商业银行经营评价(PPT68)

1、2021/9/111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 Banks2021/9/112Balance SheetIt is a statement of financial position listing assets owned, liabilities

2、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.2021/9/113China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002)Asset (%)Liabilities(%)CNUSCNUSLoans60.261.4Deposit

3、s81.465.8Investments6.623.1Borrowings14.927.2Cash24.8 9.1Other8.4 7.4Capital3.87.1Total100100Total1001002021/9/114PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn)Asset (%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash

4、5.65.7Other7.73.9Capital8.37.3Total100100Total1001002021/9/115Bank 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. 2021/9/116Loans: Categories

5、Real estate loansCommercial loansLoans to individualsAgricultural loansOther loans in domestic officesLoans and leases in foreign officesThree adjustmentsLeases; Unearned income; Loss allowance2021/9/117PNC and CNB: Loan portfolio (2000)PNCCNBReal estate37.037.0Commercial28.819.4Individuals5.64.3Agr

6、icultural0.00Domestic other7.34.7International0.50Unearned income- 0.20Loss allowance- 1.0-0.5Total78.064.92021/9/118Bank 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 functi

7、ons.The administration and transaction costs are extremely low.2021/9/119Bank 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 warrantsLo

8、ng-term investment: notes and bonds Treasury securitiesObligations of federal agenciesMortgage-backed, foreign, and corporate2021/9/1110Bank Assets: Noninterest cash and due from banksIt consists of vault cash,deposits held at Federal Reserve Banksdeposits held at other financial institutionscash it

9、ems 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 securities2021/9/1111Bank Assets: Other assets Other assets are residual assets of relatively sma

10、ll magnitudes such asbankers acceptances premises and equipmentother real estate owned and other smaller amounts2021/9/1112Bank LiabilitiesThe characteristics of various debt instruments differ in terms of check-writing capabilities interest paidmaturitywhether they carry FDIC insurancewhether they

11、can be traded in the secondary market. 2021/9/1113Bank 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 restrictionsMoney market depo

12、sit accounts (MMDAs) pay market rates, but a customer is limited to no more than six checks or automatic transfers each month 精品资料网2021/9/1114Bank liabilities: DepositsTwo general time deposits categories exist:Time deposits in excess of $100,000, labeled jumbo certificates of deposit (CDs).Small CD

13、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.2021/9/1115Core dopositsCore deposits are stable deposits that are not highly interes

14、t 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.2021/9/1116Borrowings (volatile funds)Large, or volatile, borrowings are liabilities that are high

15、ly 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 100,000)deposits in foreign officesfederal funds purchased repurchase agreemen

16、tsother borrowings with maturities less than one year2021/9/1117Capital: 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

17、 and claims of bondholders are subordinated to claims of depositors. 2021/9/1118Capital: 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. 精

18、品资料网2021/9/1119Income 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 interest on loans and investments comprise

19、s 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. 2021/9/1120The Income statement+Interest income (II)-Interest expense (IE)=Net interest Income (NII) +Noninterest income (O

20、I)-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=burden2021/9/1121Interest incomethe sum of interest and fees earned on all of a banks assets. Interest income incl

21、udes interest from:LoansDeposits held at other institutions Municipal and taxable securitiesInvestment and trading account securities2021/9/1122Interest expense. the sum of interest paid on all interest-bearing liabilities .It includes interest paid totransactions accounts (NOW, ATS, and MMDA)time a

22、nd savings depositsshort-term non- core liabilitieslong-term debtInterest income less interest expense is net interest income (NII)2021/9/1123Noninterest incomeTrust or fiduciary incomereflects what a bank earns from operating a trust departmentFees and deposit service charges reflect charges on che

23、cking 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 income2021/9/1124Noninterest expensePersonnel expense:Salaries and fringe benefits paid to ba

24、nk employeesOccupancy expense :Rent and depreciation on equipment and premisesOther operating expenses:Utilities and Deposit insurance premiums 精品资料网2021/9/1125Loan-loss provisions (PLL)Represent managements estimate of potential lost revenue from bad loans.It is subtracted from net interest income

25、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. 2021/9/11262021/9/1127Income statement: PNC

26、 &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%=

27、Pretax net operating income-Taxes8.5% & 8.6%=Net income16.3% & 16.0%2021/9/1128Realized 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 int

28、erest rates change, but the gains or losses are unrealized (meaning that the bank has not sold the securities to capture the change in value).2021/9/1129Relationship between balance sheet and income statementThe composition of assets and liabilities and the relationships between different interest r

29、ates 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. 精品资料网2

30、021/9/1130Relationship 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

31、.2021/9/1131Return 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.2021/

32、9/1132Return 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= total revenue or total operating income = Int. inc. + non-int. inc. + SG(L)TE= total expenses= Int. exp. + non-int. e

33、xp. + PLL + Taxes2021/9/11332021/9/1134Asset 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 in

34、come / TAFees and Service ChargesSecurities Gains (Losses)Other income2021/9/1135Expense 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 equ

35、ityNon-interest expenses / TASalaries and employee benefits / TAOccupancy expenses / TAOther operating expense / TAProvisions for loan losses / TATaxes / TA 精品资料网2021/9/1136Other aggregate profitability measuresNet interest 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.)2021/9/1137Financial ratiosPNC, 2000ROE: Net Income/Average Total equity18.