商业银行经营评价财务管理培训讲座课件

1/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 第二章 商业银行经营评价 对外经济贸易大学 金融学院 何自云 2/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 第二章 商业银行经营评价 nBalance Sheet nIncome Statement nRelationship between Balance Sheet and Income Statement nReturn on Equity Model n股份制商业银行风险评级体系(04年2月22日 ) nPerformance Characteristics of Different- sized Banks 3/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Balance Sheet nIt is a statement of financial position listing assets owned, liabilities owed, and owners equity as of a specific date. nAssets = Liabilities + Equity. nBalance sheet figures are calculated at a particular point in time and thus represent stock values. 4/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002) Asset (%)Liabilities(%) CNUSCNUS Loans60.261.4Deposits81.465.8 Investments6.623.1Borrowings14.927.2 Cash24.8 9.1 Other8.4 7.4Capital3.87.1 Total100100Total100100 5/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn) Asset (%)Liabilities(%) PNCCNBPNCCNB Loans78.064.9Deposits72.891.7 Investments8.725.6Borrowings18.91.0 Cash5.65.7 Other7.73.9Capital8.37.3 Total100100Total100100 6/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Bank Assets: Loans nLoans are the major asset in most banks portfolios and generate the greatest amount of income before expenses and taxes. nThey also exhibit the highest default risk and are relatively illiquid. 7/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Loans: Categories nReal estate loans nCommercial loans nLoans to individuals nAgricultural loans nOther loans in domestic offices nLoans and leases in foreign offices nThree adjustments nLeases; Unearned income; Loss allowance 8/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） PNC and CNB: Loan portfolio (2000) PNCCNB Real estate37.037.0 Commercial28.819.4 Individuals5.64.3 Agricultural0.00 Domestic other7.34.7 International0.50 Unearned income- 0.20 Loss allowance- 1.0-0.5 Total78.064.9 9/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Bank Assets: Investment securities nInvestment securities are held to nearn interest, nhelp meet liquidity needs nspeculate on interest rate movements nserve as part of a banks dealer functions. nThe administration and transaction costs are extremely low. 10/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Bank Assets: Investment securities nShort-term investments nInterest-bearing bank balances (deposits due from other banks) nfederal funds sold nsecurities purchased under agreement to resell (RPs) nTreasury bills nmunicipal tax warrants nLong-term investment: notes and bonds nTreasury securities nObligations of federal agencies nMortgage-backed, foreign, and corporate 11/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Bank Assets: Noninterest cash and due from banks nIt consists of nvault cash, ndeposits held at Federal Reserve Banks ndeposits held at other financial institutions ncash items in the process of collection nThese assets are held to nmeet customer withdrawal needs nmeet legal reserve requirements nassist in check clearing and wire transfers neffect the purchase and sale of Treasury securities 12/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Bank Assets: Other assets nOther assets are residual assets of relatively small magnitudes such as nbankers acceptances npremises and equipment nother real estate owned and other smaller amounts 13/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Bank Liabilities nThe characteristics of various debt instruments differ in terms of ncheck-writing capabilities ninterest paid nmaturity nwhether they carry FDIC insurance nwhether they can be traded in the secondary market. 14/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Bank liabilities: Deposits nDemand deposits ntransactions accounts that pay no interest nNegotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts npay interest set by each bank without federal restrictions nMoney market deposit accounts (MMDAs) npay market rates, but a customer is limited to no more than six checks or automatic transfers each month 15/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Bank liabilities: Deposits nTwo general time deposits categories exist: nTime deposits in excess of $100,000, labeled jumbo certificates of deposit (CDs). nSmall CDs, considered core deposits which tend to be stable deposits that are typically not withdrawn over short periods of time. nDeposits held in foreign offices nbalances issued by a bank subsidiary located outside the U.S. 16/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Core doposits nCore deposits are stable deposits that are not highly interest rate-sensitive. nCore deposits are more sensitive to the fees charged, services rendered, and location of the bank. nCore deposits include: demand deposits, NOW accounts, MMDAs, and small time deposits. 