Systemically important banks aim for capital savings

Russian systemically important credit institutions (SICIs) are planning to expand the list of assets, the risks of which will be assessed using their own methods. Now the Central Bank is validating the models of three of the four banks that have already switched to advanced models. Their application had a positive effect on capital adequacy ratios in the amount of 0.7–2 percentage points (p.p.). Mandatory, albeit gradual, transition for the rest of the NWKOs will begin in 2025. But some banks are ready to do it ahead of schedule.

The largest Russian banks are stepping up their work on expanding assets, the risks of which are assessed using the IRR approach (based on internal ratings). As Kommersant was told at the Bank of Russia, the regulator is validating models for new segments of credit claims of three of the four banks that have already switched to the use of IVR: “This will increase the volume of assets for which banks use advanced approaches to credit risk assessment.”

An advanced approach to risk assessment is already being used by Sberbank, Raiffeisenbank, Alfa-Bank and VTB. Raiffeisenbank (began using IVR since February 2019) had already transferred 60% of its loan portfolio to IVR by February 2022. By this time, the bank estimated the effect at 237 basis points according to the capital adequacy ratio, which is equivalent to the release of 33 billion rubles. capital.

Alfa-Bank (using the IRR approach since June 2021) reported that they use internal models in assessing loans to large and medium-sized corporate clients, cash loans and credit cards: “A high-quality loan portfolio makes it possible to reduce capital consumption by up to 100 bp. on total capital under RAS”. VTB received permission from the Central Bank in November 2022, it affected the use of IRR “for mortgage loans and corporate portfolios.” At the moment, the bank estimates a positive effect of about 0.7 percentage points under capital adequacy ratios.

Sberbank (switched to PVR in 2017) and Raiffeisenbank did not respond to requests from Kommersant. At the end of March 2023, the average total capital adequacy ratio (N1.0) was 12.66%.

From 2025, the Central Bank plans to oblige all SZKOs (13 banks) to switch to the IRR approach. As clarified in the Central Bank, the bill establishing such a requirement is undergoing the procedure of interdepartmental coordination. According to the document, the process will be phased in accordance with the individual plans developed by them and approved by the Central Bank.

A number of banks are ready to switch to IVR ahead of schedule. As Sergey Khotimsky, the first deputy chairman of the board of Sovcombank, told Kommersant, the bank “plans to begin the transition in the coming quarters, a full transition is possible by the end of 2025.” According to him, “the overall effect will be moderately positive, but the effect will be different in different lines of business.” Dmitry Shipilov, director of the corporate credit risk department at Rosbank, said that they also plan to move ahead of schedule: “As a result, we expect to get a more accurate and diversified risk assessment for clients and a more efficient use of the bank’s capital.”

Tinkoff Bank is looking for consultants to provide services for the transition to the calculation of credit risk using an approach based on internal ratings, follows from the procurement that Kommersant studied (published in early June). GPB, PSB, Unicredit Bank, MKB and RSHB did not respond to requests from Kommersant.

The transition to the IVR approach is a complex process that requires a major internal transformation in the bank, says B1 partner Gennady Shinin. First of all, the success of this process will be affected by the quality of the data (including their completeness, historicity) that are used in the models. Secondly, it will also be necessary to reconfigure the IT process, which provides support for the quality of data collection and storage. According to Mr. Shinin, it may take about a year on average from development to implementation of the model.

At the same time, the expert explains, the use of these models can lead to both savings in capital and its greater expenditure than using the current standard approach: as for other assets, the effect is more difficult to assess.

Olga Sherunkova