure and risk concentration.

Market risks are associated with possible adverse consequences for the organization in the event of changes in market parameters, such as prices and price indices, interest rates, foreign exchange rates.

Credit risks are associated with possible unfavorable consequences for the organization in case of non-fulfillment (improper fulfillment) by the debtor of obligations for financial investments. For credit risks, information should be disclosed about the financial condition of the borrower, the timeliness of repayment of the loan and interest on it, etc.

In Information dated June 22, 2011 N PZ-5/2011 "On Disclosure of Information on Off-Balance Items in the Organization's Annual Financial Statements", the Ministry of Finance of Russia indicates that the instruments of forward transactions circulating on the organized market (forward, futures, options, swaps) are also subject to market risks etc.).

So, at the fourth stage, the formula will take the form:

Capital adequacy \u003d CHA / (SUM А x k + ВР + РР),
i i

where РР - market risk.

Operational risk

Operational risk calculation<2> - a rather laborious process, if you study each material object, the qualifications of personnel, the technical equipment of the equipment responsible for smooth operation. Fortunately, it is sometimes possible to determine the risk "by eye". In particular, operational risk can be calculated as a share of the capital, profit, income of the enterprise. for example, the gross profit for the three previous non-negative years is summed up, the average value is calculated and this value is multiplied by 5%.

<2> We will tell you more about this risk in the next issues of the magazine.

So, the fifth stage of our reasoning led to the following form of the formula:

Capital adequacy \u003d CHA / (SUM A x k + BP + PP + OP),
i i

where RR is operational risk.

Other risks

The risk is regulated not only through the capital adequacy ratio, but also by setting limits. We can compulsorily restrict transactions with foreign currency, with securities. Limits are a kind of "alarming levels" upon reaching which the company begins to take measures to reduce the amount of accepted risks. It is possible to combine methods of regulation, which is widely used in relation to market risks.

Concentration risks, unlike market risks, are not taken into account when calculating capital adequacy, they are regulated through a system of limits and therefore will not be included in our calculations.

To cover other risks (legal, reputation), it is recommended to allocate certain amounts or a share of the capital.

At the sixth stage, the formula became more complicated to the following form:

Capital adequacy \u003d CHA / (SUM А x k + ВР + РР + OP + PR + РПР),
i i

where ПР - legal risk;

РПР - the risk of loss of reputation.

Risk classification of assets

After the magnitudes of risks, accounted for separately from assets, are established, it is necessary to divide assets and off-balance sheet liabilities into groups taking into account the level of risk.

Table 1. Classification of assets based on risk

The standard risk level is 100%. An asset is measured on the basis of its ability to meet the entity's obligations. Reduced risk assets can be recognized as those that are characterized by both high reliability and liquidity. These include cash in cash offices and in the accounts of credit institutions. Cash is classified as a risk-free asset, since it is capable of paying almost any obligation, and therefore we do not require that any part of the money be backed (covered) by the capital of the enterprise. Accounts in commercial banks are also capable of instantly fulfilling obligations to creditors, but at the same time they are exposed to credit risk.

Is balancing applied when setting the credit risk (as when calculating foreign exchange risk)? No, it does not apply. Let us explain this statement.

Suppose that the current account balance in bank A is
1,522 thousand rubles, debt on a loan provided by bank A, -
4800 thousand rubles. In this case, the credit risk will be equal to the balance
current account - RUB 1,522 thousand multiplied by the risk coefficient k,
i
for example 20%. This logic is justified. If the bank due to financial
difficulties will suspend transactions on the current account, then unfavorable
the consequences will not be long in coming. The opportunity to set off counter
claims will certainly help to avoid losses from writing off a hopeless
debt, but will not protect us from blocking the checking account.

Tangible assets have a standard ratio of 100%, while they are not exposed to credit risk, but they do bear the risk of physical loss and price fall. At the same time, tangible assets (with the exception of goods) are not intended for sale, their main task is to generate income as a result of use.

In addition to low-risk assets, there are high-risk assets, which include:

• real estate not used for business;
• capital investments;
• equipment for conservation;
• accounts receivable for which the return period has been violated.

So, in the seventh stage, we weighted the assets in terms of risk.

Reserves

In the article "Internal control of enterprise risks"<3> we noted that reserves are one way to manage risk. If the company forms reserves for doubtful debts, then it has already reflected the risk in the balance sheet. This fact must be taken into account in the calculations.

