商業(yè)銀行經(jīng)營評價（英文版）ppt課件

1、第二章 商業(yè)銀行運營評價對外經(jīng)濟貿(mào)易大學 金融學院何自云.第二章 商業(yè)銀行運營評價Balance SheetIncome StatementRelationship between Balance Sheet and Income StatementReturn on Equity Model股份制商業(yè)銀行風險評級體系Performance Characteristics of Different-sized Banks.Balance SheetIt is a statement of financial position listing assets owned, liabilities

2、owed, and owners equity as of a specific date.Assets = Liabilities + Equity.Balance sheet figures are calculated at a particular point in time and thus represent stock values.China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002)Asset (%)Liabilities(%)CNUSCNUSLoans60.261.4Deposits81.465.8I

3、nvestments6.623.1Borrowings14.927.2Cash24.8 9.1Other8.4 7.4Capital3.87.1Total100100Total100100.PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn)Asset (%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Ca

4、pital8.37.3Total100100Total100100.Bank Assets: LoansLoans are the major asset in most banks portfolios and generate the greatest amount of income before expenses and taxes. They also exhibit the highest default risk and are relatively illiquid. .Loans: CategoriesReal estate loansCommercial loansLoan

5、s to individualsAgricultural loansOther loans in domestic officesLoans and leases in foreign officesThree adjustmentsLeases; Unearned income; Loss allowance.PNC and CNB: Loan portfolio (2000)PNCCNBReal estate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domestic other7.34.7International

6、0.50Unearned income- 0.20Loss allowance- 1.0-0.5Total78.064.9.Bank Assets: Investment securities Investment securities are held to earn interest,help meet liquidity needs speculate on interest rate movementsserve as part of a banks dealer functions.The administration and transaction costs are extrem

7、ely low.Bank Assets: Investment securitiesShort-term investmentsInterest-bearing bank balances (deposits due from other banks)federal funds soldsecurities purchased under agreement to resell (RPs)Treasury bills municipal tax warrantsLong-term investment: notes and bonds Treasury securitiesObligation

8、s of federal agenciesMortgage-backed, foreign, and corporate.Bank Assets: Noninterest cash and due from banksIt consists of vault cash,deposits held at Federal Reserve Banksdeposits held at other financial institutionscash items in the process of collectionThese assets are held tomeet customer withd

9、rawal needs meet legal reserve requirementsassist in check clearing and wire transfers effect the purchase and sale of Treasury securities.Bank Assets: Other assets Other assets are residual assets of relatively small magnitudes such asbankers acceptances premises and equipmentother real estate owne

10、d and other smaller amounts.Bank LiabilitiesThe characteristics of various debt instruments differ in terms of check-writing capabilities interest paidmaturitywhether they carry FDIC insurancewhether they can be traded in the secondary market. .Bank liabilities: DepositsDemand deposits transactions

11、accounts that pay no interestNegotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts pay interest set by each bank without federal restrictionsMoney market deposit accounts (MMDAs) pay market rates, but a customer is limited to no more than six checks or automatic

12、transfers each month.Bank liabilities: DepositsTwo general time deposits categories exist:Time deposits in excess of $100,000, labeled jumbo certificates of deposit (CDs).Small CDs, considered core deposits which tend to be stable deposits that are typically not withdrawn over short periods of time.

13、Deposits held in foreign offices balances issued by a bank subsidiary located outside the U.S.Core dopositsCore deposits are stable deposits that are not highly interest rate-sensitive. Core deposits are more sensitive to the fees charged, services rendered, and location of the bank. Core deposits i

14、nclude: demand deposits, NOW accounts, MMDAs, and small time deposits.Borrowings (volatile funds)Large, or volatile, borrowings are liabilities that are highly rate-sensitive.Normally issued in uninsured denominations.Their ability to borrow is sensitive to the markets perception of their asset qual

15、ity. Volatile liabilities or net non-core liabilities include: large CDs (over 100,000)deposits in foreign officesfederal funds purchased repurchase agreementsother borrowings with maturities less than one year.Capital: Subordinated notes and debenturesNotes and bonds with maturities in excess of on

16、e year. Long-term uninsured debt.Most meet requirements as bank capital for regulatory purposes. Unlike deposits, the debt is not federally insured and claims of bondholders are subordinated to claims of depositors. .Capital: Stockholders equityOwnership interest in the bank. Common and preferred st

