《商业银行的经营评价分析英文版ppt课件》由会员分享，可在线阅读，更多相关《商业银行的经营评价分析英文版ppt课件（69页珍藏版）》请在金锄头文库上搜索。
1、1/69第二章第二章 商业银行运营评价商业银行运营评价对外经济贸易大学对外经济贸易大学 金融学院金融学院何自云何自云 2/69第二章第二章 商业银行运营评价商业银行运营评价nBalance SheetnIncome StatementnRelationship between Balance Sheet and Income StatementnReturn on Equity Modeln股份制商业银行风险评级体系股份制商业银行风险评级体系(XX年年2月月22日日)nPerformance Characteristics of Different-sized Banks3/69Balance
2、 SheetnIt is a statement of financial position listing assets owned, liabilities owed, and owners equity as of a specific date.nAssets = Liabilities + Equity.nBalance sheet figures are calculated at a particular point in time and thus represent stock values.4/69China Big Four Banks (12/31/XX ) v.s.
3、All US Banks (12/31/2002)Asset (%)Liabilities(%)CNUSCNUSLoans60.261.4Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.8 9.1Other8.4 7.4Capital3.87.1Total100100Total1001005/69PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn)Asset (%)Liabilities(%)PNCCNBPNCC
4、NBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total1001006/69Bank Assets: LoansnLoans are the major asset in most banks portfolios and generate the greatest amount of income before expenses and taxes. nThey also exhibit the highest def
5、ault risk and are relatively illiquid. 7/69Loans: CategoriesnReal estate loansnCommercial loansnLoans to individualsnAgricultural loansnOther loans in domestic officesnLoans and leases in foreign officesnThree adjustmentsnLeases; Unearned income; Loss allowance8/69PNC and CNB: Loan portfolio (2000)P
6、NCCNBReal estate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domestic other7.34.7International0.50Unearned income- 0.20Loss allowance- 1.0-0.5Total78.064.99/69Bank Assets: Investment securities nInvestment securities are held to nearn interest,nhelp meet liquidity needs nspeculate on i
7、nterest rate movementsnserve as part of a banks dealer functions.nThe administration and transaction costs are extremely low.10/69Bank Assets: Investment securitiesnShort-term investmentsnInterest-bearing bank balances (deposits due from other banks)nfederal funds soldnsecurities purchased under agr
8、eement to resell (RPs)nTreasury bills nmunicipal tax warrantsnLong-term investment: notes and bonds nTreasury securitiesnObligations of federal agenciesnMortgage-backed, foreign, and corporate11/69Bank Assets: Noninterest cash and due from banksnIt consists of nvault cash,ndeposits held at Federal R
9、eserve Banksndeposits held at other financial institutionsncash items in the process of collectionnThese assets are held tonmeet customer withdrawal needs nmeet legal reserve requirementsnassist in check clearing and wire transfers neffect the purchase and sale of Treasury securities12/69Bank Assets
10、: Other assets nOther assets are residual assets of relatively small magnitudes such asnbankers acceptances npremises and equipmentnother real estate owned and other smaller amounts13/69Bank LiabilitiesnThe characteristics of various debt instruments differ in terms of ncheck-writing capabilities ni
11、nterest paidnmaturitynwhether they carry FDIC insurancenwhether they can be traded in the secondary market. 14/69Bank liabilities: DepositsnDemand deposits ntransactions accounts that pay no interestnNegotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts npay inte
12、rest set by each bank without federal restrictionsnMoney market deposit accounts (MMDAs) npay market rates, but a customer is limited to no more than six checks or automatic transfers each month15/69Bank liabilities: DepositsnTwo general time deposits categories exist:nTime deposits in excess of $10
