Institutions 

Secret operation: why the Bank of Russia takes away from banks "extra money. The Bank of Russia is withdrawing redundant liquidity at the banking sector. What is the structural surplus of liquidity

The bank has two extremes: it can be both insufficient and redundant. And if it is quite easy to get rid of insufficient liquidity (use of public funds), then a relatively redundant issue is sharper.

So, under excess liquidity It is understood by the situation when the bank has sufficient number Money, but does not want to place them on the market, since the risk that the borrowers simply will not be returned. Excessive liquidity is the concept that characterizes the modern banking system in Russia.

Banks can be understood in their desire to work exclusively with proven customers and subjected to a thorough check of each novice: if organizations are not returned, it will be the problem of exclusively the organization itself and no one, therefore, assistance from the state (which could manifest itself, for example, in the creditor insurance By analogy with insuring deposits) you will not wait. As a result of the foregoing, everything is suffering: banks due to excess cash are forced to lower interest rates, and therefore getting less interest income, potential borrowers face widespread failures and cannot take a loan, even if they want, and the state is not able to achieve those pace Growth of the economy to which it counts.

Causes of excess liquidity

There is no consensus about why "transfiquses" is formed, no, however, the main points of view that experts are adhered to, as follows:

  1. Tall. The case is not at all in the good faith of citizens, but in the overall instability of the economy. It is for this reason that even a thorough check of the borrower's solvency and its positive is not a guarantee that obligations will be executed. It may be fired at any time regardless of the experience and merit and deprived of funds to repay the loan. The borrower's faults are also not, because when he took a loan, did not count on what would be dismissed. Similar situation – this problem for banks, because no effective methods Forecasting a percentage of return, as it turns out, no.
  1. Reducing lending. Citizens themselves, being in a situation of financial uncertainty, are not harder to communicate with loans. Hence the fall of interest in all segments: retail, corporate and investment. It turns out that banks and want to give a loan, but no one. In part, such a situation is caused by the financial illiteracy of the population - the majority still fears to be in the debt, although modern legislation And it claims that the amount of the fine can not be more loan amount.
  1. Lack of liquidity applications. One of the most interesting opinions was expressed by D. Lepetikov, director of Marketing VTB24. In his opinion, it is impossible to assume that the only way Fight with excess liquidity is to increase the number of loans. Banks could invest free funds, for example, in innovative developments or funds, but they have to refuse, since for banks funding costs money, which in the future will have to "beat".

Such three reasons are the main, but they all are reduced to one big problem - instability of the national economy.

How to deal with excess liquidity?

Stand out the following methods Wrestling with excess liquidity:

  1. 1. The redemption of their own debt liabilities issued at a high rate will improve the structure of bank debts.
  1. 2. Increasing the activity of banks in the foreign exchange and stock markets - thanks to this, the money will not "lie down", and the volume of operations will grow. However, there is a danger of exchange games - to invest only in those assets that correspond to the Bank's policies on the risk-yield ratio.
  1. 3. The bank must try to find such which would immediately meet the three requirements: was promising (it means potentially profitable), I needed financing and had a permissible level of risk. To get rid of the re-fulfillment of liquidity, the Bank will have to offer this segment flexible in terms of cost and terms of conditions.

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According to the rules of the Central Bank of the Russian Federation, forced measures of impact on the credit institution can be applied in the event of a violation of the standard in the aggregate six or more days for any 30 consecutive operational days in a row. However, quite often banks have a few more time than five days, to correct the situation. Conditionally violations on time can be divided into three categories: up to five days - short-term; from 5 to 10 days - the medium, when there is not very high probability applications sanction from the Central Bank; Long violation - more than 10 days.

With the purpose of finding out the situation with violations of standards by experts, an analysis of violations of N1 standards (capital adequacy) was carried out, H2 (instant liquidity), H3 (current liquidity), H4 (long-term liquidity) over the past year and a half, from the beginning of 2011 to May 1, 2012 . The results of the study showed that the normatives were violated in just a denotated period. 49 violators were revealed, 16 of which licenses were revoked.

As an important output of the study, it can be noted that absolutely all 11 banks that allowed violations at the same time more than one standard, licensed licenses.

Positive looks the fact that among the violators there are no large, system-forming banks. The most large credit institutions that made violations of the standards were the Globax Bank, which occupies the 30th place in terms of assets, SME Bank - 46th place and Novikombank - 51 place. These rather large banks have experienced short-term violations of one of the standards, which, as a rule, was associated with the "technical" reasons, and not financial problems.

In the studied period, only one bank distinguished itself to the violation of all four of the most important standards. This bank was the Ulyanovsky PV-Bank, lost license on April 13, 2012. At the same time, two banks violated three standards at the same time. Multibank and the International Trade and Industrial Bank admitted simultaneous violations of standards H1, H2, H3 and H1, H3, H4, respectively. It is worth noting that both credit organizations that allowed violations of three standards reflected in the balance of actually missing securities and did not create adequate reserves for possible losses, which was revealed during mass checks of the Central Bank for the involvement of banks to the "schemes" of Matvey Urin. As a result, Multibank and International Trade and Industrial Bank have lost licenses in the spring of 2011.

