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

At the same time, the underestimated share of capital in the bank's resources is criticized, since there is a disproportionate responsibility of the bank in relation to depositors (or the state - under the deposit insurance system). The extent of 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 the total capital of banks is one of the conditions for the stability of the banking system. The capital must be sufficient for the performance of its functions, the confidence of depositors and control bodies.

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

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

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

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

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

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

main (rod) - K1,

additional - K2;

3) in the calculation of total capital, when determining its adequacy, the capital of the second level is included in the amount not exceeding the capital of the first level: K2 £ K1;

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

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

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

Additional capital includes loan loss allowances, perpetual, long-term and convertible preferred shares plus medium-term preferred shares and term minor debt.

The Basel Agreement first standardized the assessment of credit and country risk, and then - interest and market risks. When weighting transactions by risk, the greatest difficulty is the assessment of transactions that are taken into account off the balance sheet. Each country has some freedom in interpreting risks and applying the recommendations of the Basel Committee, at the same time, these recommendations insist on converting all off-balance sheet liabilities into equivalent credit risk using a special conversion factor. The results obtained are then weighted in the same way as in the case of balance sheet transactions. This prevents many banks from using the practice of off-balancing risky types of assets through the introduction of new financial instruments. Thus, a uniform assessment of the total risk for all assets of the bank is carried out.

Thus, developed by 1988, the Unified Agreement on the Standard of Capital, followed by an addition 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 (increased flexibility, accuracy, deformalization of regulation) necessitated a change in capital assessment standards, which was done in 2000, when the Basel Committee approved a new sufficiency assessment system (Basel II, III). This system was developed in compliance with new standards in the field of banking. It includes various approaches to assessing capital (standardized, external, internal ratings - IRB) and draws the attention of regulators to the need to more fully and accurately take into account the level of risks of credit institutions.

AT Russian practice When developing regulatory documents, the Bank of Russia on capital adequacy assessment took into account the recommendations of the Basel Committee, subject to subsequent amendments. According to the Regulations of the Central Bank of the Russian Federation “On the Methodology for Calculating Own Funds (Capital) of Credit Institutions”, the capital of banks is divided into 2 levels: main and additional.

As part of the sources of own funds taken into account main equity include:

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

Reduce the amount of sources of fixed capital intangible assets; own shares repurchased by the bank from shareholders; uncovered losses of previous years and losses of the current reporting year; investments in shares (participation interests), under-created reserve for repo transactions with securities; part of the authorized capital formed from improper 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 losses on loans to the extent that they can be considered as reserves of a general nature;

· funds of the bank and profits of the previous and reporting years before their confirmation by an audit firm;

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

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

· preference shares, except for those classified as fixed capital;

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

The amount of core and additional capital is reduced by the amount of under-created reserves, the amount of overdue accounts receivable for more than 30 days, by the amount of subordinated loans issued.

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

1) determined absolute value capital;

2) the amount of credit risk is calculated for assets reflected on balance sheets (assets weighted by the degree of risk);

3) the amount of credit risk on contingent liabilities of a credit nature is determined;

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

5) the amount of market risk is calculated.

The capital adequacy ratio is calculated using the following formula:

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

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

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

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

Pk i - the amount of the reserve for possible losses on loans;

code 8930 - the bank's claims against the counterparty for the reverse (term) part of transactions arising from the acquisition of financial assets with the simultaneous assumption of obligations for their reverse alienation (part of account 937 "A-reserve");

code 8957 – the amount of risk-weighted claims against persons related to the bank, multiplied by a factor of 1.3;

KRV - the amount of credit risk for instruments reflected on off-balance sheet accounts accounting;

KRS - the amount of credit risk on futures transactions;

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

RR is the value of market risks.

The minimum allowable value of the H1 ratio is set depending on the size of the bank's capital at the level of 11% (for banks with a capital of up to 180 million rubles) and 10% (over 180 million rubles).

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

- the maximum amount of risk per borrower or 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 on loans, discounted promissory notes, deposits in precious metals, other debt obligations, as well as off-balance sheet claims in cash (Krz) to the capital of the bank (K) in percent :

H6 \u003d (Krz / K) 100%.