17、ock are listed at par Surplus account represents the amount of proceeds received by the bank in excess of par when it issued the stock.Income StatementIt is a financial statement showing a summary of a firms financial operations for a specific period, including net profit or loss for the period in q

18、uestion.A banks income statement reflects the financial nature of banking, as interest on loans and investments comprises the bulk of revenue. Net interest income made up approximately 77 percent of net revenue at a bank in 1981, but only about 58 percent of total net revenue at the end of 2001. .Th

19、e Income statement+Interest income (II)-Interest expense (IE)=Net interest Income (NII) +Noninterest income (OI)-Noninterest expense (OE)-Loan-loss provisions (PLL)=Operating income before securities transactions and taxes+(-)Realized gains or losses=Pretax net operating income-Taxes=Net income=burd

20、en.Interest incomethe sum of interest and fees earned on all of a banks assets. Interest income includes interest from:LoansDeposits held at other institutions Municipal and taxable securitiesInvestment and trading account securities.Interest expense. the sum of interest paid on all interest-bearing

21、 liabilities .It includes interest paid totransactions accounts (NOW, ATS, and MMDA)time and savings depositsshort-term non- core liabilitieslong-term debtInterest income less interest expense is net interest income (NII).Noninterest incomeTrust or fiduciary incomereflects what a bank earns from ope

22、rating a trust departmentFees and deposit service charges reflect charges on checking account activity, safe-deposit boxes, and many other transactions. Trading revenues reflect commissions and profits or gains from operating a trading accountOther foreign transactionsOther noninterest income.Nonint

23、erest expensePersonnel expense:Salaries and fringe benefits paid to bank employeesOccupancy expense :Rent and depreciation on equipment and premisesOther operating expenses:Utilities and Deposit insurance premiums.Loan-loss provisions (PLL)Represent managements estimate of potential lost revenue fro

24、m bad loans.It is subtracted from net interest income in recognition that some of the reported interest income overstates what will actually be received when some of the loans go into default. Charge-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the los

25、s reserve. .Loan-loss provisions (PLL) The reserves maximum size is determined by tax.Provisions for loan losses Reserve for Loan LossesRecoveriesCharge offsTax Law.Income statement: PNC &CNB, 2000+Interest income (II)72% & 92%-Interest expense (IE)38% & 27%=Net interest Income (NII) +Noninterest in

26、come (OI)27% & 8%-Noninterest expense (OE)35% & 46%-Loan-loss provisions (PLL)2.1% & 1.7%=Operating income before securities transactions and taxes+(-)Realized gains or losses 0.3% & 0%=Pretax net operating income-Taxes8.5% & 8.6%=Net income16.3% & 16.0%.Realized securities gains (or losses)They ari

27、se when a bank sells securities from its investment portfolio at prices above (or below) the initial or amortized cost to the bank. Generally, securities change in value as interest rates change, but the gains or losses are unrealized (meaning that the bank has not sold the securities to capture the

28、 change in value).Relationship between balance sheet and income statementThe composition of assets and liabilities and the relationships between different interest rates determine net interest income. The mix of deposits between consumer and commercial customers affects the services provided and thu

29、s the magnitude of noninterest income and noninterest expense.The ownership of nonbank subsidiaries increases fee income but often raises noninterest expense. .Relationship between balance sheet and income statementExpenses and loan losses directly effect the balance sheet.The greater the size of lo

30、an portfolio, the greater is operating overhead and PLL.Consumer loans are usually smaller and hence more expensive (non-interest) per dollar of loans.Return on equity (ROE = NI / TE) the basic measure of stockholders returnsROE is composed of two parts:Return on Assets (ROA = NI / TA)represents the

31、 returns to the assets the bank has invested in.Equity Multiplier (EM = TA / TE)the degree of financial leverage employed by the bank.Return on assets (ROA = NI / TA)can be decomposed into two parts: Asset utilization (AU) income generation Expense ratio (ER) expense controlROA= AU ER= (TR / TA) (TE

32、 / TA) TR= total revenue or total operating income = Int. inc. + non-int. inc. + SG(L)TE= total expenses= Int. exp. + non-int. exp. + PLL + Taxes.INCOMEReturn to the BankROA = NI / TAEXPENSESRateComposition (mix)VolumeInterestOverheadProv. for LLTaxesFees and Serv ChargeTrustOtherRateComposition (mi