13、0,000, labeled jumbo certificates of deposit (CDs).nSmall CDs, considered core deposits which tend to be stable deposits that are typically not withdrawn over short periods of time.nDeposits held in foreign offices nbalances issued by a bank subsidiary located outside the U.S.16/69Core dopositsnCore
14、 deposits are stable deposits that are not highly interest rate-sensitive. nCore deposits are more sensitive to the fees charged, services rendered, and location of the bank. nCore deposits include: demand deposits, NOW accounts, MMDAs, and small time deposits.17/69Borrowings (volatile funds)nLarge,
15、 or volatile, borrowings are liabilities that are highly rate-sensitive.nNormally issued in uninsured denominations.nTheir ability to borrow is sensitive to the markets perception of their asset quality. nVolatile liabilities or net non-core liabilities include: nlarge CDs (over 100,000)ndeposits in
16、 foreign officesnfederal funds purchased nrepurchase agreementsnother borrowings with maturities less than one year18/69Capital: Subordinated notes and debenturesnNotes and bonds with maturities in excess of one year. nLong-term uninsured debt.nMost meet requirements as bank capital for regulatory p
17、urposes. nUnlike deposits, the debt is not federally insured and claims of bondholders are subordinated to claims of depositors. 19/69Capital: Stockholders equitynOwnership interest in the bank. nCommon and preferred stock are listed at par nSurplus account represents the amount of proceeds received
18、 by the bank in excess of par when it issued the stock.20/69Income StatementnIt 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.nA banks income statement reflects the financial nature of banking
19、, as interest on loans and investments comprises the bulk of revenue. nNet 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. 21/69The Income statement+ Interest income (II)- Interest expense (IE)= Net
20、 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=burden22/69Interest incomenthe sum of interest and fees earned
21、 on all of a banks assets. nInterest income includes interest from:nLoansnDeposits held at other institutions nMunicipal and taxable securitiesnInvestment and trading account securities23/69Interest expensen. the sum of interest paid on all interest-bearing liabilities .nIt includes interest paid to
22、ntransactions accounts (NOW, ATS, and MMDA)ntime and savings depositsnshort-term non- core liabilitiesnlong-term debtnInterest income less interest expense is net interest income (NII)24/69Noninterest incomenTrust or fiduciary incomenreflects what a bank earns from operating a trust departmentnFees
23、and deposit service charges nreflect charges on checking account activity, safe-deposit boxes, and many other transactions. nTrading revenues nreflect commissions and profits or gains from operating a trading accountnOther foreign transactionsnOther noninterest income25/69Noninterest expensenPersonn
24、el expense:nSalaries and fringe benefits paid to bank employeesnOccupancy expense :nRent and depreciation on equipment and premisesnOther operating expenses:nUtilities and nDeposit insurance premiums26/69Loan-loss provisions (PLL)nRepresent managements estimate of potential lost revenue from bad loa
25、ns.nIt 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. nCharge-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the loss reser
26、ve. 27/69Loan-loss provisions (PLL) The reserves maximum size is determined by tax.Provisions for loan losses Reserve for Loan LossesRecoveriesCharge offsTax Law28/69Income statement: PNC &CNB, 2000+ Interest income (II)72% & 92%- Interest expense (IE)38% & 27%= Net interest Income (NII) + Nonintere