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

- the maximum amount of large credit risks(H7) is calculated as a percentage of the total value of large (more than 5% of capital per borrower, taking into account the degree of risk) loans issued by the bank (Kcr) and its own funds (K):

H7 \u003d (Kcr / 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 (members) of the bank(H9.1) cannot exceed 50% own funds (capital) of the bank. The indicator is calculated in relation to the requirements to the shareholders of the bank, whose contribution to the authorized capital exceeds 5%;

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

- the standard for the use of banks' own funds for the acquisition of shares (shares) of other legal entities(H12) is established in the form of a percentage ratio of invested (Kin) and own funds of the bank:

H12 \u003d (Kin / K) 100%.

The maximum allowable value of the standard is 25%.

Methods for determining the sufficient amount of capital, established by the regulatory authorities, are its accounting estimate . Their main goal is to optimize the ratio between the value of the bank's debt obligations and its assets. The disadvantages of accounting procedures include a systematic underestimation of the real amount of capital.

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

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

We invite readers to familiarize themselves with an alternative methodology for assessing capital adequacy. Perhaps right now it will be in demand - in connection with the recognition of IFRS in our country and with the newly imposed requirements for the state internal control at enterprises. This technique is based on risk assessment and comparing them in monetary terms with the size of the company's own funds. Currently, the 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 valuation earlier.<1>when the crisis in the US mortgage bond market made us wonder what consequences it would have for our country and our businesses. At the same time, we pointed out that of the existing methods for calculating capital adequacy, the one that evaluates assets in terms of risks is more adequate in a crisis. In addition, recommendations were made that were more of a "fire-fighting" rather than methodological nature.

<1>See article "Risk, capital and liquidity management", N 14, 2008.

Now it's time to present the methodology for assessing capital adequacy in detail, since it will contribute to the solution of several tasks of the enterprise: 1) the introduction 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 the enterprise to work in periods not only economic growth, but also recession even in times of crisis.

Through the establishment of an acceptable value of capital adequacy, the risk of insolvency of the enterprise is limited and the minimum value of capital necessary to cover the risks assumed by the enterprise (credit, operational, market, etc.) is determined.

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 the Order of the Ministry of Finance of Russia N 10n, the Federal Securities Commission of Russia dated 01.29.2003 N 03-6 / pz "On Approval of the Procedure for Estimating the Net Assets of Joint-Stock Companies".

Calculation of capital adequacy ratio

Capital adequacy is understood as such a value that is adequate to the value and risks of balance sheet assets and off-balance sheet liabilities. If the indicator is low, we either reduce risks by managing a portfolio of assets, 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 - net assets (capital) of the enterprise;

A - i-th asset;
i
k - risk coefficient of the i-th asset.
i

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

How does this formula fundamentally differ from the calculation of the financial independence ratio? Recall that the autonomy coefficient is calculated as follows: Autonomy coefficient = NA / Assets, or, following the logic of the previous formula:

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

That is, in this formula, the risk of all assets is the same and amounts to 100%. Our task is to distinguish between assets with low and high risk, and calculate the risk-weighted, rather than nominal, value of assets.

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

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

The second stage is connected with the distribution of the weight of assets depending on the risks to which they are exposed. An asset may be exposed to more than one risk. for example, the enterprise 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 kept in a particular bank. Operational risk cannot be ruled out either: like all funds, a foreign currency deposit can be stolen (although it is obvious that the risk of stealing money from a foreign currency deposit is many times lower than the risk of stealing cash from the cash desk).

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

Currency risk

Let's go back to the example with the currency deposit. We acknowledge that the foreign currency deposit is subject to the risk of currency depreciation. However, this is only true when 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 the currency risk separately by determining the position (in terms of 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 a 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 indicates only that there may be a currency risk, but what is its value and whether it exists at all will become known only after calculating the value of the foreign exchange position.

