Sberbank (SBER)
Sberbank: CORRECTION (bps instead of pps): Sberbank is the first Russian bank to obtain permission to apply Internal Ratings-Based Approach to credit risk assessment

20-Nov-2017 / 18:13 CET/CEST
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Sberbank is the first Russian bank to obtain permission to apply Internal Ratings-Based Approach to credit risk assessment

November 20, 2017 - Moscow

 

The Bank of Russia reviewed Sberbank's application for the application of credit risk management banking methods and credit risk quantity evaluation models for assessing the extent of credit risk on the basis of the Internal Ratings-Based Approach for the purposes of calculating the capital adequacy ratio.

 

Based on results of the review, the Bank of Russia's Committee on Banking Supervision issued Sberbank a permit to apply the Internal Ratings-Based Approach with respect to credit requirements for legal entities and individuals according to the submitted application.  

 

The introduction of the Internal Ratings-Based Approach means internal models can be used to evaluate credit risk components during the calculation of capital adequacy requirements. This approach is based on the internationally recognised capital adequacy assessment standards developed by the Basel Committee on Banking Supervision and reflected in the Basel II Accords (2006).

 

The permit will come into force on January 1, 2018, after Sberbank's Supervisory Board makes a decision on the application of the Internal Ratings-Based Approach. The transition to the Internal Ratings-Based Approach will allow Sberbank to make more accurate capital adequacy calculations in terms of credit risk and to implement a system of strategic business management taking into account capital consumption according to the best global practices.

 

Sberbank is the first Russian bank to successfully implement an internal ratings-based approach.

 

The application was submitted by Sberbank on October 1, 2015, when Regulation of the Bank of Russia #483-P "On the Order of Calculating the Credit Risk on the Basis of Internal Ratings" came into force.

 

The Bank of Russia conducted a comprehensive evaluation of the Bank's risk management for 1.5 years, during which the regulator assessed Sberbank's credit risk management system and internal rating systems, the quality of internal validation, corporate governance system, data quality management, and IT systems.

 

Effective interaction with the Bank of Russia during the audit and approval of methods and models allowed Sberbank to considerably improve the quality of its ratings systems, data, and credit risk management processes. The final audit act and respective decision of the Bank of Russia's Committee on Banking Supervision shows that the Bank's risk management system, internal models for credit risk assessment, corporate governance systems, data and IT systems comply with the regulator's standards.

 

Herman Gref, Sberbank's CEO and Chairman of the Executive Board, said: "Obtaining a permit from the Bank of Russia to apply the Internal Ratings-Based Approach is an important landmark in the process of implementing international risk and capital management standards. This is an important development for Sberbank and the Russian banking system. The Internal Ratings-Based Approach sets strict standards for the credit risk management system in the Bank. Banks that have received this permit and match these standards have the right to use more accurate credit risk assessment while calculating capital adequacy requirements. This is very important both for the banking community and clients and investors: a more accurate capital adequacy assessment will allow us to use our capital in a more efficient way, which means we will be able to issue more loans for our clients. A larger credit portfolio and a better risk management system will help attract a bigger profit for the Bank. 

 

Based on results of obtaining the permit, we expect a one-time saving of up to 20 bps in terms of Tier 1 capital and up to 40 bps of the Group's total capital in terms of IFRS.

 

We would like to thank our colleagues in the Central Bank for more than 1.5 years of hard work, which resulted in the achievement of this result." 

 



ISIN: US80585Y3080, RU0009029540, RU0009029557, US80585Y4070
Category Code: MSCH
TIDM: SBER
LEI Code: 549300WE6TAF5EEWQS81
Sequence No.: 4897

 
End of Announcement EQS News Service

631175  20-Nov-2017 

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