DECK 8x_Risk Limits_August 2006_chi.ppt

risk limits at bank of america,china construction bank charlotte, north carolina, usa august 28, 2006,january 4th, 2005,january 4th, 2005,78,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,exposure definitions “风险暴露/敞口”的定义,total risk exposure (tre) 总风险暴露,intraday exposure当天风险敞口,binding exposure约束性风险敞口,non-binding exposure 非约束性风险敞口,utilized exposure已使用敞口,unutilized binding exposure非使用的约束性风险敞口,daylight overdraft limits当天透支限制 settlement limits for:额度用于： - foreign exchange (fx) 外币兑换 - automated clearing house (ach) 自动票据交换中心 - securities settlement有价证券结算 - repos/reverse repos回购/反向回购协议 - other trading其它交易 orders to pay将付的订单,uncommitted exposure: guidance or advised lines including credit card lines未承诺的风险敞口：指导性或者建议性业务，包括信用卡业务 unused traded products limits including: - product limits未使用交易产品限制包括： 产品限制,unused binding loan, lease & letter of credit (l/c) commitments未使用的限制性贷款、租赁和信用证（l/c）承诺 committed but unused traded products exposure承诺但未使用的贸易产品风险敞口,outstandings: loans & leases, overdrafts余款：贷款及租赁、透支 issued contingent exposure: trade & standby l/cs发布的或有敞口：贸易及备用信用证 bankers acceptances (bas)银行承兑汇票(bas) traded product usage (mtm, net of derivative collateral)交易产品使用（盯市模型mtm，衍生工具抵押净额） assets held for sale待售资产 foreclosed property没收的财产 securitized assets证券化资产,79,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,total risk exposuretotal risk exposure 总风险暴露,calculating total risk exposure (tre)计算总风险暴露 legally separate but related borrowers treated as a single obligor due to economic interdependence法律上分开对待，但究其经济独立性，则借方被看作同一个债务人 common ownership / control普通所有权/控制权 financial strength or credit support derived from relationship with affiliates集团关系的财务实力或信贷支持 exposure types 风险敞口类型 traditional credit / finance传统的信贷/金融 traded and derivative products with counterparty exposure带有订约方风险敞口的交易以及衍生产品 base issuer exposure基础发行方风险敞口 exposure with other bac lines of business (gcib, leasing, business credit card, etc.) is included in tre tre包括其它bac商业业务（gcib、租赁、商业信用卡等）的风险敞口,80,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,intraday exposure当天风险敞口,products or transactions that increase the clients risk profile足以增加客户风险相关的产品或者交易 treasury management products 财政管理产品 daylight overdrafts当天透支款项 ach limitsach限额 controlled disbursement控制支出 foreign exchange settlement limit外币兑换结算限额 other types of settlement limits其它类型的结算限额,81,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,exposure aggregation example风险敞口加总范例,parent company a and a related real estate holding company have the following bac facilities. both companies have the same ownership structure, and all of bs property holdings are leased to a.母公司a和相关不动产有限公司拥有如下的bac授信额度 。两个公司都拥有同样的所有权结构，并且所有b的财产被租给a.,how is the exposure for this relationship classified?这种关系的风险敞口如何分类？