商業(yè)銀行經(jīng)營評價英文版

第二章商業(yè)銀行經(jīng)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)銀行經(jīng)營評價BalanceSheetIncomeStatementRelationshipbetweenBalanceSheetandIncomeStatementReturnonEquityModel股份制商業(yè)銀行風險評級體系(04年2月22日)PerformanceCharacteristicsofDifferent-sizedBanksBalanceSheetItisastatementoffinancialpositionlistingassetsowned,liabilitiesowed,andowner’sequityasofaspecificdate.Assets=Liabilities+Equity.Balancesheetfiguresarecalculatedataparticularpointintimeandthusrepresentstockvalues.ChinaBigFourBanks(12/31/2002)v.s.

AllUSBanks(12/31/2002)Asset(%)Liabilities(%)CNUSCNUSLoans60.261.4Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.89.1Other8.47.4Capital3.87.1Total100100Total100100PNCBank(12/31/2000,TA:63bn)v.s.

CommunityNationalBank(12/31/00,TA:0.1bn)Asset(%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total100100BankAssets:LoansLoansarethemajorassetinmostbanks’portfoliosandgeneratethegreatestamountofincomebeforeexpensesandtaxes.Theyalsoexhibitthehighestdefaultriskandarerelativelyilliquid.Loans:CategoriesRealestateloansCommercialloansLoanstoindividualsAgriculturalloansOtherloansindomesticofficesLoansandleasesinforeignofficesThreeadjustmentsLeases;Unearnedincome;LossallowancePNCandCNB:Loanportfolio(2000)PNCCNBRealestate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domesticother7.34.7International0.50Unearnedincome-0.20Lossallowance-1.0-0.5Total78.064.9BankAssets:InvestmentsecuritiesInvestmentsecuritiesareheldto

earninterest,helpmeetliquidityneedsspeculateoninterestratemovementsserveaspartofabank’sdealerfunctions.Theadministrationandtransactioncostsareextremelylow.BankAssets:InvestmentsecuritiesShort-terminvestmentsInterest-bearingbankbalances(depositsduefromotherbanks)federalfundssoldsecuritiespurchasedunderagreementtoresell(RPs)TreasurybillsmunicipaltaxwarrantsLong-terminvestment:notesandbondsTreasurysecuritiesObligationsoffederalagenciesMortgage-backed,foreign,andcorporateBankAssets:NoninterestcashandduefrombanksItconsistsofvaultcash,depositsheldatFederalReserveBanksdepositsheldatotherfinancialinstitutionscashitemsintheprocessofcollectionTheseassetsareheldtomeetcustomerwithdrawalneedsmeetlegalreserverequirementsassistincheckclearingandwiretransferseffectthepurchaseandsaleofTreasurysecuritiesBankAssets:OtherassetsOtherassetsareresidualassetsofrelativelysmallmagnitudessuchasbankersacceptancespremisesandequipmentotherrealestateownedandothersmalleramountsBankLiabilitiesThecharacteristicsofvariousdebtinstrumentsdifferintermsofcheck-writingcapabilitiesinterestpaidmaturitywhethertheycarryFDICinsurancewhethertheycanbetradedinthesecondarymarket.Bankliabilities:DepositsDemanddepositstransactionsaccountsthatpaynointerestNegotiableordersofwithdrawal(NOWs)andautomatictransfersfromsavings(ATS)accountspayinterestsetbyeachbankwithoutfederalrestrictionsMoneymarketdepositaccounts(MMDAs)paymarketrates,butacustomerislimitedtonomorethansixchecksorautomatictransferseachmonthBankliabilities:DepositsTwogeneraltimedepositscategoriesexist:Timedepositsinexcessof$100,000,labeledjumbocertificatesofdeposit(CDs).SmallCDs,consideredcoredepositswhichtendtobestabledepositsthataretypicallynotwithdrawnovershortperiodsoftime.DepositsheldinforeignofficesbalancesissuedbyabanksubsidiarylocatedoutsidetheU.S.CoredopositsCoredepositsarestabledepositsthatarenothighlyinterestrate-sensitive.Coredepositsaremoresensitivetothefeescharged,servicesrendered,andlocationofthebank.Coredepositsinclude:demanddeposits,NOWaccounts,MMDAs,andsmalltimedeposits.Borrowings(volatilefunds)Large,orvolatile,borrowingsareliabilitiesthatarehighlyrate-sensitive.Normallyissuedinuninsureddenominations.Theirabilitytoborrowissensitivetothemarketsperceptionoftheirassetquality.Volatileliabilitiesornetnon-coreliabilitiesinclude:largeCDs(over100,000)depositsinforeignofficesfederalfundspurchasedrepurchaseagreementsotherborrowingswithmaturitieslessthanoneyearCapital:SubordinatednotesanddebenturesNotesandbondswithmaturitiesinexcessofoneyear.Long-termuninsureddebt.Mostmeetrequirementsasbankcapitalforregulatorypurposes.Unlikedeposits,thedebtisnotfederallyinsuredandclaimsofbondholdersaresubordinatedtoclaimsofdepositors.Capital:Stockholders'equityOwnershipinterestinthebank.CommonandpreferredstockarelistedatparSurplusaccountrepresentstheamountofproceedsreceivedbythebankinexcessofparwhenitissuedthestock.IncomeStatementItisafinancialstatementshowingasummaryofafirm’sfinancialoperationsforaspecificperiod,includingnetprofitorlossfortheperiodinquestion.Abank’sincomestatementreflectsthefinancialnatureofbanking,asinterestonloansandinvestmentscomprisesthebulkofrevenue.Netinterestincomemadeupapproximately77percentofnetrevenueatabankin1981,butonlyabout58percentoftotalnetrevenueattheendof2001.TheIncomestatement+Interestincome(II)-Interestexpense(IE)=NetinterestIncome(NII)+Noninterestincome(OI)-Noninterestexpense(OE)-Loan-lossprovisions(PLL)=Operatingincomebeforesecuritiestransactionsandtaxes+(-)Realizedgainsorlosses=Pretaxnetoperatingincome-Taxes=Netincome=burdenInterestincome…thesumofinterestandfeesearnedonallofabank'sassets.…Interestincomeincludesinterestfrom:LoansDepositsheldatotherinstitutionsMunicipalandtaxablesecuritiesInvestmentandtradingaccountsecuritiesInterestexpense….thesumofinterestpaidonallinterest-bearingliabilities….Itincludesinterestpaidtotransactionsaccounts(NOW,ATS,andMMDA)timeandsavingsdepositsshort-termnon-coreliabilitieslong-termdebtInterestincomelessinterestexpenseisnetinterestincome(NII)NoninterestincomeTrustorfiduciaryincomereflectswhatabankearnsfromoperatingatrustdepartmentFeesanddepositservicechargesreflectchargesoncheckingaccountactivity,safe-depositboxes,andmanyothertransactions.TradingrevenuesreflectcommissionsandprofitsorgainsfromoperatingatradingaccountOtherforeigntransactionsOthernoninterestincomeNoninterestexpensePersonnelexpense:SalariesandfringebenefitspaidtobankemployeesOccupancyexpense:RentanddepreciationonequipmentandpremisesOtheroperatingexpenses:UtilitiesandDepositinsurancepremiumsLoan-lossprovisions(PLL)Representmanagement'sestimateofpotentiallostrevenuefrombadloans.Itissubtractedfromnetinterestincomeinrecognitionthatsomeofthereportedinterestincomeoverstateswhatwillactuallybereceivedwhensomeoftheloansgointodefault.Charge-offsindicateloansthatabankformallyrecognizesasuncollectableandcharges-offagainstthelossreserve.Loan-lossprovisions(PLL)Thereserve’smaximumsizeisdeterminedbytax.ProvisionsforloanlossesReserveforLoanLossesRecoveriesChargeoffsTaxLawIncomestatement:PNC&CNB,2000+ Interestincome(II)72%&92%- Interestexpense(IE)38%&27%= NetinterestIncome(NII)+ Noninterestincome(OI)27%&8%- Noninterestexpense(OE)35%&46%- Loan-lossprovisions(PLL)2.1%&1.7%= Operatingincomebeforesecuritiestransactionsandtaxes+(-)Realizedgainsorlosses0.3%&0%= Pretaxnetoperatingincome- Taxes8.5%&8.6%= Netincome16.3%&16.0%Realizedsecuritiesgains(orlosses)Theyarisewhenabanksellssecuritiesfromitsinvestmentportfolioatpricesabove(orbelow)theinitialoramortizedcosttothebank.Generally,securitieschangeinvalueasinterestrateschange,butthegainsorlossesareunrealized(meaningthatthebankhasnotsoldthesecuritiestocapturethechangeinvalue).RelationshipbetweenbalancesheetandincomestatementThecompositionofassetsandliabilitiesandtherelationshipsbetweendifferentinterestratesdeterminenetinterestincome.Themixofdepositsbetweenconsumerandcommercialcustomersaffectstheservicesprovidedandthusthemagnitudeofnoninterestincomeandnoninterestexpense.Theownershipofnonbanksubsidiariesincreasesfeeincomebutoftenraisesnoninterestexpense.RelationshipbetweenbalancesheetandincomestatementExpensesandloanlossesdirectlyeffectthebalancesheet.Thegreaterthesizeofloanportfolio,thegreaterisoperatingoverheadandPLL.Consumerloansareusuallysmallerandhencemoreexpensive(non-interest)perdollarofloans.Returnonequity(ROE=NI/TE)…thebasicmeasureofstockholders’’returnsROEiscomposedoftwoparts:ReturnonAssets(ROA=NI/TA)representsthereturnstotheassetsthebankhasinvestedin.EquityMultiplier(EM=TA/TE)thedegreeoffinancialleverageemployedbythebank.Returnonassets(ROA=NI/TA)…canbedecomposedintotwoparts:Assetutilization(AU)→incomegenerationExpenseratio(ER)→expensecontrolROA =AU－ER=(TR/TA)－(TE/TA)TR =totalrevenueortotaloperatingincome=Int.inc.+non-int.inc.+SG(L)TE =totalexpenses=Int.exp.+non-int.exp.+PLL+TaxesINCOMEReturntotheBankROA=NI/TAEXPENSESRateComposition(mix)VolumeInterestOverheadProv.forLLTaxesFeesandServChargeTrustOtherRateComposition(mix)VolumeInterestNonInterestSalariesandBenefitsOccupancyOtherBankPerformanceModelReturnstoShareholdersROE=NI/TEDegreeofLeverageEM=1/(TA/TE)Assetutilization(AU=TR/TA):…theabilitytogenerateincome.InterestIncome/TAAssetyields(rate)Interestincomeasset(i)/$amountofasset(i)Compositionofassets(mix)$amountasset(i)/TAVolumeofEarningAssetsEarningassets/TANoninterestincome/TAFeesandServiceChargesSecuritiesGains(Losses)OtherincomeExpenseratio(ER=Exp/TA)…theabilitytocontrolexpenses.Interestexpense/TACostperliability(rate)Int.exp.liab.