NH V I

(1)

NGHl£NCl]rUTRAOB£l

N0 XAU, PHAN LOAI NQf VA TRICH L^P D^ PHONG RUI RO TIN DMNG THEO QUY D|NH V I | T NAM VA THONG i f QUOC TE

TS. Binh Thi Thanh Vdn Trudng BH Kinh t( • BH Qu6c gia Hit N^i

T6m tdt: Hi^n nay, s6 liiu ng xdu cda h^ th6ng ngdn hdng thitang nu^i (NHTM) ViH Nam trin bdo cdo c6ng b6 cdo cdc NHTM, cHa Thanh tra Ngdn hdng Nhd nUdc (NHNN), Udc tinh cUo cdc chuy&n gia kinh i l yd cdc tS chiic qu6c ti c6 sU khdc bi^t rdt I6n. Bai viit sS gidi thiSu cdc quan diim vi m? xdu theo cdc chudn mi^c k$ todn qu6c ti, thdng 1$ qu6c ti vi gidm sdt hog.t d$ng ngdn hdng, hudng d&n qu6c ti vk tinh todn chi 86 Idnh nu^nh tai chinh qti6c gia vd cdch hiiu tgi Vi^t Nam. Cdc cdch phdn log.i vd trich l4p duphdng rdi ro tin dt^ng cda m$t s6 qu6c gia cUng se dugc so sdnh vdi cdc quy dinh tg^i Vi&t Nam nhhm giiXp ngudi dqc c6 thi so sdnh vd ddnh gid chinh xdc han vi cdc t^

li ng xdu dang dugc cdng b6 vd udc tinh. Cu6i cdng, bdi viit se dua ra mdt sd diim kit lu$n nguy^n nhdn sU khdc biit trong Udc tinh ng xdu cda cdc NHTM Vi$t Nam, ca quan gidm sdt ngdn hdng vd cdc tS chdc qu6c ti

Tic kh6(K Ng xdu, ng xdu ngdn hdng, du phdng, rdi ro tin dung.

Gidi t h i ^ u

V i n d l n p xû ngfln hkng dang g&y dUtfc chu f, tranh lu$n vk nghign cuTu khd n h i l u d Vi$t Nam trong thdi gian gin day, d$c bi^t UL trong b l i cAnh cdc NHTM b i t dû thuc hi^n D l dn mdi dUtfc ban h d n h theo Quylt dinh 254/QD-TTG ng&y 01/3/2012 ciia Thii tUdng Chinh phu v l tdi CO cSû h$ t h i n g cdc t l chii'c tin dung. Np x§!u t&ng cao cua cdc NHTM dUpc vf nhU "cpc mdu ddng" g£iy Ulc nghen hoat dOng ciia h^ t h i n g ngftn hang, gfty khd khftn eho n I n kinh t l . Theo s i U$u ciia Thanh t r a NHNN np x£fu eua cdc NHTM Vi^t Nam 1ft 202 nghln t^ d i n g chilm 8,6% t i n g du nP, trong d6 np nhdm 5 - nhdm cd nguy ctj m i t v i n chilm 40% t i n g np x l u ( S I UOu cdng b l ngfty 12/7/2012 cua NHNN).

T l chd'e x i p h ^ n g tin nhi^m Fitch Ratings cho rllng n l u thUc hi$n theo h | t h i n g c h u i n mUc k l todn quie te thi np xft^u eiia Vi^t Nam udc lUtfng l§n tdi khodng 13%. M | t s i chuyen gia kinh te thi cho r^ng ntf xd'u ciia cdc ngftn hftng

hi$n tai cd t h i Un tdi trgn 10%, tiJc khoftng 300.000 ty ddng (Hoftng Yin, 2012). Cdn theo bdo cdo cua cdc t l chi^c tin dung (NHNN t i n g hop qua h# t h i n g thong kg), ty 1$ np x£fu chi chilm 4,47% t i n g du np. Cd t h i th^y con s i np xft^u ndu trgn cdn khdc nhau 1ft do cd sU ddnh gid, phftn loai theo nhtTng tidu chi chua t h i n g n h H giffa NHNN, cdc NHTM vdi cdc t l chiJc, cftc chuydn gia kinh t l trong vd ngofti nude. D l Ijr gift! sU khdc b i | t vft h i l u chinh xdc v l bftn ch£tt np x l u cua cdc NHTM Vi#t Nam trong giai doan h i | n nay, vi#e so sdnh dinh nghia v l no x^u, phftn loai np vft trich Iftp du phdng eua cdc NHTM Vi^t Nam vdi thdng 1$ quIe t l 1ft dieu edn t h i l t .

D i n h n g h i a ncf xa'u

Uy ban Basel v l Gidm sdt ngftn hftng - BCBS khdng dua r a dinh nghia cu t h i v l ntf x^u.

Tuy nhidn, trong cdc hUdng dan v l cdc thdng le chung tai nhieu quoc gia ve qudn ly nil ro CAngngh^ H g ^ H H d H g I

Stf 79 •Thdng 10/201J

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NGHieNCllfUTRA0e4(l

tin dvng, BCBS x^c dinh, vi$c khodn n9 b) coi U kheng c6 khi ning hoin tri (a default) khi m^t trong hai ho$c ci hai diiu kifn sau xiy ra: (i) NgSn hilng thiy nguSi vay khAng c6 khi ning tri tu/ diy dCi khi ngin hing chua th^fc hi$n hiinh dOng gl dj ging thu hti, vi i\) nhu giii chKp chdng khoin {ntu dang aim giO);

(ii) Ngutri vay dS qui h«n tri nf qui 90 ngiy (BCBS, 2002). BCBS d^c bi«t nhin m^nh tdi khii ni^m *mit mit c6 th^ xiy tra trong tuong lai* (expected loss) khi dinh gii mOt khoin vay. Di;a trtn huAng din niy, nf xiu B8 bao g6m toin hi) cic khoin cho vay di qui hf n 90 ngiy vi ci diu hi^u ngutri di vay khAng tri du^c n^. Tuy nhiin. mOt vii qutfc gia bio cio n^ xiu bao g6m cic khoin n^ qui h^n 31 ngiy qui h^n, hoic bio cio cic khoin n<7 qui ban 61 ngiy dUfc tfnh vio danh myc nq xiu (Bloem vi Freeman, 2004).