,82,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,exposure calculation风险敞口的计算,parent company a母公司,real estate holding co. b不动产有限公司b,83,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,concentration limits: house limits & guidelines集中度限额：行內限额以及指导方针,global,dealer,wealth &,risk,total,latin,middle中间市场,business,financial,real不动产* *,investment,rate风险等级,corp总公司,gcib,america拉丁美洲,leasing租赁,market,capital商业资本,services交易商金融服务,estate,management全球财富及投资管理,1,$1,600,$1,600,$350,$500,$500,$500,$500,$500,$300,2,$800,$800,$250,$500,$500,$500,$500,$500,$250,3,$400,$400,$200,$350,$350,$350,$350,$350,$200,4,$200,$200,$100,$175,$175,$175,$175,$175,$100,5,$100,$100,$60,$100,$100,$100,$100,$100,$60,6,$50,$50,$25,$50,$50,$75,$50,$50 / $75,$30,* real estate banking risk rate 6 house guideline - $50mm for single project; $75mm for multiple project relationships 不动产在房屋指导方针中为6级单独项目$50mm；多种项目关系$75mm.,global business & financial services全球商务和金融服务,house guidelines,($ millions)行內指导方针（百万美元）,house limits ($ millions) based on net credit and country risk capital; exceptions warranted only by high level of approval.基于净信贷和国家风险资金，只有高层的批准才可以例外。 maximum credit capital limit of $7.5mm with lower limits set by individual business units as appropriate.最大信贷资本限额$7.5mm，最低限额根据个別业务单元适可确定。,house limits and guidelines define recommended maximum exposures to single obligors or a family of obligors.行內限额和指导方针定义了对一个单独负债人或者负债人的集团所建议的最大风险敞口。 行內限额（$百万）,84,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,concentration limits: industry集中度额度：行业,limit structure:限额结构： capital: allocated credit risk capital of all obligors in naics category 资本：分派naics分类中所有负债人的信贷风险资本 notional: $ amount of binding exposure to all obligors in naics category 概念额度：naics类别中所有债务人约束性风险敞口 growth: for industries with allocated credit capital $200mm awaiting revival of demand稳定：信贷恶化已经到了谷底，等待需求的复苏 : credit quality likely to improve in outlook period增长：信贷质量有望在展望阶段中有所改善 industry risk score: tool for comparison across industries. qualitative assessment for near term (1yr). based on kmv and financial statement data. scale= 0-7 where 0 = lowest risk & 7 = highest行业风险评分：比较两个行业的工具。近期（1年）的定性评估。基于kmv和财务损益表数据。范围07 其中0最低风险，而7最高。,industry limits are used to control exposures bank-wide to industries as defined by north american industrial classification system, naics, fka sic codes. limits are supplemented by industry risk strategy documents as well as involvement of risk management industry specialists in transaction approvals and portfolio management.正如naica，fka sic标准的北美行业分类系统所定义的，行业额度是用于控制银行范围到行业的风险敞口。额度的设定将考虑行业风险战略文件，同时会请风险管理行业专家的参与交易许可及组合管理之评比 。,peak,downturn,mixed,stabilized,growth,red,yellow,green,85,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,concentration limits: industry集中度限额：行业,yoy,12-24,12-mth,adjusted,adj binding,credit,capital,month,median,absolute,binding调整后的定价,growth调整定价增长,capital信贷资本,growth资本增长,outlook,(c),edf,(d),change,red红色,1,commercial banks商业银行,2,vehicle dealers相关代理商,yellow黄色,1,auto components汽车配件,2,consumer finance消费金融,3,electric utilities公共电业,4,food products食品,5,gas utilities公共煤气,6,government政府,7,household durables家庭耐用品,8,individuals & trusts个人和信托人,9,metals & mining金属矿业,10,oil & gas石油天然气,11,paper & forest products造纸木材业,12,real estate ancillary房地产相关业,13,road & rail公路铁路,items in excess are highlighted in boxes.针对高红色警报行业的附加条款,(a),adjusted binding is equal to total binding exposure less potential exposure. derivative/fx exposure incorporates the benefits of cross-product netting.调整总约束力即对尽量少暴露潜在风险的约束。衍生部分合并各产品交叉的利益。,(b),credit capital includes derivatives capital and country credit capital but excludes credit derivative capital related to portfolio management hedging activity.信贷资本包括衍生资本和国家信贷资本，除此之外还包括证券管理活动相关的信贷派生资本,(c),12-24 month outlook provided by industry analysis.