If the simultaneous violation of several standards led to the revocation of a license in 100% of cases, then when only one standard is not fulfilled, the likelihood of license is much lower. As statistics show, in violation of the instantal liquidity ratio, the likelihood of loss of banking rights is 50%. Three banks from six violating this provision lost licenses.

The failure of the standard liquidity ratio led to the review of the license only in one bank out of 20, and thus the probability of license revocation due to the violation of the N3 standard is only 5%.

In turn, the standard of long-term liquidity (H4) was broken by two banks, and at the same time neither one of them had a license due to the data of violations. Thus, of the three liquidity standards for banks, it is much more important to control the status of a norm of instant liquidity, as its violation is more likely to lead to a review of the license.

Of the ten banks that demonstrated a violation of the capital adequacy ratio, only one has been withdrawn by a license. Weeke Bank lost the right to banking activities on October 31, 2011, which was the result of non-fulfillment of the requirements of the Central Bank for capital adequacy within 70 days (41 days in a row) in March-June 2011. Violations of the remaining 9 banks were much less prolonged in time. Most of the violations on this standard was registered in the first half of 2011, and later sued no. At the same time, with the current trend of the growth of assets, which significantly overtakes the growth of equity, the number of banks that do not fulfill the requirements of the Central Bank for sufficiency may noticeably grow in the medium term.

Since August 2011, the tendency of the deterioration in the situation with liquidity in the Russian banking system has affected both the number of violators of mandatory standards and on the number of banking licenses due to chronic violations of H2 and H3 standards. If for the first eight months of 2011 licenses for this reason were deprived of only two credit organizations - Rusich Center Bank and Ratibor Bank, then for the period from September 2011 to May 2012 - they were already nine, of which five simultaneously violated the instantaneous standards at the same time and current liquidity. Thus, the crisis of liquidity, which in the sluggish mode develops in the banking system from the second half of 2011, collects its "harvest" of bankrupt banks.

In the case of further expanding the liquidity deficit in the country's banking sector, which is likely against the background of crisis phenomena in world and Russian economies, most likely, the number of credit institutions devoid of licenses will grow due to non-compliance with the Central Bank standards. It is most likely that problems will arise in small banks that are not among the 200 largest assets, as large banks tend to have good opportunities for expanding the resource base that reduce the risks of liquidity loss.

All banks who have been withdrawn by a license due to violation of mandatory standards, allowed significant violations. At the same time, credit organizations that allowed minor violations on liquidity or sufficiency even long periods of time were able to continue their activities. Thus, not only the very fact of the violation and its duration in time, but also the deviation from the established minimum value is important.

Jorg Bongartz: If the problem of excess liquidity is stretched on long termSo market mechanisms do not work

During the period of the acute phase of the crisis, many market participants entrusted their funds to the management of foreign banks. How the financial and credit institution managed to cope with a sharp influx of liquidity, as well as how the "Cart" of income in the post-crisis period changed, told the Chairman of the Board of Deutsche Bank Jorg Bongartz.

NBJ.: Some market participants noted that today there is a problem of excess liquidity. Do you agree with this opinion?

J. Bongartz: Banks gradually returned the Central Bank more expensive liquidity sources and replaced them cheaper. For example, retail banks due to attracting population were able to significantly increase their assets in a short period of time. And on this moment We believe that approximately 25% of assets in the banking sector are liquid. This is a very high coefficient: to crisis - 15%. However, this is explained by several reasons. First, Russian banks historically hold more liquidity than their foreign colleagues. This is due to the fact that in Russia it was not possible to solve the problem of the lack of "long" resources, credit organizations cannot agree with depositors about the placement of funds for the long-term period. In terms of high volatility, banks are forced to insure and keep more liquidity on their accounts.

Secondly, lending is restored very slowly due to the existence of high market risks in the country and the world. Today, banks prefer to work with a narrow circle of high-quality borrowers. And borrowers, in turn, both legal and individuals, try to "live" by means and reduce the size of borrowing. These two factors constrain the growth of the loan portfolio.

However, as statistics shows, the main economic indicators are improving and the situation stabilizes. Official figures confirm our clients who note the growth of investors' activity on russian market. The change in "sentiment" affects the activities of our bank: the volumes and number of settlement operations, "home" and international, increase.

We must not forget that during the crisis of the company and they themselves have accumulated quite a lot of liquidity due to the fact that they reduced their activity, reduced production and expenses and postponed investment programs. As a result of the company of the oil and gas sector, for example, formed a large "pillow" of financial security and now do not need borrowed funds.

NBJ.: Do you have excess liquidity in your bank?

J. Bongartz: In the fourth quarter of 2008, there are a lot of customers, old and new ones, brought our liquidity to us. It was an extreme time, and commercial organizations were looking for tools to preserve their funds, tried to create a "pillow" of security in case the financial markets cling.

We did not limit the influx of funds, regarding the current situation as a chance to expand our share in the market. At the same time, we realized that such a policy could subsequently cost us, because it was not enough to take funds - it is necessary to adequately accommodate them. Now we understand that they made the right decision.

Our main lifting of liquidity has occurred at the expense of partner banks who have placed their funds. It is worth noting that at that time we could offer them the minimum margin, aspiring to zero. However, even on such conditions, they were ready to post funds from us, because many negative news came from the market even from the world's largest banks. And our bank has considered as a "quiet harbor".