Chuin miic kff toin quffc tff (IAS) vi ngin hing thuirng d^ cip cic khoin n^ bi giim gii tr|

(impaired) thay vl sur dung thuit nga no xiu (nonperforming). Chu^n mUc k^ toin qu6c t^

IAS 39 (doan 58-70) duoc khuy^n cio ip dung d m$t so nude phit triln vio diu nim 2005 chi ra ring cin c6 bing chumg khich quan (objective evidence) di xip m$t khoin vay c6 diu tii^u b^

giim gii tri. Trong trUdng hop n^ hi giim gii tri thi tii sin dugc giii nhin si bi giim xutfng vi nhOng tin thit do chit lu^ng no xKu giy ra.

Gii tri t6n thit giy ra se AiUfc ghi nhin bing cich giim trif gii tri Ithoin vay thAng qua mAt

khoin 6af phAng vi si dU?c phin inh trin bio cio thu nhip cOa ngin hing. VS ca bin, IAS 39 chd trpng tdi khi ning hoin tri cua khoin vay bit luin th»i gian qui h»n chua tdi 90 ngiy hoic chua qui h^n. Phuong phip Ai dinh gii khi ning tri tu) c6a khich hing thuimg li phuong phip phin tfch dAng tiln tuong lai chiit khiu hoic x(p hf ng khoin vay cua khich hing. H$ th((ng niy du^c coi li chinh xic vi mit 1^ thuyCit nhung viic ip dyng Ihifc t^ gip nhiiu khi khin. VI viy, nd vSn dang di«Jc Uy ban Chujn mvrc ki toin qu$c tS chinh ada Ifi trong IFR3 9 (Dinh Vin, 2008).

Trong Hudng din i( tfnh toin cic chi aff linh mf nh tii chinh tfii cic qxiiSc gia (FSIs), Quji Tiin tf Qu((c t i - IMF dua ra djnh nghia vi n?

xiu tfi dofin 4.84-4.86 "Mft khoin vay dugc coi li np xiu khi qui h^n thanh toin gAc hoic lii 90 ngiy hoic hon; khi cic khoin lii di qui han 90 ngiy hoic hon di dupc vAn hoi, ca ciu lai, hoic til hoin theo thoi thuin; khi cic khoin thanh toin din h«ul dudi 90 ngiy nhung cd thi nhin thiy cic diu hi$u lO ring cho thiy nguAi vay si khAng thi hoin tri np diy dti (vi dp khi ngudi vay phi sin). Sau khi khoin vay difpc x^p vio danh mpc np xiu, n6 ho$c bit cH khoin vay thay thi nio ciing vin nin dilpc xIp vio danh mpc np xiu cho tdi thjri dilm phii xAa np hoic thu hdi dupc lii vi gtfc cua khoin vay d6 hoic thu hii dupc khoin vay thay thi" (IMF, 2004).

Sp khic biit giOa cic vin bin ti^n dKpc tiinh biy trong Bing 1.

B i n g 1: So s i n h quan di^m v6 ntf xiiu

T i e u c h i Muc tidu t i n h

ncr x£u

Dinh lUdng

Dinh t i n h

B a s e l l l Gi&m. B^t \k 6n dinh hoat dOng h$ thffng ng&n hAng.

Ncr qud h a n 90 ngdy trd 16n

D ^ hi$u kho&i vay chub duoc thanh t o ^ c ^ m^t mdt c6 th^ xlty ra trong tutmg lai

I A S 3 9 I 4 p bdo cdo k ^ t qud h o a t d^ng trong k^

N ? qud h ^ n 90 ng6y trd 16n D£u hi$u khdch quan \k khodn vay bi gidm gid t r i

F S I s Tfnh t o d n chi ti^u Idnh m ^ n h tdi chfnh

N ? qud h ^ n 90 ngdy ho$c hiAi D i u hi^u ngUiri vay c6 k h d n&ng khSng t r d ducrc nd

V i ^ t N a m I 4 p bdo cdo k ^ t qud hoat d $ i ^ trong ky

N ? qud h a n tif ngdy 91 (Difei 6 - Qtiy^t dinh 493) Ddu hi^u khodn nd k h 6 i ^ thu hSi dupc vd c6 khd n&ng m I t vffn (Dilu 7 - Quy^t dinh 493)

NguSn: Tdc gid t6ng hap

| c»ngngh« n g s i i H d n g

Stf 79 •TMne 10/2012

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NGHISNCHTUTRAOMI

Quy djnh v l phftn l o ^ np, trich l$p vft sfl dyng d^

phdng d l xuT 1^ rOi ro tin di,mg trong ho^t ddng ngftn hftng cOa t l chCre tin dyng ban hftnh theo Quylt dinh 493/2005/QD-NHNN ngfty 22/4/2005 cua NHNN vft cd mdt s i si)fa dli trong Quylt djnh 18/2007/QE)-NHNN ngfty 25/4/2007 ciia NHNN chi rd: "np xiu" 1ft cdc khodn n^ thuOc cftc nhdm 3, 4 vft 5 bao gdm n^ dudi tilu chuin, ng nghi ng£r, np cd khft nftng mfti v i n q i ^ d{nh t^i Dilu 6 hofic Bilu 7 cua Quylt dinh 493 vft Quylt dfnh 18 n6i trdn. Vl ctf b&n, n^ xiu theo Dilu 6 1ft nhCing khodn n^ qud Yi%n iit 91 ngfty trd l&n; np dft ctf clu lai vft khftch hftng chua trd dij Ifti vft glc. T ^ Dilu 7, cftc kho&n ntf dil^c phftn loai theo phutfng phftp dinh tinh vft np xiu bao gdm cdc khoftn np dudi tidu chuin vft dUtfe ddnh gid 1ft khdng cd khd nftng thu hdi, cd klift n&ng m I t vin.