必须提供1224月的产业分析前景,(d),edf of 0.70 equates approximately to s&p rating of bbb- or rr5 / edf of 2.00 equates to s&p rating of bb or rr7. edf0.7相当于s&p的bbb级或rr5 edf2.00相当于s&p的bb级或rr7,12-24 month industry outlook and explanation of limit excess1224个月的产业前景展望和额外限制的说明,peak峰值,commercial banks商业银行,individuals & trusts个体与信托人,oil & gas石油和煤气,road & rail公路和铁路,12-24 month industry outlook and explanation of limit excess12-24个月产业前景与额外限额说明,downturn低迷时期,auto components汽车配件业,industry is coming out of period of steady revenues. recent ratings activity shows upgrades outnumbering downgrades ytd. move from stabilized to peak results from signs that banks may be heading into a more,difficult operating environment, which could stress performance and credit metrics.,industry is $2.6b over limit because of two new transactions in the u.k. a request for a limit increase is pending.产业正在走出稳定收益时期。近来的等级的变动表明上升的ytd应超过下 降的。稳定的峰值的变动是由银行业可能面临更困难的操作环境这一信号引 起的，这一环境将给银行的业绩和信贷尺度带来压力。由于英国两新交易限 额产业超出限额26亿。增加限额的要求还未批准。,the strong performance of equities markets that drove growth in 2004 is moderating. forecast is also for flattening real estate values that have created so much personal wealth.,limit excess is attributable to,growth in community development bank and wealth & investment management. 2004年良好的持续增长的市场交易业绩是适度的。预测包括对创造大量个人财富的房地产业的价值稳定做了评估。超出限额是由于地区开发银行和财富投资机构业的增长。,industries with guideline limit status of red or yellow工业 带有红色与黄色限制的产业,as of december 31, 20052005年12月31日,(dollars in millions（百万美元） ),declining performance of gm and ford continues to pressure already highly stressed domestic industry. operators should get some relief in 1h06 from lower energy and metals costs, renewed big 3 incentives, but,industry remains downturn for foreseeable future.,as a result of a new $756 million one year revolving commitment to xyz company, the auto components industry is over its notional limit of $3b by,approximately $400mm. paydown from a bond issuance is expected by end of january.通用汽车公司与福特汽车公司业绩持续下滑给国内产业带来了很大的压力。管理者们应该找一些降低能源和金属成本的方法，复兴三大产业，但产业却仍然保持着明显低迷的前景。由于xyz公司每年7亿5千6百万的周转资金，汽车零件业以400mm美元超过国家限额约30亿。,pace of improvement not expected to match 2004-05, particularly if economy slows. prospects for a dramatic industry downturn are limited amidst tight capacity, lean us inventory situation, and increasingly,globalized network of trade.,growth is related to conversion of fleet leveraged leases to legacy bank of america accounting convention. 提速并没有达到预期的2004年5月预期的效果，尤其是如果经济放缓。在紧张的生产量下，产业前景急剧下滑的状况受到了限制，精简美国库存状况,和日益全球化的贸易网络。增长与根据美洲银行会计遗产公约对车队融资租赁模式的转变是息息相关的。,current pricing gains favor upstream segments more so than domestic oil and gas at large. while there is no impact thus far, tighter monetary policy will dry up liquidity and constrain pricing. that concern, coupled,with demand destruction from elevated pricing, puts downside risk on the industry 2006-07.,yoy exposure grew $2.9b, and was centered in commercial banking ($1.7b).当前定价普遍为国内油气产业业绩逆流而上提供了很大帮助。虽然到目前为止没有任何影响,但货币紧缩政策将会抑制价格的增长和流动资金枯竭。这一问题，再加上提升价格给需求带来的破坏，将降低2006年7月产业衰退的风险。yoy批露业绩增长了29亿美元，并且集中在商业银行（17亿美元）。