27、st 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% & 8.6%= Net income16.3% & 16.0%29/69Realized securities gains (or
28、losses)nThey arise when a bank sells securities from its investment portfolio at prices above (or below) the initial or amortized cost to the bank. nGenerally, securities change in value as interest rates change, but the gains or losses are unrealized (meaning that the bank has not sold the securiti
29、es to capture the change in value).30/69Relationship between balance sheet and income statementnThe composition of assets and liabilities and the relationships between different interest rates determine net interest income. nThe mix of deposits between consumer and commercial customers affects the s
30、ervices provided and thus the magnitude of noninterest income and noninterest expense.nThe ownership of nonbank subsidiaries increases fee income but often raises noninterest expense. 31/69Relationship between balance sheet and income statementnExpenses and loan losses directly effect the balance sh
31、eet.nThe greater the size of loan portfolio, the greater is operating overhead and PLL.nConsumer loans are usually smaller and hence more expensive (non-interest) per dollar of loans.32/69Return on equity (ROE = NI / TE) the basic measure of stockholders returnsnROE is composed of two parts:nReturn
32、on Assets (ROA = NI / TA)nrepresents the returns to the assets the bank has invested in.nEquity Multiplier (EM = TA / TE)nthe degree of financial leverage employed by the bank.33/69Return on assets (ROA = NI / TA)can be decomposed into two parts: Asset utilization (AU) income generation Expense rati
33、o (ER) expense controlnROA= AU ER= (TR / TA) (TE / TA) nTR = total revenue or total operating income = Int. inc. + non-int. inc. + SG(L)nTE = total expenses= Int. exp. + non-int. exp. + PLL + TaxesINCOMEReturn to the BankROA = NI / TAEXPENSESRateComposition (mix)VolumeInterestOverheadProv. for LLTax
34、esFees and Serv ChargeTrustOtherRateComposition (mix)VolumeInterestNon InterestSalaries and BenefitsOccupancyOtherBank Performance ModelReturns to ShareholdersROE = NI / TEDegree of LeverageEM = 1 / (TA / TE)35/69Asset utilization (AU = TR / TA): the ability to generate income.nInterest Income / TAn
35、Asset yields (rate)nInterest income asset (i) / $ amount of asset (i)nComposition of assets (mix)n$ amount asset (i) / TAnVolume of Earning AssetsnEarning assets / TAnNon interest income / TAnFees and Service ChargesnSecurities Gains (Losses)nOther income36/69Expense ratio (ER = Exp / TA) the abilit
36、y to control expenses.nInterest expense / TAnCost per liability (rate)nInt. exp. liab. (j) / $ amt. liab. (j) nComposition of liabilitiesn$ amt. of liab. (j) / TAnVolume of debt and equitynNon-interest expenses / TAnSalaries and employee benefits / TAnOccupancy expenses / TAnOther operating expense
37、/ TAnProvisions for loan losses / TAnTaxes / TA37/69Other aggregate profitability measuresnNet interest marginnNIM = NII / earning assets (EA)nSpreadnSpread = (int inc / EA) - (int exp / int bear. Liab.)nEarnings basenEB = EA / TAnBurden / TAn(Noninterest exp. - Noninterest income) / TAnEfficiency r
38、ationNon int. Exp. / (Net int. Inc. + Non int. Inc.)38/69Financial 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 / Total Revenue16.2%EM: Avg. TA / Avg, Total Equit
39、y12.6xEB: 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%39/69股份制商业银行风险评级体系股份制商业银行风险评级体系n骆驼氏体系骆驼氏体系CAMELSn资本资本Capital20%n资产资产Asset20%n管理管理Management 25%n盈利盈利Earnings20%n流动性流动性Liquidity