Nhu vfty, khi xem xdt dinh nghia np xftu cua cdc ngftn hftng Vi^t Nam vft thdng 1^ quic te, cd the thfty v l mftt dinh lUtfng thdi gian trd np qud han tif 91 ngfty trong dinh nghia np x i u cua Vi^t Nam vft thdng 1^ quIc t l 1ft khft tUPng ddng. Tuy nhien, d l ddnh gid chinh xdc htfn np x i u thi y l u to dinh tinh xem xdt kha nftng trd ntf cua ngudi vay dftc bi?t khdng chi khi cd dft'u hi^u ro rftng v l vl§c khdng trd dUpc np, mft cdn phai xdt tdi cdc t i n t h i t cd t h i xfty ra trong tUtfng lai 1ft rft^t quan trpng. Chi cd m^t s i it NHTM Vi^t Nam dp dung tiftu chuIn dinh tinh d l tinh todn np xft^u, chinh vi vfty cd t h i k i t luftn vi$c tinh todn ntf x i u theo cdch tinh cua Vif t Nam se t h i p htfn so vdi thdng 1? trdn t h i gidi. Bdn t h a n cdc NHTM d Vi$t Nam, ngftn hftng nfto dp dung Dilu 7 cua Quylt dinh 493 trong phftn loai ntf se cd tinh todn np x i u cao htfn 80 vdi cdc ngftn hftng chi tinh todn theo Dilu 6 cua Quyet dinh 18 da sufa d l i . Ngofti ra, m$t s i y l u t l clii t i l t htfn trong phdn loai ntf vft trich Iftp du phdng se t i l p tuc Iftm cho khodng cdch ntf xft'u theo chuIn mUc cua V i | t Nam vft thdng 1$ quIc te cdch xa nhau.

Phftn l o a i ncf v a t r i c h l $ p dii p h o n g Phftn loai np dupc hieu 1ft qud trinh cdc ngan hftng xem xet cac danh muc cho vay cua minh

vft dua cdc khodn vay vfto cdc nhdm khdc nhau diâ trdn rdi ro vft cftc d$c d i l m tUtfng ddng khdc cua khodn vay. V i | c thudng xuyin xem xdt vft phftn loî n^ gidp cho ngftn hftng cd t h i k i l m Bodt c h i t lupng danh muc cho vay ciâ ndnh vft trong trudng hpp c i n t h i l t sg cd cdc bi§n phdp xi[ If cdc v i n d l phdt sinh trong c h i t lupng tin dyng cdc danh myc cho vay.

Thdng thudng, cdc ngftn hftng thudng SIJT dung h | t h i n g phftn loai ndi bO, phd:c t a p htfn cftc h | t h i n g phftn lo^i quy djnh bdi cdc nhft gidm sdt ngftn hftng yftu cdu chG y l u phuc vy muc tidu bdo cdo, so sdnh vft gidm sdt. V i | c phftn loai vft l$p di^ phdng gfty n h i l u khd khftn cd v l mftt 1^ t h u y l t iSn thi^c t l cho ngn cdc quIc gia cd cftc sU lifa chpn r i t da dang cho h$ t h i n g phftn lo^i vft Iftp di^ phdng (BCBS, 2006). Mftc du da cd nhihig d i l m tUtfng ddng, nhUng vSn chUa cd quy dinh vft tidu chuIn qud'c t l t h i n g n h i t dupc thifa nhftn. Vi du, thuftt ngU dU phdng chung vft du phdng cu t h i xuft^t hi^n trong khudn kho phdp ly d n h i l u quIc gia, nhung dinh nghia vft cdch si^ dung ra't khdc nhau d ti^ng quIc gia (Laurin vft cdc tdc gid, 2002). HOi ddng chu^n mUc k l toftn quIc te - International Accounting Standards Board c6 dUa ra cac quy dinh v l dinh gid tfti san vft cong b l thdng tin, nhung Cling chua cd hudng dan cu the ve trich Iftp du phiing. Do vay, cdc quoc gia mac dit cijng thuc h i | n ChuIn mUc ke toftn quoc t l - IAS cung vSn cd khudn k h i phap ly khdc nhau cho vi^c Iftp du phdng. Uy han Basel ciing cd chu f dftc bidt tdi cftc vft'n de ke todn vft k i l m todn vft dUa ra nhdng khuyen nghi trong Bdo cdo v l cdc Thdng 1? thUc hi#n chuIn mUc ke todn khoan vay vft cdng b l thdng tin (Sound Practices for Loan Accounting and Disclosure) vfto nftm 1999 vft suta doi vfto thdng 6/2006.

Cdc bdo cfto nfty dUa ra nhiJng hudng dftn quan trpng v l k l todn cdc khoan cho vay, k l toan rui ro tin dung vft cdng b l thdng tin de phu hpp vdi chuIn mUc ke toan qud'c te' IAS 39 (Cdng cu tfti chinh: Ghi n h ^ n vft Do ludng - Financial Instrument: Recognition and Measurement).

Tuy Uy ban Basel co gang dUa ra nhiJng hUdng dSn, nguydn t i c quan trpng n h a m muc tieu hudng tdi sU t h i n g n h ^ t trong vi#c p h a n loai

cangngh^ n g f l l l H a H Q Stf79»Thang 10/201"

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NGHlSNCOTUTRAOOdl

cdc khodn ng vft U p dvr phdng rOi ro tin dMng d cdc quIc gia, nhiTng bdo cfto khdng dua ra mOt h | t h i n g phftn lo^i ng t h i n g n h i t hay cftc quy tilnh chuin hda d l ddnh gid rCii ro tin dyng.

Thdm vfto dd, mdt B I khfti n i | m cd t h i dfln tdi cftc cdch hilu khftc nhau. Vi dy, khfti nl$m

"bJing chCmg khftch quan** (objective evidence) dl c$p trong bfto cfto l i l n quan chd y l u tdi cdc dft'u h i | u trong qud khi2, thanh tra gidm aftt thi chd f tdi ddnh gift rCli ro t i l m tftng d phia trudc. Mftc d6 Cy ban Basel dft h i t 8i2c nd li^c trong v i | c dua cdc chinh adch phftn lo^i n<7 vft trich Iftp di^ phdng rOi ro tin dyng t h i n g n h i t giCTa cftc quIc gia, nhUng v i n dl nfty khft phOTc t9p d l cd t h i dite ra dupc cftc quy djnh chung.

