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,Balance Sheet,It is a statement of financial position listing assets owned, liabilities owed, and owners
2、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.,China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002),PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA:
3、 0.1bn),Bank Assets: Loans,Loans 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.,Loans: Categories,Real estate loansCommercial loansLoans to individualsAgricultu
4、ral loansOther loans in domestic officesLoans and leases in foreign officesThree adjustmentsLeases; Unearned income; Loss allowance,PNC and CNB: Loan portfolio (2000),Bank Assets: Investment securities,Investment securities are held to earn interest,help meet liquidity needs speculate on interest ra
5、te movementsserve as part of a banks dealer functions.The administration and transaction costs are extremely low.,Bank Assets: Investment securities,Short-term investmentsInterest-bearing bank balances (deposits due from other banks)federal funds soldsecurities purchased under agreement to resell (R
6、Ps)Treasury bills municipal tax warrantsLong-term investment: notes and bonds Treasury securitiesObligations of federal agenciesMortgage-backed, foreign, and corporate,Bank Assets: Noninterest cash and due from banks,It consists of vault cash,deposits held at Federal Reserve Banksdeposits held at ot
7、her 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 securities,Bank Assets: Other assets,Other assets are residual a
8、ssets of relatively small magnitudes such asbankers acceptances premises and equipmentother real estate owned and other smaller amounts,Bank Liabilities,The characteristics of various debt instruments differ in terms of check-writing capabilities interest paidmaturitywhether they carry FDIC insuranc
9、ewhether they can be traded in the secondary market.,Bank liabilities: Deposits,Demand 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
10、deposit accounts (MMDAs) pay market rates, but a customer is limited to no more than six checks or automatic transfers each month,Bank liabilities: Deposits,Two general time deposits categories exist:Time deposits in excess of $100,000, labeled jumbo certificates of deposit (CDs).Small CDs, consider
11、ed 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.,Core doposits,Core deposits are stable deposits that are not highly interest rate-sensitive. Co
12、re 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.,Borrowings (volatile funds),Large, or volatile, borrowings are liabilities that are highly rate-sensitive.Normally is
13、sued 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 with matur
14、ities less than one year,Capital: Subordinated notes and debentures,Notes 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 are subordi
15、nated to claims of depositors.,Capital: Stockholders equity,Ownership 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.,Income Statement,It is a financial statement show
16、ing 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 approximatel
17、y 77 percent of net revenue at a bank in 1981, but only about 58 percent of total net revenue at the end of 2001.,The Income statement,+Interest income (II)-Interest expense (IE)=Net interest Income (NII) +Noninterest income (OI)-Noninterest expense (OE)-Loan-loss provisions (PLL)=Operating income b
18、efore securities transactions and taxes+(-)Realized gains or losses=Pretax net operating income-Taxes=Net income,=burden,Interest income,the sum of interest and fees earned on all of a banks assets. Interest income includes interest from:LoansDeposits held at other institutions Municipal and taxable
19、 securitiesInvestment and trading account securities,Interest 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 income less inte
20、rest expense is net interest income (NII),Noninterest income,Trust 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 revenues reflect c
21、ommissions and profits or gains from operating a trading accountOther foreign transactionsOther noninterest income,Noninterest expense,Personnel expense:Salaries and fringe benefits paid to bank employeesOccupancy expense :Rent and depreciation on equipment and premisesOther operating expenses:Utili
22、ties and Deposit insurance premiums,Loan-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 the loans g