<3> N 7, 2012.

The eighth, last stage of our calculations is associated with the inclusion in the formula of created reserves for risky assets:

Capital adequacy \u003d NA / SUM (A - R) x k + BP + PP + OP + PR + RPR),
i i i
where P is the amount of created reserves.
i

Capital adequacy ratio

Finally, we are done with the formula, now we will determine what the value of the indicator itself should be. The minimum capital adequacy for credit institutions established by the Central Bank of the Russian Federation is 10%. The maximum value is defined as the recommended value of the equity ratio (financial independence). In particular, the Central Bank of the Russian Federation admitted enterprises with a value of this coefficient of 0.45 (45%) and higher as shareholders of Russian banks<4>.

<4> Regulations on the procedure and criteria for assessing the financial position of legal entities - founders (participants) of credit institutions, approved. Central Bank of the Russian Federation 03/19/2003 N 218-P. (The document became invalid due to the publication of the Regulation of the Central Bank of the Russian Federation dated June 19, 2009 N 337-P.)

At present, it is avoided to indicate specific values \u200b\u200bof indicators in regulatory documents. Indeed, the single indicator is too similar to the average temperature in the hospital. In addition, the regulations are designed primarily for the analysis of external reporting (in other words, we are inevitably put in a framework). Another thing is own reporting, which can be detailed in any detail.

In order to demonstrate the qualitative difference between the capital adequacy indicator and the autonomy indicator, we present two balances:

Autonomy coefficient \u003d 10,000 rubles. / 100,000 rubles. \u003d 0.1 (10%).

Capital adequacy, on the other hand, tends to infinity, since the cash risk is equal to 0 (10,000 rubles / 100,000 rubles x 0%).

Autonomy coefficient \u003d 50,000 rubles. / 100,000 rubles. \u003d 0.5 (50%).

Capital adequacy \u003d 50,000 rubles. / 100,000 rubles. x 150% \u003d 0.33 (33%).

Obviously, in the first case, the enterprise will easily fulfill its obligations, in the second, it will face a liquidity crisis at the very first payment to creditors. Such an obvious example with two (albeit hypothetical) balance sheets shows that without an adequate assessment of assets, our indicator only partially reflects the financial stability of an enterprise to bankruptcy.

So, let's assume that the admissible capital adequacy is in the range from 10 to 45%. What value of the coefficient should you choose for yourself? It depends, firstly, on the type of activity. The banking sector can afford capital adequacy in the range of 10 - 20%, as it has access to liquidity. In addition to the financial sector, trade does not experience a lack of liquidity (especially retail, and in it - food trade). Secondly, the absolute value of the enterprise's NA plays an important role. According to the author, the following boundaries can be established:

• CHA less than 50 million rubles. - the coefficient is not less than 45%;
• CHA from 50 to 200 million rubles. - coefficient 35 - 45%;
• CHA above 200 million rubles. - the coefficient is not less than 30%.

It is possible that some enterprises will consider lower capital adequacy ratios acceptable for themselves. However, it is highly undesirable for non-financial organizations to drop below 30%: only banks can afford such values. In addition to the fact that banks are "bathed" in liquidity, they have a strict system of risk supervision by the Central Bank of the Russian Federation.

Stress testing

One of the ways to determine capital adequacy and establish specific ratios is stress testing. Based on scenario analysis, you can identify control points for each type of risk that is significant for the enterprise, the total capital requirement, and also assess the accuracy of your own risk assessment model.

Stress testing involves, among other things, a number of the most difficult scenarios, including events that can cause maximum damage to the enterprise, and the development of corrective actions in stressful situations.

If a certain risk zone is especially dangerous, then correction factors can be entered into the main formula. for example, for credit institutions, the Central Bank of the Russian Federation has established an increasing ratio of operational and interest rate risk equal to ten (10).

On a specific example

The owner of a small enterprise decided to carry out technical re-equipment of production, for which he bought imported equipment in the amount of 78 thousand US dollars. Considering that this acquisition will soon pay off, the owner did not increase the authorized capital of the enterprise, but used a bank loan, providing personal property as a security for the foreign currency loan received by the enterprise. Since the owner's interests in this enterprise have increased, he stakes on a sharp increase in production and decides at the same time to establish an internal risk control system.

The Economic Service was instructed to conduct an audit of assets and liabilities, identify problem areas and put forward proposals for risk management so that the enterprise meets the expectations of the owner.

