Among the total assets of the banking industry, many assets have zero risk weight and many assets have high risk weight. This depends on the allocation of the asset-liability structure of each bank. Generally speaking, the higher the risk weight, the higher the return. For the specific risk weight list, you need to inquire about the management measures of the central bank and the China Banking Regulatory Commission on the bank's capital adequacy ratio. For example, the risk weight of national debt is zero, the foreign national debt with a rating below AA- is 100%, and the corporate debt risk weight of countries with a rating above AA- is 50%.
(1) Increase the stock of credit funds, ease the loan-to-deposit ratio case and reduce the proportion of high-risk assets. The author selects the top five branches with the highest proportion and the last five branches with the lowest proportion according to the proportion of risky assets from high to low. Through comparison, it is found that the distribution of risk assets between the two groups is quite different: the risk-free assets of the branches with higher risk weight only account for 6. 19% of the total assets, while the risk assets account for 93.8 1%. It can be seen that risky assets account for the vast majority of the total assets of the branch, which naturally enhances the risk of assets. Sub-branches with lower risk weight account for 44.7% of risk-free assets and 55.3% of risk assets, with little difference.
Further analysis shows that the main factors causing the difference in the proportion of risk-free assets are interbank transactions, foreign exchange trading, entrusted loans and bill exchange in the same city. The average balance of the former is only 229 million yuan, accounting for 5.24%; The average balance of the latter reached 1, 5 1 100 million yuan, accounting for 44%. According to statistics, the above-mentioned zero-risk funds are mainly deposited in interbank funds. The five branches are generally short of funds and the loan-to-deposit ratio is high, resulting in little or even negative funds deposited in the same industry; The situation of the last five branches is much better, and loan-to-deposit ratio is normal. It can be seen that the adequacy of credit funds is the main factor affecting the distribution of risky assets in sub-branches at present, and loan-to-deposit ratio has become the external manifestation of this factor.
Conclusion: The higher the branch in loan-to-deposit ratio, the higher the proportion of risky assets, and there is a close positive correlation between them. The internal relationship is: loan-to-deposit ratio indicates the adequacy of credit funds of the sub-branch. Loan-to-deposit ratio is low, indicating that the deposit funds are abundant, and branches will tear up the extra funds to earn interest. Because internal capital borrowing belongs to the ga item in the risk-weighted asset measurement table: zero-risk items such as interbank transactions, which helps to reduce the proportion of risky assets; On the other hand, in the higher branches in loan-to-deposit ratio, a large amount of funds are used for loans; The scale of assets is excessively inflated, and the proportion of risk-free items in the asset structure is reduced, which leads to the high proportion of risk assets.
(2) Actively expand personal housing mortgage loans, increase loans to public enterprises invested by the central government, and reduce the risk level of loans. At present, the loans of sub-branches are mainly composed of creditor's rights to enterprises and individuals and creditor's rights to public enterprises. Among them, the personal housing mortgage loan and the creditor's rights of public enterprises invested by the central government of China all have a risk weight of 50%, which belongs to the low-weight items in the risk assets (referred to as "the second high-risk assets" here), and the others all have a high risk of 65,438+000%. Therefore, the proportion of second-highest risk assets in risk assets has a great influence on the risk weight of assets, and most of the second-highest risk assets are composed of personal housing mortgage loans, which shows that the proportion of personal housing mortgage loans directly affects the proportion of risk assets of branches.
Similarly, it is found that the balance of personal mortgage loans of the top five branches with the highest proportion of risky assets is 65.438+0.06 billion yuan, accounting for 26.89% of all loans; The balance of personal mortgage loans in the last five branches with the lowest risk-asset ratio is 580 million yuan, accounting for 365,438+0.48% of all loans.
Conclusion: The higher the proportion of personal housing mortgage loans, the lower the proportion of risky assets, and there is a negative correlation between them. According to the Measures, the risk weight of individual housing mortgage loan is 50%, which is the second highest risk asset. The expansion of this index will help to effectively reduce the proportion of risky assets. In addition, loans to public enterprises invested by the central government (such as China Telecom, China Electric Power Company and other enterprises involved in public utilities such as transportation and energy, including their subsidiaries in Shanghai) can be increased, and the asset risk level can also be effectively controlled and alleviated.
(3) When expanding the loan business, try to meet the requirements of pledge or guarantee, and increase the risk mitigation. The new "Measures" stipulate that the deferred loan, that is, the loan with pledge or guarantee, can enjoy the same preferential risk weight as the pledge or guarantor, and the role of risk mitigation in reducing the proportion of risky assets is beyond doubt. For example, the loan of an enterprise is 6.5438+0 million yuan, the risk weight is 654.38+000% according to regulations, and the risk-weighted assets should be 654.38+000× 654.38+000% = 6.5438+0 million yuan; However, if 500,000 yuan of this loan is guaranteed by CCB (with a risk weight of 20%) and another 200,000 yuan is pledged by national debt (with a risk weight of 0%), the unreleased risk exposure =100-50-20 = 30; Risk exposure of slow-release part = 50× 20%+20× 0% =10; Risk-weighted assets = unreleased risk exposure × weight+delayed partial risk exposure = 30×100%+10 = 400,000 yuan, a decrease of 600,000 yuan compared with that before delayed risk release.
However, in practice, because account managers don't understand the asset adequacy ratio and don't care about the importance of risk mitigation tools such as pledge and guarantee in reducing risk-weighted assets, there are often very few risk mitigation items for the assets of branches, and the risk mitigation effect can be described as a drop in the bucket.
(4) When conducting off-balance-sheet business, we should give priority to low-risk off-balance-sheet business, strive for guarantee or pledge, and strive to increase the margin ratio. There are three points to pay attention to in developing off-balance sheet business: First, give priority to developing low-risk off-balance sheet business and control high-risk off-balance sheet business. Opening bank acceptance bills, financing guarantees and assets with recourse are risky and should be properly controlled; Unconditional cancellation of foreign commitments, opening documentary letters of credit (with real trade background) and non-financing guarantee are less risky. Adjusting the structure of off-balance-sheet business and giving priority to developing low-risk off-balance-sheet business will help reduce the overall risk of off-balance-sheet business. Second, just like the on-balance-sheet business, strive for guarantees or pledges that meet the requirements of the Measures and strive for more risk mitigation, which will help reduce risky assets. Third, when conducting off-balance-sheet business, we should strive for more margin deposits to reduce exposure risk. According to the Measures, the off-balance-sheet business can be directly deducted from the corresponding margin deposit to calculate risk-weighted assets after two conversions, so the margin deposit has a greater risk mitigation effect on off-balance-sheet business. Moreover, deposits can increase the amount of deposits, which is conducive to the improvement of comprehensive income.