Investor Presentaiton
SBERBANK
170 YEARS. BY YOUR SIDE
ANNUAL REPORT
RISK MANAGEMENT
2011
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financial results
The Group has launched a project to implement a comprehensive
automated risk management system for corporate credit risks that
will make it possible to evaluate the current status of movements in
and the outlook for credit risks, also based on the requirements of the
Basel Committee on Banking Supervision.
In 2011, the Bank completed
implementation of the Loan Factory,
a new individual lending process, for
mortgage lending, the most recent in our
key offerings for individuals
Based on macroeconomic scenarios, the Group performs credit risk
sensitivity analyses for individual corporate borrowers and the whole
corporate loan portfolio. As a result of such analyses, it identifies
macro factors that to a maximum extent correlate with the likelihood
of borrower default. In order to conduct stress testing, statistical
information on sharp movements in macro factors is used to model
credit ratings in stress scenarios.
Credit risk management-small and micro businesses
In 2011, the Group continued to improve risk management in small
business lending. In order to identify risk types and assign ratings,
customers are classified as either micro businesses, for which retail
risk measurement tools are used, or small businesses, for which the
Bank has developed risk measurement tools that are fully integrated
with risk management for medium-sized and large corporate custom-
ers. The Group uses two consistent centralised processes in small
business lending:
- The Loan Factory. The Loan Factory applies a product approach
to measuring risk. This means that the loan applicant's credit
score and risk level are calculated at the time the loan is requested
and the loan price and lending limit are also determined. The
transaction is assigned a credit rating.
The Loan Conveyor. The Loan Conveyor is a technology whereby
a long-term rating is assigned to a customer or group of related
persons using the corporate risk measurement model applicable
to the corresponding customer category. The conveyor also in-
cludes limit management and decision-making authority systems.
In 2011, the first phase of implementation of the Loan Conveyor
was completed at two regional offices. When testing the process,
the Bank implemented a consistent approach to evaluating col-
lateral and measuring legal risks, improved the loan process,
reduced request processing time and conducted a centralised
independent risk review, including verification of customer data
and an assessment of the customer's credit history and business
reputation. Phased automation and widespread rollout of the Loan
Conveyor are planned for 2012.
Credit risk management-retail
In 2011, the Bank completed implementation of the Loan Factory,
a new individual lending process, for mortgage lending, the most
recent in our key offerings for individuals. The process involves a com-
prehensive analysis of information on transaction parties from various
sources, centralisation of the analysis and decision-making roles, and
a high degree of pre-lending workflow automation. Having this risk
management system in place across regional offices helps the Bank
to control risks at each lending stage, maintain the quality of its loan
portfolio and gradually reduce customer service time.
Distressed loans
The Group exercises ongoing control over the collection of distressed
loans at each collection stage. The Group optimises lending and debt
collection processes in incidents where any distressed areas or stages
are identified in debt collection, or in cases when collection efficiency
declines or distressed loan portfolios grow in particular regions or
customer and product segments.
To this end, the Bank completed implementation of Tallyman in 2011.
Tallyman is an automated system for early collection of overdue re-
tail loans.
Industry analysis, currency analysis and concentration
The Group's loan portfolio is well diversified across sectors. Trade and
services account for the largest parts of loan portfolio - 19.8% and
13.5% respectively. Retail loans accounted for 21.5% of loan portfolio
as of 31 December 2011, 0.2 p.p. up from 2010. Lending to telecom-
munications, transport and energy companies grew most significantly
in 2011, while lending to oil and gas and metals companies declined.
170 YEARS. IT'S JUST THE BEGINNING
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