Below is a supporting table for calculating capital adequacy based on the balance sheet.

Table 2. Balance sheet with a breakdown

The data presented in the table are reliable, the assets are measured at fair value, and the corresponding reserves for possible losses have been created. Before making the calculations as such, it is clear that the enterprise received a foreign currency loan for the purchase of equipment in the amount of 890 thousand rubles. in ruble terms, which creates a problem area. The enterprise could not carry out this transaction on its own due to the lack of collateral. The balance sheet includes securities in the amount of 349 thousand rubles, they cannot be sold, since they are pledged for a short-term loan.

Let's move on to the calculations.

CHA \u003d (455 400 - 51 800) + (148 000 - 43 300) + 2 169 540 + 9980 + (276 262 + 18 300 + 31 244 - 15 232) + 133 658 + 164 165 + 26 159 + 530 490 + 170 266 + 348 756 + (128 547 + 701 000 - 14 310) - 468 127 - 38 430 - 546 333 - 890 040 - 431 117 - 92 090 - 320 780 - 141 305 \u003d 5 187 125 - 2 928 222 \u003d 2 258 903 (rub.).

The capital is 2,259 thousand rubles, therefore, the capital adequacy value should be at least 45%.

Currency risk is calculated for each currency separately:

BP \u003d (890 040 - 112 835) + 57 431 \u003d 834 636 (rub.).

Market risk is associated with the presence on the balance sheet of securities circulating on the organized market:

РР \u003d 348,756 rubles.

Other risks (operational, legal, loss of reputation) are estimated at 7% of the average annual profit over the past three years, which is 22,300 rubles.

Let's move on to calculating risk-weighted assets.

Table 3. Calculation of risk for assets and off-balance sheet liabilities

Autonomy coefficient \u003d 2,258,903 / 5,187,125 (rubles) \u003d 0.44 (44%).

The enterprise is outside the permissible risk zone. Capital adequacy is 32% against the recommended 45%. As can be seen from the calculations, the autonomy ratio does not signal to us that the financial viability of the enterprise is under threat due to excessively assumed risks. A more detailed examination of assets and analysis of other risks (in this case, currency and market risks) lead us to the conclusion that urgent measures must be taken to remedy the situation: first, to convert a foreign currency loan into ruble; secondly, to put into operation new equipment; thirdly, after repayment of a short-term loan, determine the advisability of owning securities.

Why such difficulties?

Risk assessment techniques are usually complex and involve the use of economic and mathematical models. As new financial instruments emerge, new ways of assessing risks are being developed. Leading world banks, rating agencies, auditors on the eve of the global financial crisis in 2008 were armed with the most advanced control methods. Nevertheless, the risk assessment system has failed so severely that it has jeopardized the economic well-being of the world as a whole. The reasons for the crisis identified by the analysis were not so much in the absence of risk assessment methods adequate to the level of development of financial markets, but in the artificial understatement of the level of risks. In the pursuit of profit, the calculations were "adjusted" in such a way that portfolios of high-yield (and therefore high-risk) securities were formally removed into the standards of reliable assets.

Let us decide in which cases the proposed methodology will serve our interests. First, starting in 2012, we need to provide the regulatory authorities with evidence that the risks in our enterprise are being managed. At the moment, no formalized requirements have been established, therefore, in the author's opinion, the existence of a risk assessment system by calculating capital adequacy closes the issue.

Secondly, this technique allows you to create a protective mechanism against external threats and internal weaknesses of the enterprise. In the initial stages, it is important to identify all the risks and look at them with an open mind. It is much easier for Russian enterprises to assess risks from a moral point of view, since many of them are not exposed to them. We, unlike Western financial structures, do not need to close our eyes to the so-called "toxic assets". However, we also have our weaknesses, among which:

• small size of the authorized capital;
• overload of balance sheets with non-performing assets (for example, real estate purchased "in reserve");
• low accounting discipline for off-balance sheet obligations;
• low culture of insurance of the risks of force majeure.

Within the framework of management reporting, we have no one to deceive but ourselves. The main task is not to carefully select the coefficients, but to see the real picture of the areas vulnerable from the point of view of risks. Unfortunately, people start to take an interest in risks only when it is necessary to take rescue rather than preventive measures. Changing your own psychology and forcing yourself to pay attention to potential risks is really difficult.

