Guidelines on loan risk classification Article 1 In order to promote commercial banks to improve credit management and scientifically evaluate the quality of credit assets, these guidelines are formulated in accordance with the Banking Supervision Law of the People's Republic of China and the People's Republic of China (PRC) Commercial Bank Law.
Article 2 The loan classification mentioned in these Guidelines refers to the process that commercial banks classify loans into different grades according to the degree of risk, and its essence is to judge the possibility of principal and interest. Article 3 The classification of loans shall achieve the following objectives: (1) Reveal the actual value and risk degree of loans and truly, comprehensively and dynamically reflect the quality of loans. (2) Timely discover the loan management in Xin Qiang. (3) Provide a basis for the sufficiency of gold. Article 4 The classification of loans shall follow the following principles: (1) The risk status of real loans. (2) The principle of timeliness. The classification results should be dynamically adjusted according to the changes of the borrower's operation and management. (3) the principle of importance. Evaluate and classify many key factors that affect loan classification. (4) the principle of prudence. For the guidelines that are difficult to accurately judge, at least loans are divided into five categories: normal, concerned, secondary, doubtful and loss, and the latter three categories are collectively called non-performing loans. Normal: The borrower can perform the contract, and there is no sufficient reason to suspect that the loan principal and interest cannot be repaid in full and on time. Attention: Although the borrower is currently here, there are some factors that may adversely affect the repayment. There are obvious problems with inferior products, and it is impossible to repay the loan in full by relying entirely on its normal operating income, which may also cause certain losses. Suspicious: the borrower cannot repay the loan principal and interest in full, even if it is executed at a loss. Loss: After taking all possible measures or all necessary legal procedures, the principal and interest can still not be recovered, or only a very small part can be recovered. Article 6 When classifying loans, commercial banks mainly consider the following factors: (1) The borrower's repayment ability. (2) Borrower's repayment record. (3) The borrower's willingness to repay. (four) the profitability of the loan project. (5) loan guarantee. (six, seven) bank credit management.
Two. Guidelines of CBRC on loan risk classification
Guidelines on loan risk classification
Article 1 In order to promote commercial banks to improve credit management and scientifically evaluate the quality of credit assets, these Guidelines are formulated in accordance with the Banking Supervision Law of the People's Republic of China, the Law of People's Republic of China (PRC) Commercial Bank and other laws and administrative regulations.
Article 2 The term "loan classification" as mentioned in these Guidelines refers to the process that commercial banks classify loans into different grades according to the degree of risk, and its essence is to judge the possibility that debtors can repay the principal and interest of loans in full and on time.
Article 3 The loan classification shall achieve the following objectives:
(1) Revealing the actual value and risk degree of loans, and truly, comprehensively and dynamically reflecting the quality of loans.
(two) timely find the problems existing in the process of credit management, strengthen loan management.
(three) to provide a basis for judging whether the loan loss reserve is sufficient.
Article 4 The loan classification shall follow the following principles:
① The principle of authenticity. Classification should truly and objectively reflect the risk status of loans.
(2) The principle of timeliness. The classification results should be dynamically adjusted according to the changes of the borrower's operation and management.
(3) the principle of importance. For many factors affecting loan classification, the key factors shall be determined according to the core definition in Article 5 of these Guidelines.
(4) the principle of prudence. For loans that are difficult to accurately judge the borrower's repayment ability, the classification level should be appropriately lowered.
Article 5 Commercial banks shall, in accordance with these Guidelines, at least classify loans into five categories: normal, concerned, secondary, doubtful and loss, and the latter three categories are collectively referred to as non-performing loans.
Normal: The borrower can perform the contract, and there is no sufficient reason to suspect that the loan principal and interest cannot be repaid in full and on time.
Note: Although the borrower has the ability to repay the loan principal and interest at present, there are some factors that may adversely affect the repayment.