Phdn lo^i cdc nhdm ng vd quy dfnh nff xdu Laurin vft cftc tdc gift (2002) chi ra v i | c phftn loai np khd cd chuIn mi;c k l toftn quIc t l thing n h l t . Vi|c tilp cftn phftn loai np dUpc coi nhu trftch n h i | m cua ngudi qudn If ngftn hftng hofic chi 1ft v i n dl bfto cdo gidm sdt. Trong cdc nude G-10, My vft ed t h i ed Dd'c dft sijr dyng cdch tilp cftn phftn loai np rd rftng. O mdt s i quIc gia khdng cd ctf c h i qudn 1^ chi t i l t , cftc nhft qudn \f ngftn hftng thudng cd trftch nhidm phftt trien cftc quy dinh vft quy trinh phftn loai ntf ndi bd. Mdt quan dilm chung d nhQng quIc gia nfty Ift vai trd cua bftn ngofti nhU gidm sdt ngftn hftng hoftc Icilm toftn bdn ngofti chi gidi han d vide dUa ra f kiln xem cdc quy dinh dft d i y du vft cd dupc thUc hi§n phu hpp vft t h i n g n h l t hay chUa mft thdi. Tai Anh, cdc nhft giftm sdt ngftn hftng khdng ydu c l u cdc ngftn hftng dp dung mOt loai hinh phftn loai np cu t h i nfto.

Tuy nhidn, cftc giftm sftt ngftn hftng trdng d^i r^ng ngftn hftng sg cd quy trinh qudn 1^ riii ro tin dung phii hpp, bao gdm cd v i | c ddnh gid khodn vay vft dUpc eftp nhftt thudng xuyftn. 6 Ha Lan, khdng cd quy dinh cu t h i v l phftn loai np, eho phdp cftc nhft qudn \f ngftn hftng tu phftn loai vft v i | c phftn loai nfty se dUpc xem xdt dinh ky bdi gidm sdt ngftn hftng. Phftp luftt quy dinh mdt hd t h i n g cdc ydu c l u t i i thieu d l cdc khodn vay dUtfc phftn loai 1ft cd da^u hi$u xau di (doubtful) nhung khdng c6 chi

t i l t hudng dfln CM t h i v l phftn 1091 n^. Cftch t i l p c$n tUtfng tg cung x u l t h i l n d Italy, d dfty cd 6 lo^i n^ dU^c dua ra. nhung chi cd hudng d&n chung chung v l v i | c thi^c h i | n phftn loai, khdng cd quy dfnh t^ 1| eg t h i .

Tî nhilu quIc gia, B^ c i n t h i l t cua vi$c ftp dgng mdt h ( t h i n g phftn loî n^ dfi di^c cU ra nh&m gidp cftc nhft thanh tra giftm sftt ngftn hftng cd khft nftng so sdnh vft phftn tich danh myc cho vay c6a cftc ngftn hftng. HI thing nhu v4y cd t h i gii3p cho ngftn hftng vft thanh tra ngftn hftng quylt djnh xem di^ phdng dfi phi) h^p hay chua. Tuy nhidn, v i | c thyc hi$n mlt h i thing nhu vfty sft khdng dUa ra du^c mOt khung cv t h i bdi vl cftc nhft giftm sftt ngftn hftng dfi Bâ dli cftch phftn loî d l phCi h ^ vdi ylu clu giftm sftt ci)a hg (Hftng 2). Vt d^, cdc ngftn hftng d DUc dupc y l u d u phftn loî n^ ra Iftm 4 nhdm (cho vay khdng rui ro, cho vay cd diu h i | u rui ro, n<; cd dtfu h i | u khdng thu hdi. np x i u - loans with no discernible risk. loans with increased latent risk, nonperforming loans, and bad loans). Nhftt Bftn cQng dua ra nhOng hudng dftn mdi trong phftn loai ntf d l tftng cUdng sU kilm tra vft giftm sftt nh^m thuc d i y sU an toftn ciia h | t h i n g tfti chinh. Trong khIi cftc nUdc khdng thudc nhdm GlO, quy dinh v l trich Iftp dg phdng thudng ydu cftu dUa ra 4 hofic 5 nhdm np, Brazil vdi 9 nhdm, Mexico vdi 7 nhdm (Laurin vft eftc tftc gift, 2002).

Tî Vidt Nam, Dilu 6 cua Quylt dinh 493 vft sura dli trong Quylt dinh 18 phftn loî ntf thftnh nftm nhdm theo phUtfng phftp t i l p cftn dinh lupng chu y l u diâ trdn thdi gian trd n^

cQa khftch hftng vft dft'u hidu khdng trd ntf Ifti vft g l c ddng h^n. Tuy nhidn, t l ehUc tin dung vftn cd quyin chii ddng quylt dinh phftn loai b i t k;^ khodn ntf nfto vfto efte nhdm ntf rOi ro cao htfn tUtfng Ung vdi miJc dO rui ro n l u dftnh gid khd nftng trd np eua khdch hftng suy giftm.

Ngofti ra, Quylt dinh 493 cdn eho phdp cftc t l chi^c tin dung cd du khd nftng vft dilu ki^n dUdc thUc hidn phftn loai np vft trich l$p dU phdng rui ro theo phUtfng phdp "dinh tinh" d Dilu 7 n l u du^c NHNN c h i p thuftn hftng vftn bdn.

D

U C6ngngh$ n g a i i H d n g J si79»Thdng 10/2012

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N G H | £ N CHU TRAO BJI B i n g 2 : P h & n lofii n ^ \k t} 1$ t r i c h U p di^ p h & n g d m $ t gtf q u t f c g i a

Ni^dc

Bile

-i

N h i t

Brazil

My lie Trung

Qud'c XnDO Mexico

Singapore

T a y B a n Nha

S6' U ^ g n h d m v a y

4

5 5

9

5 5 5

4 7

S

6

Q u y d j n h di^

p h 6 n g Dp ph6ng cp th^

Dp ph6ng cp t h i Dp phbng cp t h i

Dp phbng chung v i dp phbng cp thi Dp phbng chung v i

du phbng cu thi

Dp phbng cu th^

Dp phbng chung v i dp phbng cu t h i

G h i chii

4 n h i m bao g6m: cho vay khdng rui ro, cho vay cd diu hi^u rAi ro, np c6 diu hi^u khbng thu h i i , np xiu Khbng cd quy djnh cp t h i v4 l i p dp phbng Ch! dp phbng cho 3 nhdm cutfi vdi t^ 1$ l i n lust l i 16 %, 70%, 100%

9 nhdm dua ra bao g«m AA (0 %), A (0,6 %), B (1

%), C (3 %), D (10 %), E (30 %), F (50 %), G (70 %) v i H (100%).

