商业银行经营评价(PPT 68)

1、第二章 商业银行经营评价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 Banks管理资源吧（），提供海量管理资料免费下载！1Balance SheetIt is a statement of financial position listing assets owned, liabilitie

2、s 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.管理资源吧（），提供海量管理资料免费下载！2China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002)管理资源吧（），提供海量管理资料免费下载！3PNC Bank (12/31

3、/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn)管理资源吧（），提供海量管理资料免费下载！4Bank 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.

4、 管理资源吧（），提供海量管理资料免费下载！5Loans: CategoriesReal estate loansCommercial loansLoans to individualsAgricultural loansOther loans in domestic officesLoans and leases in foreign officesThree adjustmentsLeases; Unearned income; Loss allowance6PNC and CNB: Loan portfolio (2000)7Bank Assets: Investment securit

5、ies 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 extremely low.8Bank Assets: Investment securitiesShort-term investmentsInterest-bearing bank balanc

6、es (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 securitiesObligations of federal agenciesMortgage-backed, foreign, and corporate9Bank Assets: Noninterest cash a

7、nd 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 withdrawal needs meet legal reserve requirementsassist in check clearing and wire transfers effec

8、t the purchase and sale of Treasury securities10Bank Assets: Other assets Other assets are residual assets of relatively small magnitudes such asbankers acceptances premises and equipmentother real estate owned and other smaller amounts11Bank LiabilitiesThe characteristics of various debt instrument

9、s differ in terms of check-writing capabilities interest paidmaturitywhether they carry FDIC insurancewhether they can be traded in the secondary market. 12Bank liabilities: DepositsDemand deposits transactions accounts that pay no interestNegotiable orders of withdrawal (NOWs) and automatic transfe

10、rs 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 transfers each month13Bank liabilities: DepositsTwo general time deposits categories exis

11、t: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.Deposits held in foreign offices balances issued by a bank subsidiary located outside th

12、e U.S.14Core 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 include: demand deposits, NOW accounts, MMDAs, and small time deposits.15Borrowings (vo

13、latile 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 quality. Volatile liabilities or net non-core liabilities include: large CDs (over 100,0

14、00)deposits in foreign officesfederal funds purchased repurchase agreementsother borrowings with maturities less than one year16Capital: Subordinated notes and debenturesNotes and bonds with maturities in excess of one year. Long-term uninsured debt.Most meet requirements as bank capital for regulat

15、ory purposes. Unlike deposits, the debt is not federally insured and claims of bondholders are subordinated to claims of depositors. 17Capital: Stockholders equityOwnership interest in the bank. Common and preferred stock are listed at par Surplus account represents the amount of proceeds received b

16、y the bank in excess of par when it issued the stock.18Income 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 question.A banks income statement reflects the financial nature of banking, as in

17、terest 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. 19The Income statement+Interest income (II)-Interest expense (IE)=Net interest Inco

18、me (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=burden20Interest incomethe sum of interest and fees earned on all of a banks assets

19、. Interest income includes interest from:LoansDeposits held at other institutions Municipal and taxable securitiesInvestment and trading account securities21Interest expense. the sum of interest paid on all interest-bearing liabilities .It includes interest paid totransactions accounts (NOW, ATS, an

20、d MMDA)time and savings depositsshort-term non- core liabilitieslong-term debtInterest income less interest expense is net interest income (NII)22Noninterest incomeTrust or fiduciary incomereflects what a bank earns from operating a trust departmentFees and deposit service charges reflect charges on

21、 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 income23Noninterest expensePersonnel expense:Salaries and fringe benefits paid to bank em

22、ployeesOccupancy expense :Rent and depreciation on equipment and premisesOther operating expenses:Utilities and Deposit insurance premiums24Loan-loss provisions (PLL)Represent managements estimate of potential lost revenue from bad loans.It is subtracted from net interest income in recognition that

23、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. 25Income statement: PNC &CNB, 2000+Interest income (II)72% & 92

24、%-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% &

25、8.6%=Net income16.3% & 16.0%26Realized securities gains (or losses)They arise 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 u

26、nrealized (meaning that the bank has not sold the securities to capture the change in value).27Relationship 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 be

27、tween consumer and commercial customers affects the services provided and thus the magnitude of noninterest income and noninterest expense.The ownership of nonbank subsidiaries increases fee income but often raises noninterest expense. 28Relationship between balance sheet and income statementExpense

28、s and loan losses directly effect the balance sheet.The greater the size of loan portfolio, the greater is operating overhead and PLL.Consumer loans are usually smaller and hence more expensive (non-interest) per dollar of loans.29Return on equity (ROE = NI / TE) the basic measure of stockholders re

29、turnsROE is composed of two parts:Return on Assets (ROA = NI / TA)represents the returns to the assets the bank has invested in.Equity Multiplier (EM = TA / TE)the degree of financial leverage employed by the bank.30Return on assets (ROA = NI / TA)can be decomposed into two parts: Asset utilization

30、(AU) income generation Expense ratio (ER) expense controlROA= AU ER= (TR / TA) (TE / TA) TR= total revenue or total operating income = Int. inc. + non-int. inc. + SG(L)TE= total expenses= Int. exp. + non-int. exp. + PLL + Taxes31Asset utilization (AU = TR / TA): the ability to generate income.Intere

31、st Income / TAAsset yields (rate)Interest income asset (i) / $ amount of asset (i)Composition of assets (mix)$ amount asset (i) / TAVolume of Earning AssetsEarning assets / TANon interest income / TAFees and Service ChargesSecurities Gains (Losses)Other income32Expense ratio (ER = Exp / TA) the abil

32、ity to control expenses.Interest expense / TACost per liability (rate)Int. 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 / TA33Other aggregate profitability measuresNet interest marginNIM = NII / earning assets (EA)SpreadSpread = (int inc / EA) - (int exp / int bear. Liab.)Earnings baseEB = EA / TAB