Passive operations of a commercial bank include operations related to the formation of resources or sources of financing, and formed at the expense of its own and borrowed funds.

It is advisable to begin the analysis of the liability structure 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 positive dynamics: as of January 1, 2015, the bank’s resources increased by 178.23%, this was largely due to an increase in liabilities. Liabilities consistently occupy the largest share in the structure of the balance sheet currency; in 2015, their share was 88%. On the one hand, the more equivalent the ratio of liabilities and own funds, the higher the level of reliability of the bank, and on the other hand, the greater the share of liabilities in the total amount of bank resources, the (other than equal conditions) there will be a higher return on capital.

Analyzing the report on the level of capital adequacy, the amount of reserves for 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 own capital in dynamics has a slight increase, which, however, indicates an increase in the Bank's stability. The largest share in the structure of the Bank's own funds is occupied by funds from 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 consists mainly of funds from shareholders. 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 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 standards in accordance with the requirements of instruction 139-I “On mandatory bank standards.”

Indicators for assessing capital adequacy consist of an indicator of the adequacy of equity (capital) and an indicator of overall capital adequacy.

Overall capital adequacy indicator (PC 2) after growth in 2013. tended to decrease in 2014 and 2015, which indicates a declining financial stability jar. The ratio decreased throughout the period under review and by 01/01/2015 it dropped to 12.072%, which suggests a threat that the bank’s own funds can cover only 12% of its obligations to depositors and creditors. This situation negatively characterizes the level of adequacy of the bank's own funds (capital).

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

Based on these indicators, a point and weight assessment was determined, based on which the generalized result for the group of capital assessment indicators (CAI) was calculated. According to instruction 139-I, the financial stability of the bank according to the group of capital assessment indicators is considered satisfactory if the value of the RGC is less than or equal to 2.3 points. Thus, the bank has normative significance and it can be considered that the financial stability of the bank is satisfactory.

The coefficient of use of equity capital shows what part of the equity capital with which the bank began operations in the reporting period was used in the process of activity of the business entity. The highest figure was at the beginning of 2013, based on which we can conclude that the largest part of the insurance company was used in work operations in 2012. In subsequent years, the use of raised funds increased.

The indicator for attracting household deposits is also at its maximum at the beginning of 2013, which indicates that in 2012, the largest share of insurance companies (85%) was occupied by household deposits.

Return on equity in the periods studied systematically increased.

An analysis of the factors that caused the decrease in return on capital shows that in 2014 it occurred under the influence of 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 own capital (which serves as a guarantee of the bank’s reliability for depositors) and the correspondence of the real amount of capital to the required one;

“A” (asset quality) - asset quality indicators that 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, policies pursued, compliance with laws and instructions;

“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 fulfill requirements for payment of obligations and willingness to satisfy the need for a loan without losses.

During the study, coefficients for assessing capital adequacy, proposed by global banking practice in the analyzed Bank, were calculated and analyzed.

The capital adequacy ratio K1 determines the level of equity in the structure of all liabilities. Its recommended values ​​are in the range of 0.15 - 0.2. At the same time, it is considered normal if the funds raised amount to 80 - 85% of the bank’s balance sheet currency.

Own funds

K1 = _____________________,

Total liabilities (1)

By 1 2011 = 269563 / 3854863 = 0.069

By 1 2012 = 348589 / 4391378 = 0.079

By 1 2013 = 621576 / 7042158 = 0.088

By 1 2014 = 738618 / 9803132 = 0.075

Thus, we can conclude that the share of the Bank’s own funds is 6.9% in 2011, 7.9% in 2012, 8.8% in 2013, 7.5% in 2014 , 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 = _________________________________ , (2)

Involved funds

By 2011 = 269563 / 3585300 = 0.075

By 2012 = 348589 / 4042789 = 0.086

By 2013 = 621576 / 6420582 = 0.097

By 2014 = 738618 / 9064514 = 0.081

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

The 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). Recommended values ​​of K3 coefficients are in the range of 0.25 - 0.3, i.e. is considered normal if the bank’s risks in placing resources are covered by 25 - 30% of its own funds. The recommended values ​​of coefficients K2 and K3 are the same, since it is assumed that the risk of attracting and allocating resources is adequate.

Own funds

K3 = __________________________, (3)

Income generating assets

The Bank's risks in placing resources are covered by only 10% with its own funds.

The capital adequacy ratio K4 characterizes the bank's dependence on its founders. The amount of funds invested in the development of the bank must be at least twice the contributions of the founders.

The minimum value is 0.15.

The maximum value is 0.5.

Authorized capital

K4 = ____________________, (4)

Own funds

By 4 2011 = 110870 / 269563 = 0.412

By 4 2012 = 110870 / 348589 = 0.318

By 4 2013 = 332610 / 621576 = 0.535

By 4 2014 = 332610 / 738618 = 0.450

For clarity, we will combine all 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 ​​and 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 entrepreneurial activity depend on the availability and efficiency of use of financial resources, and the level of 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 the credit organization is carried out, aimed at assessing the adequacy of the size of the bank's own funds (capital) and their growth in the pace of business development, identifying the degree of protection against risks and searching for reserves for increasing the efficiency of using shareholders' funds.