As for the corporate sector, the situation developed almost the same way: treasurers of large industrial corporations, as a rule, placed free liquidity in three-four partner banks. At the same time, many enterprises were even ready to place currency deposits without interest.

NBJ.: Do you think is dangerous, in your opinion, an excess of liquidity?

J. Bongartz: Liquidity deficit can be corrected by entering the banking system of public resources. From excess liquidity to get rid of much more difficult.

Theoretically, in the event of excessive liquidity, banks should begin to reduce interest rates on loans. Thus, the balance between supply and demand is restored and the volume of liquidity in the market is optimized. If the problem of excess liquidity is stretched for a long period of time, then this means that market mechanisms of self-regulation are not triggered. That is, banks produce too much liquidity, which they are not able to adequately post. While market participants fail to get rid of "nervousness" and until they reach mutual understanding, market mechanisms will not be included.

Answering the first question, I will say that due to the existence of excess liquidity and reduce interest rates, the profitability of banking business is reduced. As I said, excess money leads to a decrease in loan rates, respectively, interest incomes of banks fall. However, this article of income can be compensated by the growth of commission payments. For example, Deutsche Bank now a significant part of profits forms due to an increase in the number and volume of calculated operations, expanding the product line.

NBJ.: That is, if banks do not find effective mechanisms for making money, then at the end of the year they can show a negative result?

J. Bongartz: Completion of the year "In the minus" can not be eliminated by some banks. Although I do not think that because of this, the consequences in general for the banking system or for individual banks will be very serious.

Now the demand for lending is growing. There are many firms on the market that they want to get a loan, but cannot. First of all, these are representatives of small and medium-sized businesses, the company of the third echelon. Use this "resource" banks still interfere high risksI spoke about.

NBJ.: Do you celebrate competition in the banking market?

J. Bongartz: Competition increases, but customers still prefer not to take risky actions and choose reliability. Those customers who came to us in the sharp phase of the crisis, and now remain with us. True, if earlier they were placed in two or three large banks, today the number of partners increased to five to ten. This is a normal situation.

However, we must actively compete with other banks. But we should not compete for liquidity (as I said, we have superconduct, and it is unprofitable for us), but for customer service.

NBJ.: Some companies are trying to pay expensive loans to the crisis. Does this phenomenon do not exacerbate the situation of the deficit of high-quality borrowers?

J. Bongartz: Indeed, such a tendency is observed both in the domestic and international markets. However, the borrower can not always (or it is not always profitable for him) early to pay off the expensive loan, since the lenders in most cases provided for such an opportunity in the contract and exhibited quite rigid conditions. Therefore, negotiations are conducted, but massacre this phenomenon not yet received.

NBJ.: What are your forecasts for 2010? What are you waiting for financial results according to its results?

J. Bongartz: If we talk about the results of the first months, then, due to the stabilization of the situation on the market, large transactions began to be concluded, which last year there was practically not. The second positive phenomenon for the Bank is the expansion of our share in the market of commercial banking services. I expect that this year the bank's commission income will grow.

In addition, operations on global foreign exchange markets, risk hedging tools, structural solutions that we offer our customers also bring good profits. I note that when insecurity grows in the market, our profitability is growing in this sector, because customers want to insure against the fluctuations of interest rates, currency risks.

What result by the end of the year will bring the effect of interest rates, while it is too early to talk. Much depends on how the situation will develop in the second half of the year. However, in the first half of the year, our margin compared with the pre-crisis declined almost twice.

If in 2010 yield and will be less than in 2009, then this difference will be completely insignificant. It should be noted that 2009 was quite efficient for us.

The concept of liquidity means the possibility of the Bank in a timely manner and fully ensure the fulfillment of their debt and financial obligations to all counterparties, which is determined by the presence of sufficient equity, the optimal placement of funds and the amount of funds under the articles of the asset and the balance liability, taking into account the relevant deadlines. In other words, the liquidity of the commercial bank is based on the constant maintenance of the objectively necessary relationship between the three components: the bank's own capital attracted and placed means.

The risk of liquidity is the risk of losses due to the inability of the Bank to ensure the fulfillment of its obligations in full. The risk of liquidity arises as a result of the unbalance of financial assets and financial obligations of the Bank (including due to the late execution of financial obligations by one or more bank counterparties) and (or) the emergence of the unforeseen need for immediate and one-time execution by the Bank of its financial obligations.

The risk of insufficient liquidity is the risk that the bank will not be able to fulfill its obligations in a timely manner or this will require the sale of individual assets of the bank under disadvantageous conditions. The risk of excessive liquidity is the risk of the bank's income loss due to an excess of highly liquid assets, but little or no income of assets and, as a result, unjustified financing of low-income assets due to the resources attracted. The risk of liquidity loss is associated with the impossibility of the Bank, to fulfill its obligations on payments within the agreed period, to quickly turn their assets in cash for making payments on deposits.

Insufficient liquidity leads to the insolvency of the credit institution. If the credit organization did not fulfill its obligations in a timely manner before depositors and it became known about this, the "Snow Coma effect" appears - avalanche-shaped outflow of deposits and balances on the settlement accounts, leading to principal insolvency.