17/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Borrowings (volatile funds) nLarge, or volatile, borrowings are liabilities that are highly rate-sensitive. nNormally issued in uninsured denominations. nTheir ability to borrow is sensitive to the markets perception of their asset quality. nVolatile liabilities or net non-core liabilities include: nlarge CDs (over 100,000) ndeposits in foreign offices nfederal funds purchased nrepurchase agreements nother borrowings with maturities less than one year 18/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Capital: Subordinated notes and debentures nNotes and bonds with maturities in excess of one year. nLong-term uninsured debt. nMost meet requirements as bank capital for regulatory purposes. nUnlike deposits, the debt is not federally insured and claims of bondholders are subordinated to claims of depositors. 19/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Capital: Stockholders equity nOwnership interest in the bank. nCommon and preferred stock are listed at par nSurplus account represents the amount of proceeds received by the bank in excess of par when it issued the stock. 20/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Income Statement nIt 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 question. nA banks income statement reflects the financial nature of banking, as interest on loans and investments comprises the bulk of revenue. nNet 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. 21/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） The 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 =burden 22/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Interest income nthe sum of interest and fees earned on all of a banks assets. nInterest income includes interest from: nLoans nDeposits held at other institutions nMunicipal and taxable securities nInvestment and trading account securities 23/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Interest expense n. the sum of interest paid on all interest-bearing liabilities . nIt includes interest paid to ntransactions accounts (NOW, ATS, and MMDA) ntime and savings deposits nshort-term non- core liabilities nlong-term debt nInterest income less interest expense is net interest income (NII) 24/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Noninterest income nTrust or fiduciary income nreflects what a bank earns from operating a trust department nFees and deposit service charges nreflect charges on checking account activity, safe- deposit boxes, and many other transactions. nTrading revenues nreflect commissions and profits or gains from operating a trading account nOther foreign transactions nOther noninterest income 25/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Noninterest expense nPersonnel expense: nSalaries and fringe benefits paid to bank employees nOccupancy expense : nRent and depreciation on equipment and premises nOther operating expenses: nUtilities and nDeposit insurance premiums 26/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Loan-loss provisions (PLL) nRepresent managements estimate of potential lost revenue from bad loans. nIt 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. nCharge-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the loss reserve. 27/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Loan-loss provisions (PLL) The reserves maximum size is determined by tax. Provisions for loan losses Reserve for Loan Losses Recoveries Charge offs Tax Law 28/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Income statement: PNC &CNB, 2000 + Interest income (II)72% & 92% - Interest expense (IE)38% & 27% = Net interest Income (NII) + Noninterest income (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% 29/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Realized securities gains (or losses) nThey arise when a bank sells securities from its investment portfolio at prices above (or below) the initial or amortized cost to the bank. nGenerally, 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 change in value). 30/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Relationship between balance sheet and income statement nThe composition of assets and liabilities and the relationships between different interest rates determine net interest income. nThe mix of deposits between consumer and commercial customers affects the services provided and thus the magnitude of noninterest income and noninterest expense. nThe ownership of nonbank subsidiaries increases fee income but often raises noninterest expense. 31/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Relationship between balance sheet and income statement nExpenses and loan losses directly effect the balance sheet. nThe greater the size of loan portfolio, the greater is operating overhead and PLL. nConsumer loans are usually smaller and hence more expensive (non-interest) per dollar of loans. 