The bank's own funds (capital) include its own, and in some cases, borrowed funds that simultaneously satisfy the following criteria: stability, non-consumption in the process of activity; independence in relation to the rights of creditors; absence fixed charges income. The bank's own funds (capital) are a set of specially created funds and reserves intended to ensure its economic stability, absorb possible losses and are used by the bank throughout the entire period of its operation. The bank's capital performs the most important functions: providing resources for starting the work of a new credit institution, creating a basis for further growth and expansion of activities and its regulation, protecting the bank from risk, maintaining confidence in the bank and its management from outside. potential clients and counterparties; ensuring access to financial resource markets. 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 economic relations- the role of financial intermediaries. As a result, banks have a much higher level of financial leverage compared to enterprises in other economic sectors, which makes it possible to receive greater net profit per unit of equity (capital) at a significantly higher level of accepted risk. Large banks are capable of manipulating financial leverage, while for small and medium-sized banks this opportunity is limited: the asset portfolio is less diversified and more risky, access

access to loan capital markets is difficult or non-existent, requiring higher equity capital ratios.

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

This implies the basic principle of capital adequacy, which prevails in modern theory banking: the amount of the bank’s own funds (capital) must correspond to the size of its 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 monetary resources by issuing shares is an expensive method of financing compared to attracting 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 method for assessing capital, remain one of the most controversial issues in the theory of banking to this day. Historically, there have been three main ways to measure bank capital: by book value or “generally accepted principles” accounting", by "regulated accounting principles" and by market value.

From a balance sheet valuation perspective, a bank's capital is the difference between the bank's total assets and liabilities (liabilities). Valuation of capital according to regulated accounting principles involves calculating its value in accordance with the requirements established by supervisory authorities regulating 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 valuation 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 a sufficient amount of a bank's own funds has a long history. So, until the 40s. XX century in the USA, a capital-to-deposit ratio of at least 10% was considered sufficient; in the 1940s. a ratio reflecting the ratio of capital to assets began to be used, with a required minimum level of 8%; since 1981, a ratio of share capital to assets of no less than 6% was considered sufficient, and for financially stable banks - no less than 5%; since 1985, primary capital (the same composition as share capital) had to be no less than 5.5% of total assets, and the sum of primary and secondary capital (preferred shares eligible for redemption, convertible debt and subordinated bonds) - no less than 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); ratio of capital to assets (various groupings and valuations). These and other indicators are presented in table. 2. 7.

At the same time, as E. Reed, R. Cotter, E. Gill correctly note, “one cannot assume that a bank has sufficient capital just because the latter corresponds to a certain statistical average. . . Analyzing capital adequacy ratios is not much different from analyzing the creditworthiness of borrowers based on their financial statements. Not only these indicators should be analyzed, but also banking operations, as well as the risk measure characterizing 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 growing volume of international transactions, the problem of capital adequacy as a condition for reducing the risk of interbank relations has become common for the global banking community. The first attempts to solve it were made by the Committee on Banking Supervision of International Banks in the Agreement on the International Unification of Capital Accounting and Capital Standards of 1988, called the Basel Accord. The basis of the concept of assessing capital adequacy was the following principles: dividing capital into two levels - capital of the first (main) level and capital of the second (additional) level; taking into account the quality of assets by weighing assets and off-balance sheet transactions by risk, and therefore assessing capital taking into account the risk accepted by the bank; emphasis on the quality of the loan portfolio and prudent credit policy; establishing restrictions on the ratio between first and second level capital; definition regulatory requirement in terms of capital adequacy (adequacy ratio or Cook's ratio) at the level of 8% for the total amount of equity and 4% for first-tier capital. Tier 1 capital includes paid-up share capital, reserves created by capitalizing part of retained earnings, share premiums, retained earnings from previous years retained by the bank, and ordinary shares of the bank's consolidated subsidiaries paid for by third party participants. Second-tier capital consists of the following elements: reserves for the revaluation of assets as a result of fluctuations in exchange rates and assets listed on the balance sheet in the form of securities; reserves to cover losses (within 1.25% of risk-weighted assets); reserves for impairment of assets (within 1.5% of risk-weighted assets); perpetual preferred shares that are not subject to redemption and are subject to redemption based on the issuer's option; subordinated bonds. Along with the obvious advantages, the proposed method had a number of significant shortcomings, which became the reason for its further revision and improvement: lack of necessary clarity in determining the elements of capital by level; excessively large differentiation of assets by risk groups; understatement of requirements for reserves for certain species operations; focus on assessing capital only taking into account 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 bank capital adequacy taking into account interest rate and market risks, amendments to the Basel Agreement were adopted in 1996. Currently, work on the document continues, and it is planned that a new Basel agreement will provide for three levels of comprehensive regulation of capital adequacy (establishing minimum requirements for the amount 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 taking into account, in addition to credit and market risks, also operational risk, will come into effect in 2005 and will create equal competitive conditions for credit institutions in international markets, ensure the most complete compliance of the size of banks’ own capital with the entire range of risks, accompanying their activities. It is proposed to calculate the capital adequacy ratio using the following formula:

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

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

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

CRR - the total amount of market risk, thousand rubles.