O.E. Orlova

Journal Expert

"Topical issues of accounting

and taxation "

Almost every aspect of banking is directly or indirectly related to the presence of a certain amount of capital. When assessing the reliability and safety of an individual bank, capital is one of the key factors. A sufficient amount of the bank's own funds contributes to its stable functioning and coverage of various risks. Capital absorbs the unexpected Simanovskiy A.Yu. "Provisions for possible loan losses: international experience and some methodological issues", "Money and Credit", 11/2003, 1/2004 , those. losses that are not covered by current income, thereby creating the basis for maintaining confidence in the bank on the part of creditors and depositors. Equity is also largely taken into account when determining a bank's creditworthiness.

The most important role of capital is to ensure business stability, absorb losses and thereby function as a means of depositors and other creditors in the event of liquidation. The problem of capital adequacy is one of the key issues in banking practice.

Adequate capital, as you know, forms a kind of "cushion" that allows the bank to remain solvent and continue operations, regardless of any events. An undercapitalized bank is exposed to a disproportionately higher risk of bankruptcy if macroeconomic or other business conditions deteriorate. At the same time, an overcapitalized bank is usually low-maneuverable and uncompetitive in the capital and credit markets.

Capital adequacy is the ability of a bank to continue to provide the same volume of a traditional set and standard quality of banking services, regardless of possible losses of one kind or another on active operations. In other words, capital adequacy is the bank's ability to incur expenses on its own activities and compensate for losses arising in its process solely from its own sources of funds, i.e. to be, in principle, able to pay off all obligations undertaken. However, it should be noted that capital adequacy is not related to the bank's current ability to meet its obligations, i.e. despite the importance attached to the value of this indicator in assessing the bank's solvency on the real ability to meet its obligations, it can only be reflected if the bank has to simultaneously or within a very short period of time to be responsible for all its obligations, without sources of replenishment funds, which is possible either in the process of mass exodus of clients from the bank and in the event of its liquidation. Therefore, considering the financial condition of the bank, it should be borne in mind that the assessment of the adequacy of its capital first of all allows us to judge the possibility of potential problems with solvency and its ability in the event of liquidation to fully satisfy the requirements of creditors.

From this definition, it is easy to single out the factors that determine how capitalized a particular bank. Firstly , capital adequacy depends on the volume of deposit operations carried out by the bank, or on the volume of bank operations to attract temporarily free financial resources of legal entities and individuals; Secondly, on the size of the risks that the bank assumes by conducting active operations. The optimal banking policy in the area of \u200b\u200bcapitalization is precisely to maintain an acceptable level of risk unchanged by increasing equity capital.

Bankers and supervisors generally use two groups of ratios as indicators of capital adequacy:

• - the first group is built on the basis of the ratio of capital funds (in different composition) to total deposits (contributions);
• - the second group is based on the ratio of capital (in all possible modifications) and assets (of various composition).

The ratio of equity to deposits is based on the consideration of capital as a means of protecting creditors. This ratio turned out to be the most tenacious and popular of all indicators proposed for measuring the degree of capital adequacy. In the United States, it was officially recommended by the Comptroller of Monetary Circulation in 1914 and was used as a legalized measure of the capital adequacy of national banks until the middle of the 20th century.

As for the optimal value of the main of this group of coefficients - the capital / investment ratio, disputes over a specific value are still ongoing. Their fruitfulness is difficult to assess, but internal conviction and common sense suggest that optimality is not discrete, but interval in nature, where point values \u200b\u200bare determined by the stage of socio-economic development, the phase of the economic cycle, the volume of money supply, the rate of inflation, the level of savings of the population and the degree of competition. (concentration of banking institutions). Empirically, the idea was that the optimal value should fluctuate in the range from 0.08 to 0.2.

In the second third of the 20th century, the views of regulators on capital adequacy underwent a fundamental revision. The prevailing opinion is that the need for capital does not depend on deposits, but on assets: capital adequacy should indicate what losses the bank can incur without prejudice to the interests of depositors and other creditors. Capital began to be viewed primarily as a shock absorber helping to overcome the fall in the real value of assets. From a practical point of view, this is absolutely correct. If losses arise as a result of active operations of the bank, which the latter conducts mainly on its own behalf and at its own expense, the losses are covered not at the expense of attracted resources, but at the expense of its own.