Secondary: The borrower's repayment ability has obvious problems, and it is unable to repay the loan principal and interest in full by relying entirely on its normal operating income. Even if the guarantee is implemented, it may cause certain losses.
Suspicious: the borrower can't repay the loan principal and interest in full, even if the guarantee is implemented, it will definitely cause great losses.
Loss: After taking all possible measures or all necessary legal procedures, the principal and interest can still not be recovered, or only a very small part can be recovered.
Article 6 When classifying loans, commercial banks should mainly consider the following factors:
(1) The borrower's repayment ability.
(2) Borrower's repayment record.
(3) The borrower's willingness to repay.
(four) the profitability of the loan project.
(5) loan guarantee.
(six) the legal responsibility to repay the loan.
(7) Bank credit management.
Article 7 When classifying loans, the assessment of the borrower's repayment ability should be the core, with the borrower's normal operating income as the main source of repayment and the loan guarantee as the secondary source of repayment.
The borrower's repayment ability includes the borrower's cash flow, financial status, non-financial factors affecting repayment ability, etc.
Customer's credit rating can not replace the classification of loans, and credit rating can only be used as a reference factor for loan classification.
Article 8 Retail loans, such as loans to natural persons and small businesses, are mainly classified into risk categories according to the length of time in loans overdue. Loans to farmers and rural micro-enterprises can be classified according to credit rating and guarantee.
Article 9 The same loan shall not be divided and classified.
Article 10 The following loans shall at least be classified as loans of concern:
(1) Although the borrower has not overdue the principal and interest, he is suspected of maliciously evading the bank debt through merger, reorganization or division.
(2) Borrow the new and repay the old, or repay the loan through other financing methods.
(3) change the purpose of the loan.
(4) The principal or interest is overdue.
(5) Part of the debts of the same borrower to this bank or other banks are already bad.
Lending loans in violation of relevant state laws and regulations.
Article 11 The following loans shall be at least divided into sub-categories:
(a) overdue (including extension) beyond a certain period, the interest receivable will no longer be included in the current profits and losses.
(2) The borrower maliciously evades bank debts by means of merger or division, and the principal or interest is overdue.
Article 12 Loans that need to be restructured should at least be classified as subprime loans.
Restructuring loan refers to the loan that the bank adjusts the repayment terms of the loan contract because of the borrower's financial situation deterioration or inability to repay.
If the restructured loan is still overdue or the borrower is still unable to repay the loan, it should at least be classified as a suspicious loan.
During the observation period of at least 6 months, the classification level of restructured loans shall not be improved. After the observation period, loans shall be classified in strict accordance with the provisions of these guidelines.
Article 13 Commercial banks should do the following in loan classification:
(1) Formulating and revising credit asset risk classification management policies, operation implementation rules or business operation procedures.
(2) Development and application of credit asset risk classification operation implementation system and information management system.
(three) to ensure that credit asset classification personnel have the necessary classification knowledge and professional quality.
(four) to establish a complete credit file to ensure the accuracy, continuity and integrity of confidential information.
(5) Establish an effective credit organization and management system, form an internal control mechanism of mutual supervision and restriction, and ensure the independence, continuity and reliability of loan classification.
The senior management of commercial banks should be responsible for the implementation of the loan classification system and the results of loan classification.
Article 14 A commercial bank shall classify all loans at least once every quarter.
If the factors affecting the borrower's financial situation or loan repayment change significantly, the loan classification should be adjusted in time.
We should closely monitor non-performing loans, increase the frequency of analysis and classification, and take corresponding management measures according to the risk status of loans.
Fifteenth days overdue is an important reference index for classification. Commercial banks should strengthen the management of loan term.
Article 16 The internal audit department of a commercial bank shall inspect and evaluate the policies, procedures and implementation of credit asset classification, and report the results in writing to the superior bank or the board of directors, and submit them to the China Banking Regulatory Commission or its dispatched institution.
The frequency of inspection and evaluation shall not be less than once a year.