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

where N1 is the capital adequacy ratio, %;

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

A is the sum of the bank’s assets, weighted taking into account 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 loan losses (part), thousand rubles. ;

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

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

K, s - the amount of credit risk for futures transactions, thousand rubles. ;

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

Objectively, there are two main sources of increasing a 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 relationship are determined by a complex set of factors: the relative costs associated with each source of capital funds; influence on ownership and control over the activities of the bank; the risk associated with each source of capital and the bank's overall risk exposure; the level of development of financial markets in which it is possible to attract new capital funds; Central Bank regulatory policy. For most medium and small banks, increasing capital from retained earnings is preferable. However, the possibility of profit capitalization is directly and directly related to the bank's dividend policy: the more profit is paid as dividends, the less of it will be capitalized. Low rates of capitalization increase the risk of bankruptcy and hinder the development of active operations; at the same time, too low a 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 determining the proportions of profit distribution between the capitalized part and the part allocated for 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, which makes it possible to assess the impact of dividend policy on the adequacy of bank capital, is considered to be the accumulation coefficient (Kn), the value of which depends on four factors: dividend policy, characterized by the share of net profit remaining after payment of dividends in the bank’s net profit (GR/GG); the effectiveness of the bank’s tax policy and the use of net income before payment of income tax; profit gauze; return on assets and the structure of the bank’s sources of funds, characterized by the capital multiplier:

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

GG - 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 - bank income for the reporting period, thousand rubles. ;

A is the amount of bank assets, thousand rubles.

The most important significance of this indicator is that it characterizes the limitation on the growth rate of the bank’s assets while maintaining a given level of capital adequacy (the constant ratio of equity capital to assets). The accumulation ratio allows you to estimate how much the bank's equity capital should be increased if the balance sheet currency increases by 1%, provided that an increase in equity capital is possible only through internal sources. Thus, the interconnection and inconsistency of categories profit And bank capital adequacy, reflecting the antagonism of the current and future interests of the bank’s shareholders and its management, manifests itself through the ratio of profits used to pay 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 own funds (capital).

The proposed five-factor multiplicative model of the accumulation coefficient can be represented as the dependence of the general indicator on factors (x, y, z, q, l): К n = x * y * z * q * l. It is recommended to calculate the influence of factors on changes in the accumulation coefficient using the chain substitution method. Then:

where Kn, Kn (x), Kn (y), Kn (z), K n (q),К n (l) - influence of factors (general, factors x, y, z, q, l, respectively) on the overall change in the accumulation coefficient; 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 own funds, there is a contradiction between the desire of the banks themselves to make do with minimal own capital, on the one hand, and the requirements of regulatory authorities to ensure the maximum amount of the bank's own capital for its reliability. This is due to the fact that excessive capitalization of the bank (too large amount of equity capital) negatively affects the bank's performance (reduces the return on 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 in the case of a deposit insurance system). The bank's liability is limited to the size of its capital, and depositors and other creditors of the bank risk a much larger amount of funds entrusted to the bank.

Maintaining a sufficient level of total capital of banks is one of the conditions for stability banking system. Capital must be sufficient to fulfill its functions, the trust of depositors and supervisory authorities.

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

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 methodology determining 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 Harmonization of Capital Calculation and Capital Standards” was concluded, which introduced the adequacy standard, usually called the “Cook ratio”. It came into force in 1993 and is currently used as a benchmark by central banks in many countries. This coefficient establishes a minimum ratio between a bank's capital and its on- and off-balance-sheet assets, weighted by risk in accordance with standards that may vary by country, but must follow a certain logic.

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

1) all bank assets 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 the calculation of total capital when determining its adequacy, second-tier capital is included in an amount not exceeding first-tier capital: K2 £ K1;

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

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

Main capital includes common shares, retained earnings, non-cumulative preferred shares, non-controlling interest in consolidated subsidiaries minus intangible fixed capital.

Additional capital includes reserves for loan losses, perpetual, long-term and convertible preferred stock plus intermediate-term preferred stock and term junior debt.

The Basel Agreement at the first stage standardized the assessment of credit and country risks, and then - interest rate and market risks. When weighing transactions by risk, the greatest difficulty is in assessing off-balance sheet transactions. Each country has some latitude in interpreting risk and applying the Basel Committee recommendations, but the recommendations insist on converting all off-balance sheet liabilities into equivalent credit risk using a specific conversion factor. The results obtained 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 removing risky types of assets from their balance sheets by introducing new financial instruments. In this way, a uniform assessment of the total risk across all bank assets is carried out.

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

Modern tendencies in banking regulation (increasing flexibility, accuracy, deformalization of regulation) necessitated changes in capital assessment standards, which was done in 2000, when the Basel Committee approved new system sufficiency assessments (Basel II, III). This system is designed in compliance with new standards in the field of banking. It includes different approaches to capital assessment (standardized, external, internal ratings - IRB) and focuses the attention of regulatory authorities on the need to more fully and accurately take into account the level of risks of credit institutions.

IN Russian practice When developing regulatory documents, the Bank of Russia for assessing capital adequacy took into account the recommendations of the Basel Committee, taking into account subsequent amendments. According to the Regulations of the Central Bank of the Russian Federation “On the methodology for calculating the own funds (capital) of credit institutions,” banks’ capital is divided into 2 levels: main and additional.

The composition of sources of own funds taken into account main equity 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 an audit firm;

· part of the current year's profit, the profit of previous years.

Reduce the amount of sources of fixed capital and 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), under-created reserves for repo transactions with securities; part of the authorized capital formed from inappropriate sources.

