商业银行的经营评价英文版.ppt

第二章商业银行经营评价 第二章商业银行经营评价 BalanceSheetIncomeStatementRelationshipbetweenBalanceSheetandIncomeStatementReturnonEquityModel股份制商业银行风险评级体系 04年2月22日 PerformanceCharacteristicsofDifferent sizedBanks BalanceSheet Itisastatementoffinancialpositionlistingassetsowned liabilitiesowed andowner sequityasofaspecificdate Assets Liabilities Equity Balancesheetfiguresarecalculatedataparticularpointintimeandthusrepresentstockvalues ChinaBigFourBanks 12 31 2002 v s AllUSBanks 12 31 2002 PNCBank 12 31 2000 TA 63bn v s CommunityNationalBank 12 31 00 TA 0 1bn BankAssets Loans Loansarethemajorassetinmostbanks portfoliosandgeneratethegreatestamountofincomebeforeexpensesandtaxes Theyalsoexhibitthehighestdefaultriskandarerelativelyilliquid Loans Categories RealestateloansCommercialloansLoanstoindividualsAgriculturalloansOtherloansindomesticofficesLoansandleasesinforeignofficesThreeadjustmentsLeases Unearnedincome Lossallowance PNCandCNB Loanportfolio 2000 BankAssets Investmentsecurities Investmentsecuritiesareheldtoearninterest helpmeetliquidityneedsspeculateoninterestratemovementsserveaspartofabank sdealerfunctions Theadministrationandtransactioncostsareextremelylow BankAssets Investmentsecurities Short terminvestmentsInterest bearingbankbalances depositsduefromotherbanks federalfundssoldsecuritiespurchasedunderagreementtoresell RPs TreasurybillsmunicipaltaxwarrantsLong terminvestment notesandbondsTreasurysecuritiesObligationsoffederalagenciesMortgage backed foreign andcorporate BankAssets Noninterestcashandduefrombanks Itconsistsofvaultcash depositsheldatFederalReserveBanksdepositsheldatotherfinancialinstitutionscashitemsintheprocessofcollectionTheseassetsareheldtomeetcustomerwithdrawalneedsmeetlegalreserverequirementsassistincheckclearingandwiretransferseffectthepurchaseandsaleofTreasurysecurities BankAssets Otherassets Otherassetsareresidualassetsofrelativelysmallmagnitudessuchasbankersacceptancespremisesandequipmentotherrealestateownedandothersmalleramounts BankLiabilities Thecharacteristicsofvariousdebtinstrumentsdifferintermsofcheck writingcapabilitiesinterestpaidmaturitywhethertheycarryFDICinsurancewhethertheycanbetradedinthesecondarymarket Bankliabilities Deposits DemanddepositstransactionsaccountsthatpaynointerestNegotiableordersofwithdrawal NOWs andautomatictransfersfromsavings ATS accountspayinterestsetbyeachbankwithoutfederalrestrictionsMoneymarketdepositaccounts MMDAs paymarketrates butacustomerislimitedtonomorethansixchecksorautomatictransferseachmonth Bankliabilities Deposits Twogeneraltimedepositscategoriesexist Timedepositsinexcessof 100 000 labeledjumbocertificatesofdeposit CDs SmallCDs consideredcoredepositswhichtendtobestabledepositsthataretypicallynotwithdrawnovershortperiodsoftime DepositsheldinforeignofficesbalancesissuedbyabanksubsidiarylocatedoutsidetheU S Coredoposits Coredepositsarestabledepositsthatarenothighlyinterestrate sensitive Coredepositsaremoresensitivetothefeescharged servicesrendered andlocationofthebank Coredepositsinclude demanddeposits NOWaccounts MMDAs andsmalltimedeposits Borrowings volatilefunds Large orvolatile borrowingsareliabilitiesthatarehighlyrate sensitive Normallyissuedinuninsureddenominations Theirabilitytoborrowissensitivetothemarketsperceptionoftheirassetquality Volatileliabilitiesornetnon coreliabilitiesinclude largeCDs over100 000 depositsinforeignofficesfederalfundspurchasedrepurchaseagreementsotherborrowingswithmaturitieslessthanoneyear Capital Subordinatednotesanddebentures Notesandbondswithmaturitiesinexcessofoneyear Long termuninsureddebt Mostmeetrequirementsasbankcapitalforregulatorypurposes Unlikedeposits thedebtisnotfederallyinsuredandclaimsofbondholdersaresubordinatedtoclaimsofdepositors Capital Stockholders equity Ownershipinterestinthebank CommonandpreferredstockarelistedatparSurplusaccountrepresentstheamountofproceedsreceivedbythebankinexcessofparwhenitissuedthestock IncomeStatement Itisafinancialstatementshowingasummaryofafirm 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 burden Interestincome thesumofinterestandfeesearnedonallofabank sassets Interestincomeincludesinterestfrom LoansDepositsheldatotherinstitutionsMunicipalandtaxablesecuritiesInvestmentandtradingaccountsecurities Interestexpense thesumofinterestpaidonallinterest bearingliabilities Itincludesinterestpaidtotransactionsaccounts NOW ATS andMMDA timeandsavingsdepositsshort termnon coreliabilitieslong termdebtInterestincomelessinterestexpenseisnetinterestincome NII Noninterestincome