The third stage of our actions is to take into account 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 with a market quotation, currencies, precious metals, as well as derivative financial instruments. Currency risk, as the most common, we have already described. Other varieties 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 the 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 quotation is less than 3% of the balance sheet currency), the risk can be neglected. At the same time, the asset will still not be "lost", since it will be weighted for risk 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 the Letter of December 21, 2009 N PZ-4 / 2009 "On the disclosure of information on financial investments of the organization in the annual financial statements". In particular, it says: special attention should be paid to the disclosure of information about potentially significant financial risks associated with the organization's financial investments: market risks (currency, interest rate, price), credit risks. This information provides an idea of ​​the organization's exposure to financial risks reasons for their occurrence, mechanisms for managing them (policy, procedures applied, etc.), methods used to assess risks, indicators of risk exposure and risk concentration.

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

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

In Information dated 22.06.2011 N PZ-5/2011 "On the disclosure of information on off-balance sheet items in the organization's annual financial statements", the Ministry of Finance of Russia indicates that market risks are also subject to derivatives instruments circulating on the organized market (forward, futures, option, swap etc.).

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

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

where RR is the market risk.

Operational risk

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

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

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

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

where OR is operational risk.

Other risks

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

Concentration risks, unlike the market risk, 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 the 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 - legal risk;

RPR - the risk of loss of reputation.

Risk classification of assets

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

Table 1. Classification of assets based on risk

The standard risk level is 100%. An asset is valued based on its ability to fulfill the obligations of the enterprise. Assets of reduced risk can be recognized as those that are characterized by both high reliability and liquidity. These include cash in cash and in the accounts of credit institutions. We classify cash as a risk-free asset, since it is able to 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. Commercial bank accounts are also able to instantly fulfill obligations to creditors, but they are also subject to credit risk.

Is netting applied when determining the amount of credit risk (as in calculating foreign exchange risk)? No, it doesn't. Let us explain this statement.

Assume that the balance of the current account in bank A is
1,522 thousand rubles, debt on a loan provided by bank A, -
4800 thousand rubles The credit risk in this case will be equal to the balance on
current account - 1522 thousand rubles, multiplied by the risk coefficient k,
i
for example 20%. Such logic is justified. If the bank, due to financial
difficulties will suspend operations on the current account, then unfavorable
the consequences will not keep you waiting. The opportunity to set off counter
requirements, of course, will help to avoid losses from writing off bad
debt, but will not protect us from blocking the current account.

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

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

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

So, in the seventh step, we weighted assets for risk.

reserves

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

<3>No. 7, 2012.

The eighth and last stage of our calculations is related to the inclusion in the formula of the created reserves for risky assets:

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

The value of the capital adequacy ratio

Finally, the formula is over, now we will determine what the value of the indicator itself should be. The minimum value of capital adequacy for credit institutions set by the Central Bank of the Russian Federation is 10%. The maximum value is defined 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 become shareholders of Russian banks.<4>.

<4>Regulations on the procedure and criteria for assessing the financial position of legal entities - founders (participants) of credit institutions, approved. Central Bank of the Russian Federation 19.03.2003 N 218-P. (The document became invalid due to the publication of the Regulations of the Central Bank of the Russian Federation dated June 19, 2009 N 337-P.)

Currently, normative documents avoid specifying specific values ​​of indicators. Indeed, a single indicator is too similar to the average temperature in the hospital. Besides, regulations are designed, first of all, for the analysis of external reporting (in other words, we are involuntarily put in the framework). Another thing is your own reporting, which can be detailed in any detail.

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

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

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

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

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

Obviously, in the first case, the company will easily fulfill its obligations, in the second case, 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 an enterprise against bankruptcy.

So, let's assume that the allowable value of capital adequacy is in the range from 10 to 45%. What value of the coefficient to 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, there is no lack of liquidity in trade (especially retail, and in it - food trade). Secondly, the absolute value of the enterprise's NA plays an important role. According to the author, the following boundaries can be set:

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

It is possible that some enterprises will consider lower capital adequacy ratios acceptable for themselves. 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 "bathing" 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 establish specific ratios is stress testing. Based on scenario analysis, you can identify control points for each type of risk that is significant for the enterprise, the overall need for capital, and also evaluate the accuracy of your own risk assessment model.