Additional equity consists of the following elements:

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

· reserves for possible loan losses to the extent that they can be considered as reserves general;

· bank funds and profits of the previous and reporting years before they are confirmed 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 is not higher than the refinancing rate; not claimed by the creditor before the end of the contract; payment of the principal amount of the debt in a lump sum at the end of the term; terms of interest payment are not revised; upon liquidation of the borrower bank, the creditor's claims cannot be satisfied before the claims of other creditors);

· part of the authorized capital of a joint-stock bank, formed by capitalizing the increase in the value of property during its revaluation;

· preferred shares, except those classified as equity capital;

The amount of sources of additional capital should not exceed the amount of fixed capital.

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

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

1) the absolute value of capital is determined;

2) the amount of credit risk is calculated for assets reflected on balance sheet accounts (risk-weighted assets);

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

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

5) the amount of market risk is calculated.

The capital adequacy ratio is calculated using the following formula:

N 1 = K / (SUM Kp i (A i – Pк i) + code 8930 + code 8957 +

KRV + KRS – code 8992 + RR) * 100%,

K – bank capital (sum of fixed and additional capital);

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

Pk i – the amount of reserve for possible loan losses;

code 8930 – the bank’s claims to the counterparty for the reverse (term) part of transactions that arose as a result of the acquisition of financial assets with the simultaneous assumption of obligations for their reverse alienation (part of account 937 “A-reserve”);

code 8957 – the sum of risk-weighted claims against persons associated with the bank, multiplied by a factor of 1.3;

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

KRS – the amount of credit risk for derivatives transactions;

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

RR – the value of market risks.

The minimum acceptable value of the N1 standard 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).

Bank capital, being one of the most important characteristics 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:

- maximum size risk per borrower or group of related borrowers(N6), which is determined by the ratio of the total amount of the bank’s claims to the borrower or to a group of related borrowers for loans, discounted bills, deposits in precious metals, other debt obligations, as well as off-balance sheet claims in cash (Krz) to the bank’s capital (K) in percent :

H6 = (Krz / K) · 100%.

The maximum permissible value of the coefficient H6 = 25%;

- 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 = (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 requirements for bank shareholders whose contribution to the authorized capital exceeds 5%;

- the total amount of loans and borrowings issued to insiders(N10.1), as well as guarantees and sureties issued in their favor, cannot exceed 3% of K;

- standard for using banks’ own funds to acquire shares (shares) of others legal entities (H12)installed in the mold percentage invested (Kin) and bank's own funds:

H12 = (Kin / K) 100%.

The maximum permissible value of the standard is 25%.

The methods used by regulatory authorities to determine adequate capital are its accounting estimate . Their main goal is to optimize the ratio between the amount of the bank's debt obligations and its assets. Disadvantages of accounting procedures include systematic underestimation of the real amount of capital.

Another approach is market a method of valuation in which the amount 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) of capital assessment is more accurate, problems arising when determining the price of shares of banks that do not put them up for quotation and other objective factors make it difficult for Russian (and even foreign - for the same reasons) commercial companies to apply this method banks.

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

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

The protective role of capital in the risk management system

We addressed the topic of adequate capital assessment earlier.<1>, when the crisis in the American mortgage bond market made us wonder what 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 more adequate in a crisis. In addition, recommendations were given that were more of a “firefighter” rather than methodological nature.

<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 help solve 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 operate during periods not only economic growth, but also a decline even in a crisis.

By establishing an acceptable value of capital adequacy, they limit the risk of enterprise insolvency and determine the minimum value of capital necessary to cover the risks assumed by the enterprise (credit, operational, market, etc.).

Let's agree on concepts. In the article we operate with the term “capital”, assuming that it equally characterizes such concepts as “own funds” and “ net assets". The procedure for their calculation is given in Order of the Ministry of Finance of Russia N 10n, FCSM 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 capital adequacy ratio

Capital adequacy means its 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 asset portfolio, or increase capital through additional contributions from the owners of the enterprise.

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

Capital adequacy = NA / Risks = NA / SUM A x k,
i i

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

A - 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 an enterprise's capital to the amount of its assets, weighted by risk level.

How is this formula fundamentally different from calculating the financial independence ratio? Let us recall that the autonomy coefficient is calculated as follows: Autonomy coefficient = NA / Assets, or, following the logic of the previous formula:

Autonomy coefficient = NA / SUM A x 1.
i

That is, in this formula the risk of all assets is the same and is 100%. Our task is to identify assets with reduced and increased risk, and calculate the risk-weighted, rather than nominal, value of assets.

As we discuss 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 company’s assets are exposed to risks
different sizes, and took this difference into account through the coefficient k: Sufficiency
i
capital = NA / SUM A x k.
i i

The second stage is associated with arranging the weight of assets depending on the risks to which they are exposed. An asset may be subject 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, since it is stored in a specific bank. Operational risk cannot be ruled out either: like all cash, a foreign currency deposit can be stolen (although it is obvious that the risk of theft of money from a foreign currency deposit is many times lower than the risk of theft of cash from the cash register).