The risk of liquidity, on the one hand, is closely related to the mismatch of assets and liabilities (that is, using short unstable liabilities for medium-term or long-term active operations), and, on the other hand, with loss of opportunity (due to the overall market situation or the deterioration of the Bank's image) Attract resources to fulfill current liabilities.

The level of liquidity risk affects various factors, among them:

  • · The quality of the bank's assets (if the bank's portfolio has a significant amount of non-working and non-refundable assets that are not secured by sufficient reserves or own funds, then such a bank will lose liquidity due to the need to fund such assets with attracted resources);
  • · Asset diversify;
  • · Bank interest policy and general level its profitability of its operations (continued excess of bank expenditures on its income can lead to loss of liquidity);

· The value of currency and percentage risks, the implementation of which can lead to impairment or inadequate level of recoil of working assets;

  • · Stability of bank liabilities;
  • · The consistency of the timing of resource attracting and place them into active operations;

· The image of the bank, providing him with the opportunity if necessary, quickly attract third-party borrowed funds.

The risk of liquidity is closely associated with such risks: credit, market, interest and currency. Thus, for example, credit risk worsens the liquidity of the Bank, since it leads to a violation of the balance of assets and liabilities in terms and amounts; A market, currency and interest risks can cause a decrease in the value of the bank's assets or increase the cost of liabilities.

A commercial bank is considered to be liquid, if the amounts of its cash and other liquid assets, as well as the opportunity to quickly mobilize funds from other sources of sufficient to the timely repayment of debt and financial obligations. In addition, the liquid reserve is necessary to meet almost any unforeseen financial needs: the conclusions of profitable loan or investment transactions; At compensation for seasonal and unforeseen fluctuations in demand for credit, replenishment of funds with unexpected deposits, etc.

The risk of illiquidity can be revealed as the risk of imbalance of the balance in the liquidity part.

The balance is considered to be liquid if its condition allows the rapid realization of funds to cover urgent liability obligations on the asset. The possibility of the rapid transformation of the bank's assets into a monetary form to fulfill its obligations is predetermined by a number of factors, among which the decisive is the correspondence of the timing of the placement of funds to attract resources. In other words, what is the passive passive, such should be asset. Only then is equilibrium in the balance between the amount and the period of release of funds on the assets in cash and the sum and the deadline for the forthcoming payment on the obligations of the Bank.

The liquidity of the balance of the bank is influenced by the structure of its assets: the more the proportion of first-class liquid funds in the total amount of assets, the higher the liquidity of the bank. Bank assets for liquidity degree can be divided into three groups:

  • 1) liquid funds in immediate readiness, or first-class liquid funds (cash desk, funds on the corschet, first-class notes and government securities);
  • 2) liquid funds at the disposal of the bank that can be transformed into funds. We are talking about loans and other payments, in favor of the bank with the deadlines in the next 30 days, conditionally implemented valuable papersah, registered on the stock exchange (like participation in other enterprises and banks), and other values \u200b\u200b(including intangible assets);
  • 3) illiquid assets (overdue loans are unreliable debts, buildings and structures belonging to the bank and related to fixed assets).

When analyzing the risk of illiquidity, first-class liquid funds are taken into account.

There are the following methods for assessing and managing the risk of liquidity:

analysis and assessment of the ratio of assets and liabilities according to the degree of liquidity, i.e. Assets and liabilities are distributed according to the relevant groups according to the degree of liquidity decrease and taking into account their term and quality.

the rupture method or staircase is based on comparison of active and passive balance sheet items, taking into account the period remaining to their repayment. Bill Bill Index Liquidity Liquidity

One of the methods widely used for quantitative assessment Entrepreneurial risks is the analysis of the financial condition of the enterprise (firm). This is one of the most available methods Relative risk assessment, both for the entrepreneur of the owner of the enterprise and for its partners.

The financial condition of the enterprise is a comprehensive concept characterized by a system of absolute and relative indicators reflecting the availability, placement and use of enterprise financial resources and in the aggregate determining the sustainability of the economic situation of the enterprise and the reliability of it as a business partner.

From the point of view of estimating the level of entrepreneurial risk in the system of indicators characterizing the financial condition of enterprises, the indicators of solvency are of particular interest.

Under solvency is understood as the willingness of the enterprise to pay debts in the case of simultaneous presentation of requirements from all creditors of the company's payments on short-term obligations (according to the long-term - the return period is known in advance).

The use of solvency indicators makes it possible to evaluate at a specific point in time the readiness of the enterprise to settle with creditors on priority (short-term) payments to its own means.

The main indicator of solvency is liquidity coefficient.

The solvency of the Bank depends on many factors. The Central Bank establishes a number of conditions that can be carried out to maintain their solvency. The most important of them: restriction of the obligations of the Bank, refinancing banks by the Central Bank, reserving part of the Bank's funds on a correspondent account in the Central Bank.

The risk of insolvency may well lead to bankruptcy of the bank. The seriousness of the risk of bankruptcy is estimated by the magnitude of the corresponding probability. If the probability of small, then it is often neglected. Of course, the probability of bankruptcy is different from zero in almost any deal due to very unlikely catastrophic events in financial markets, on the scale of the state, due to natural phenomena, etc., however, bankruptcy occur. Another thing is what the reason for whom it is necessary, who made it.