33、x)VolumeInterestNon InterestSalaries and BenefitsOccupancyOtherBank Performance ModelReturns to ShareholdersROE = NI / TEDegree of LeverageEM = 1 / (TA / TE).Asset utilization (AU = TR / TA): the ability to generate income.Interest Income / TAAsset yields (rate)Interest income asset (i) / $ amount o

34、f asset (i)Composition of assets (mix)$ amount asset (i) / TAVolume of Earning AssetsEarning assets / TANon interest income / TAFees and Service ChargesSecurities Gains (Losses)Other income.Expense ratio (ER = Exp / TA) the ability to control expenses.Interest expense / TACost per liability (rate)In

35、t. exp. liab. (j) / $ amt. liab. (j) Composition of liabilities$ amt. of liab. (j) / TAVolume of debt and equityNon-interest expenses / TASalaries and employee benefits / TAOccupancy expenses / TAOther operating expense / TAProvisions for loan losses / TATaxes / TA.Other aggregate profitability meas

36、uresNet interest marginNIM = NII / earning assets (EA)SpreadSpread = (int inc / EA) - (int exp / int bear. Liab.)Earnings baseEB = EA / TABurden / TA(Noninterest exp. - Noninterest income) / TAEfficiency ratioNon int. Exp. / (Net int. Inc. + Non int. Inc.).Financial ratiosPNC, 2000ROE: Net Income/Av

37、erage Total equity18.9% ROA: Net Income / Avg TA 1.5%AU: Total Revenue / Avg TA 9.2%ER: Total expenses (less Taxes) / Avg TA 7.0%Memo: PM: Net Income / Total Revenue16.2%EM: Avg. TA / Avg, Total Equity12.6xEB: Earning Assets / Avg TA87.0%NIM: Net interest margin 3.6%Spread 3.1%Efficiency Ratio57.2%B

38、urden / Avg. Total Assets 0.7%Non Interest Income / Noninterest exp.78.3%.股份制商業(yè)銀行風險評級體系駱駝氏體系CAMELS資本Capital20%資產(chǎn)Asset20%管理Management25%盈利Earnings20%流動性Liquidity15%敏感性Sensitivity0%.資本CapitalC: signals the ability to maintain capital commensurate with the nature and extent of all types of risk and the

39、 ability of management to identify, measure, monitor, and control these risks. .資本Capital定量目的60分資本充足率30分：10%中心資本充足率30分：6%定性要素40分資本的構成和質(zhì)量6分銀行整體財務情況及其對資本的影響8分資產(chǎn)質(zhì)量及其對資本的影響8分銀行添加資本的才干8分銀行對資本的管理情況10分.資產(chǎn)AssetA: reflects the amount of existing credit risk associated with the loan and investment portfolio a

40、s well as off balance sheet activities. .資產(chǎn)Asset定量目的60分不良貸款率15分：5%以下估計貸款損失率10分：3%以下最大單一客戶、集團客戶授信比率10分：6%、15%撥備覆蓋率20分：100%非信貸資產(chǎn)損失率5分：2%以下.資產(chǎn)Asset：續(xù)定性要素40分不良資產(chǎn)變動趨勢及其影響 5分貸款行業(yè)集中度及其影響5分信貸風險管理的程序、制度及其有效性10分貸款風險分類制度的健全性和有效性10分保證貸款和抵質(zhì)押貸款及其管理情況5分非信貸資產(chǎn)風險管理情況5分.管理ManagementM: reflects the adequacy of the boar

41、d of directors and senior management systems and procedures to identify, measure, monitor, and control risks. .管理Management銀行公司治理情況，公司治理的合理性和有效性50分根本構造10分：三會、獨立董事、外部監(jiān)事決策機制10分：股東、董事會執(zhí)行機制10分：高管素質(zhì)、團隊精神監(jiān)視機制10分：獨立董事、監(jiān)事鼓勵約束機制及問責10分：掛鉤內(nèi)部控制情況50分內(nèi)部控制環(huán)境與內(nèi)部控制文化10分風險識別與評價10分控制行為與職責分工10分信息交流與溝通10分監(jiān)視與糾正10分.盈利EarningsE: reflects not only the quantity and trend in earnings, but also the factors that may affect the sustainability or quality of earnings. .盈利Earnings定量目的60分資產(chǎn)利潤率15分：1%資本利潤率15分：20%利