,(for illustrative purpose只作说明之用),86,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,concentration limits: industry集中度限额：行业,industries with outlook changes - 4q05各行业展望之变化,(for illustrative purpose只作说明之用),87,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,concentration limits: industry集中度限额：行业,industry group name行业名称,industry outlook行业展望,gcib,%,change,yoy,global,business,financial,services全球商业金融服务,%,change,yoy,other其它,total,corp公司总计,%,change,yoy,notional,limits国家限额,adj,binding,crep约束性crep,b,capital,%资金,change,capital资金限额,limit,warr,industry,risk,score行业风险评分,cds,notional国家,d,cds,capital资本,peak,(,emerging risks the strongest period of performance is past高峰（出现风险最佳时期已经过去）,.),oil & gas石油和天然气,current pricing gains favor upstream segments more so than domestic,oil and gas at large. while there is no impact thus far, tighter monetary,policy will dry up liquidity and constrain pricing. that concern, coupled,with demand destruction from elevated pricing, puts downside risk on,the industry 2006-07.现在的定价盈利更有利于上游业务，而非国内的油气领域，尽管目前还没产生影响，更紧缩的货币政策会影响资产折现力并限制定价。对这一问题的担心，加上由于价格上涨引起需求的减少，使得200607年的行业产生下降的风险。,road & rail公路和铁路,pace of improvement not expected to match 2004-05, particularly if,economy slows. prospects for a dramatic industry downturn are limited,amidst tight capacity, lean us inventory situation, and increasingly,globalized network of trade.该行业的进展节奏不能和200405年相比，特别是在经济下滑的情况下。由于产能紧张、美国库存不宽裕，以及贸易网更加全球化的限制，所以出现大幅度行业低迷前景的可能性不大。,wireless telecommunication,(revised,$,)无线通讯（修正）,outlook moved from growth to peak due to industry redefinition.,outlook no longer based on wireless vs. wireline protocols, but on,names s&p classifies as wireless. s&p puts “integrated“ cos.,(sprintnextel, alltel) in diversified, leaving wireless with mid- and small-,cap cos. with no or nearly no wireline.由于行业不断完善，行业前景不断提升现趋于高峰。现在行业的发展不再局限于无线和有线协议，而是基于无线类的s&p。s&p综合（sprintnextel，alltel）多样，摆脱了中等、小型规模的无线以及完全或几乎完全没有传输线的应用。,sub-total peak次总值,downturn (excess supply/fallen demand is likely to worsen credit quality in outlook period.低迷（在发展过程中，供应过剩/需求减少很有可能降低信贷质量。） ),airlines航空,after four years, airlines may have bottomed with the september,bankruptcies of delta and northwest. per seat revenues are stabilizing,as some reduction of capacity is finally taking hold. still, industry,remains downturn due to high fuel costs, labor/pension issues, fierce,discounter competition and high event risk.四年之后，航空业随着delta和西南九月的破产而降到了谷底。由于容量的缩减。每个座位的收入相对稳定。但是由于据高不下的油价、员工工资/退休金分发、激烈的打折竞争和较高突发事件的风险，行业仍然出于萎靡时期。,auto components汽车零部件,declining performance of gm and ford continues to pressure already,highly stressed domestic industry. operators should get some relief in,1h06 from lower energy and metals costs, renewed big 3 incentives,but industry remains downturn for foreseeable future.通用和福特公司下滑的业绩使得本已经压力重重的国内行业雪上加霜。执行者从低能耗和金属成本的1h06和更新的3大激励政策中稍有舒缓，但从可预见的发展前景来看，行业仍旧处在低迷时期。,automobiles汽车,analyst concern over impact of summer incentives on 2006 model auto,sales became reality in october. gm and ford both reported 26% yoy,sales declines, prompting an analyst to pronounce detroit at a “tipping,point“. gm market share fell below critical 25% threshold to 22%.分析家关注的2006模型汽车的销售夏季激励冲击在10月份成了现实。通用和福特都报告了26%yoy下降率，促使分析家宣布底特律处在“岌岌可危”的地位，通用市场份额已经跌落25%至22%。,building products建筑产品,recent strength of housing markets has served to only partly stabilize,ratings of public companies. hurricane katrina diminishes prospect for,raw materials pricing improvements but provides reconstruction,opportunity in 06. specter of substantially slower national residential,market weighs on longer term outlook.