Khdng dua ra quy djnh cu t h i

Khdng dua r a quy djnh cp t h i v i l i p dp phdng T^ H dp phbng cho 6 nhdm l i n Ippt l i 1%,3%,25%, 76%, 100%

Chia cp t h i l i m 2 lo^i cd b i o d i m hoic khdng cd b i o d i m cd ty 1$ dU phbng k h i c nhau v i linh hoat 7 nhdm dupc p h i n loai dpa t r i n riii ro quffc gia, rui ro t i i chinh, nlii ro n g i n h v i lich sijr thanh toin. Ty 1$

dp phdng: A-1 (0,5%); A-2 (0,99%), B (1-20%); C-1 (20- 40%), C-2 (40-60%); D (60 - 9 0 %) v i nhdm E (100%) Ty l i trich l i p dp phdng cho 3 nhdm cuSi t6i thieu l i n Ippt l i 10%, 50%, 100%.

Ty 1$ dp phbng chung 0,51%, cdn cho 3 nhdm cu^i l i 10%, 25-100%, 100%

NguSn: Trich ta s6 liiu cda Laurin va cdc tdc gid (2002)

Theo phUtfng phftp nfty, ntf cung dUtfc phftn thftnh nftm nhdm tUtfng Ctng nhU nftm nhdm np theo cdch phftn loai dinh lupng d Dilu 6, nhUng khdng n h l t t h i l t cftn ed" vfto s i ngfty qud h a n ehua t h a n h todn np, mft cftn cCl t r d n h$ thong x I p h a n g tin dung ndi bO vft chinh sdeh du phdng rui ro ciia to chUc tin dung dUtfc NHNN c h i p thuftn, chu y l u dUa t r e n cftc ddnh gid ciia ngftn hftng v l kha nftng thu hdi von vft lai tii khdch hftng. Cho dii phftn loai theo phUtfng phftp dinh lUpng hay dinh tfnh thi cdc khoan np x i u cd ty Id trich Iftp dU phdng cao htfn cdc nhdm np khdc. V l cdch xd'p loai cdc nhdm np eho thft'y Vi$t Nam cd su t h i n g n h l t

vdi nhieu quoc gia t r e n the gidi (My, Nhftt, Singapore, Trung Quoc). Vide chia np thftnh 5 nhdm dupc Vi^n nghien cUu tfti ehfnh quIe t l (Institute for International Finance) dUa r a vft dupc hudng dSn trong tinh todn cdc cM sd' Iftnh m a n h tfti chinh (FSIs) cua IMF. 5 nhdm no bao gdm: np du tidu chuIn (Standard), np cftn chii f (Watch or Specitil Mention), Np dudi c h u I n (Substandard), Np nghi ngd (Doutfiil) vft Np c i n xuf 1^ (Loss - Write-off). Cftc quIc gia phftn loai np thftnh 5 nhdm thUdng khd t h i n g n h l t vdi dinh nghia nfty^ vft gidi thich ca bdn tUng nhdm 1ft tUtfng ddng vdi cdc nhdm np d nhieu quIe gia t r e n t h i gidi.

' ViSc chia ng thanh 5 nhdm dugc Vitn nghiin ciiu t6i chinh qu6c ti Qjistitute for International Finance) dua ra v&

duac hudng d&n trong tinh todn cdc chi sd Idnh manh tdi chinh (FSIs) cda IMF. 5 nhdm ng bao gdm: ng du tiSu chudn (Standard), ng cdn chu ^ (Watch or Special Mention), Ng dudi chudn (Substandard), Ng nghi ngd (Dout/ul) vd Ng cdn x& ly (Loss - Write-off). Cdc quoc gia phdn loai itg thdnh 5 nhdm thudng khd thSng nhdt vdi dinh nghia nay.

ngan hang | i |

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Dylphbng c^ thi vd duphdng chung d n h i l u quIc gia, quy djnh trich l | p d\f phdng khdng nhJlm mye tiftu 1ft tfnh todn riii ro d nhilng giai do^n ban d i u mft thudng xem xdt cdc y l u t l "khdch quan" cd t h i xfty ra do cftc nhft ho^ch dinh chfnh sdch tfti khda. Theo nghidn cuTu ciia Bloem vft Freeman (2004), mQt s i quIc gia cung d p cftc quy dinh dâ trdn mdt B I nguyin t i c vft chi cd hudng d i n chung v l vide tinh toftn mUc di; phdng h^p 1^. Dfty 1ft mdt cdch t i l p c | n dUdc ftp dyng p h i b i l n tî khu v^c chftu Au. NgUi^c lî, tî mdt s i nude vile trich Iftp di; phdng diftjrc quy dinh khft chi t i l t nhtlm myc dich giftm sftt vft so sftnh giCIa cftc ngftn hftng d l dftng htfn.

lie thi n I m giaa hai thfti ci^c. Cde ngftn hftng du^c phdp dua ra cftc mUc di; phdng di^a trdn md hinh ndi bd, trong khi cftc dinh c h i tfti chfnh phi ngftn hftng ed nhftn t i l n giJri du^c ydu c l u Slit dung cftc tidu chi do ctf quan giftm sftt ngftn hftng quy dinh (Laurin vft cdc tdc gid, 2002).

Mftc dU cd t h i li^a chpn khdng ftp dyng ede tidu chi ciia ctf quEm gidm sdt ngftn hftng, cdc ngftn hftng cung dupe trdng dpi sd cd cftc hd t h i n g trich Iftp du phdng ndi bd tUtfng ddng vft phCi htfp vdi cftc tiftu chf do ctf quan giftm sftt ngftn hftng dUa ra. Ngofti ra, theo quy dinh cua Uy ban Basel, vdi mdt s i dilu kidn eu the thi dg phdng chung dUtfc tfnh vfto vdn d p 2 cua ngftn hftng. Trong cdc quIc gia chftu Au dUpe khdo sftt, Phdp vft Anh eho phdp du phdng chung tinh vfto v i n , Italy vft Hft Lan khdng c h i p nhftn.