40、15%n敏感性敏感性Sensitivity0%40/69资本资本CapitalnC: 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. 41/69资本资本Capitaln定量目的定量目的60分分n资本充足率资本充足率30分：分：10%n中心资本充足率中心资本充足率30分：分：
41、6%n定性要素定性要素40分分n资本的构成和质量资本的构成和质量6分分n银行整体财务情况及其对资本的影响银行整体财务情况及其对资本的影响8分分n资产质量及其对资本的影响资产质量及其对资本的影响8分分n银行添加资本的才干银行添加资本的才干8分分n银行对资本的管理情况银行对资本的管理情况10分分42/69资产资产AssetnA: reflects the amount of existing credit risk associated with the loan and investment portfolio as well as off balance sheet activities. 4
42、3/69资产资产Assetn定量目的定量目的60分分n不良贷款率不良贷款率15分：分：5%以下以下n估计贷款损失率估计贷款损失率10分：分：3%以下以下n最大单一客户、集团客户授信比率最大单一客户、集团客户授信比率10分：分：6%、15%n拨备覆盖率拨备覆盖率20分：分：100%n非信贷资产损失率非信贷资产损失率5分：分：2%以下以下44/69资产资产Asset：续：续n定性要素定性要素40分分n不良资产变动趋势及其影响不良资产变动趋势及其影响 5分分n贷款行业集中度及其影响贷款行业集中度及其影响5分分n信贷风险管理的程序、制度及其有效性信贷风险管理的程序、制度及其有效性10分分n贷款风险分类
43、制度的健全性和有效性贷款风险分类制度的健全性和有效性10分分n保证贷款和抵质押贷款及其管理情况保证贷款和抵质押贷款及其管理情况5分分n非信贷资产风险管理情况非信贷资产风险管理情况5分分45/69管理管理ManagementnM: reflects the adequacy of the board of directors and senior management systems and procedures to identify, measure, monitor, and control risks. 46/69管理管理Managementn银行公司治理情况，公司治理的合理性和有效性银
44、行公司治理情况，公司治理的合理性和有效性50分分n根本构造根本构造10分：三会、独立董事、外部监事分：三会、独立董事、外部监事n决策机制决策机制10分：股东、董事会分：股东、董事会n执行机制执行机制10分：高管素质、团队精神分：高管素质、团队精神n监视机制监视机制10分：独立董事、监事分：独立董事、监事n鼓励约束机制及问责鼓励约束机制及问责10分：挂钩分：挂钩n内部控制情况内部控制情况50分分n内部控制环境与内部控制文化内部控制环境与内部控制文化10分分n风险识别与评价风险识别与评价10分分n控制行为与职责分工控制行为与职责分工10分分n信息交流与沟通信息交流与沟通10分分n监视与纠正监视与纠
45、正10分分47/69盈利盈利EarningsnE: reflects not only the quantity and trend in earnings, but also the factors that may affect the sustainability or quality of earnings. 48/69盈利盈利Earningsn定量目的定量目的60分分n资产利润率资产利润率15分：分：1%n资本利润率资本利润率15分：分：20%n利息回收率利息回收率15分：分：95%n资产费用率资产费用率15分：分：0.75%以下，以下，2%为为0n定性要素定性要素40分分n银行的本
46、钱费用和收入情况以及盈利程度和趋势银行的本钱费用和收入情况以及盈利程度和趋势15分分n银行盈利的质量，以及银行盈利对业务开展与资银行盈利的质量，以及银行盈利对业务开展与资产损失预备提取的影响产损失预备提取的影响15分分n财务预决算体系，财务管理的健全性和有效性财务预决算体系，财务管理的健全性和有效性10分分49/69流动性流动性LiquiditynL: reflects the adequacy of the banks current and prospective sources of liquidity and funds management practices50/69流动性流动性L
47、iquidityn定量目的定量目的60分分n流动性比率流动性比率20分：分：35%n人民币超额预备金比率人民币超额预备金比率10分：分：5%n外币备付金率外币备付金率5分：分：5%n本外币合并存贷款比例本外币合并存贷款比例10分：分：65%以下以下n外币存贷款比例外币存贷款比例5分：分：70%以下以下n净拆借资金比率净拆借资金比率10分：分：-4%以下以下n定性要素定性要素40分分n资金来源的构成、变化趋势和稳定性资金来源的构成、变化趋势和稳定性5分分n资产负债管理政策和资金的调配情况资产负债管理政策和资金的调配情况5分分n银行对流动性的管理情况银行对流动性的管理情况20分：专门管理部门、需求
48、分：专门管理部门、需求预测、管理政策、日常管理预测、管理政策、日常管理n银行以自动负债方式满足流动性需求的才干银行以自动负债方式满足流动性需求的才干5分分n管理层有效识别、监测、和调控银行头寸的才干管理层有效识别、监测、和调控银行头寸的才干5分分 51/69敏感性敏感性SensitivitynS: reflects the degree to which changes in interest rates, foreign exchange rates, commodity prices, and equity prices can adversely affect earnings. 52/
49、69敏感性敏感性Sensitivityn包括利率风险、外汇风险、股本风险和商品风险。包括利率风险、外汇风险、股本风险和商品风险。n金融机构盈利性或资产价值对利率、汇率、商品金融机构盈利性或资产价值对利率、汇率、商品价钱或产权价反向变动的敏感程度；价钱或产权价反向变动的敏感程度；n银行董事会和高级管理层识别、衡量、监视和控银行董事会和高级管理层识别、衡量、监视和控制市场风险敞口的才干；制市场风险敞口的才干；n源自非买卖性头寸利率风险敞口的性质和复杂程源自非买卖性头寸利率风险敞口的性质和复杂程度；度；n源自买卖性和境外业务市场风险敞口的性质和复源自买卖性和境外业务市场风险敞口的性质和复杂程度。杂程
50、度。n根据我国银行业现状，暂不对市场风险进展评级，根据我国银行业现状，暂不对市场风险进展评级，但可以调查银行资产价值与盈利程度受利率政策但可以调查银行资产价值与盈利程度受利率政策与外汇价钱变化的影响，作为评价盈利性和资产与外汇价钱变化的影响，作为评价盈利性和资产质量的参考。质量的参考。 53/69Performance Characteristics of Different-sized Banks: Trend with Size54/69Equity capital ratio55/69Core capital (leverage) ratio56/69Tier 1 risk-based
51、capital ratio57/69Total risk-based capital ratio58/69Net interest margin59/69Yield on earning assets60/69Cost of funding earning assets61/69Earning assets to total assets62/69Efficiency ratio63/69Noninterest income to earning assets64/69Noninterest expense to earning assets65/69LN&LS loss provision to assets66/69US Banks: ROA (2002)67/69US Banks: ROE (2002)68/69US & Chinese Banks: ROA (2002)69/69US & Chinese Banks: ROE (2002)