(j)/$amt.liab.(j)Compositionofliabilities$amt.ofliab.(j)/TAVolumeofdebtandequityNon-interestexpenses/TASalariesandemployeebenefits/TAOccupancyexpenses/TAOtheroperatingexpense/TAProvisionsforloanlosses/TATaxes/TAOtheraggregateprofitabilitymeasuresNetinterestmarginNIM=NII/earningassets(EA)SpreadSpread=(intinc/EA)-(intexp/intbear.Liab.)EarningsbaseEB=EA/TABurden/TA(Noninterestexp.-Noninterestincome)/TAEfficiencyratioNonint.Exp./(Netint.Inc.+Nonint.Inc.)Financialratios…PNC,2000ROE:NetIncome/AverageTotalequity18.9%ROA:NetIncome/AvgTA1.5%AU:TotalRevenue/AvgTA9.2%ER:Totalexpenses(lessTaxes)/AvgTA7.0%Memo:PM:NetIncome/TotalRevenue16.2%EM:Avg.TA/Avg,TotalEquity12.6xEB:EarningAssets/AvgTA87.0%NIM:Netinterestmargin3.6%Spread3.1%EfficiencyRatio57.2%Burden/Avg.TotalAssets0.7%NonInterestIncome/Noninterestexp.78.3%股份制商商業(yè)銀行行風險評評級體系系駱駝氏體體系CAMELS資本（（Capital）20%資產(chǎn)（（Asset）20%管理（（Management）25%盈利（（Earnings）20%流動性性（Liquidity）15%敏感性性（Sensitivity）0%資本（（Capital）C:signalstheabilitytomaintaincapitalcommensuratewiththenatureandextentofalltypesofriskandtheabilityofmanagementtoidentify,measure,monitor,andcontroltheserisks.資本（（Capital）定量指指標（（60分）資本充充足率率（30分）：：10%核心資資本充充足率率（30分）：：6%定性因因素（（40分）資本的的構成成和質(zhì)質(zhì)量（（6分）銀行整整體財財務狀狀況及及其對對資本本的影影響（（8分）資產(chǎn)質(zhì)質(zhì)量及及其對對資本本的影影響（（8分）銀行增增加資資本的的能力力（8分）銀行對對資本本的管管理情情況（（10分）資產(chǎn)（（Asset）A:reflectstheamountofexistingcreditriskassociatedwiththeloanandinvestmentportfolioaswellasoffbalancesheetactivities.資產(chǎn)（Asset）定量指標（（60分）不良貸款率率（15分）：5%以下估計貸款損損失率（10分）：3%以下最大單一客客戶、集團團客戶授信信比率（10分）：6%、15%撥備覆蓋率率（20分）：100%非信貸資產(chǎn)產(chǎn)損失率（（5分）：2%以下資產(chǎn)（Asset）：續(xù)定性因素（（40分）不良資產(chǎn)變變動趨勢及及其影響（（5分）貸款行業(yè)集集中度及其其影響（5分）信貸風險管理理的程序、制制度及其有效效性（10分）貸款風險分類類制度的健全全性和有效性性（10分）保證貸款和抵抵（質(zhì)）押貸貸款及其管理理狀況（5分）非信貸資產(chǎn)風風險管理狀況況（5分）管理（Management）M:reflectstheadequacyoftheboardofdirectorsandseniormanagementsystemsandprocedurestoidentify,measure,monitor,andcontrolrisks.管理（Management）銀行公司治理理狀況，公司司治理的合理理性和有效性性（50分）基本結構（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）：高管素素質(zhì)、團隊精精神監(jiān)督機制（10分）：獨立董董事、監(jiān)事激勵約束機制制及問責（10分）：掛鉤內(nèi)部控制狀況況（50分）內(nèi)部控制環(huán)境境與內(nèi)部控制制文化（10分）風險識別與評評估（10分）控制行為與職職責分工（10分）信息交流與溝溝通（10分）監(jiān)督與糾正（（10分）盈利（Earnings）E:reflectsnotonlythequantityandtrendinearnings,butalsothefactorsthatmayaffectthesustainabilityorqualityofearnings.盈利（Earnings）定量指標（60分）資產(chǎn)利潤率（（15分）：1%資本利潤率（（15分）：20%利息回收率（（15分）：95%資產(chǎn)費用率（（15分）：0.75%以下，2%為0定性因素（40分）銀行的成本費費用和收入狀狀況以及盈利利水平和趨勢勢（15分）銀行盈利的質(zhì)質(zhì)量，以及銀銀行盈利對業(yè)業(yè)務發(fā)展與資資產(chǎn)損失準備備提取的影響響（15分）財務預決算體體系，財務管管理的健全性性和有效性（（10分））流動動性性（（Liquidity）L:reflectstheadequacyofthebank'scurrentandprospectivesourcesofliquidityandfundsmanagementpractices