32/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Return on equity (ROE = NI / TE) the basic measure of stockholders returns nROE is composed of two parts: nReturn on Assets (ROA = NI / TA) nrepresents the returns to the assets the bank has invested in. nEquity Multiplier (EM = TA / TE) nthe degree of financial leverage employed by the bank. 33/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Return on assets (ROA = NI / TA) can be decomposed into two parts: Asset utilization (AU) income generation Expense ratio (ER) expense control nROA= AU ER = (TR / TA) (TE / TA) nTR = total revenue or total operating income = Int. inc. + non-int. inc. + SG(L) nTE = total expenses = Int. exp. + non-int. exp. + PLL + Taxes INCOME Return to the Bank ROA = NI / TA EXPENSES Rate Composition (mix) Volume Interest Overhead Prov. for LL Taxes Fees and Serv Charge Trust Other Rate Composition (mix) Volume Interest Non Interest Salaries and Benefits Occupancy Other Bank Performance Model Returns to Shareholders ROE = NI / TE Degree of Leverage EM = 1 / (TA / TE) 35/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Asset utilization (AU = TR / TA): the ability to generate income. nInterest Income / TA nAsset yields (rate) nInterest income asset (i) / $ amount of asset (i) nComposition of assets (mix) n$ amount asset (i) / TA nVolume of Earning Assets nEarning assets / TA nNon interest income / TA nFees and Service Charges nSecurities Gains (Losses) nOther income 36/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Expense ratio (ER = Exp / TA) the ability to control expenses. nInterest expense / TA nCost per liability (rate) nInt. exp. liab. (j) / $ amt. liab. (j) nComposition of liabilities n$ amt. of liab. (j) / TA nVolume of debt and equity nNon-interest expenses / TA nSalaries and employee benefits / TA nOccupancy expenses / TA nOther operating expense / TA nProvisions for loan losses / TA nTaxes / TA 37/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Other aggregate profitability measures nNet interest margin nNIM = NII / earning assets (EA) nSpread nSpread = (int inc / EA) - (int exp / int bear. Liab.) nEarnings base nEB = EA / TA nBurden / TA n(Noninterest exp. - Noninterest income) / TA nEfficiency ratio nNon int. Exp. / (Net int. Inc. + Non int. Inc.) 38/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） Financial ratiosPNC, 2000 ROE: Net Income/Average Total equity 18.9% 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 Revenue 16.2% EM: Avg. TA / Avg, Total Equity12.6x EB: Earning Assets / Avg TA87.0% NIM: Net interest margin 3.6% Spread 3.1% Efficiency Ratio57.2% Burden / Avg. Total Assets 0.7% Non Interest Income / Noninterest exp. 78.3% 39/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 股份制商业银行风险评级体系 n骆驼氏体系CAMELS n资本（Capital）20% n资产（Asset）20% n管理（Management） 25% n盈利（Earnings）20% n流动性（Liquidity）15% n敏感性（Sensitivity） 0% 40/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 资本（Capital） nC: signals the ability to maintain capital commensurate with the nature and extent of all types of risk and the ability of management to identify, measure, monitor, and control these risks. 41/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 资本（Capital） n定量指标（60分） n资本充足率（30分）：10% n核心资本充足率（30分）：6% n定性因素（40分） n资本的构成和质量（6分） n银行整体财务状况及其对资本的影响（8分） n资产质量及其对资本的影响（8分） n银行增加资本的能力（8分） n银行对资本的管理情况（10分） 42/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 资产（Asset） nA: reflects the amount of existing credit risk associated with the loan and investment portfolio as well as off balance sheet activities. 43/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 资产（Asset） n定量指标（60分） n不良贷款率（15分）：5%以下 n估计贷款损失率（10分）：3%以下 n最大单一客户、集团客户授信比率（10分） ：6%、15% n拨备覆盖率（20分）：100% n非信贷资产损失率（5分）：2%以下 44/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 资产（Asset）：续 n定性因素（40分） n不良资产变动趋势及其影响 （5分） n贷款行业集中度及其影响（5分） n信贷风险管理的程序、制度及其有效性（10 分） n贷款风险分类制度的健全性和有效性（10分 ） n保证贷款和抵（质）押贷款及其管理状况（5 分） n非信贷资产风险管理状况（5分） 45/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 管理（Management） nM: reflects the adequacy of the board of directors and senior management systems and procedures to identify, measure, monitor, and control risks. 46/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 管理（Management） n银行公司治理状况，公司治理的合理性和有效性（50分） n基本结构（10分）：三会、独立董事、外部监事 n决策机制（10分）：股东、董事会 n执行机制（10分）：高管素质、团队精神 n监督机制（10分）：独立董事、监事 n激励约束机制及问责（10分）：挂钩 n内部控制状况（50分） n内部控制环境与内部控制文化（10分） n风险识别与评估（10分） n控制行为与职责分工（10分） n信息交流与沟通（10分） n监督与纠正（10分） 47/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 盈利（Earnings） nE: reflects not only the quantity and trend in earnings, but also the factors that may affect the sustainability or quality of earnings. 48/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 盈利（Earnings） n定量指标（60分） n资产利润率（15分）：1% n资本利润率（15分）：20% n利息回收率（15分）：95% n资产费用率（15分）：0.75%以下，2%为0 n定性因素（40分） n银行的成本费用和收入状况以及盈利水平和趋势（15 分） n银行盈利的质量，以及银行盈利对业务发展与资产损 失准备提取的影响（15分） n财务预决算体系，财务管理的健全性和有效性（10分 ） 49/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 流动性（Liquidity） nL: reflects the adequacy of the banks current and prospective sources of liquidity and funds management practices 50/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 流动性（Liquidity） n定量指标（60分） n流动性比率（20分）：35% n人民币超额准备金比率（10分）：5% n外币备付金率（5分）：5% n本外币合并存贷款比例（10分）：65%以下 n外币存贷款比例（5分）：70%以下 n净拆借资金比率（10分）：-4%以下 n定性因素（40分） n资金来源的构成、变化趋势和稳定性（5分） n资产负债管理政策和资金的调配情况（5分） n银行对流动性的管理情况（20分）：专门管理部门、需求预测 、管理政策、日常管理 n银行以主动负债形式满足流动性需求的能力（5分） n管理层有效识别、监测、和调控银行头寸的能力（5分） 51/69Copyright 2004 by He Ziyun 商业银行世界（Http:/） 敏感性（Sensitivity） nS: reflects the degree to which changes in interest rates, foreign exchange rates, commodity prices, and equity prices can adversely affect earn