TrustorfiduciaryincomereflectswhatabankearnsfromoperatingatrustdepartmentFeesanddepositservicechargesreflectchargesoncheckingaccountactivity safe depositboxes andmanyothertransactions TradingrevenuesreflectcommissionsandprofitsorgainsfromoperatingatradingaccountOtherforeigntransactionsOthernoninterestincome Noninterestexpense Personnelexpense SalariesandfringebenefitspaidtobankemployeesOccupancyexpense RentanddepreciationonequipmentandpremisesOtheroperatingexpenses UtilitiesandDepositinsurancepremiums Loan lossprovisions PLL Representmanagement sestimateofpotentiallostrevenuefrombadloans Itissubtractedfromnetinterestincomeinrecognitionthatsomeofthereportedinterestincomeoverstateswhatwillactuallybereceivedwhensomeoftheloansgointodefault Charge offsindicateloansthatabankformallyrecognizesasuncollectableandcharges offagainstthelossreserve Loan lossprovisions PLL Thereserve smaximumsizeisdeterminedbytax Provisionsforloanlosses ReserveforLoanLosses Recoveries Chargeoffs TaxLaw Incomestatement 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 Relationshipbetweenbalancesheetandincomestatement Thecompositionofassetsandliabilitiesandtherelationshipsbetweendifferentinterestratesdeterminenetinterestincome Themixofdepositsbetweenconsumerandcommercialcustomersaffectstheservicesprovidedandthusthemagnitudeofnoninterestincomeandnoninterestexpense Theownershipofnonbanksubsidiariesincreasesfeeincomebutoftenraisesnoninterestexpense Relationshipbetweenbalancesheetandincomestatement Expensesandloanlossesdirectlyeffectthebalancesheet Thegreaterthesizeofloanportfolio thegreaterisoperatingoverheadandPLL Consumerloansareusuallysmallerandhencemoreexpensive non interest perdollarofloans Returnonequity ROE NI TE thebasicmeasureofstockholders returns ROEiscomposedoftwoparts ReturnonAssets ROA NI TA representsthereturnstotheassetsthebankhasinvestedin EquityMultiplier EM TA TE thedegreeoffinancialleverageemployedbythebank Returnonassets ROA NI TA canbedecomposedintotwoparts Assetutilization AU incomegeneration Expenseratio ER expensecontrol ROA AU ER TR TA TE TA TR totalrevenueortotaloperatingincome Int inc non int inc SG L TE totalexpenses Int exp non int exp PLL Taxes INCOME ReturntotheBankROA NI TA EXPENSES Rate Composition mix Volume Interest Overhead Prov forLL Taxes FeesandServCharge Trust Other Rate Composition mix Volume Interest NonInterest SalariesandBenefits Occupancy Other BankPerformanceModel ReturnstoShareholdersROE NI TE DegreeofLeverageEM 1 TA TE Assetutilization AU TR TA theabilitytogenerateincome InterestIncome TAAssetyields rate Interestincomeasset i amountofasset i Compositionofassets mix amountasset i TAVolumeofEarningAssetsEarningassets TANoninterestincome TAFeesandServiceChargesSecuritiesGains Losses Otherincome Expenseratio 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 TA Otheraggregateprofitabilitymeasures NetinterestmarginNIM NII earningassets EA SpreadSpread intinc EA intexp intbear Liab EarningsbaseEB EA TABurden TA Noninterestexp Noninterestincome TAEfficiencyratioNonint Exp Netint Inc Nonint Inc Financialratios PNC 2000 股份制商业银行风险评级体系 骆驼氏体系CAMELS资本 Capital 20 资产 Asset 20 管理 Management 25 盈利 Earnings 20 流动性 Liquidity 15 敏感性 Sensitivity 0 资本 Capital C signalstheabilitytomaintaincapitalcommensuratewiththenatureandextentofalltypesofriskandtheabilityofmanagementtoidentify measure monitor andcontroltheserisks 资本 Capital 定量指标 60分 资本充足率 30分 10 核心资本充足率 30分 6 定性因素 40分 资本的构成和质量 6分 银行整体财务状况及其对资本的影响 8分 资产质量及其对资本的影响 8分 银行增加资本的能力 8分 银行对资本的管理情况 10分 资产 Asset A reflectstheamountofexistingcreditriskassociatedwiththeloanandinvestmentportfolioaswellasoffbalancesheetactivities 资产 Asset 定量指标 60分 不良贷款率 15分 5 以下估计贷款损失率 10分 3 以下最大单一客户 集团客户授信比率 10分 6 15 拨备覆盖率 20分 100 非信贷资产损失率 5分 2 以下 资产 Asset 续 定性因素 40分 不良资产变动趋势及其影响 5分 贷款行业集中度及其影响 5分 信贷风险管理的程序 制度及其有效性 10分 贷款风险分类制度的健全性和有效性 10分 保证贷款和抵 质 押贷款及其管理状况 5分 非信贷资产风险管理状况 5分 管理 Management M reflectstheadequacyoftheboardofdirectorsandseniormanagementsystemsandprocedurestoidentify measure monitor andcontrolrisks 管理 Management 银行公司治理状况 公司治理的合理性和有效性 50分 基本结构 10分 三会 独立董事 外部监事决策机制 10分 股东 董事会执行机制 10分 高管素质 团队精神监督机制 10分 独立董事 监事激励约束机制及问责 10分 挂钩内部控制状况 50分 内部控制环境与内部控制文化 10分 风险识别与评估 10分 控制行为与职责分工 10分 信息交流与沟通 10分 监督与纠正 10分 盈利 Earnings E reflectsnotonlythequantityandtrendinearnings butalsothefactorsthatmayaffectthesustainabilityorqualityofearnings 盈利 Earnings 定量指标 60分 资产利润率 15分 1 资本利润率 15分 20 利息回收率 15分 95 资产费用率 15分 0 75 以下 2 为0定性因素 40分 银行的成本费用和收入状况以及盈利水平和趋势 15分 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 财务预决算体系 财务管理的健全性和有效性 10分 流动性 Liquidity L reflectstheadequacyo