Article 17 The loan classification method stipulated in these Guidelines is the minimum requirement for loan risk classification. A commercial bank may formulate a loan classification system and refine the classification method according to its own actual situation, but it shall not be lower than the standards and requirements set forth in these Guidelines, and it has a clear correspondence and conversion relationship with the loan risk classification method in these Guidelines.
The loan classification system formulated by a commercial bank shall be reported to the China Banking Regulatory Commission or its dispatched office.
Article 18 All kinds of assets other than loans, including direct credit substitution items in off-balance-sheet items, should also be divided into five categories according to net assets, debtor's repayment ability, debtor's credit rating and guarantee, of which the latter three categories are collectively referred to as non-performing assets.
When classifying, we should focus on the safety degree of asset value, and refer to the standards and requirements of loan risk classification for details.
Article 19 China Banking Regulatory Commission and its dispatched offices shall supervise and manage the classification and quality of loans through on-site inspection and off-site supervision.
Article 20 A commercial bank shall submit loan classification data to the China Banking Regulatory Commission and its dispatched offices in accordance with relevant regulations.
Article 21 A commercial bank shall, on the basis of loan classification, make full provision for loan losses in time and write off loan losses in accordance with relevant regulations.
Article 22 A commercial bank shall disclose the loan classification method, procedures, results, loan loss accrual, loan loss write-off and other information in accordance with relevant information disclosure regulations.
Article 23 These Guidelines are applicable to all kinds of commercial banks, rural cooperative banks, village banks, loan companies and rural credit cooperatives.
Policy banks and other financial institutions engaged in credit business approved by China Banking Regulatory Commission may establish their own classification system with reference to these Guidelines, but they shall not be lower than the standards and requirements stipulated in these Guidelines.
Article 24 The China Banking Regulatory Commission shall be responsible for the interpretation and revision of these Guidelines.
Article 25 These Guidelines shall come into force as of the date of promulgation. Before the promulgation and implementation of these guidelines, if the relevant provisions conflict with these guidelines, these guidelines shall prevail.
Three. Guidelines on loan risk classification
All banking regulatory bureaus, policy banks, state-owned commercial banks, joint-stock commercial banks, postal savings banks, trust companies, finance companies and financial leasing companies directly supervised by the CBRC: The Guidelines on Loan Risk Classification are hereby printed and distributed to you, please implement them carefully. All banking regulatory bureaus are requested to forward this notice to all banking financial institutions within their jurisdiction. China Banking Regulatory Commission July 3, 2007 Guidelines on loan risk classification Article 1 In order to promote commercial banks to improve credit management and scientifically evaluate the quality of credit assets, these guidelines are formulated in accordance with the Banking Supervision Law of the People's Republic of China, the Law of People's Republic of China (PRC) Commercial Bank and other laws and administrative regulations. Article 2 The term "loan classification" as mentioned in these Guidelines refers to the process that commercial banks classify loans into different grades according to the degree of risk, and its essence is to judge the possibility that debtors can repay the principal and interest of loans in full and on time. Article 3 The classification of loans shall achieve the following objectives: (1) Reveal the actual value and risk degree of loans and truly, comprehensively and dynamically reflect the quality of loans. (two) timely find the problems existing in the process of credit management, strengthen loan management. (three) to provide a basis for judging whether the loan loss reserve is sufficient. Article 4 The loan classification shall follow the following principles: (1) The principle of authenticity. Classification should truly and objectively reflect the risk status of loans. (2) The principle of timeliness. The classification results should be dynamically adjusted according to the changes of the borrower's operation and management. (3) the principle of importance. For many factors affecting loan classification, the key factors shall be determined according to the core definition in Article 5 of these Guidelines. (4) the principle of prudence. For loans that are difficult to accurately judge the borrower's repayment ability, the classification level should be appropriately lowered. Article 5 Commercial banks shall, in accordance with these Guidelines, at least classify loans into five categories: normal, concerned, secondary, doubtful and loss, and the latter three categories are collectively referred to as non-performing loans. Normal: The borrower can perform the contract, and there is no sufficient reason to suspect that the loan principal and interest cannot be repaid in full and on time. Note: Although the borrower has the ability to repay the loan principal and interest at present, there are some factors that may adversely affect the repayment. Secondary: The borrower's repayment ability has obvious problems, and it is unable to repay the loan principal and interest in full by relying entirely on its normal operating income. Even if the guarantee is implemented, it may cause certain losses. Suspicious: the borrower can't repay the loan principal and interest in full, even if the guarantee is implemented, it will definitely cause great losses. Loss: After taking all possible measures or all necessary legal procedures, the principal and interest can still not be recovered, or only a very small part can be recovered. Article 6 When classifying loans, commercial banks mainly consider the following factors: (1) The borrower's repayment ability. (2) Borrower's repayment record. (3) The borrower's willingness to repay. (four) the profitability of the loan project. (5) loan guarantee. (six) the legal responsibility to repay the loan. (7) Bank credit management. Article 7 When classifying loans, the assessment of the borrower's repayment ability should be the core, with the borrower's normal operating income as the main source of repayment and the loan guarantee as the secondary source of repayment. The borrower's repayment ability includes the borrower's cash flow, financial status, non-financial factors affecting repayment ability, etc. Customer's credit rating can not replace the classification of loans, and credit rating can only be used as a reference factor for loan classification. Article 8 Retail loans, such as loans to natural persons and small businesses, are mainly classified into risk categories according to the length of time in loans overdue. Loans to farmers and rural micro-enterprises can be classified according to credit rating and guarantee. Article 9 The same loan shall not be divided and classified. Article 10 The following loans shall at least be classified as the category of concern: (1) Although the principal and interest are not overdue, the borrower is suspected of maliciously evading and nullifying bank debts through merger, reorganization or division. (2) Borrow the new and repay the old, or repay the loan through other financing methods. (3) change the purpose of the loan. (4) The principal or interest is overdue. (5) Part of the debts of the same borrower to this bank or other banks are already bad. Lending loans in violation of relevant state laws and regulations. Article 11 The following loans shall be at least classified into sub-categories: (1) If loans overdue (including after extension) has a certain term, its interest receivable will no longer be included in the current profits and losses. (2) The borrower maliciously evades bank debts by means of merger or division, and the principal or interest is overdue. Article 12 Loans that need to be restructured should at least be classified as subprime loans. Restructuring loan refers to the loan that the bank adjusts the repayment terms of the loan contract because of the borrower's financial situation deterioration or inability to repay. If the restructured loan is still overdue or the borrower is still unable to repay the loan, it should at least be classified as a suspicious loan. During the observation period of at least 6 months, the classification level of restructured loans shall not be improved. After the observation period, loans shall be classified in strict accordance with the provisions of these guidelines. Article 13 A commercial bank shall do the following in loan classification: (1) Formulate and revise the management policies, operational implementation rules or operational procedures for credit asset risk classification. (2) Development and application of credit asset risk classification operation implementation system and information management system. (three) to ensure that credit asset classification personnel have the necessary classification knowledge and professional quality. (four) to establish a complete credit file to ensure the accuracy, continuity and integrity of confidential information. (5) Establish an effective credit organization and management system, form an internal control mechanism of mutual supervision and restriction, and ensure the independence, continuity and reliability of loan classification. The senior management of commercial banks should be responsible for the implementation of the loan classification system and the results of loan classification. Article 14 A commercial bank shall classify all loans at least once every quarter. If the factors affecting the borrower's financial situation or loan repayment change significantly, the loan classification should be adjusted in time. We should closely monitor non-performing loans, increase the frequency of analysis and classification, and take corresponding management measures