In the practice of analyzing financial spending, several liquidity ratios are used depending on the purpose and analysis objectives. They are used to assess whether the company is able to cover the costs associated with its short-term obligations, or pay for their accounts and remain solvent.

The absolute liquidity ratio (Cal) characterizes the degree of mobility of the company's assets, providing timely payment on its debt, and is determined from the expression:

where sv - the cost of high liquid funds (cash in banks and cash desks, securities, deposits, and TP.); T0 - the current obligations of the enterprise (the sum of short-term debt).

The current liquidity ratio (K) shows the extent to which current needs are provided with their own funds of the enterprise, without attracting loans from outside, and is determined from the expression:

CTL \u003d SV + SS

where C is the cost of medium liquidity funds (inventory, receivables, etc.).

Critical evaluation coefficient (or lactium paper coefficient)

KKO \u003d Cash + receivables

Short-term liabilities

with the help of which only the most liquid current assets are estimated: cash and market securities.

The above indicators (their calculated value) can be a guide to assess the financial condition of the enterprise in comparison with regulatory values.

For example, theoretically, the absolute liquidity coefficient must be equal to or more. However, given the low probability that all enterprise lenders simultaneously present him debt requirements, in practice the value of this coefficient can be significantly lower. In countries with a developed market economy, it is considered normal if the value of the absolute liquidity coefficient is not lower than 0.2 - / /.25.

In the practice of developed countries, the regulatory value of the current liquidity ratio for various industries ranges from 2.0 to 2.5, i.e. The optimal need of an enterprise in liquid funds should be at the level when they are about two times higher than short-term debt. The daily work of the Commercial Bank for liquidity management is aimed at self-preservation of the Bank, the condition of which is uninterrupted fulfilling commitments to customers. From an organizational point of view, it involves compliance with the ratios of individual groups and liabilities and assets of balance fixed in certain indicators. Such indicators are divided into external and internal.

For a commercial bank, the overall basis of liquidity is to ensure the profitability of production activities (operations performed). At the same time, the features of his work as a facility based on the use of customer funds, dictates the need to apply specific liquidity indicators.

Although the total and specific liquidity of the commercial bank complement each other, the focus of their action is opposite. Maximum specific liquidity is achieved when maximizing balances in the cash registers and on correspondent accounts with respect to other assets. But in this case, the profit of the Bank is minimal. Profit maximization requires no storage of funds, but their use for issuing loans and investment. Since it is necessary to reduce cash cash and balances on correspondent accounts to a minimum, the maximization of profits will threaten the uninterrupted effect by the Bank of its obligations to customers.

This work requires the relevant operational information support. The bank must own operational information on its liquid funds, expected receipts and upcoming payments. This information is advisable to submit in the form of graphs of receipts and payments arising from the obligations received, for the relevant period (decade, month, etc.). It is the basis for considering the credit proposal package for this period.

Ensuring the implementation of the specified target function, the bank management mechanism has significant features. Traditionally, as in any commercial enterprise, profit maximization is achieved by an increase in revenue receipts and cost reductions. However, the content of these indicators for commercial banks is specific. They include not a general (gross) turnover of bank revenue, but only that part of it that ensures the formation and use of profits.

The main element of turnover is the issuance and repayment of the loans - is regulated in accordance with the laws of the coming value. The volume of gross profits of the Bank depends on the size of visible means and on their price, i.e. interest rates. The effect of each factor in addition to the natural influence of market conditions depends on the specific requirements for providing liquidity.

The magnitude of the credit investments of the commercial bank is determined by the volume of own and attracted funds. However, in accordance with the principles of regulating the activities of the Bank, the entire amount of these funds cannot be used for lending. Therefore, the task of the Bank is to determine the amount of effective resources that can be directed to credit investments.

The risk of liquidity is closely connected with the magnitude of liquidity coefficients. The risk of liquidity is associated with possible financial losses in the process of transformation of securities or other inventories in cash required for the timely implementation of its obligations or with a change in the strategy and tactics of investment activities.

To financial losses in transformation of resources include: the markdown of liquid funds; partial loss of capital in connection with the implementation of the object of unfinished construction; selling some securities during their low quotes; Taxes and fees, payment of commission intermediaries and others. Payments made in the process of elimination of investment facilities and others.

Thus, the lower the liquidity of the investment object, the higher the possible financial losses in the process of its transformation into cash, the higher the risk.

The goal of managing liquidity is to ensure the ability of the Bank in a timely manner and fully fulfill their monetary and other obligations arising from transactions using financial instruments.

Liquidity management is also carried out in order to:

  • · Detection, measurements and definitions of an acceptable liquidity level;
  • · Determining the needs of the Bank in liquid funds;
  • · Continuous control over liquidity state;
  • · Taking measures to maintain the bank and interests of its creditors and liquidity risk interests on not threatening financial sustainability;
  • · Creating liquidity management system at the stage of occurrence negative trend, as well as a quick and adequate response system aimed at preventing the liquidity to achieve the liquidity of critical size (minimization).