So, it is necessary to decide how to assess the risks: taking into account all of them
aggregate in relation to a specific asset (option 1) or still
calculating part of the risks separately (option 2)? For example, by the same token
for a foreign currency deposit in the first option, we will estimate the credit risk at 20%,
foreign exchange - 100%, operational - 0.2%. In the second option, separately
Let's define currency and operational risks, and credit risks through k. include in
i
calculation of weighted assets. The choice of one or another option is left to the discretion of
readers, but in the future the author will follow the path chosen by the Central Bank of the Russian Federation
when calculating capital adequacy of credit institutions: part of the risks
assessed separately. This is a matter of convenience rather than methodology. However
Using the example of the same foreign currency below, we will prove that making a calculation
currency risk beyond the assets is justified.
Let us leave for now the issue of assigning risk weights to assets (k), since
i
the coefficient k depends on which of them we “put out of brackets”.
i
First, let's look at those risks that are more convenient to calculate separately, and
We will determine the residual risk for a specific asset last.

Currency risk

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

If assets exceed liabilities, we have a long currency position: we bear the risk of a fall in the exchange rate of the foreign currency against the ruble. If liabilities exceed assets, the currency position is short: we bear the risk of an increase in the exchange rate against the ruble. In addition, to calculate the position, we will 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 exist, but its magnitude 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 currency risk when calculating capital adequacy:

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

where VR is currency risk.

Market risk

Market risk is calculated for securities that have a market quote, currencies, precious metals, as well as derivative financial instruments. We have already described currency risk as the most common. 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 example, if the share of a market asset (position) exceeds 3% of the total assets, then the risks are assessed and included in the calculation of capital adequacy. Otherwise (if the share of assets with a market quote is less than 3% of the balance sheet currency), the risk can be neglected. In this case, the asset will still not be “lost”, since it will be risk-weighted among other assets, but only for one type of risk (credit).

The fact that the same asset is simultaneously exposed to several risks is confirmed by the position of the Ministry of Finance of Russia, expressed in Letter dated December 21, 2009 N PZ-4/2009 “On the disclosure of information on the organization’s financial investments in the annual financial statements". It says, in particular: Special attention should be given to the disclosure of information about potentially significant financial risks associated with the organization’s financial investments: market risks (currency, interest, price), credit risks. This information provides insight into the organization's exposure financial risks, the reasons for their occurrence, mechanisms for managing them (policies, applied procedures, 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, and foreign exchange rates.

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

In Information dated June 22, 2011 N PZ-5/2011 “On the disclosure of information about off-balance sheet items in the annual financial statements of an organization,” the Ministry of Finance of Russia indicates that derivatives instruments traded on the organized market (forwards, futures, options, swaps) are also subject to market risks and so on.).

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

Capital adequacy = NA / (SUM A x k + BP + RR),
i i

where РР is market risk.

Operational risk

Operational risk calculation<2>- a rather labor-intensive process, if you examine each material object, the qualifications of the personnel, and the technical equipment of the equipment responsible for uninterrupted operation. Fortunately, it is sometimes possible to determine risk by eye. In particular, operational risk can be calculated as a share of capital, profit, and 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 upcoming issues of the journal.

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

Capital adequacy = NA / (SUM A x k + BP + RR + OR),
i i

where OR is operational risk.

Other risks

Risk is regulated not only through the capital adequacy ratio, but also by setting limits. We can forcibly limit transactions with foreign currency and securities. Limits are a kind of “alarm levels”, upon reaching which the enterprise begins to take measures to reduce the volume of accepted risks. It is possible to combine regulatory methods, which is widely used in relation to market risks.

Concentration risks, unlike market risks, are not usually 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 capital.

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

Capital adequacy = NA / (SUM A x k + BP + RR + OR + PR + RPR),
i i

where PR is legal risk;

RPR - risk of loss of reputation.

Classification of assets based on risk

Once the magnitude of risks taken into account separately from assets has been 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 valued based on its ability to fulfill the enterprise's obligations. Assets of reduced risk can be recognized as those that are characterized by both high reliability and liquidity. These include funds in cash registers and accounts of credit institutions. We classify cash as a risk-free asset because it can pay almost any obligation, and therefore we do not require that any part of the money be secured (covered) by the capital of the enterprise. Accounts with commercial banks are also capable of instantly fulfilling obligations to creditors, but they are subject to credit risk.

Is balancing used when establishing the amount of credit risk (as when calculating currency risk)? No, it does not apply. Let us clarify this statement.

Let us assume that the balance of the current account at Bank A is
1522 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 of
current account - 1522 thousand rubles, multiplied by the risk coefficient k,
i
for example 20%. This logic is justified. If the bank due to financial
difficulties will suspend operations on the current account, then unfavorable
the consequences will not be long in coming. The possibility of counting counter
requirements will certainly help to avoid losses from writing off hopeless
debt, but will not protect us from blocking our current account.

Tangible assets have a standard ratio of 100% and are not subject to credit risk, but do carry the risk of physical loss and fall in price. 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 lower-risk assets, there are higher-risk assets, which include:

• real estate not used in activities;
• capital investments;
• equipment in conservation;
• receivables for which the repayment period has been violated.

So, in step seven, we weighed the assets based on risk.