according to the risk status of loans. Fifteenth days overdue is an important reference index for classification. Commercial banks should strengthen the management of loan term. Article 16 The internal audit department of a commercial bank shall inspect and evaluate the policies, procedures and implementation of credit asset classification, and report the results in writing to the superior bank or the board of directors, and submit them to the China Banking Regulatory Commission or its dispatched institution. The frequency of inspection and evaluation shall not be less than once a year. Article 17 The loan classification method stipulated in these Guidelines is the minimum requirement for loan risk classification. A commercial bank may formulate a loan classification system and refine the classification method according to its own actual situation, but it shall not be lower than the standards and requirements set forth in these Guidelines, and it has a clear correspondence and conversion relationship with the loan risk classification method in these Guidelines. The loan classification system formulated by a commercial bank shall be reported to the China Banking Regulatory Commission or its dispatched office. Article 18 All kinds of assets other than loans, including direct credit substitution items in off-balance-sheet items, should also be divided into five categories according to net assets, debtor's repayment ability, debtor's credit rating and guarantee, of which the latter three categories are collectively referred to as non-performing assets. When classifying, we should focus on the safety degree of asset value, and refer to the standards and requirements of loan risk classification for details. Article 19 China Banking Regulatory Commission and its dispatched offices shall supervise and manage the classification and quality of loans through on-site inspection and off-site supervision. Article 20 A commercial bank shall submit loan classification data to the China Banking Regulatory Commission and its dispatched offices in accordance with relevant regulations. Article 21 A commercial bank shall, on the basis of loan classification, make full provision for loan losses in time and write off loan losses in accordance with relevant regulations. Article 22 A commercial bank shall disclose the loan classification method, procedures, results, loan loss accrual, loan loss write-off and other information in accordance with relevant information disclosure regulations. Article 23 These Guidelines are applicable to all kinds of commercial banks, rural cooperative banks, village banks, loan companies and rural credit cooperatives. Policy banks and other financial institutions engaged in credit business approved by China Banking Regulatory Commission may establish their own classification system with reference to these Guidelines, but they shall not be lower than the standards and requirements stipulated in these Guidelines. Article 24 The China Banking Regulatory Commission shall be responsible for the interpretation and revision of these Guidelines. Article 25 These Guidelines shall come into force as of the date of promulgation. Before the promulgation and implementation of these guidelines, if the relevant provisions conflict with these guidelines, these guidelines shall prevail.
4. What are the operational risk indicators of banks?
(1) Risk level
Risk grade indicators include liquidity risk indicators, credit risk indicators, market risk indicators and operational risk indicators, which are static indicators based on time data.
1. Liquidity risk indicators measure the liquidity status and volatility of commercial banks, including liquidity ratio, core debt ratio and liquidity gap ratio, which are calculated separately according to the sum of local currencies.
The liquidity ratio of 1. 1 is the ratio of current assets balance to current liabilities balance, which should not be less than 25% to measure the overall liquidity level of commercial banks.
1.2 The ratio of core liabilities is the ratio of core liabilities to total liabilities and should not be lower than 60%.
1.3 The liquidity gap ratio is the ratio of the on-balance sheet liquidity gap within 90 days to the on-balance sheet liquidity assets due within 90 days, and should not be less than-10%.
2. Credit risk indicators include non-performing asset ratio, credit concentration of single group customers and total correlation.
2. 1 The ratio of non-performing assets is the ratio of non-performing assets to total assets and should not be higher than 4%. This indicator is a first-level indicator, including a second-level indicator of non-performing loan ratio; The non-performing loan ratio is the ratio of non-performing loans to total loans and should not be higher than 5%.
2.2 The credit concentration of single group customers is the largest. The ratio of total credit to net capital of group customers should not be higher than 15%. This indicator is a first-class indicator, including a second-class indicator of single customer loan concentration; The loan concentration of a single customer is the ratio of the total loan of the largest customer to the net capital, which should not be higher than 10%.