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

If some risk area is especially dangerous, then correction factors can be introduced into the main formula. for example, for credit institutions the Central Bank of the Russian Federation has set a multiplier for operational and interest rate risk equal to ten (10).

On a specific example

The owner of a small enterprise decided to carry out technical re-equipment of production, for which he 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 security for the foreign currency loan received by the enterprise. Since the owner's interests in this enterprise have increased, he relies on a sharp increase in production and decides at the same time to establish an internal risk control system.

The economic service was instructed to audit assets and liabilities, identify problem areas and put forward proposals for risk management so that the enterprise justifies the hopes placed on it by the owner.

Below is an auxiliary table for calculating capital adequacy, made on the basis of the balance sheet.

Table 2

The data presented in the table are reliable, the assets are valued at fair value, and the corresponding provisions for possible losses are formed. Before the calculations as such, it is clear that the company 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. Do-it-yourself enterprise this transaction could not be held due to lack of collateral. The balance sheet contains securities in the amount of 349 thousand rubles, they cannot be sold, since they are pledged for a short-term loan.

Let's move on to the calculations.

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 + 530 490 + 170 266 + 348 756 + (128 547 + 701 000 - 14 310) - 468 127 - 38 430 - 546 333 - 890 040 - 431 117 - 92 090 - 320 780 - 141 305 = 5 187 125 258 903 (rub.).

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

Currency risk is calculated for each currency separately:

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

Market risk is associated with the presence on the balance sheet valuable papers traded on the organized market:

PP = 348,756 rubles.

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

We turn to the calculation of risk-weighted assets.

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

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

The company is outside the acceptable risk zone. Capital adequacy is 32% against the recommended 45%. As can be seen from the calculations, the autonomy coefficient does not signal to us that the financial solvency of the enterprise is under threat due to excessively assumed risks. A more detailed examination of assets and an analysis of other risks (in this case, currency and market) lead us to the conclusion that urgent measures must be taken to correct the situation: first, to convert a foreign currency loan into a ruble; secondly, to put into operation new equipment; thirdly, after repayment of 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 risk assessment are being developed. Leading world banks, rating agencies, auditors on the eve of the 2008 global financial crisis were armed with the most advanced methods of control. Nevertheless, the risk assessment system has failed so badly that it has threatened the economic well-being of the world as a whole. The causes of the crisis revealed by the results of the analysis were not so much in the absence of risk assessment methods adequate to the level of development of financial markets, but in an artificial underestimation of the level of risks. In pursuit of profit, the calculations were "adjusted" in such a way that portfolios of high-yielding (and hence high-risk) securities were formally removed into the standards of reliable assets.

Let us determine in which cases the proposed method will serve our interests. First, starting in 2012, we need to provide regulatory authorities with evidence that the risks in our enterprise are managed. At the moment, there are no formalized requirements, therefore, according to the author, the existence of a risk assessment system by calculating capital adequacy closes the issue.

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

• small amount of authorized capital;
• congestion of balance sheets with non-performing assets (for example, purchased "in reserve" real estate);
• low accounting discipline for off-balance sheet liabilities;
• low culture of force majeure risk insurance.

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 vulnerable areas in terms of risks. Unfortunately, people begin to take an interest in risks only when they have to take rescue rather than preventive measures. Reversing your own psychology and forcing yourself to pay attention to potential risks is a really difficult thing.

O.E. Orlova

Journal Expert

"Actual issues of accounting

and taxation"

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

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

“I.D.E.A. Bank" for the period 2012-2015. showed a positive trend: as of January 1, 2015, the bank's resources increased by 178.23%, this was largely due to the growth of liabilities. largest specific gravity in the structure of the balance sheet currency, liabilities are stably occupied, in 2015 their share was 88%. On the one hand, the more equal the ratio of liabilities and equity, 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 the bank's resources, the (with other equal conditions) will increase the return on capital.