The second group of capital adequacy ratios is very diverse. This diversity mainly reflects the rapid evolution of ideas about the denominator of this type of relationship. This is due to the rapid development and complication of the technological and economic bases, the sphere of monetary circulation and the financial system of the countries of industrial culture in the post-war period and in the present period. New opportunities for capital investment appeared, new financial instruments and, accordingly, the range of various risks expanded. Until now, disputes around the coefficients of this group do not subside. This is mainly due to objective processes in the monetary and financial spheres.

Today, only the general formula is generally accepted, according to which the bank's equity capital is correlated with the amount of assets weighted by the degree of risk. For the first time, the operation of weighing various active balance sheet items was proposed by the bank auditing department of the Federal Reserve Bank of New York in 1952. In their formula, the bank's assets were divided into six groups, each of which had its own risk category. In 1956, the Fed's Board of Governors, adding and refining this formula (all assets were divided into 10 groups, each of which corresponded to its own degree of risk - from 0.5% for investments in short-term government securities to 100% for investments in tangible assets) , legalized it as a baseline for capital adequacy analysis.

Special mention should be made of the approach to the analysis of capital adequacy of the Basel Committee on Banking Supervision and Regulation, which represents the point of view of 10 central banks of the leading countries of the world.

In 1981, the US federal supervisory authorities introduced the following rule: the ratio of share capital (which included ordinary shares, reserve accounts, preferred shares and part of debt obligations convertible into ordinary shares) to assets of at least 6% was considered sufficient, and for financially stable banks this the figure could be reduced to 5%.

At the same time, the principle of dividing capital into two categories was proposed - primary and secondary capital. The primary capital was the same in composition with the share capital, the secondary included a number of other components: preference shares admitting presentation for redemption, convertible debt obligations and subordinated bonds.

In 1985, the US supervisory agencies introduced unified minimum capital requirements: primary capital had to be at least 5.5% of total assets, and the amount of primary and secondary capital was at least 6%. The big banks saw these rules as a threat to their entire competitiveness in world markets. They insisted on introducing similar minimum capital standards for banks in other countries.

Banks have a relatively low ratio of equity to liabilities. In order to stimulate proper management of the risks arising from this feature of the structure of the balance sheet of banks, supervisors in many countries have introduced certain capital adequacy requirements.

From the whole spectrum possible ways In determining capital adequacy, the Basel Committee has chosen to compare a bank's capital and the value of its assets, weighted by the level of risk. This coefficient was named Cook by the name of the head of the Basel Committee in 1977-1988.

The Basel Principles emphasize the obligation of the banking supervisor to set minimum capital adequacy requirements for a bank. Such requirements should reflect the risks assumed by banks, determine the elements of capital, taking into account their ability to absorb losses.

The 1988 Capital Agreement (now referred to as Basel I) sets out the requirements for a minimum equity agreement and the amount of its assets exposed to credit and market risks. According to this approach, an 8% capital adequacy ratio is recommended for the largest international banks. Supervisors should set higher capital adequacy ratios and encourage supervised banks to operate with capital in excess of minimum capital requirements.

The methodology for calculating the ratios of the minimum capital requirement, proposed by the Basel Committee in 1988, is based on the principle of accounting for the quality of the bank's assets and associated risks. When calculating the ratio, the bank's capital is compared not with the nominal value of its assets, but with the calculated indicator of risky assets, where each element of assets is assigned to a certain category and weighted in accordance with a predetermined scale of ratios. The classification is based on credit risk. The investment risk on government securities with a fixed interest rate is also partially taken into account.

In the ten years since the 1988 Agreement, there have been many major shifts in the structure and operations of the Western financial sector. In the practice of banks, non-traditional financial schemes began to be widely used, new types of financial instruments emerged and became widespread. The level of financial risks in various areas of financial activity has increased significantly. All these processes weakened the effect achieved in the early 1990s, associated with the increase in capital ratios, and reduced the ability of banks to resist financial crises.

In 1996, the Committee issued a special report recommending the introduction of additional capital requirements for banks in connection with market risks (risks of losses from balance sheet and off-balance sheet transactions due to changes in market prices).

In June 1999, the Basel Committee published a report that outlined new approaches to ensuring capital adequacy and improving the monitoring of banks' compliance with prudential norms. Three reasons were given that to the greatest extent determined the introduction of changes in the methodology for calculating adequate capital. First, the impossibility, on the basis of the current approach, to accurately assess the real quality of banking assets and the amount of risks associated with them, since the risk weights used in the practice of banks give only a rough estimate. Secondly, the possibility, by manipulating assets and changing the portfolio structure, to influence the estimate of the amount of required capital, which led to a gap between the real value of risks assumed by banks and the estimated estimate based on the Basel methodology.