Reserves

In the article "Internal risk control of an enterprise"<3>we noted that reserves are one of the ways to manage risks. If an enterprise creates 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 and final stage of our calculations is associated with the inclusion of created reserves for risky assets in the formula:

Capital adequacy = NA / SUM (A - P) x k + BP + RR + OR + 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 value of capital adequacy for credit institutions, established by the Central Bank of the Russian Federation, is 10%. We define the maximum value as the recommended value of the autonomy coefficient (financial independence). In particular, the Central Bank of the Russian Federation allowed enterprises with a value of this coefficient of 0.45 (45%) and higher to be among the shareholders of Russian banks<4>.

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

Currently in regulatory documents avoid specifying specific indicator values. Indeed, a single indicator is too similar to the average temperature in the hospital. Besides, regulations designed, first of all, for the analysis of external reporting (in other words, we are forced into a framework). It’s a different matter with your own reporting, which can be detailed in as much detail as you like.

In order to demonstrate the qualitative difference between the capital adequacy indicator and the autonomy indicator, let’s imagine two balance sheets:

Autonomy coefficient = 10,000 rub. / 100,000 rub. = 0.1 (10%).

Capital adequacy, on the contrary, tends to infinity, since cash risk is 0 (RUB 10,000 / RUB 100,000 x 0%).

Autonomy coefficient = 50,000 rub. / 100,000 rub. = 0.5 (50%).

Capital adequacy = RUB 50,000. / 100,000 rub. x 150% = 0.33 (33%).

Obviously, in the first case, the company will easily fulfill its obligations, in the second, it will face a liquidity crisis at the 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 the enterprise to bankruptcy.

So, let us assume that the permissible value of capital adequacy is in the range from 10 to 45%. Which coefficient value 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 - trade in food products). Secondly, the absolute value of the enterprise's NA plays an important role. According to the author, the following boundaries can be established:

• NA less than 50 million rubles. - coefficient of at least 45%;
• NA from 50 to 200 million rubles. - coefficient 35 - 45%;
• NAV above 200 million rubles. - coefficient not lower than 30%.

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

Stress testing

One way to determine capital adequacy and set 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 overall capital requirement, and also evaluate the accuracy of your own risk assessment model.

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

If a certain risk area is particularly dangerous, then correction factors can be introduced into the basic formula. For example, for credit institutions, the Central Bank of the Russian Federation has established an increasing coefficient of operational and interest rate risk equal to ten (10).

Using a specific example

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

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 lives up to the expectations placed on it by the owner.

Below is an auxiliary table for calculating capital adequacy, based on the balance sheet.

Table 2. Balance sheet with explanation

The data presented in the table is reliable, assets are valued at fair value, and appropriate reserves for possible losses have been formed. 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 equivalent, which creates a problem area. The company would not have been able to carry out this transaction on its own due to a lack of collateral. There are securities worth 349 thousand rubles on the balance sheet; they cannot be sold because they are pledged under a short-term loan.

Let's move on to the calculations.

NA = (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 4 90+ 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 = 5,187 125 - 2 928 222 = 2 258,903 (RUB).

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

Currency risk is calculated for each currency separately:

BP = (890,040 - 112,835) + 57,431 = 834,636 (rub.).

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

RR = 348,756 rub.

Other risks (operational, legal, loss of reputation) are estimated at 7% of the average annual profit for the last three years, which amounts to RUB 22,300.

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

Table 3. Risk calculation for assets and off-balance sheet liabilities

Autonomy coefficient = 2,258,903 / 5,187,125 (RUB) = 0.44 (44%).

The enterprise is located outside the permissible risk zone. Capital adequacy is 32% versus the recommended 45%. As can be seen from the calculations, the autonomy coefficient 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) lead us to the conclusion that it is necessary to take urgent measures to correct the situation: first, convert a foreign currency loan into a ruble loan; secondly, put new equipment into operation; thirdly, after repaying a short-term loan, determine the feasibility of owning securities.

Why such difficulties?

Risk assessment methods 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. The world's leading banks, rating agencies, and auditors on the eve of the global financial crisis of 2008 were armed with the most advanced control methods. However, the risk assessment system has failed so seriously that it has jeopardized the economic well-being of the world as a whole. The causes of the crisis identified by the results of the analysis were not so much the lack of risk assessment methods adequate to the level of development of financial markets, but rather the artificial understatement of the level of risks. In pursuit of profit, calculations were “adjusted” in such a way that portfolios of high-yield (and therefore high-risk) securities were formally included in the standards of reliable assets.

Let us determine in what cases the proposed methodology will serve our interests. Firstly, starting from 2012, we need to provide regulatory authorities with evidence that risks are being managed at our enterprise. At the moment, no formalized requirements have been established, therefore, in the author’s opinion, the presence of a risk assessment system through the calculation of capital adequacy closes the issue.

Secondly, this technique allows you to create a protective mechanism against external threats and internal weaknesses of the enterprise. At the initial stages, it is important to identify all risks and look at them with an open mind. Russian enterprises it is much easier to morally assess the risks since they are not exposed to many of them. We, unlike Western financial institutions, do not need to turn a blind eye to the so-called “toxic assets”. However, we also have our weaknesses, including:

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

As part of management reporting, we have no one to deceive but ourselves. The main task is not to carefully select coefficients, but to see the real picture of areas that are vulnerable in terms of risks. Unfortunately, people become interested in risks only when they have to take rescue rather than preventive measures. Changing your own psychology and forcing yourself to pay attention to potential risks is a truly difficult task.

