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Determinao de Preo de

Produtos de Crdito
Estima-se que cerca de 15% dos bancos com menos de
USD 1 bilho em activos usam actualmente um modelo
de precificao de emprstimos (interno ou
comprado).

Para bancos com menos de USD 250 milhes em


activos, essa percentagem substancialmente menor.
Alm disso, de bancos com menos de USD 1B, a
percentagem que usa um modelo RAROC (retorno de
capital ajustado ao risco) quase insignificante
(estimamos que esse nmero seja inferior a 1%).
Muitos banqueiros tem conscincia da existncia e utilidade de
modelos de precificao de crdito, mas optam por no us-los
pelas seguintes razes:

O custo de aquisio e implementao;

Falta de tempo ou experincia para implementar e calibrar;

Uma desconfiana da efectividade e complexidade de tais modelos; e,

Concluindo, alguns banco acreditam que esses modelos no so


necessrios, uma vez que o banco at o momento conduzido com
sucesso sem esses modelos.

Todas estas razes podem ter mrito.


Para os bancos que decidiram renunciar
modelos de precificao de emprstimos
nesta conjuntura, gostaramos de destacar
algumas lies aprendidas para que possam
tomar decises sobre preos de crdito
(emprstimo) sbias, mesmo se voc no tiver
um modelo de precificao.
O crdito no linear;
O crdito no linear
Todos ns reconhecemos intuitivamente que os melhores crditos exigem spreads
mais finos. No entanto, como voc decide o tradeoff entre a margem de juros
lquida (NIM) e crdito? Esta relao no linear.

Como a probabilidade de inadimplncia e gravidade da perda aumenta o NIM


necessrio para compensar a perda de crdito aumenta substancialmente. Do
outro lado do espectro, medida que a qualidade do crdito aumenta, o NIM
exigido para ganhar o retorno obstculo sobre o patrimnio lquido (ROE) cai, mas
ento se torna mesquinho e assintotico. O maior desafio para os bancos de
precificao correta na rea em que a taxa de cobertura do servidor de dvida
(DSC) est entre 1,20X e 1,50X (todas as outras variveis de crdito mantidas
constantes).

Em outras palavras, crditos com DSC inferior a 1,20X DSCR exigem uma
quantidade desmedida de NIM para o ROE exigido, e crditos acima de 1.50X DSCR
tornam-se insensveis perda de crdito (2.0X DSCR apenas muito ligeiramente
menos arriscado do que 1.50X DSCR). As decises complexas de preos so feitas
na rea de 1.20X a 1.50X DSCR. Isto onde os detalhes finos importam.
Size Does Count
The average loan size for community banks is under
$500,000. However, because of the fixed origination costs
for loans at most banks (it costs a bank almost as much to
originate a $100,000 loan as a $1 million loan) and because
of the fixed maintenance costs (it costs almost as much to
service any size loan), larger loans tend to be much more
profitable. In fact, for most banks, loans under $500k tend
to demonstrate negative ROE unless cross-sells are
available. There are many examples of banks originating
profitable small loans, however, using the standard
commercial origination channels, approval and servicing
model, loans below$500k in size are problematic from a
profitability standpoint.
Relationship is Key
A loan is only one part of the overall relationship and is often a loss
leader. Most lines of credit lose money due to the cost of
administration and the risk profile. In fact, loans on their own tend
to not earn the target ROE for the average bank. Cross-selling is
central to aid in retention and to build profitability. Deposits are
poised to once again contribute to profitability, but right now fee
income has been the major driver.
Almost every bank should have a strategic plan to increase fee
income as it will be more and more important going forward. Fees
on loans (SBA in particular), deposits, cash management, hedging,
trust, investment, leasing and insurance have often made the
difference between top performance and average
performance. Historically, efficiently priced loans would earn 8% to
12% ROE and the cross-sell would increase the ROE to 15% to 20%.
Today, stand-alone loan ROE is closer to 7%.
Term Counts the Opposite of What
Some Think
A loan is least profitable on the day it is made and
reaches its profitability pinnacle on the day it is repaid
or matures. This is basic math since the cost of making
a loan is partly borne mostly upfront and the bulk of
the risk comes in year two through five. The vast
majority of the revenue is generated evenly over
time. Therefore, as loan terms increase, profitability of
the loan also increases. This is in stark contrast to the
strategy of some banks that aim to keep terms short in
the hopes of mitigating credit risk. While some short-
term loans may be profitable, they require more
frequent underwriting, higher maintenance and more
frequent opportunities for loss to competitors.
Beware The Curve
Pricing decisions on loans must be made relative to their
term. Lets consider a concrete example: a five-year fixed rate loan
priced at 3.50% and the banks cost of funds is currently 25 basis
points. This loan does not have a 3.25% NIM for the life of the
loan. Instead, the expected NIM for life of the credit is 1.77%. This
loan has the equivalent expected NIM of a floating rate loan priced
at Prime minus 1.50%. Historically, community banks would make
this loan and rely on declining interest rates to increase their
NIM. Todays interest rate environment is very dangerous for this
strategy. The difference in short-term yields and five-year yields is
approximately 1.40% (a relatively steep shape), but more
importantly, the starting point is so low (Fed Funds at zero). The
curve can flatten very quickly, leaving banks with little
margin. What has worked in the past may not work so well in the
future.
Conclusion
For those banks that have not yet embraced a loan pricing model,
certain common but not necessarily intuitive concepts should be
heeded to help loan pricing decisions. For banks that believe that
the market dictates pricing and not a model, keep in mind that a
major benefit of a model is to create a framework that aids in
communication, training and decisions. Not making the sub-ROE
loan is as big a benefit to a bank as making the loan that makes the
ROE hurdle. If your bank is trying to achieve a particular ROE and it
doesnt have pricing model, the probability of you achieving your
ROE goal is dramatically diminished as you are essentially guessing
with each transaction. We have Smart Loan Express, a risk-adjusted
pricing model that we use that is available to all banks that is priced
at $80 per person per month which is essentially our cost. Use it,
use another pricing model, but whatever you do, a pricing model is
mandatory to help your banks performance.