Thirdly, the current Agreement did not stimulate the use by banks of protective technologies that reduce risk. When calculating capital ratios, positive role collateral and guarantees for credit operations.

Thus, the main changes incorporated in the new scheme relate to the procedure for weighting assets at risk. The committee proposed to expand the range of risks taken into account. Three major categories have been identified: credit risk (especially the risk associated with the loan portfolio), market risk and other types of risk (primarily operational risk and interest rate risk on bank balance sheets, as well as the risk of loss of liquidity, deterioration of reputation, etc. ). Thus, the calculation of the capital adequacy ratio includes the following parameters:

K \u003d Equity / 8% \u003d Credit risk / 6% + Operational risk / 1.6% + Market risk / 0.4%

Central banks and supervisors that are members of the Basel Committee on Banking Supervision, in April 2004, finally agreed on a number of new international approaches to assessing the capital adequacy of banks, which are summarized in a document called Basel II. In June 2004, the Basel Committee published Basel II: International Capital Measurement Standards - Revised Agreement. The agreement considers the problems of determining the adequacy of bank capital, as well as methods for assessing the amount of capital required to cover risks: credit, market and operational.

New capital agreements are planned to be introduced by the central banks of the largest countries of the world from 2007, but the impact of the new principles of capitalization assessment on the work of world financial systems will be felt much earlier. Already, Western banks are gradually revising the principles of their work, preparing for more stringent and conservative principles of Basel II.

The Committee believes that the Agreement will improve the quality of risk management based on the adoption of the concept of its three main components:

• - minimum capital requirements;
• - effective banking supervision;
• - market discipline.

In developing the new version of the Agreement, the Committee was guided by the adoption of more risk-sensitive capital requirements, which at the same time take into account the peculiarities of supervision and accounting in each country - a member of the G10 group. At the same time, the main provisions of the 1988 Capital Adequacy Agreement have been preserved, including: general requirements for banks to maintain capital in an amount equivalent to 8% of risk-weighted assets, as well as the main provisions of the Market Risk amendment of 1996 and determination of capital adequacy.

An important innovation is the possibility of wider use of risk assessments based on internal (proprietary) models and methodologies. However, the Committee proposes a set of minimum requirements to ensure that these internal risk assessments are complete. Requirements are heightened at the conceptual and qualitative levels as the Basel Committee does not aim to dictate the form and operational details of risk management adopted by banks.

The new revision of the Agreement offers a set of options for defining capital requirements to cover credit and operational risks, allowing banks and national supervisors to choose the approaches that best suit their operations and the national market infrastructure of the financial sector.

It should be noted that the Agreement sets only minimum capital levels for banks that are active participants in international markets. National supervisors may set higher minimum capital levels. Moreover, they can introduce additional norms for assessing capital adequacy. While Basel II is more risk-sensitive than the 1988 Accord, banks and regulators in countries with high general economic and banking risks are encouraged to maintain capital levels above the Accord minimum.

The Committee expects to carry out additional work of a long-term nature in the area of \u200b\u200bdetermining capital adequacy. This is because the changes in handling expected and unexpected losses and the corresponding changes in provisioning proposed in the Agreement generally lead to lower Tier 1 capital requirements, which in turn affects the total capital requirements. Moreover, the formation of a single international capital standard will inevitably require the identification of an agreed set of instruments, the use of which makes it possible to cover unexpected losses. Consideration of issues related to the determination of the minimum required amount of capital will be continued.

As for Russia, control over the structure, dynamics and sufficiency of credit institutions' own funds has been and is an urgent task for the Bank of Russia. In accordance with article 56 of the Federal Law "On the Central Bank of the Russian Federation (Bank of Russia)" Federal Law of July 10, 2002 No. 86-FZ "On the Central Bank of the Russian Federation (Bank of Russia)". maintaining the stability of the banking system of the Russian Federation and protecting the interests of depositors and creditors are the main goals of banking regulation and banking supervision.

Currently, the Bank of Russia has developed and enacted a number of mandatory standards, compliance with which is necessary to strengthen the banking system and its development. This, first of all, concerns the indicator of the adequacy of own funds and other indicators, the calculation of which is associated with the amount of own funds of credit institutions.