Hdu bet eftc nude khdng thudc nhdm GIO - trU Argentina, t)c, Brazil vft Hftn QuIc, d i u c h i p nhftn dua di^ phdng chung vfto v i n d p 2. Mdt sd' quIc gia dUa ra mUc td'i t h i l u (Argentina, Korea) hoftc ngudng eg t h i (Australia) cho dU phdng cua ntf tidu chuIn, dfty 1ft d i l m khdc bi^t trong chfnh sdch trich Iftp du phdng d cftc qud'c gia.

Sau khiing hodng tfti chinh cuoi nhflng nftm 90, r i t nhieu ngftn hftng trung Utfng tai chftu A vft eftc ctf quan gidm sdt da thftt chfit vide gidm sdt hd t h i n g tfti chinh ngftn hftng de d a m bao rftng cdc ngftn hftng t h i l t lap co che dU trU thudng xuyen d mUc dii de phdng t r d n h ede nii ro tin dung (Packer vft Zhu, 2012). Vide

xU \f tfti sdn ddm bdo, mign giftm t h u l cho khodn chi phi di^ phdng, ho^c tftng v i n chii sd hau b i n g cdc khodn d^; phdng nfty dui?c quy dinh khdc nhau d cdc quIc gia. R i t n h i l u ngftn hftng b i t d i u ftp dyng cdc c h u I n m^c k l todn quIc t l (vi dy IFRS) hoflle edi t i l n hft t h i n g phftn lo^i khodn vay vft ctf c h i l | p d^ phdng mdi. C h u I n mtfc k l todn quIc t l IAS 39 ydu c l u c I n cd mUc d^ phdng cho cdc khodn vay chi khi ed b i n g chUng n^ khdng du tidu chuIn dU^c n h i l u nUdc ftp dung (Bloem vft Freeman, 2004). Tuy nhidn, eho dii cung ftp dyng t h i n g n h l t c h u I n myc k l todn IAS 39. cftc quIc gia cd t h i cd cdc quy dinh thdm v l vide trich Iftp di^ phdng vft efte y l u cftu di/ tri} khdc nhau.

Trdn thyc t l . mdt s i ctf quan qudn 1^ tai khu ygc chftu A cd ftp dung eftc tidu chi do ludng linh ho^t n h l m k h u y i n khich dg phdng rui ro tin dyng thUdng xuydn, vi dy tftng ty Id dU phdng d mdt s i ngftnh n g h i dftc thu (Bloem vft Freeman, 2004). Vide Iftp dU phdng linh ho^t 6 trdn theo quan d i l m dUa trdn cftc riii ro trong qud khU (incurred loss) dupe ddnh gid 1ft khd tUtfng ddng vdi quan d i l m hUdng tdi tUtfng lai n h i l u hpn dUpc d l nghi trong cftc hUdng d i n thyc hftnh trich Iftp du phdng rui ro tin dyng eua Uy ban Basel v l giftm sftt ngftn hftng.

Theo nghidn cdXi cua Packer vft Zhu (2012) mdt s i qud'c gia chftu A cung cd nhifng quy dinh khftc nhau v l phftn lo^i n^ vft trich Iftp du phdng.

T^i Trung QuIc, b i t dftu tif nftm 2005 ngftn hftng dupc ydu e l u t h i l t Iftp dU phdng chung t i i t h i l u 1% cua t i n g du n^, ftp dyng tCf nftm 2002 de phu hpp vdi chuIn muc quIc t l , quy dinh vl phftn lo^i np du^c sUa d l i de cd cftc quy dinh trich Iftp dy phdng cho b i n loai np mUc dUdi.

Cftc hudng dftn eho phdp cdc ngftn hftng dUtfc dUa ra ty 1$ dU phdng cy t h i cho ede khoan vay dupc ddnh gid d mUe 2 vft 3 (substandard vft doubtful) cd t h i cao htfn hoftc thftp htfn 20% so vdi quy dinh binh thudng. Hdi ddng chuIn mUc k i l m toftn d Nhftt Bdn cd muc tieu hudng tdi sU tUtfng dong gii^a c h u I n mUc k l todn qud'c t l vft chuIn mUc ke toftn Nhftt Bdn vfto nftm 2011.

Nhftt Bdn dft cd du phdng chung vft dU phbng ey t h i trong mpt thdi gian dai. Cftc khodn dU

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NGHl£NCl]rUTRAODdl « « <

phdng dupc se dupc tinh todn di/a trdn lich sH mftt ntf trong ba nftm ciia tCfng hang myc.

Hftn QuIe t h i t chftt cftc quy dinh v l trich l$p dy phdng mdt vfti l i n trong thftp ky vCfa qua.

T^ Id du phdng chung d l i vdi cdc khodn cho vay doanh n g h i l p tftng tU 0,5% Iftn 0,7% vft 0,85% trong cde nftm 1999, 2005 vft 2007. T^

Id t i i t h i l u dy phdng cua cftc h^ng myc cho vay khdc cung tftng Idn. Hftn quIc dg tinh vile ftp dung e h u i n muc IAS 39 vfto nftm 2011. Sau cudc khiing hoftng tfti chfnh chftu A, Ngftn hftng Trung Utfng Malaysis tftng dy phdng b i t budc eho cftc khodn ntf. TU t h d n g 3/1998, t^ Id 20%

dupc ydu d u cho khodn vay tidu chuIn (tfti sdn ddm bdo rdng) vft t^ Id dy phdng chung dupe tftng Idn 1,5% eho t i n g dU ng. Malaysia thuc hidn ehuIn IAS 39 vfto nftm 2010.

Tai Vidt Nam, Quylt dinh 493 ydu d u trich iftp hai loai du phdng 1ft du phdng cu t h i vft du phdng chui^. Quylt dinh 493 Iftn dftu tidn yeu d u to chUc tin dung Iftp dU phdng chung eho t i t ca cftc khodn ntf ciia minh bling 0,75% t i n g gid tri d c khodn np tU nhdm 1 d i n nhdm 4. Du phdng cu the 1ft loai du phdng dupc trich Iftp tren ctf sd phftn loai cu the cftc khoan np ma hien nay cac to chii'e tin dyng dang thUc hidn.

