商业银行经营评价

1、第二章 商业银行经营评价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 Banks2Balance SheetIt is a statement of financial position listing assets owned, liabilities owed,

2、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.3China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002)4PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12

3、/31/00, TA: 0.1bn)5Bank 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. 6Loans: CategoriesReal estate loansCommercial loansLoans to individual

4、sAgricultural loansOther loans in domestic officesLoans and leases in foreign officesThree adjustmentsLeases; Unearned income; Loss allowance7PNC and CNB: Loan portfolio (2000)8Bank Assets: Investment securities Investment securities are held to earn interest,help meet liquidity needs speculate on i

5、nterest rate movementsserve as part of a banks dealer functions.The administration and transaction costs are extremely low.9Bank Assets: Investment securitiesShort-term investmentsInterest-bearing bank balances (deposits due from other banks)federal funds soldsecurities purchased under agreement to

6、resell (RPs)Treasury bills municipal tax warrantsLong-term investment: notes and bonds Treasury securitiesObligations of federal agenciesMortgage-backed, foreign, and corporate10Bank Assets: Noninterest cash and due from banksIt consists of vault cash,deposits held at Federal Reserve Banksdeposits h

7、eld 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 effect the purchase and sale of Treasury securities11Bank Assets: Other assets Other assets are

8、residual assets of relatively small magnitudes such asbankers acceptances premises and equipmentother real estate owned and other smaller amounts12Bank LiabilitiesThe characteristics of various debt instruments differ in terms of check-writing capabilities interest paidmaturitywhether they carry FDI

9、C insurancewhether they can be traded in the secondary market. 13Bank liabilities: DepositsDemand deposits transactions accounts that pay no interestNegotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts pay interest set by each bank without federal restrictionsMo

10、ney market deposit accounts (MMDAs) pay market rates, but a customer is limited to no more than six checks or automatic transfers each month14Bank liabilities: DepositsTwo general time deposits categories exist:Time deposits in excess of $100,000, labeled jumbo certificates of deposit (CDs).Small CD

11、s, 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 the U.S.15Core dopositsCore deposits are stable deposits that are not highly interest rate-se

12、nsitive. 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.16Borrowings (volatile funds)Large, or volatile, borrowings are liabilities that are highly rate-sensitive.

13、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 100,000)deposits in foreign officesfederal funds purchased repurchase agreementsother borrowings

14、 with maturities less than one year17Capital: Subordinated notes and debenturesNotes and bonds with maturities in excess of one 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

15、are subordinated to claims of depositors. 18Capital: Stockholders equityOwnership interest in the bank. Common and preferred stock are listed at par Surplus account represents the amount of proceeds received by the bank in excess of par when it issued the stock.19Income StatementIt is a financial st

16、atement 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 interest on loans and investments comprises the bulk of revenue. Net interest income made up

17、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. 20The Income statement+Interest income (II)-Interest expense (IE)=Net interest Income (NII) +Noninterest income (OI)-Noninterest expense (OE)-Loan-loss provisions (PLL)=Opera

18、ting income before securities transactions and taxes+(-)Realized gains or losses=Pretax net operating income-Taxes=Net income=burden21Interest incomethe sum of interest and fees earned on all of a banks assets. Interest income includes interest from:LoansDeposits held at other institutions Municipal

19、 and taxable securitiesInvestment and trading account securities22Interest expense. the sum of interest paid on all interest-bearing liabilities .It includes interest paid totransactions accounts (NOW, ATS, and MMDA)time and savings depositsshort-term non- core liabilitieslong-term debtInterest inco

20、me less interest expense is net interest income (NII)23Noninterest incomeTrust or fiduciary incomereflects what a bank earns from operating a trust departmentFees and deposit service charges reflect charges on checking account activity, safe-deposit boxes, and many other transactions. Trading revenu

21、es reflect commissions and profits or gains from operating a trading accountOther foreign transactionsOther noninterest income24Noninterest expensePersonnel expense:Salaries and fringe benefits paid to bank employeesOccupancy expense :Rent and depreciation on equipment and premisesOther operating ex

22、penses:Utilities and Deposit insurance premiums25Loan-loss provisions (PLL)Represent managements estimate of potential lost revenue from bad loans.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

23、 the loans go into default. Charge-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the loss reserve. 26Loan-loss provisions (PLL) The reserves maximum size is determined by tax.Provisions for loan losses Reserve for Loan LossesRecoveriesCharge offsTax Law

24、27Income 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 gai

25、ns or losses 0.3% & 0%=Pretax net operating income-Taxes8.5% & 8.6%=Net income16.3% & 16.0%28Realized 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 i

26、n 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).29Relationship between balance sheet and income statementThe composition of assets and liabilities and the relationships between different inter

27、est rates determine net interest income. The mix of deposits between 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. 3

28、0Relationship between balance sheet and income statementExpenses 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.31Return

29、 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 the assets the bank has invested in.Equity Multiplier (EM = TA / TE)the degree of financial leverage employed by the bank.32Return on assets (ROA

30、 = 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= total revenue or total operating income = Int. inc. + non-int. inc. + SG(L)TE= total expenses= Int. exp. + non-int. exp. + PLL + Taxes33INCOMERe

31、turn to the BankROA = NI / TAEXPENSESRateComposition (mix)VolumeInterestOverheadProv. for LLTaxesFees and Serv ChargeTrustOtherRateComposition (mix)VolumeInterestNon InterestSalaries and BenefitsOccupancyOtherBank Performance ModelReturns to ShareholdersROE = NI / TEDegree of LeverageEM = 1 / (TA /

32、TE)34Asset utilization (AU = TR / TA): the ability to generate income.Interest 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 ChargesS

33、ecurities Gains (Losses)Other income35Expense ratio (ER = Exp / TA) the ability 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 e

34、mployee benefits / TAOccupancy expenses / TAOther operating expense / TAProvisions for loan losses / TATaxes / TA36Other aggregate profitability measuresNet interest marginNIM = NII / earning assets (EA)SpreadSpread = (int inc / EA) - (int exp / int bear. Liab.)Earnings baseEB = EA / TABurden / TA(N

35、oninterest exp. - Noninterest income) / TAEfficiency ratioNon int. Exp. / (Net int. Inc. + Non int. Inc.)37Financial ratiosPNC, 2000ROE: Net Income/Average Total equity18.9% 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

36、/ 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 Assets 0.7%Non Interest Income / Noninterest exp.78.3%38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（Earni

37、ngs）20%流动性（Liquidity）15%敏感性（Sensitivity）0%39资本（Capital）C: 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. 40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

38、（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）41资产（Asset）A: reflects the amount of existing credit risk associated with the loan and investment portfolio as well as off balance sheet activities. 42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

39、分）：6%、15%拨备覆盖率（20分）：100%非信贷资产损失率（5分）：2%以下43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）44管理（Management）M: reflects the adequacy of the board of directors and senior management systems and procedures to identify,

40、measure, monitor, and control risks. 45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）46盈利（Earnings）E: reflects not only the quantity and trend in earnings, but also the factors that may affect the sustainability or quality of earnings. 47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