Практическое применение инструментов

оценки рисков при розничном кредитовании:

Agenda

Is Delta Bank a good example?

Scoring

Credit Bureau

Risk Based Pricing

Disstressed Assets Acquisition

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Is Delta Bank a good example?

WAS (1Q2010)

#30 in the system - $820mio

in Assets

$1mio Net profit

97 branches

IS (08/2012)

#8 in the system -$4bn in Assets

$58,7mio Net Profit

127 branches

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Scoring

Scoring is not a one time investment

Scoring is not a universal cure

Scoring requires of sustainable improvement

Key questions

What we want to predict

At what stage we want to predict

What we want to achieve

Approval rate

Time To Yes

White / Grey Zones

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Scoring at Delta

Application scorecards

1st generation in 2007 – expert scorecard calibrated on bank’s data

Crisis period learnings

Currently 5 statistical scorecards and 1 expert

Forecasting PD in next 12 months, PD = DPD 60+ (will be 90+)

Behavioural scorecards

Used for X-Sell, limits up/down sell

Currently 2 statistical scorecards

Forecasting PD in next 12 months, PD = DPD 60+ (will be 90+)

More predictive

All models unified (calibrated) into one master Rating System

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Scorecard implementation results

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Portfolio Delinquency Ratio, % of issued loans, evaluated on the date

Source: Internal MIS

Operating scoring card(2nd generation)

Expected decline of quality of issuance related to dramatic

devaluation and unemployment

Analysis of the major crisis threats, implementation of amendments to the loan

issuance policy, reduction of the issuance volume

Implementation of the new scoring card(3rd generation), rising the number of

issuances

Credit Bureau

Credit Bureau IS NOT a black list

Credit Bureau shows the „dark side of the moon”

Used in a simple way helps:

Assess the willingness to pay

Assess the repayment culture

Calculate the debt burden

Advanced bureau products

Score (application/behavioural)

Used instead of internal score

Used in matrix together with internal score

Used as a internal score characteristic

Data verification products – checks and cross-checksarnings

CREDIT BUREAU SHOULD NOT BE A NON-COMPETITION ZONE

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Credit Bureau & Delta

4 mio credit histories handed over to IBCH (MBKI).... and counting

We use reports for products where we are not considered as leaders / key players

Working on automation in the core segment (consumer finance and credit cards)

Risk Based Pricing + automated interpretation of bureau history = no human factor in credit decision

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Risk Based Pricing

RBP (Risk Based Pricing) – applying price related to the predicted risk of given customer (group of customers)

APRRisc costsEquity costs (unexpected losses + operational risks)Prepayment Risk costsUnit costsFunding costs

Rating Score

Risk Costs

AAA >=780 0,01%AA [740;780) 0,15%A [700;740)

…BBB [660;700)BB [620;660)B [580;620)CCC [540;580)CC [500;540) 5,60%C <500 8,20%

Low (base) price to retain customers in the portfolio

+ additional price for risk to increase revenue

Acquiring new customers (previously rejected)

RBP Expectations

If the sales volumes remain stable

Credit Card:14000 applications in „black

zone”(Acc=80%, +11000 loans);4500 applications in „grey

zone”(Acc=60%, -1800 loans);

Cash:2200 applications in „black

zone”(Acc=90%, +2000 loans);1600 applications in „grey

zone”(Acc=70%, -500 loans);

Disstressed Assets

Individual attitude to each portfolio

Retail portfolios appraisal

Discounted cash flow prediction

Based on observations in the appraised portfolio

Adjusted by behaviour of similar bank’s portfolio (if available)

Collateral sales

Discount to current market value

Discount to cost of sales procedure

Discount to acceptable period of sales

Restructuring schemes

SME portfolios appraisal similar to the retail with a significant factor – bankrupcy procedure

Corporate portfolio apprisal – case by case attitude with industry / customer / competition / market share / collateral being taken into account ZONE

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Questions?

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Marcin Figlus,Deputy Chairman of the Board of

DirectorsPh. 38 044 391-51-00

E-mail: m.figlus@deltabank.com.ua