Cho dii dupe phftn loai theo phUtfng phdp dinh tinh hay dinh lupng, ty Id trich Iftp du phdng cy t h i d l i vdi cdc nhdm ntf 1, 2, 3, 4 vft 5 lan lUtft 1ft 0%, 5%, 20%, 50% vft 100%. Quylt dinh 493 vft siJta d l i trong Quyet dinh 18 dUa ra cdch tfnh s i t i l n dU phdng b i n g cdng thUc hoftn toftn mdi khdc vdi cdch tinh dU phdng quy dinh tai d c quy dinh trUdc day. Theo cdc quy dinh trUde dfty, so t i l n dU phdng chi dpn gidn bling ty Id trich du phdng nhftn vdi tfti sdn cd tCfng nhdm.

Trong khi dd, quy dinh mdi ydu d u so t i l n dU phong cu t h i dya trdn tfnh todn gid tri khodn np trif di gia tri tfti sdn dam bao nhftn vdi ty 1?

trich lap du phdng cu t h i . Tdi sdn dam bdo

Tfti san dam bdo cung la d i l m ddng ehu f khi xem xet phftn loai khoan ntf vft tfnh todn dU phong rui ro tin dung. Khodn vay cd tfti san

ddm bdo t i t cd t h i dUtfc phftn loai vfto nhdm ntf t i t htfn ho^c cd t h i du^c phftn loai dUa trdn rdi ro cua chinh khodn vay dd. Khdng cd sU t h i n g n h l t d cdc quIc gia v l v i n d l nfty di/a trdn cudc khdo sdt eftc ngftn hftng trdn t h i gidi do nhdm Ngftn hftng T h i gidi thi/c h i l n (Laurin vft ede tftc gid, 2002). Mdt s i quIc gia trong cudc khdo sftt ed quy d^nh ey t h i trong trich Iftp dg phbng d l i vdi cdc khodn vay cd tfti sdn ddm bdo 1ft Argentina, Hong Kong, An Dd vft Tfty Ban Nha.

Tai Vidt Nam, d n luu f gift tri tfti sdn bdo ddm

"ghi trdn hpp ddng bdo ddm" sS 1ft cftn cU d l tinh s i tiln du phdng cu t h i . Do vfty, gift tri tfti sftn ddm bdo r I t quan trong khi tfnh todn s i t i l n du phdng cu t h i cho cdc khodn vay. Theo Quylt dinh 18, nlu gift tri tfti sdn ddm bdo sau khi tinh theo ty Id phftn trftm Idn htfn gift tri khodn ntf thi s i t i l n du phdng ciing l)ftng khdng, ed nghia 1ft t l chUc tin dung tren thUc t l khdng phdi trich lap du phdng cu t h i cho khodn np d6. Vdi cftch tfnh sd' t i l n du phdng cy t h i nhu tren, cftc to chufc tfn dung d n luu f vide dinh gid tfti sdn bdo dam ngay tai thdi dilm k^ hpp dong bfto dam vft dftc biet lifti f tdi quyIn phdt mai tfti san ddm bao trong htfp ddng bdo ddm. Neu ngftn hang khdng the phdt mai dUtfc thi gid tri khft'u tri^ ciia tai san bdo ddm se b^ng khdng. Viec xuf ly tfti san ddm bdo khi ngUdi vay khdng trd dUtfc np phdi tuftn thii theo BO Luftt Dan sU quy dinh rd ngUdi ki hpp ddng mua bdn phai 1ft chii tfti san hay dai didn phdp luftt dupc uy quyln. Do dd, tfti sdn da dUtfc cdng chUng t h i chft'p nhUng bdn cong ehflng vftn khdng t h i thUc hi^n thu tuc sang ten doi chu cho b i t ddng sdn d6 nd'u nhU chu tfti sdn khdng ddng f, khdng uy quyln ro rftng vft thftm chf cdn phdn doi vide xur ly tfti sftn bdo ddm ciia ngftn hftng. Ngofti ra, gift tri k h I u tui ciia tfti sdn bao ddm dupc xdc dinh trdn cP sd tich s i giila ty Id khau trii vdi gid tri thi trUdng hoftc mdnh gift ciia tfti sdn ddm bdo. Ty Id khft'u trir d l xdc dinh gid tri khIu trU eua tai san bdo dam do to chufc tin dung tu xdc dinh tren ctf sd gid tri cd the thu hdi tu vide phat mai tfti san bdo dam sau khi trU di cdc chi phi phdt mai tfti sdn bao ddm dU Idin tai thdi dilm trich Iftp du phdng nhUng khdng dUpc vUpt qud ty Id theo quy dinh. NhU vfty, vide xdc Cdngnghe H g a i l ^ ^ ^ 9 I I I Sl79»Thang 1 0 / 2 0 1 M K I

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NOHltNCOTUTRAODtfl

dinh gid tri t&i Bdn ddm bdo ciia cde ngftn hftng sd linh ho^t d^ra trdn dftnh gid ciia chfnh ngftn hftng v l lo^i tfti B&n ddm bdo.

Tdm Ifti, np x l u cda Vidt Nam du^c tfnh todn khdng t h i n g n h l t trong thdi gian g i n dfty cd mdt nguydn nhftn h i t BUC quan trpng b i t ngudn tu cdch phftn lo^i n^ vft tinh toftn dg phdng khftc nhau gida d c ngftn hftng, t h a n h tra ngftn hftng vft d c t l chUc quIc t l . Mdt s i d i l m khftc bidt chfnh du^c trinh bfty dudi dfty d n phdi Aitgc t h i n g n h l t tM mdi cd t h i h i l u vft phftn tfch chinh xftc bdn e h i t con s i np x i u cua cftc ngftn hftng Viftt Nam hidn nay:

Tha nhdt, d c t l chUc tin dyng tî Vidt Nam chii y l u phftn loî np theo Dilu 6 Quylt dinh 18 silra d l i Quylt dinh 493, theo d c h t i l p cftn dinh lu^ng trong khi thdng Id quIc t l dft ftp dyng cd y l u t l dinh tinh khi phftn loî n^ vfto cftc nhdm.

D l hudng tdi t h i n g n h l t vdi chuIn myc quIc t l tao thuftn Ipi cho cdng tftc gidm sdt vft qudn 1^

vft so sdnh np x i u , ede ngftn hftng d n phdi cd Id trinh dp dung phftn loai ng theo Dilu 7, Quylt dinh 493. Dfty 1ft phUtfng phftp phftn loai np g i n vdi chuIn IAS 39 vft phu hpp vdi hudng d i n cua Uy ban Basel.