In the process of liquidity management, the Bank is guided the following principles:

  • · Liquidity management is carried out daily and continuously;
  • · The methods and instruments of liquidity risk assessment instruments should not contradict regulatory documents of the Central Bank of the Russian Federation, risk management policies;
  • · The Bank clearly shares the powers and responsibility to managing liquidity between governing bodies and units;
  • · Limits are established providing an adequate level of liquidity and the corresponding size, the nature of the business and the financial condition of the Bank;
  • · Information about the future receipt or debiting of funds from departments is immediately transmitted to the organizational and control department;
  • · When making decisions, the Bank resolves the conflict between liquidity and yield in favor of liquidity;
  • · Each transaction affecting liquidity to the state must be taken into account of liquidity risk. When placing assets to various financial instruments, the Bank strictly takes into account the urgency of the source of resources and its volume;
  • · Conducting major transactions is analyzed in a preliminary order for their compliance with the current state of liquidity and installed limits;
  • · Planning need for liquid funds.

Liquidity management methods.

To assess and analyze the risk of loss of liquidity, the Bank uses the following methods:

  • · The method of coefficients (regulatory approach);
  • · Method for analyzing a gap in the maturity of requirements and liabilities with the calculation of liquidity indicators: excess / deficiency of liquidity, the excess / deficit ratio;
  • · Forecasting cash flows.

The method of coefficients includes the following steps.

  • 1st stage: Calculation of the actual values \u200b\u200bof mandatory instantaneous standards (H2), current (H3) and long-term liquidity (H4) (together in the text of these Regulations, they are referred to as liquidity standards) and their comparison with the permissible numerical data established by the Bank. Liquidity standards are calculated daily on an ongoing basis.
  • 2nd stage: Analysis of the change in the actual levels of liquidity in relation to the calculated standards for the last 3 months (dynamics of liquidity standards).

In the process of liquidity risk management, the following liquidity limits are established:

the limit of the current liquidity in the form of an absolute amount - the limit size of the liquidity deficit (exceeding the obligations over the assets)

limit of perspective liquidity in the form of a relative indicator: the limit coefficient of liquidity deficit, which is the ratio of liquidity deficit by the growing outcome of the bank's assets

As a limit of current liquidity, the maximum amount of liquidity deficit for up to 1 month is usually established. The maintenance of the limit is ensured by calculating the volume of non-working assets (correspondent account and cash desk), which should provide calculations for the means of "demand" and urgent means.

The limit of perspective liquidity is an aggregated indicator - the limit factor of liquidity deficit.

The bank's strategy in the field of assets and liability management directly affects liquidity risk planning and relevant limits. The size of the limit is determined by the Bank's policies in the field of liquidity - conservative or aggressive. In the first case, there is no deficiency of current liquidity and the limit is equal to 0. In the second case, it should be equal to the amount of possible attracting funds in the market of interbank lending and the volume of funds from the sale of highly liquid assets.

Conservatism of the Bank's policies involves the absence of a gap between assets and liabilities within the same term group or placement on the deadlines are shorter than the timing of attracted liabilities. In this case, the limit of promising liquidity will be close to 0. Aggressive policy involves an increase in the limit of prospective liquidity, that is, an increase in the framework in which the terms of assets may exceed the liabilities. According to experts, the upper limit of deviations should be such that by the time of the urgent group "up to 1 month", the gap entered the framework of the limit of current liquidity.

Practical part

Task: The investor placed 100 thousand rubles for a deposit deposit. Two years later, the deposit amount was 120 thousand rubles. Determine the annual simple interest rate.

i \u003d (s / p - 1) / n or i \u003d (s / p-1) / n * 100

i \u003d (120 thousand rubles / 100 thousand rubles. -1) / 2 years \u003d 0.1 or 10% per annum.

Answer: 10% per annum.

It is resorted to accomplishment with simple interest when issuing a loan for up to 1 year or when interest is not joined to the principal amount of debt, but periodically paid.

To record a simple percent formula, we will take the following notation:

I - the amount of funds accrued on the initial amount percent for the entire period (percentage amount - the initial amount)

P - the initial amount of debt (deposit)

S - the amount at the end of the term (the initial amount + amount of money per percent)

i - interest rate, decimal fraction. For example, if the interest rate is 20%, then in the calculations it is necessary to use 0.2 \u003d 20% / 100

n - loan period in years

Formula accrued for the entire percent term

Formula of ordinary percent

S \u003d p + i \u003d p + pni \u003d p (1 + ni) (II)

Calculation of the initial amount of debt on a simple percentage formula

P \u003d s / (1 + ni) or p \u003d s / (1 + ni / 100) if i is measured in% (iii)

Calculation of an annual interest rate on a simple percent formula

i \u003d (s / p-1) / n or i \u003d (s / p-1) / n * 100, if you need to get a percentage rate (IV)

Calculation of the term of the loan by the formula of a simple percentage

Liquidity of a commercial bank - This is the ability to time and without loss fulfill their obligations Before clients (depositors, creditors, investors).

Bank's commitments can be real and conditional.

Real obligations Refilled in the bank's balance sheet in the form of deposits to demand, urgent deposits attracted by interbank resources, creditors' funds. Potential, or off-balanced, commitment expressed in the banks issued by the Bank, open credit lines to customers, etc.