23、o into default. Charge-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the loss reserve.,Loan-loss provisions (PLL) The reserves maximum size is determined by tax.,Provisions for loan losses,Reserve for Loan Losses,Recoveries,Charge offs,Tax Law,Income st
24、atement: 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 gains or loss
25、es 0.3% & 0%=Pretax net operating income-Taxes8.5% & 8.6%=Net income16.3% & 16.0%,Realized 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
26、 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).,Relationship between balance sheet and income statement,The composition of assets and liabilities and the relationships between different interest rates
27、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.,Relationshi
28、p between balance sheet and income statement,Expenses 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.,Return on equity (
29、ROE = NI / TE) the basic measure of stockholders returns,ROE 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.,Return on assets (ROA = NI / TA)c
30、an be decomposed into two parts: Asset utilization (AU) income generation Expense ratio (ER) expense control,ROA= 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 + Taxes,INCOME,Return to the
31、 BankROA = NI / TA,EXPENSES,Rate,Composition (mix),Volume,Interest,Overhead,Prov. for LL,Taxes,Fees and Serv Charge,Trust,Other,Rate,Composition (mix),Volume,Interest,Non Interest,Salaries and Benefits,Occupancy,Other,Bank Performance Model,Returns to ShareholdersROE = NI / TE,Degree of LeverageEM =
32、 1 / (TA / TE),Asset 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 Servi
33、ce ChargesSecurities Gains (Losses)Other income,Expense 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 / TASal
34、aries and employee benefits / TAOccupancy expenses / TAOther operating expense / TAProvisions for loan losses / TATaxes / TA,Other aggregate profitability measures,Net interest marginNIM = NII / earning assets (EA)SpreadSpread = (int inc / EA) - (int exp / int bear. Liab.)Earnings baseEB = EA / TABu
35、rden / TA(Noninterest exp. - Noninterest income) / TAEfficiency ratioNon int. Exp. / (Net int. Inc. + Non int. Inc.),Financial ratiosPNC, 2000,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（Earnings）20%流动性（Liquidity）15%敏感性（Sensitivity）0%,资本（Capital）,C: signals the ability to
36、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.,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（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）,
37、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.,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分）：6%、15%拨备覆盖率（20分）：100%非信贷资产损失率（5分）：2%以下,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
38、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）,管理（Management）,M: reflects the adequacy of the board of directors and senior management systems and procedures to identify, measure, monitor, and control risks.,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（
39、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）,盈利（Earnings）,E: reflects not only the quantity and trend in earnings, but also the factors that may affect the sustainability or quality
40、 of earnings.,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准备提取的影响（15分）财务预决算体系，财务管理的健全性和有效性（10分）,流动性（Liquidity）,L: reflects the adequacy of the banks current and prospective sources of liquidity and f
41、unds management practices,流动性（Liquidity）,定量指标（60分）流动性比率（20分）：35%人民币超额准备金比率（10分）：5%外币备付金率（5分）：5%本外币合并存贷款比例（10分）：65%以下外币存贷款比例（5分）：70%以下净拆借资金比率（10分）：-4%以下定性因素（40分）资金来源的构成、变化趋势和稳定性（5分）资产负债管理政策和资金的调配情况（5分）银行对流动性的管理情况（20分）：专门管理部门、需求预测、管理政策、日常管理银行以主动负债形式满足流动性需求的能力（5分）管理层有效识别、监测、和调控银行头寸的能力（5分）,敏感性（Sensitivi
42、ty）,S: reflects the degree to which changes in interest rates, foreign exchange rates, commodity prices, and equity prices can adversely affect earnings.,敏感性（Sensitivity）,包括利率风险、外汇风险、股本风险和商品风险。金融机构盈利性或资产价值对利率、汇率、商品价格或产权价反向变动的敏感程度；银行董事会和高级管理层识别、衡量、监督和控制市场风险敞口的能力；源自非交易性头寸利率风险敞口的性质和复杂程度；源自交易性和境外业务市场风险敞
43、口的性质和复杂程度。根据我国银行业现状，暂不对市场风险进行评级，但可以考察银行资产价值与盈利水平受利率政策与外汇价格变化的影响，作为评价盈利性和资产质量的参考。,Performance Characteristics of Different-sized Banks: Trend with Size,Equity capital ratio,Core capital (leverage) ratio,Tier 1 risk-based capital ratio,Total risk-based capital ratio,Net interest margin,Yield on earning assets,Cost of funding earning assets,Earning assets to total assets,Efficiency ratio,Noninterest income to earning assets,Noninterest expense to earning assets,LN&LS loss provision to assets,US Banks: ROA (2002),US Banks: ROE (2002),US & Chinese Banks: ROA (2002),US & Chinese Banks: ROE (2002),
