商業(yè)銀行經(jīng)營評價課件

第二章商業(yè)銀行經(jīng)營評價BalanceSheetIncomeStatementRelationshipbetweenBalanceSheetandIncomeStatementReturnonEquityModel股份制商業(yè)銀行風(fēng)險評級體系(04年2月22日)PerformanceCharacteristicsofDifferent-sizedBanksBalanceSheetItisastatementoffinancialpositionlistingassetsowned,liabilitiesowed,andowner’sequityasofaspecificdate.Assets=Liabilities+Equity.Balancesheetfiguresarecalculatedataparticularpointintimeandthusrepresentstockvalues.ChinaBigFourBanks(12/31/2002)v.s.

AllUSBanks(12/31/2002)Asset(%)Liabilities(%)CNUSCNUSLoans60.261.4Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.89.1Other8.47.4Capital3.87.1Total100100Total100100PNCBank(12/31/2000,TA:63bn)v.s.

CommunityNationalBank(12/31/00,TA:0.1bn)Asset(%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total100100BankAssets:LoansLoansarethemajorassetinmostbanks’portfoliosandgeneratethegreatestamountofincomebeforeexpensesandtaxes.Theyalsoexhibitthehighestdefaultriskandarerelativelyilliquid.Loans:CategoriesRealestateloansCommercialloansLoanstoindividualsAgriculturalloansOtherloansindomesticofficesLoansandleasesinforeignofficesThreeadjustmentsLeases;Unearnedincome;LossallowancePNCandCNB:Loanportfolio(2000)PNCCNBRealestate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domesticother7.34.7International0.50Unearnedincome-0.20Lossallowance-1.0-0.5Total78.064.9BankAssets:InvestmentsecuritiesInvestmentsecuritiesareheldto

earninterest,helpmeetliquidityneedsspeculateoninterestratemovementsserveaspartofabank’sdealerfunctions.Theadministrationandtransactioncostsareextremelylow.BankAssets:InvestmentsecuritiesShort-terminvestmentsInterest-bearingbankbalances(depositsduefromotherbanks)federalfundssoldsecuritiespurchasedunderagreementtoresell(RPs)TreasurybillsmunicipaltaxwarrantsLong-terminvestment:notesandbondsTreasurysecuritiesObligationsoffederalagenciesMortgage-backed,foreign,andcorporateBankAssets:

NoninterestcashandduefrombanksItconsistsofvaultcash,depositsheldatFederalReserveBanksdepositsheldatotherfinancialinstitutionscashitemsintheprocessofcollectionTheseassetsareheldtomeetcustomerwithdrawalneedsmeetlegalreserverequirementsassistincheckclearingandwiretransferseffectthepurchaseandsaleofTreasurysecuritiesBankAssets:OtherassetsOtherassetsareresidualassetsofrelativelysmallmagnitudessuchasbankersacceptancespremisesandequipmentotherrealestateownedandothersmalleramountsBankLiabilitiesThecharacteristicsofvariousdebtinstrumentsdifferintermsofcheck-writingcapabilitiesinterestpaidmaturitywhethertheycarryFDICinsurancewhethertheycanbetradedinthesecondarymarket.Bankliabilities:DepositsDemanddepositstransactionsaccountsthatpaynointerestNegotiableordersofwithdrawal(NOWs)andautomatictransfersfromsavings(ATS)accountspayinterestsetbyeachbankwithoutfederalrestrictionsMoneymarketdepositaccounts(MMDAs)paymarketrates,butacustomerislimitedtonomorethansixchecksorautomatictransferseachmonthBankliabilities:DepositsTwogeneraltimedepositscategoriesexist:Timedepositsinexcessof$100,000,labeledjumbocertificatesofdeposit(CDs).SmallCDs,consideredcoredepositswhichtendtobestabledepositsthataretypicallynotwithdrawnovershortperiodsoftime.DepositsheldinforeignofficesbalancesissuedbyabanksubsidiarylocatedoutsidetheU.S.CoredopositsCoredepositsarestabledepositsthatarenothighlyinterestrate-sensitive.Coredepositsaremoresensitivetothefeescharged,servicesrendered,andlocationofthebank.Coredepositsinclude:demanddeposits,NOWaccounts,MMDAs,andsmalltimedeposits.Borrowings(volatilefunds)Large,orvolatile,borrowingsareliabilitiesthatarehighlyrate-sensitive.Normallyissuedinuninsureddenominations.Theirabilitytoborrowissensitivetothemarketsperceptionoftheirassetquality.Volatileliabilitiesornetnon-coreliabilitiesinclude:largeCDs(over100,000)depositsinforeignofficesfederalfundspurchasedrepurchaseagreementsotherborrowingswithmaturitieslessthanoneyearCapital:SubordinatednotesanddebenturesNotesandbondswithmaturitiesinexcessofoneyear.Long-termuninsureddebt.Mostmeetrequirementsasbankcapitalforregulatorypurposes.Unlikedeposits,thedebtisnotfederallyinsuredandclaimsofbondholdersaresubordinatedtoclaimsofdepositors.Capital:Stockholders'equityOwnershipinterestinthebank.CommonandpreferredstockarelistedatparSurplusaccountrepresentstheamountofproceedsreceivedbythebankinexcessofparwhenitissuedthestock.IncomeStatementItisafinancialstatementshowingasummaryofafirm’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=burdenNoninterestexpensePersonnelexpense:SalariesandfringebenefitspaidtobankemployeesOccupancyexpense:RentanddepreciationonequipmentandpremisesOtheroperatingexpenses:UtilitiesandDepositinsurancepremiumsLoan-lossprovisions(PLL)Representmanagement'sestimateofpotentiallostrevenuefrombadloans.Itissubtractedfromnetinterestincomeinrecognitionthatsomeofthereportedinterestincomeoverstateswhatwillactuallybereceivedwhensomeoftheloansgointodefault.Charge-offsindicateloansthatabankformallyrecognizesasuncollectableandcharges-offagainstthelossreserve.Loan-lossprovisions(PLL)Thereserve’smaximumsizeisdeterminedbytax.ProvisionsforloanlossesReserveforLoanLossesRecoveriesChargeoffsTaxLawIncomestatement:PNC&CNB,2000Realizedsecuritiesgains(orlosses)Theyarisewhenabanksellssecuritiesfromitsinvestmentportfolioatpricesabove(orbelow)theinitialoramortizedcosttothebank.Generally,securitieschangeinvalueasinterestrateschange,butthegainsorlossesareunrealized(meaningthatthebankhasnotsoldthesecuritiestocapturethechangeinvalue).RelationshipbetweenbalancesheetandincomestatementThecompositionofassetsandliabilitiesandtherelationshipsbetweendifferentinterestratesdeterminenetinterestincome.Themixofdepositsbetweenconsumerandcommercialcustomersaffectstheservicesprovidedandthusthemagnitudeofnoninterestincomeandnoninterestexpense.Theownershipofnonbanksubsidiariesincreasesfeeincomebutoftenraisesnoninterestexpense.RelationshipbetweenbalancesheetandincomestatementExpensesandloanlossesdirectlyeffectthebalancesheet.Thegreaterthesizeofloanportfolio,thegreaterisoperatingoverheadandPLL.Consumerloansareusuallysmallerandhencemoreexpensive(non-interest)perdollarofloans.Returnonequity(ROE=NI/TE)…thebasicmeasureofstockholders’returnsROEiscomposedoftwoparts:ReturnonAssets(ROA=NI/TA)representsthereturnstotheassetsthebankhasinvestedin.EquityMultiplier(EM=TA/TE)thedegreeoffinancialleverageemployedbythebank.INCOMEReturntotheBankROA=NI/TAEXPENSESRateComposition(mix)VolumeInterestOverheadProv.forLLTaxesFeesandServChargeTrustOtherRateComposition(mix)VolumeInterestNonInterestSalariesandBenefitsOccupancyOtherBankPerformanceModelReturnstoShareholdersROE=NI/TEDegreeofLeverageEM=1/(TA/TE)Assetutilization(AU=TR/TA):…theabilitytogenerateincome.InterestIncome/TAAssetyields(rate)Interestincomeasset(i)/$amountofasset(i)Compositionofassets(mix)$amountasset(i)/TAVolumeofEarningAssetsEarningassets/TANoninterestincome/TAFeesandServiceChargesSecuritiesGains(Losses)OtherincomeExpenseratio(ER=Exp/TA)…theabilitytocontrolexpenses.Interestexpense/TACostperliability(rate)Int.exp.liab.(j)/$amt.liab.(j)Compositionofliabilities$amt.ofliab.(j)/TAVolumeofdebtandequityNon-interestexpenses/TASalariesandemployeebenefits/TAOccupancyexpenses/TAOtheroperatingexpense/TAProvisionsforloanlosses/TATaxes/TAOtheraggregateprofitabilitymeasuresNetinterestmarginNIM=NII/earningassets(EA)SpreadSpread=(intinc/EA)-(intexp/intbear.Liab.)EarningsbaseEB=EA/TABurden/TA(Noninterestexp.-Noninterestincome)/TAEfficiencyratioNonint.Exp./(Netint.Inc.+Nonint.Inc.)Financialratios…PNC,2000ROE:NetIncome/AverageTotalequity18.9%ROA:NetIncome/AvgTA1.5%AU:TotalRevenue/AvgTA9.2%ER:Totalexpenses(lessTaxes)/AvgTA7.0%Memo:PM:NetIncome/TotalRevenue16.2%EM:Avg.TA/Avg,TotalEquity12.6xEB:EarningAssets/AvgTA87.0%NIM:Netinterestmargin3.6%Spread3.1%EfficiencyRatio57.2%Burden/Avg.TotalAssets0.7%NonInterestIncome/Noninterestexp.78.3%股份份制制商商業(yè)業(yè)銀銀行行風(fēng)風(fēng)險險評評級級體體系系駱駝駝氏氏體體系系CAMELS資本本（（Capital））20%資產(chǎn)產(chǎn)（（Asset））20%管理理（（Management））25%盈利利（（Earnings））20%流動動性性（（Liquidity））15%敏感感性性（（Sensitivity））0%資本本（（Capital））資本本（（Capital））定量量指指標(biāo)標(biāo)（（60分分））資本本充充足足率率（（30分分））：：10%核心心資資本本充充足足率率（（30分分））：：6%定性性因因素素（（40分分））資本本的的構(gòu)構(gòu)成成和和質(zhì)質(zhì)量量（（6分分））銀行行整整體體財財務(wù)務(wù)狀狀況況及及其其對對資資本本的的影影響響（（8分分））資產(chǎn)產(chǎn)質(zhì)質(zhì)量量及及其其對對資資本本的的影影響響（（8分分））銀行行增增加加資資本本的的能能力力（（8分分））銀行行對對資資本本的的管管理理情情況況（（10分分））資產(chǎn)產(chǎn)（（Asset））A:reflectstheamountofexistingcreditriskassociatedwiththeloanandinvestmentportfolioaswellasoffbalancesheetactivities.資產(chǎn)產(chǎn)（（Asset））定量量指指標(biāo)標(biāo)（（60分分））不良良貸貸款款率率（（15分分））：：5%以以下下估計計貸貸款款損損失失率率（（10分分））：：3%以以下下最大大單單一一客客戶戶、、集集團(tuán)團(tuán)客客戶戶授授信信比比率率（（10分分））：：6%、、15%撥備備覆覆蓋蓋率率（（20分分））：：100%非信信貸貸資資產(chǎn)產(chǎn)損損失失率率（（5分分））：：2%以以下下資產(chǎn)產(chǎn)（（Asset））：：續(xù)續(xù)定性性因因素素（（40分分））不良良資資產(chǎn)產(chǎn)變變動動趨趨勢勢及及其其影影響響（（5分分））貸款款行行業(yè)業(yè)集集中中度度及及其其影影響響（（5分分））信貸貸風(fēng)風(fēng)險險管管理理的的程程序序、、制制度度及及其其有有效效性性（（10分分））貸款款風(fēng)風(fēng)險險分分類類制制度度的的健健全全性性和和有有效效性性（（10分分））保證證貸貸款款和和抵抵（（質(zhì)質(zhì)））押押貸貸款款及及其其管管理理狀狀況況（（5分分））非信貸資產(chǎn)產(chǎn)風(fēng)險管理理狀況（5分）管理（Management）M:reflectstheadequacyoftheboardofdirectorsandseniormanagementsystemsandprocedurestoidentify,measure,monitor,andcontrolrisks.管理（Management）銀行公司治治理狀況，，公司治理理的合理性性和有效性性（50分分）基本結(jié)構(gòu)（（10分））：三會、、獨(dú)立董事事、外部監(jiān)監(jiān)事決策機(jī)制（（10分））：股東、、董事會執(zhí)行機(jī)制（（10分））：高管素素質(zhì)、團(tuán)隊隊精神監(jiān)督機(jī)制（（10分））：獨(dú)立董董事、監(jiān)事事激勵約束機(jī)機(jī)制及問責(zé)責(zé)（10分分）：掛鉤鉤內(nèi)部控制狀狀況（50分）內(nèi)部控制環(huán)環(huán)境與內(nèi)部部控制文化化（10分分）風(fēng)險識別與與評估（10分）控制行為與與職責(zé)分工工（10分分）信息交流與與溝通（10分）監(jiān)督與糾正正（10分分）盈利（Earnings）E:reflectsnotonlythequantityandtrendinearnings,butalsothefactorsthatmayaffectthesustainabilityorqualityofearnings.盈利（Earnings）定量指標(biāo)（（60分））資產(chǎn)利潤率率（15分分）：1%資本利潤率率（15分分）：20%利息回收率率（15分分）：95%資產(chǎn)費(fèi)用率率（15分分）：0.75%以以下，2%為0定性因素（