Real obligations - These are the obligations that are reflected in the relevant balance sheet accounts in the form of deposits attracted by interbank loans issued securities (bills, deposit and savings certificates).

Conditional obligations - These are the obligations of the Bank reflected in the off-balance accounts. These are obligations that may arise under certain circumstances, such as guarantees, guarantees issued by the Bank.

According to the terminology established by IFRS, real and conditional obligations are monetary and other obligations arising from transactions using financial instruments, i.e. Any contract that entails the emergence of a monetary asset of one enterprise and monetary obligations or the capital tool of another enterprise.

Bank liquidity factors

Factors defining the liquidity of a commercial bank may be internal and external.

TO internal factors relate:

  • quality of bank assets;
  • the quality of attracted funds;
  • conjugacy of assets and liabilities for timing;
  • management and image management.

Strong capital base Indicates the presence of a significant absolute value of equity. The basis of its own capital is the authorized capital and other funds of the bank, intended for various purposes, including to ensure the financial sustainability of the Bank. The larger the bank's own capital, the higher its liquidity.

Another factor affecting the liquidity of the bank is the quality of its assets. When calculating standards, the assets of a commercial bank are distributed to five risk groups, taking into account the degree of risk of investment of funds and, accordingly, the possible loss of part of these funds with unfavorable situation. At the same time, individual categories of assets included in each of the five groups are assigned to the corresponding correction risk coefficient (from 0 to 100%), which shows which part of the value of this category of assets may be lost, or otherwise, to what extent is the investment of funds in GU or Another category of bank assets.

TO external factors relate:

  • general political and economic situation in the country;
  • development of the market of securities and the interbank market;
  • refinancing system by the Bank of Russia commercial banks;
  • the effectiveness of the oversight functions of the Bank of Russia.

The general political and economic situation in the country creates the prerequisites for the development of banking operations and the success of the functioning of the banking system, ensures stability economic base Bank activities, strengthens the confidence of domestic and foreign investors to banks. Without these conditions, banks are not able to create a steady deposit base, to achieve profitability of operations, improve the management system, improve the quality of assets.

The development of the securities market allows us to provide an optimal liquid fund system without loss of profitability, since the fastest way to transform bank assets to cash in most foreign countries associated with the functioning of the stock market.

The development of the interbank market contributes to the redistribution between banks of temporarily free monetary resources, maintaining the liquidity of commercial banks. The refinancing system of commercial banks by the Bank of Russia is also associated with this factor. In this case, the source of resource replenishment becomes the Bank of Russia, with the help of which the liquidity of a commercial bank is supported.

The effectiveness of the supervisory functions of the Bank of Russia determines the degree of interaction between the state supervision body with commercial banks in terms of liquidity management.

Bank liquidity management

The liquidity of the Bank is closely related to the liquidity of the balance. In order to maintain the liquidity of the balance of the balance, the Bank is obliged to constantly maintain the necessary and sufficient level of funds on correspondent accounts, cash in the checkout, rapid assets, i.e. Control liquidity.

The main elements on liquidity management are:

  • analysis of the status of instantaneous, current and long-term liquidity;
  • drafting a short-term liquidity forecast;
  • conducting liquidity analysis and the use of negative for the development of events (market condition, the situation of borrowers and creditors);
  • determining the needs of the Bank in liquid funds;
  • determination of excess / deficiency of liquidity and maximum permissible values;
  • assessment of the impact on the liquidity of operations in foreign currency;
  • determination of limit values \u200b\u200bof liquidity coefficients for each currency and for all currencies as a whole.

The assessment of the Bank's liquidity is one of the most complex tasksallowing you to get an answer to the most important question: Whether the bank is able to answer for its obligations. The ability of the Bank to answer obligations is influenced by the status characteristics and changes in the resource base, the return of assets, financial results Activities, the size of own funds (capital) of the bank, as well as the quality of bank management, management, which at certain points can play and play a decisive role.

To monitor the liquidity state of the Bank, three liquidity ratios (instantaneous, current and long-term) are established. They are defined as a ratio between assets and liabilities, taking into account the timing, amounts and types of assets, as well as other factors.

Instant Liquidity Regulator (H2) Regulates (limits) the risk of loss by liquidity bank during one operational day and determines the minimum ratio of the amount of highly liquid assets of the bank to the amount of bank liabilities on demand accounts.

The standard is calculated by the formula

  • L A.M - Highly liquid assets, i.e. Financial assets that should be obtained over the coming day and can be immediately in demand by the Bank and, if necessary, be implemented by the Bank in order to immediately receive funds, including funds for the Bank's correspondent accounts in the Bank of Russia, in the banks of countries from among the groups of developed groups countries ", cashier bank. The indicator L A.MM is calculated as the amount of balances in the accounts of the cash register, correspondent accounts, revenues for the coming deadlines;
  • Oh V.M. - Obligations (liabilities) to demand, according to which the contributor or lender may be required to be required about their immediate redemption. The figure of VM is calculated as the amount of balances on demand accounts, with certain adjustments. Calculation A.M. and V.M. are produced in accordance with the instructions of the Bank of Russia. Minimum permissible value Standard H2. Installed in the amount of 15%.