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

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

To assess the quality of own funds, we will carry out a coefficient 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 "I.D.E.A. Bank"

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

The capital adequacy ratios consist of an equity (capital) adequacy ratio and an overall capital adequacy ratio.

Overall capital adequacy ratio (PC 2) after growth in 2013 tended to decrease in 2014 and 2015, which indicates a declining financial stability jar. The coefficient during the entire period under review was decreasing and by 01.01.2015 fell to 12.072%, which implies a threat that the bank's own funds can cover only 12% of its liabilities to depositors and creditors. A similar situation with negative side characterizes the level of adequacy of own funds (capital) of the bank.

The indicator of 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.

According to these indicators, a point and weight assessment was determined, on the basis of which a general result was calculated for the group of capital assessment indicators (RGA). According to Instruction 139-I, the financial stability of a bank in terms of a group of indicators for assessing capital is recognized as satisfactory if the value of the RGC is less than or equal to 2.3 points. Thus, the bank has a regulatory value and we can assume that the financial stability of the bank is satisfactory.

The coefficient of use of own funds shows what part of the equity capital with which the bank began operations in the reporting period was used in the course of the activity of an economic entity. The highest figure was at the beginning of 2013, on the basis of which we can conclude that the largest part of the SC was used in work operations in 2012. In subsequent years, the use of borrowed funds increased.

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

Return on equity in the studied periods increased systematically.

An analysis of the factors that caused the decline in return on equity 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 us consider the essence of this method used for the rating assessment of 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 amount of the bank's own capital (which serves as a guarantee of the bank's reliability for depositors) and the compliance of the real amount of capital with 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, the policy pursued, compliance with laws and instructions;

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

"L" (liquidity) - liquidity indicators that assess the bank's ability to timely meet the requirements for payment of obligations and the readiness to satisfy the need for a loan without loss.

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

The capital adequacy ratio K1 determines the level of own funds 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 attracted funds amount to 80 - 85% of the bank's balance sheet currency.

Own funds

K1 \u003d _____________________,

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 in 2011 is 6.9%, in 2012 7.9%, in 2013 - 8.8%, in 2014 - 7.5% , which is much lower than the recommended values.

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

Own funds

K2 = ________________________ , (2)

Involved funds

By 2 2011 = 269563 / 3585300 = 0.075

By 2 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). The recommended values ​​of the K3 coefficients are in the range of 0.25 - 0.3, i.e. it is considered normal if the risks of the bank on the placement of resources are covered by 25 - 30% of its own funds. The recommended values ​​of the coefficients K2 and K3 are the same, since the adequacy of the risk for attracting and allocating resources is assumed.

Own funds

K3 = __________________________ , (3)

Income generating assets

The Bank's risks related to the allocation of resources are covered by only 10% of 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 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 financial resources, and the level of capital adequacy forms the basis for the investment attractiveness of any bank.

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

The bank's own funds (capital) include own and, in some cases, borrowed funds that meet the following criteria at the same time: stability, non-consumption in the course of activities; independence in relation to the rights of creditors; no fixed income. The bank's own funds (capital) is a set of specially created funds and reserves designed to ensure its economic stability, absorb possible losses and are used by the bank during the entire period of its operation. The capital of the bank performs the most important functions: providing resources for the start-up 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 the side potential clients and contractors; providing access to the markets of financial resources. Own funds (capital) occupy a relatively low share in the total resources of a commercial bank, which is explained by their specific role in the system of economic relations - the role of financial intermediaries. As a result, banks have a much higher financial leverage compared to enterprises in other sectors of the economy, which makes it possible to receive a large net profit per unit of equity (capital) with a significantly higher level of accepted risk. Big banks are able to manipulate financial leverage, while for small and medium-sized banks this opportunity is limited: the portfolio of assets is less diversified and more risky, access

to the markets loan capital difficult or non-existent, which requires higher equity ratios.

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

From this follows the basic principle of capital adequacy, which prevails in modern theory banking business: the amount of own funds (capital) of the bank must correspond to the amount of assets, taking into account the degree of risk. At the same time, the excessive capitalization of the bank negatively affects the results of its activities, reducing the efficiency of the use of own funds: the mobilization of financial resources through the issuance of shares is an expensive method of financing compared to raising borrowed funds.