O.E.Orlova

Journal expert

"Current accounting issues

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 covering various risks. Capital absorbs the unexpected Simanovsky A.Yu. “Provisions for possible loan losses: international experience and some issues of methodology”, “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. Capital is also largely taken into account when determining a bank's creditworthiness.

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

Sufficient capital, as is known, forms a kind of “cushion” that allows the bank to remain solvent and continue operations, despite any events. An undercapitalized bank is exposed to a disproportionately higher risk of bankruptcy if macroeconomic or other business conditions worsen. At the same time, an overcapitalized bank is usually low-maneuverable and non-competitive in the capital and credit markets.

Capital adequacy is the bank’s ability to continue to provide the same volume of traditional banking services of standard quality, 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 for its own activities and compensate for losses arising in its process exclusively from its own sources of funds, i.e. be, in principle, able to pay all obligations assumed. 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 solvency of the bank, it can only be reflected in the real ability to meet its obligations if the bank has to meet all its obligations simultaneously or over a very short period of time, without having sources of replenishment funds, which is possible either in the process of a panicked mass exodus of clients from the bank or in the event of its liquidation. Therefore, considering financial condition A bank should keep in mind that assessing the adequacy of its capital, first of all, makes it possible to judge the possibility of potential problems with solvency and its ability, in the event of liquidation, to fully satisfy the claims of creditors.

From this definition it is easy to identify the factors that determine how capitalized a particular bank is. 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 and individuals; Secondly, on the size of the risks that the bank undertakes when conducting active operations. The optimal banking policy in the field of capitalization consists precisely in maintaining an acceptable level of risk unchanged by increasing equity capital.

Bankers and supervisory authorities mainly 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 various compositions) to total deposits (contributions);
• - the second group is based on the ratio of capital (in all possible modifications) and assets (of various compositions).

The ratio of equity to deposits is based on the consideration of capital as a means of protecting creditors. This ratio has proven to be the most enduring and popular of all the indicators proposed to measure the degree of capital adequacy. In the US it has been officially recommended by the Comptroller money circulation in 1914 and was used as a legal measure of the capital adequacy of national banks until the mid-20th century.

As for the optimal value of the main of this group of coefficients - the capital/deposit ratio, disputes around the 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 ​​are determined by the stage of socio-economic development, the phase of the economic cycle, the volume of the money supply, the inflation rate, the level of savings of the population and the degree of competition (concentration of banking institutions). Empirically, there is an idea that the optimal value should range from 0.08 to 0.2.

In the second third of the 20th century, the views of regulatory authorities on capital adequacy underwent a radical revision. The prevailing view has become that the need for capital depends not on deposits, but on assets: capital adequacy should indicate what losses the bank can incur without harming 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 occur as a result of active operations of the bank, which the latter conducts primarily 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 complexity of the technological and economic bases, the sphere of monetary circulation and the financial system of countries of industrial culture in the post-war period and in the present period. New opportunities for applying capital, new financial instruments have emerged and, accordingly, the range of various risks has expanded. Until now, the controversy surrounding the coefficients of this group has not subsided. This is mainly explained by objective processes in the monetary and financial spheres.

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

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

In 1981, the US federal supervisory authorities introduced the following rule: a ratio of share capital (including common shares, reserve accounts, preferred shares and part of debt obligations convertible into common shares) to assets of at least 6% was considered sufficient, and for financially sound 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. Primary capital was identical in composition to share capital; secondary capital included a number of other components: redeemable preferred shares, convertible debt obligations and subordinated bonds.

In 1985, US supervisory agencies introduced uniform requirements for minimum capital: primary capital had to be no less than 5.5% of total assets, and the sum of primary and secondary capital no less than 6%. Large banks saw these rules as a threat to their entire competitiveness in global 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 encourage proper management of the risks arising from this feature of the balance sheet structure of banks, the supervisory authorities of many countries have introduced certain capital adequacy requirements.

From the whole spectrum possible ways To determine capital adequacy, the Basel Committee chose to compare the bank's capital and the value of its risk-weighted assets. This coefficient was named Cook after the head of the Basel Committee in 1977-1988.

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

The 1988 Capital Accord (today referred to as Basel I) sets requirements for a minimum agreement on equity 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. Supervisory authorities should establish more high performance capital adequacy and encourage supervised banks to operate with capital in excess of minimum requirements.

The methodology for calculating the coefficients of the minimum capital requirement, proposed by the Basel Committee in 1988, is based on the principle of taking into account the quality of the bank’s assets and the risks associated with them. 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. Also partially taken into account investment risk on government securities with a fixed interest rate.

In the ten years since the adoption of the 1988 Agreement, there have been many major changes in the structure and operations of the Western financial sector. In the practice of banks, non-traditional financial schemes began to be widely used, and new types of financial instruments emerged and became widespread. Level of financial risks in various areas financial activities increased significantly. All these processes weakened the effect achieved in the early 90s associated with an increase in capital ratios and reduced the ability of banks to counteract financial crises.

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

In June 1999, the Basel Committee published a report outlining new approaches to the problem of ensuring capital adequacy and improving the monitoring of banks' compliance with prudential standards. Three reasons were given that most determined the changes to the methodology for calculating adequate capital. Firstly, it is impossible, based on the current approach, to accurately assess the real quality of banking assets and the magnitude of the risks associated with them, since the risk weights used in the practice of banks provide only a rough assessment of them. Secondly, the ability, by manipulating assets and changing the portfolio structure, to influence the assessment of the amount of required capital, which led to a gap between the actual amount of risks accepted by banks and the calculated assessment based on the Basel methodology.