Regulatory of the current liquidity of the Bank (NZ) Limits the risk of loss by a liquidity bank over the commercial standards for the date of the calculation calendar days and determines the minimum ratio of the amount of liquid assets of the bank to the amount of bank liabilities on demand accounts and for up to 30 calendar days.

The standard liquidity standard (H3) is calculated by the formula

  • L.T. - liquid assets, i.e. Financial assets to be received by the Bank or may be claimed over the next 30 calendar days in order to obtain funds in specified deadlines. The indicator L А.Т is calculated as the sum of high-liquid assets (indicator L.MM) and residues on certain balance sheet accounts;
  • Oh V.T. - Obligations (liabilities) to demand, according to which the contributor or lender may be required to be required about their immediate repayment, and the obligations of the Bank to creditors (depositors) the term of execution in the next 30 calendar days. The indicator about V.T. is calculated as the amount of residues on certain bipan accounts.

Calculations L AT and V.T. are produced in accordance with the instructions of the Bank of Russia. The minimum allowable value of the N3 standard is set in the amount of 50%.

The highly liquid and liquid assets include only those bank's financial assets that, in accordance with regulatory documents The Bank of Russia belongs to the first category of quality (1st risk group) and the second quality category (2nd risk group). In addition to the above assets in the calculation of indicators L AM and L.Th, the balances on balance sheet accounts are included, on which there are no requirements for the formation of reserves, in case the assets listed on the relevant balance sheet accounts are planned to receive within 30 the nearest calendar days in the form that allows them to be attributed to highly liquid and liquid assets.

Regulation of long-term liquidity (H4) regulates (limits) the risk of loss by the bank of liquidity as a result of placing funds in long-term assets and determines the maximum permissible attitude bank credit requirements with the remaining maturity up to the date of repayment over 365 or 366 calendar days, own means (Capital) of the Bank and obligations (liabilities) with the remaining time to pay off over 365 or 366 calendar days. The standard of long-term liquidity of the Bank (H4) is calculated by the formula

  • KR D - credit requirements with the remaining time to pay off over 365 or 366 calendar days, as well as prolonged loans;
  • To - Capital Bank;
  • OD - obligations (liabilities) of the Bank on loans and deposits received by the Bank, as well as on the debt obligations of the Bank with the remaining maturity of over 365 or 366 calendar days. Defined by the Bank itself on the basis of primary documents.

The maximum allowable value of the value of H4 is set in the amount of 120%.

To estimate the liquidity of the Bank, in addition to liquidity standards, the system of indicators can also be used, which in the complex allow us to assess the state of the liquidity of the bank, both at the moment of time and the medium term.

1. Estimated documents not paid on time due to the lack of funds on the bank's correspondent accounts.

Residues of off-balance sheet accounts 90903, 90904.

The presence of non-payment reflected in these accounts means that the Bank has problems with holding payments and have a delay in customer payments. If the remnants of these accounts tend to grow and for a long time, the bank is insolvented and notable.

2. The indicator reflects the level of business activity of the bank. It is the ratio of revolutions on correspondent accounts and the bank's office to the assets of Balance-net:

K2. \u003d Credit on the credit of correspondent accounts and cash registers / Active Balance-net

This indicator allows us to evaluate the overall level of business activity of the bank and the influence of the risks taken by the Bank on its sustainable functioning. If the indicator has a pronounced tendency to reduce, it may indicate a reduction in bank operations and even the coagulation of its activities.

The causes of such a state can be the low quality of the assets (primarily a loan portfolio), the problems of the bank with the holding of customer payments. In actively working banks, the indicator of business activity is higher than 1.0.

3. The coefficient of the net and liquid position of the Bank allows you to estimate the extent to which the bank attracts loans on the interbank market to cover liquidity deficit:

K3. \u003d Funds on correspondent accounts-NOSTRO and in cash / short-term interbank loans and loans of the Central Bank of the Russian Federation

If, this indicates that the bank covers liquidity deficit at the expense of loans in the interbank market. The systematic use of these short-term resources to cover a long, long-term rupture indicates problems with liquidity. In addition, banks analyze counterparties, and access to the interbank market may be terminated for such a bank, then the potential risk of liquidity loss is transformed into quite real insolvency.

4. Current balance of assets and liabilities of the bank:

K4. \u003d Requirements (assets) for a period of up to 30 days / obligations (liabilities) by a period of execution up to 30 days

Using the current balanced ratio, you can estimate the possibility of issues with payments. If the indicator steadily exceeds 1.0, the likelihood of liquidity deficit is almost minimal. If the value of the indicator is stable below 0.6-0.7 and tends to reduce, then this is a sign possible occurrence Liquidity deficit.

Similarly, the coefficient of medium-term balanced, it allows us to estimate the possibility of liquidity issues in the future:

K5. \u003d Requirements (assets) for a period of up to 180 days / obligations (liabilities) by the term of execution up to 180 days

The considered liquidity ratios allow you to manage the liquidity of the credit institution as a specific date and the prospect. In addition to the coefficient method for measuring liquidity in Russian practice, the control mechanism is used cash flowsreflecting the movement of not only assets and liabilities, but also off-balanced operations of the credit institution.