2.3 The total relevancy is the ratio of all relevant credits to net capital, which should not be higher than 50%.
3. Market risk indicators measure the risks faced by commercial banks due to changes in exchange rates and interest rates, including the proportion of accumulated foreign exchange exposure positions and interest rate risk sensitivity.
3. 1 cumulative foreign exchange exposure position ratio is the ratio of cumulative foreign exchange exposure position to net capital and should not be higher than 20%. Conditional commercial banks can also use other methods (such as value-at-risk method and base point present value method) to measure foreign exchange risk.
3.2 Interest rate risk sensitivity refers to the ratio of the impact of interest rate rise of 200 basis points on the bank's net worth to the net capital, and this index value will be formulated separately according to the actual needs of risk supervision after the introduction of relevant policies.
4. Operational risk indicators measure risks caused by imperfect internal procedures, operator errors or frauds and external events, and are expressed as operational risk loss rate, that is, the ratio of losses caused by operations to the average of net interest income plus non-interest income in the first three periods.
② Risk migration
Risk migration index measures the degree of risk change of commercial banks, which is the ratio of asset quality change in the previous period to that in the current period, and belongs to dynamic index. Risk migration indicators include normal loan mobility and non-performing loan mobility.
1. The mobility of normal loans is the ratio of non-performing loans to normal loans. Normal loans include normal loans and concern loans. This indicator is a first-level indicator, including two second-level indicators: normal loan mobility and interest-related loan mobility. The mobility of normal loans is the ratio of the last four loans to normal loans, and the mobility of concerned loans is the ratio of the amount of non-performing loans to concerned loans.
2. The mobility of non-performing loans includes the mobility of subprime loans and the mobility of doubtful loans. The mobility of subprime loans is the ratio of the amount converted into suspicious loans and loss loans to subprime loans, while the mobility of suspicious loans is the ratio of loans converted into loss loans to suspicious loans.
⑶ Risk compensation
Risk compensation indicators measure the ability of commercial banks to compensate for risk losses, including profitability, reserve adequacy and capital adequacy.
1. Profitability indicators include cost-income ratio, asset profit rate and capital profit rate. The cost-income ratio is the ratio of operating expenses plus depreciation to operating income, which should not be higher than 45%; The profit rate of assets is the ratio of after-tax net profit to average total assets, which should not be less than 0.6%; Capital profit rate is the ratio of after-tax net profit to average net assets, which should not be less than 1 1%.
2. Reserve adequacy indicators include asset loss reserve adequacy ratio and loan loss reserve adequacy ratio. The asset loss reserve adequacy ratio is a first-class indicator, and the ratio of actual provision to provision for credit risk assets should be no less than100%; The loan loss reserve adequacy ratio is the ratio of actual loan provision to required loan provision, which should be no less than 100%, and it is a secondary indicator.
3. Capital adequacy ratio indicators include core capital adequacy ratio and capital adequacy ratio, which is the ratio of core capital to risk-weighted assets and should not be less than 4%; Capital adequacy ratio is the ratio of core capital plus secondary capital to risk-weighted assets, which should not be less than 8%.
The setting essence of core indicators
The setting of core indicators is essentially a method to quantify risks. At the same time, through continuous monitoring, we can measure which practices are feasible and which are not, so as to gradually reduce risks and minimize them. The first stage of risk quantification is mainly measurement and tracking. Knowing how to quantify data is a very challenging job. Most European and American banks are currently going through such a stage. This information should be collected in a systematic way and must be quantified. The second stage is the evaluation stage. After the bank quantifies the relevant information, it needs to measure it, so it needs a lot of related technology development in the second stage. Banks can establish internal and external risk loss event databases and fit the distribution of risk losses from the data. By setting a confidence interval (such as 95%), banks can calculate risk losses and allocate capital to them. The biggest advantage of allocating capital for risk is that when banks suffer some catastrophic losses, they will not be paralyzed or even closed down. The third stage is to provide data to all management so that they can take appropriate remedial measures to solve the problems they face.