Thirdly, the current Agreement did not encourage banks to use protective technologies that reduce risk. When calculating capital ratios, it was poorly taken into account positive role collateral and guarantees for credit transactions.

Thus, the main changes contained in new scheme, relate to the procedure for weighing assets by risk. The Committee proposed expanding the scope of risks taken into account. Three large categories are 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 the bank balance sheet, 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= Equity / 8% = Credit risk/6% + Operational risk/1.6% + Market risk/0.4%

Central banks and supervisory authorities 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 the agreement "Basel II: International Capital Measurement Standards - Refined Agreement". The agreement addresses 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 for introduction by central banks largest countries world since 2007, but the impact of new principles for assessing capitalization on the work of global financial systems it will be noticeable much sooner. Already, Western banks are gradually revising the principles of their work, preparing for the 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.

Developing new edition Agreement, the Committee was guided by the adoption of more risk-sensitive capital requirements, which at the same time take into account the supervisory and accounting characteristics of each G10 member country. At the same time, the main provisions of the 1988 Agreement on capital adequacy are preserved, including: General requirements banks to maintain capital equivalent to 8% of risk-weighted assets, as well as the main provisions of the Market Risk Amendment of 1996 and the definition of capital adequacy.

An important innovation is the possibility of wider use of risk assessments based on internal (proprietary) models and methods. However, the Committee proposes a set of minimum requirements designed to ensure the completeness of these internal assessments risks. The requirements are strengthened at the conceptual and qualitative levels, since the Basel Committee does not aim to dictate the form and operational details of risk management adopted by banks.

The new version of the Agreement offers a set of options for defining capital requirements for covering credit and operational risks, allowing banks and national supervisors to choose approaches that are most appropriate for their operations and the national market infrastructure of the financial sector.

It should be noted that the Agreement establishes only minimum capital levels for banks that are active participants in international markets. National supervisors may set higher minimum capital levels. Moreover, they may introduce additional standards for assessing capital adequacy. While Basel II is more risk sensitive than the 1988 Agreement, banks and regulators in countries with high general economic and banking risks are advised to maintain a higher level of capital than the minimum established by the Agreement.

The Committee intends to conduct extra work long-term nature in the field of determining capital adequacy. This is because the changes in the handling of expected and unexpected losses and the corresponding changes in provisioning proposed in the Agreement generally result in lower Tier 1 capital requirements, which in turn affects total capital requirements. Moreover, the creation 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. Issues related to determining the minimum required amount of capital will continue to be considered.

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 Russian Federation(Bank of Russia)" The federal law dated 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 put into effect 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 equity adequacy and other indicators, the calculation of which is related to the amount of equity capital of credit institutions.

When calculating the equity adequacy ratio, defined in in the prescribed manner(in accordance with Bank of Russia Regulation No. 215-P) the amount of equity capital correlates with risky assets. Assets are divided into 5 groups with weighting coefficients of 0, 10, 20, 70, 100%. Zero risk is assigned to funds in correspondent accounts with the Bank of Russia, funds in required reserve accounts with the Bank of Russia, investments in Bank of Russia bonds and government securities of countries included in the group developed countries. Cash and equivalent assets have a 2% risk. Some types of loans (guaranteed by the Russian Government, secured by precious metals) issued to the Russian Ministry of Finance, 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 constituent entities of the Russian Federation and loans secured by these obligations, correspondent accounts in non-resident banks from the group of developed countries and some types of loans. The group with 70% risk includes funds in the accounts of Russian resident banks and non-resident banks not included in the group of developed countries. Other assets have 100% risk.

A comparative analysis of the methodology for weighing assets by risk level in accordance with Instruction No. 1 and the Basel standards is presented in Table 1.

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

The Russian method of weighing assets by risk has its own characteristics associated with the specific 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, while other categories of loans received 30-70% risk. Then the conditions were tightened, and from 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 more stringent) differences in the Russian methodology in terms of risk weights for individual asset items:

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

Since 1998, the amount of risky assets of banks 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 futures transactions. Since April 2000, in accordance with international standards When calculating the equity adequacy ratio, market risk is taken into account.

The minimum acceptable value of the banks' own funds (capital) ratio changed, following changes in the operating conditions of banks. Before 1996, the standard was 4%. Then it was raised to 5% and further, increasing annually, reaching 8% by February 1999, and since January 2000 it was established for credit institutions with a capital equivalent to 5 million EUROS or more in the amount of 10%, and with capital less than 5 million EURO - 11%.

The development strategy of the banking sector of the Russian Federation for the period until 2008 provides for amendments to the legislation of the Russian Federation. The capital adequacy requirement, failure to comply with which is considered as grounds for mandatory revocation of the banking license, will be set at 10%. This requirement will apply to all credit institutions, regardless of type (banks, non-bank credit organizations) and the amount of equity (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 December 30, 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 amount of authorized capital of a newly created bank in ruble equivalent, corresponding to 5 million EURO.

Thus, Russian requirements in terms of capital, 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 Russian system accounting, to adjust requirements taking into account the conditions for the formation of the Russian banking system.