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Sberbank (SBER)
Sberbank: Sberbank is the first Russian bank to obtain permission to apply
Internal Ratings-Based Approach to credit risk assessment
20-Nov-2017 / 16:56 CET/CEST
Dissemination of a Regulatory Announcement that contains inside information
according to REGULATION (EU) No 596/2014 (MAR), transmitted by EQS Group.
The issuer / publisher is solely responsible for the content of this
announcement.
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 pps in terms of Tier 1 capital and up to 40 pps 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.: 4894
End of Announcement EQS News Service
631087 20-Nov-2017
(END) Dow Jones Newswires
November 20, 2017 10:57 ET (15:57 GMT)
