商业银行经营评价 (3)ppt课件

1、第二章 商业银行运营评价对外经济贸易大学 金融学院何自云 第二章 商业银行运营评价Balance SheetIncome StatementRelationship between Balance Sheet and Income StatementReturn on Equity Model股份制商业银行风险评级体系(04年2月22日)Performance Characteristics of Different-sized BanksBalance SheetIt is a statement of financial position listing assets owned, lia

2、bilities 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(%)CNUSCNUSLoans60.261.4Deposits

3、81.465.8Investments6.623.1Borrowings14.927.2Cash24.8 9.1Other8.4 7.4Capital3.87.1Total100100Total100100PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn)Asset (%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other

4、7.73.9Capital8.37.3Total100100Total100100Bank 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 loa

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

6、ional0.50Unearned income- 0.20Loss allowance- 1.0-0.5Total78.064.9Bank 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 ex

7、tremely 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 securitiesObliga

8、tions of federal agenciesMortgage-backed, foreign, and corporateBank 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 wi

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

10、ned and other smaller amountsBank 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 monthBank 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.D

13、eposits 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 in

14、clude: 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 quali

15、ty. 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 yearCapital: Subordinated notes and debenturesNotes and bonds with maturities in excess of one

16、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 stock

17、 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 ques

18、tion.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. The In

19、come 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=burdenIn

20、terest 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 securitiesInterest expense. the sum of interest paid on all interest-bearing liabi

21、lities .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 operating

22、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 incomeNoninterest ex

23、pensePersonnel expense:Salaries and fringe benefits paid to bank employeesOccupancy expense :Rent and depreciation on equipment and premisesOther operating expenses:Utilities and Deposit insurance premiumsLoan-loss provisions (PLL)Represent managements estimate of potential lost revenue from bad loa

24、ns.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 loss reserve

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

26、% & 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 arise when a ba

27、nk 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 change in v

28、alue).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 thus the magnit

29、ude 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 loan portfolio,

30、 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 returns to t

31、he 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 / TA) TR= to

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

33、stNon 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 of asset (i)Comp

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

35、) / $ 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 / TAOther aggregate profitability measuresNet interest

36、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/Average Total equity

37、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 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%Burden / Avg. Total

38、 Assets 0.7%Non Interest Income / Noninterest exp.78.3%股份制商业银行风险评级体系骆驼氏体系CAMELS资本Capital20%资产Asset20%管理Management25%盈利Earnings20%流动性Liquidity15%敏感性Sensitivity0%资本CapitalC: signals the ability to maintain capital commensurate with the nature and extent of all types of risk and the ability of manageme

39、nt to identify, measure, monitor, and control these risks. 资本Capital定量目的60分资本充足率30分：10%中心资本充足率30分：6%定性要素40分资本的构成和质量6分银行整体财务情况及其对资本的影响8分资产质量及其对资本的影响8分银行添加资本的才干8分银行对资本的管理情况10分资产AssetA: reflects the amount of existing credit risk associated with the loan and investment portfolio as well as off balance

40、sheet activities. 资产Asset定量目的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：续定性要素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情况5分非信贷资产风险管理情况5分管理ManagementM: reflects the adequacy of the board of directors and senior

41、 management systems and procedures to identify, measure, monitor, and control risks. 管理Management银行公司治理情况，公司治理的合理性和有效性50分根本构造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、团队精神监视机制10分：独立董事、监事鼓励约束机制及问责10分：挂钩内部控制情况50分内部控制环境与内部控制文化10分风险识别与评价10分控制行为与职责分工10分信息交流与沟通10分监视与纠正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分资产利润率15