When calculating the ratio of the adequacy of own funds, defined in established order (in accordance with Bank of Russia Regulation No. 215-P) the amount of equity capital is related to risky assets. Assets are subdivided into 5 groups with weighting factors of 0, 10, 20, 70, 100%. Zero risk is assigned to funds on correspondent accounts with the Bank of Russia, funds on accounts of required reserves with the Bank of Russia, investments in Bank of Russia bonds and government securities of the countries of the group developed countries... Cash desk and equivalent assets have 2% risk. Some types of loans (guaranteed by the Government of Russia, secured by precious metals) issued to the Ministry of Finance of Russia, investments in government bonds and other items are assessed with a 10% risk.

The third group of assets - 20% risk - includes a portfolio of debt obligations of the constituent entities of the Russian Federation and loans secured by these obligations, correspondent accounts with non-resident banks from the group of developed countries and some types of loans. The group with 70% risk includes funds on the accounts of banks-residents of Russia and non-resident banks that are not included in the group of developed countries. Other assets have 100% risk.

Comparative analysis of the method of weighting assets by risk degree in accordance with Instruction No. 1 and Basel standards is presented in Table 1.

Table 1. Comparative analysis of risk ratios for various types of assets

The Russian method of weighing assets by risk has its own peculiarities associated with the specifics of the development of the banking sector. Since the beginning of the 90s, preferential ratios have been applied, for example, only overdue bank loans were classified as 100% risk, other categories of loans received 30-70% risk. Then the conditions were tightened, and since 1996 all loans were assessed at 100% risk in accordance with international rules. Changes in the debt markets for domestic and foreign currency loans were also taken into account: their quality decreased and they were transferred from zero to 10% risk category.

It should be noted the following (including stricter) differences between the Russian methodology in terms of risk weights for individual assets:

• · In international approaches, the assessment is carried out on a scale: 0, 10 and 20, 50 and 100%;
• · There are differences in the assessment of the risk of the Russian counterparty bank. Thus, essentially homogeneous transactions are accounted for with different levels of risk: balances on correspondent accounts - nostro and deposits - 70%, interbank loans - 100%;
• · Understatement of the risk on operations related to the regional aspect. This applies to loans to the constituent entities of the Russian Federation and local governments, against their guarantee, against the security of their debt obligations, the risk for which is set at 20%. At the same time, some regions continue to have unfulfilled obligations on their domestic debt, some regions do not have a credit rating;
• · According to domestic rules, a twofold decrease in the risk ratio for mortgage loans is not provided (due to the lack of a developed market and effective legal mechanisms);
• · The ratings of borrowers, which already exist, are not taken into account.

Since 1998, the amount of banks' risky assets has been supplemented by two components: the amount of credit risk for instruments reflected in off-balance sheet accounts, and the amount of credit risk for forward transactions. Since April 2000 in accordance with international standards market risk is taken into account when calculating the equity capital adequacy ratio.

The minimum permissible value of the banks' equity (capital) ratio changed following the changes in the conditions of the banks. Until 1996, the standard was 4%. Then it was increased to 5% and further, increasing annually, reached 8% by February 1999, and from January 2000 it was set for credit institutions with capital equivalent to 5 million EURO and more, at a rate of 10%, and with capital less than 5 million EURO - 11%.

The strategy for the development of the banking sector of the Russian Federation for the period up to 2008 provides for amendments to the legislation of the Russian Federation. The capital adequacy requirement, failure to comply with which is considered as a basis for the mandatory revocation of a license to carry out banking operations, will be set at 10%. This requirement will apply to all credit institutions regardless of their type (banks, non-bank credit institutions) and the amount of their own funds (capital) from 2007. At the same time, all banks will have to have their own funds (capital) in the amount of at least the ruble equivalent of 5 million EURO "Statement of the Government of the Russian Federation and the Central Bank of the Russian Federation (Bank of Russia) dated 30.12.2001" On the development strategy of the banking sector of the Russian Federation "/ / Bulletin of the Bank of Russia - No. 5. - 2002..

The statistical parameter of capital in Russia has also changed many times. To date, the Bank of Russia has established the minimum size of the charter capital of a newly created bank in ruble equivalent, corresponding to 5 million EURO.

Thus, the Russian capital requirements for the most part comply with the principles of the Basel Agreement, but at the same time they are focused on the general market situation, the use of the Russian accounting system, and on adjusting requirements taking into account the conditions for the emergence of the Russian banking system.