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

From the point of view of the balance sheet assessment, the bank's capital is the difference between the bank's total assets and liabilities (liabilities). The assessment of capital according to regulated accounting principles involves the calculation of its value in accordance with the requirements established by the supervisory authorities that regulate banking. The methodology for calculating equity capital established by the Central Bank of the Russian Federation is presented in Appendix 1. Finally, the market value of capital is equal to the product of the market value of one share by the number of shares in circulation and reflects the real value of the bank's capital as a buffer capable of absorbing any, not only 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. 20th century in the United States, the ratio of capital to deposits at a level of at least 10% was considered sufficient; in the 1940s. a ratio reflecting the ratio of capital to assets began to be used, with a required minimum level of 8%; capital (matched in composition with share capital) should not be less than 5.5% of total assets, and the sum of primary and secondary capital (preferred shares that can be presented for redemption, convertible debt obligations and subordinated bonds) - not less than 6%.

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

At the same time, as E. Reid, R. Kotter, E. Gill correctly point out, “one cannot assume that a bank has sufficient capital only because the latter corresponds to a certain statistical average. . . The analysis of capital adequacy ratios is not much different from the analysis of the creditworthiness of borrowers based on their financial statements. Not only these indicators should be analyzed, but also banking operations, as well as a measure of risk that characterizes the structure of its loans and investments.

Table 2. 7 Key indicators for assessing the adequacy of the bank's own funds (capital)

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

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' equity capital with the entire set of risks, accompanying their activities. It is proposed to calculate the capital adequacy ratio using the following formula:

where K - own funds (capital) of the bank, thousand rubles. ;

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

COR - the total value of operational risk, thousand rubles. ;

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

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

where H1 - capital adequacy ratio, %;

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

A - the amount of the bank's assets, weighted for risk, thousand rubles. ;

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

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

K - 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 on off-balance sheet accounts, thousand rubles. ;

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

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

Objectively, there are two main sources of increasing the bank's own capital: internal (retained earnings) and external (issue of shares, debt obligations of a certain type). The choice of one or another source of increasing equity capital and their ratio are determined by a complex set of factors: the relative costs associated with each source of capital funds; influence on the property and control over the activities of the bank; the risk associated with each source of capital and the bank's overall exposure to risk; the level of development of financial markets where it is possible to attract new capital funds; regulation policy of the Central Bank. For most medium and small banks, a capital increase through 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 out as dividends, the smaller part of it will be capitalized. Low capitalization rates increase the risk of bankruptcy and hinder the development of active operations, however, a too low share of dividends or an unstable dividend policy may lead to a decrease in the market value of the bank's shares, which in turn indicates a low assessment by the market of the effectiveness of the bank's performance. One of key factors, which determine the proportions of the distribution of profits on 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 that allows assessing the impact of the dividend policy on the adequacy of bank capital is considered to be the accumulation coefficient (K n), the value of which depends on four factors: ); the effectiveness of the bank's tax policy and the use of net income before income tax; gauze arrived; return on assets and the structure of sources of funds of the bank, characterized by the capital multiplier:

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

YY - 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 - the amount of the bank's assets, thousand rubles.

The most important value of this indicator is that it characterizes the restriction on the growth rate of the bank's assets, subject to a given level of capital adequacy (the ratio of equity capital to assets remains unchanged). The accumulation ratio allows you to estimate how much the bank's equity capital should be increased with an increase in the balance sheet currency by 1%, provided that an increase in equity capital is possible only at the expense of internal sources. Thus, the relationship 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 aimed at paying dividends and its capitalized part. In world practice, it is generally accepted that a rational dividend policy is one that maximizes market value shares and 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 generalizing indicator on the factors (x, y, z, q, l): K n = x * y * z * q * l. It is recommended to calculate the influence of factors on the change in the accumulation coefficient using the method of chain substitutions. Then:

where K n, K n (x), K n (y), K n (z), K n (q), K n (l) - the 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.