Central Bank slowed Sberbank transition to the advanced system of risk assessment

Advanced approach to the assessment of banking risks, saving capital was not possible even for the savings Bank. The Central Bank has not coordinated his transition to the standards, involving the use of internal ratings for credit risk measurement, said three sources . This may cause the increase of dividends on shares of Sberbank will be delayed.

The Central Bank refused to disclose the content of the report on the petition of the savings Bank about the transition to advanced approach risk assessment based on internal ratings (ISD, eng. IRB — Internal Ratings-Based Approach), limiting the standard: “do Not comment on operating banks.” Sberbank confirmed that they had received a document with the results of the full-time audit of the Central Bank. “There are still a few important steps,” — said the representative of the savings Bank. He said that the Bank passed the preliminary stage, or prevalidation, the transition to advanced approach risk assessment based on internal ratings. “The Bank plans to use the PVR for the purpose of calculating capital adequacy in 2017”, — said the representative of the savings Bank, noting that the share of assets expected to transfer to the new approach in the context of a claim, and 60%.

As told several sources familiar with the results of the assessments of the regulator, the revision of the application for transfer of savings of the advanced approach for risk assessment under standards “Basel II” may take up to a year.

Basel II — requirements for the banks system of international requirements on risk management in the banking sector, developed in 2004 by the Basel Committee on banking supervision, which comprises the national regulatory agencies of several dozen countries. According to the Committee’s recommendations, banks may use as a simplified standard and basic approaches to credit risk assessment, and advanced, based on internal ratings and the classification of groups of assets. Thus, it reduces the riskiness of assets and their pressure on the capital.

Investors will have to wait

The savings Bank has submitted to the Central Bank an application for the use of the model ROI in 2015. And then repeatedly assured investors that it will allow you to save some capital and, consequently, to increase lending. In particular, in the fall of 2015, the Bank’s management told investors in London (presentation have) that the introduction of the PVR will allow the savings Bank to save money 100 b.p. capital (at the end of the third quarter, the ratio of capital adequacy of the savings Bank was 11.2%). Also, the Bank repeatedly claimed that plans to move to the use of TACs in 2016. As tell sources, the Bank had expected in October to receive a positive decision of the regulator.

According to the regulations of the Central Bank it is possible under the condition that the Bank not only developed, but also uses at least two years in decisions their own rating system. The PVR model from October 2015 can use Russian banks with assets of at least 500 billion by the time of application. According to experts, Sberbank is closer to other credit institutions approached the implementation of this system.

The signal controller

A postponement of the transition to the PVR delays anticipated increase in dividend payments of Sberbank, said UBS analyst Michael helm. The Bank’s management promised to revise the dividend policy for the achievement of capital adequacy level of 12.5%. “The consequences of the postponement is, first and foremost, reputation risk with all the consequences,” adds the head of corporate and IRB models of credit risk Nordea group Alexander Petrov.

The need to Refine the model TACs will not affect the dynamics of the current performance of the Bank, say market participants. “According to our calculations, the savings income will annually increase capital by 1.5–2 percentage points,” says Bank expert Fitch Alexander Danilov. Analysts also believe that the negative conclusion of the Central Bank may indicate its cautious stance on the introduction of the ISD model on the Russian market. “I think the regulator does not wish the concessions were large and the position of banks in the capital weakened. There may be technical difficulties associated with the fact that our banks a limited amount of historical data defoltnoy borrowers, the representativeness of which can be called into question,” adds Daniel.

Pent-up demand

Sources close to the Bank of Russia, said that now the transition of the market on the model of PVR may be delayed. Validation of models takes a large amount of resources, and the Central Bank is not able to engage simultaneously in more than one Bank. However, the representative of the Bank of Russia says that the work on the applications of the banks continues “as planned”. “Until the end of 2016, the working group plans to advance to the second Bank, filed an application for the validation of internal rating systems for the transition to PVR”, — said the representative of the Bank of Russia.

In addition to Sberbank such a prospect was worked for Raiffeisenbank, ordered almost simultaneously with Russia’s largest Bank, know sides . Raiffeisenbank plans to use the model ROI with respect to more than 50% of corporate loans to mid-2017, said the representative of the Bank. The Bank plans to implement all legally allowable savings potential capital: 10% in year one and 20% in the next two years. “The date of the official transition to tap will depend on a formal decision of the regulator,” carefully added to the Raiffeisenbank.