TAii* hai, muc tidu phftn loai np vft trich Iftp dy phdng ciia efte ngftn hftng Vidt Nam d n dupc Iftm rd. Muc tidu co bdn cua viftc trich Iftp du phdng 1ft d l phdng trftnh eftc rui ro t i n thftt tiT cde sU kidn cd t h i nhftn d a n g hoftc khd rd rftng hay 1ft d l phdng trftnh eftc riii ro ton t h i t cd t h i xdy ra trong tUPng lai? Theo c h u I n muc k l todn quIc t l vft dftc bidt 1ft Uy ban Basel, cftc t i n t h i t trong tUtfng lai cd t h i xdy r a d n dupc tinh todn d l ed t h i bii d i p cho n h a n g riii ro tin dung sau nfty. Ngofti ra, d l phu htfp vdi c h u I n mUc IAS 39, cftc ngftn hftng can dp dung tinh du phdng rui ro theo phuong phftp c h i l t k h I u ddng tien cho myc dich qudn t r i ndi bp t h a y vi phUtfng phdp tfnh ty Id CO dinh n h u hi^n nay.

TAii* ba, can ed quy dinh ro rftng vide cdc ngftn hftng cd t h i xuf 1^ vft dinh gid tfti sdn

ddm bdo r a sao. 6 n h i l u q u I c gia vft Vidt Nam, gift t r j ciia tfti sin d d m bdo sft du^c sti dyng trong tfnh toftn d^ p h d n g t h ^ c t l d n phdi trich Iftp. Tuy nhiftn. v i n d l dinh gid tfti Bdn ddm bdo chua cd k h u n g phftp 1^ rd rftng.

Cdc ngftn hftng cd t h i sCf d y n g ctf quan dfnh gid bdn ngofti, cd t h i djnh gift theo tidu ehuIn ndi bd. Khi cd q u y l t djnh xii' 1^ tfti sdn ddm bdo thi cftc dinh gid nfty cQng k h d n g du<rc sii:

dyng vft p h d i tuftn thO cftc quy djnh eua BO Lu4t DAn B\r khi cd t r a n h c h ^ p . Do v^y, d Viftt Nam cftc khodn ddm bdo du^c trU khdi dg phdng cy t h i nhung dinh gid tfti sdn ddm bdo chi mang t i n h c h i t d a n h nghia vft vide tfnh todn t h i l u chfnh xdc gid t r i tfti sdn ddm bdo, vide cho phdp ngftn hftng t y tinh todn t^

Id k h I u trU tfti sdn ddm bfto sft Iftm cho vide trich Iftp dg phdng cQng t h i l u chfnh xdc vft k h d n g ddng n h l t giUa d c ngftn hftng.

Thii tu, hftu h i t cftc ngftn hftng t a i Viftt Nam chua cd hft t h i n g x I p h a n g tfn dyng ndi bd d l hd t r p vide phftn lo^i n ? vft qudn If c h i t lUdng tin dung. D i l u nfty cho t h I y k i t qud phftn loai n p chUa p h d n d n h d u n g chdft lUtfng np cua cde t l chUc dd. HO t h i n g x I p hang tin dung ndi bd quy dinh t a i Q u y l t dinh 493 cdn chung chung, k h d n g ey t h i , do dd d c t l ehUe tin dyng khi xfty dung gftp n h i l u khd khftn; mUc dd hoftn thftnh vft c h i t lUpng ciia h i t h i n g x I p hfling ehUa t i t . N H N N cd t h i xem xdt hudng d i n vft dua r a quy dinh cu t h i d l i vdi hd t h i n g tin dyng ndi bd d l vide phftn lo^i np vft trich Iftp dy phdng dupc t h i n g n h l t vft chinh xftc htfn.

Tha ndm, d c NHTM nhft nude khdng b i t budc trich Iftp du phdng rui ro tfn dung d l i vdi d c khodn eho vay theo chi dinh, theo k l hoaeh nlift nUdc vft cftc khodn np khoanh, mft cd t h i trich Iftp du phdng theo "nftng luc tfti chfnh" trong khi chUa cd vftn bdn nfto k h i n g dinh Chinh phu se ehiu bu d i p hoftn toftn n i l ro cho cde khodn cho vay nfty. Dilu nfty, se dftn tdi du phdng riii ro tfn dung eiia cdc t l ehUc tfn dyng t h i p di vft np x i u cung t h i dUpc ddnh gid t h i l u chinh xdc cho cdc khodn vay nfty •

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N G H I S N C U T U TRAO DOI

Tfti lidu tham khdo

L BCBS (2006). Sound credit risk assessment and veUuation for loans. BIS Press and Communication, Basel, Switzerland.

2. Bloem, A. & Freeman, R. (2004). The Treatment of Nonperforming Loans. IMF Committee on Balance of Pay- ments Statistics

3. £>inft Vdn (2008). Kinh nghi$m xtt If ng xdu cda cdc ngdn hdng thuang m^i chdu A vd bdi Ape cho Vift Nam.

Di tdi nghi6n ciiu khoa h^c TrUdng Bgi h^c Kinh ti, Bgi hgc Quic gia Hd N^i.

4. Hodng Yin (2012). Ng xdu Idn gdp 4 Idn s6 Ufu cdng b61. http://vnmedia.vn/VN/kinh-te/tin-tue/26J96792/

no_fcauJon_gap_4Jan_soJieu_cong_bo.html.

5. IFRS (2005). IAS 39 - Financial instruments: Recognition and Measurement.

6. IMF (2004). Financial Soundness Indicators (FSIs): Compilation Guide.

7. Laurin, A., Majnoni, Q., Ferencz, O., Maimbo, S., Shankar, R., & Wane, F. (2002). Bank loan classification and provisioning practices in selected developed and emerging countries. Basel Core Principles Liaison Group.

8. Packer, F. & Zhu, H. (2012). Loan loss provisioning practices of Asian banks. BIS working paper no. 375.

Cdngnghf H g a t l H d H g i H 179 •Thdng 10/20I2liJ S i 79 •Thdng 1