最近房屋市场的表现只能说是部分稳定了上市公司的地位。katrina台风摧毁了原材料价格提高的希望，但是也为06年提供了更多重建的机会。从长远的角度来看，犹存的恐惧减缓了行业市场发展的步伐。,computers & peripherals计算机及外围设备,fierce price competition among pc oems summarized by gartner,forecast of flat revenues despite 13% unit growth is beginning to hurt,even dell. storage segment remains solid but most others face intense,margin pressures.尽管有13%的增长，但是依据garner机构预测的成本收入，激烈的个人电脑贴牌（oem）的价格战甚至已经开始危机到戴尔公司。市场储备比较充实，但大多数行业人士面临的是利润的压力。,diversified financials (exc. conduits)多样的金融公司,the continued downturn outlook is heavily weighted by the downgrades,of the u.s. and international captive financing arms of gm and ford.,increased competition in commercial markets and a slow-down in,consumer spending will negatively impact the captive finance通用和福特公司的美国及国际专属金融公司的不景气，使得行业前景仍然一片黯淡。在商业市场上日益激烈的竞争和消费者消费速度的减缓，都将是专属汽车金融公司受到冲击。,companies.,diversified telecom services多样化的电信服务,redefinition of industry to include integrated wireline/wireless,companies (e.g., rbocs, sprintnextel) did not alter downturn outlook,as s&p rates outlooks of 10 of top 11 cos negative, watch negative or,developing. still, credit risk of the 7 players rated bbb+ or better is low,for the outlook period.行业的重组综合了有线/无线公司（比如rbocs、sprintnextel），但这没有改变行业的发展前景。s&p评级了前11位的10家，级别为不合格、有待察看或者进展中。而7家的信用等级是或者高于bbb级别，前景仍不容乐观。,food products食品产业,the agricultural industrys cyclical nature and uncertainty related to,governments ability to ease the dips going forward contributes to the,downturn outlook. the packaged food industry continues to be,squeezed by higher production costs and an inability to exert pricing,power over retailers.农业行业循环特点和政府控制发展能力的不确定性使得行业前景低迷不前。由于较高的生产成本，而同时又无法对零售商提价，最终导致包装食品行业继续步履维艰。,industry guidelines - december 31, 2005行业指导2005年12月31日,outlook for u.s. industries 12-24 months美国行业1224月发展远景,capital资本,c,adjusted binding exposure - commercial product可调约束性风险敞口商业产品,a,total,industry,adjusted,binding,exposure总行业可调约束性风险敞口,(for illustrative purpose只作说明之用),88,confidential and proprietary materials. for use only by china construction bank and bank of america personnel. see applicable contract.,concentration limits: country集中度限额：国家,country risk includes:国家风险包括： transfer risk:转帐风险 the risk that the country may be short of foreign exchange liquidity and/or may impose restrictions on loan principal payments, remittances of capital, dividends, interest, fees or royalties to foreign creditors and/or investors as part of its economic policy.国家可能缺少外汇流量和/或可能对贷款本金的支付、资金汇款、股息、利息、酬金、对外国债权人和/或投资者应付的费用或权利金被列为经济政策的一部分予以限制的风险。 political risk:政治风险 the risk incurred by lenders and/or investors that the repatriation of their loan, asset and/or investment in the particular country is restricted by that country for political reasons only.借方和/或投资者的贷款在偿还国外银行时，在特定的国家的资产和/或投资被那个国家只为政治理由有所限制而产生的风险。 local risk :当地风险 systemic risks arising from a countrys domestic conditions and/or policies affecting the operational, investment, or financial performance of the government and/or business sectors in the country.国家内部条件和/或政策影响运作、投资或者政府的财政执行和/或国内的商业经营中引起的系统风险。 exogenous risk外在的风险 : reflects external factors which have a direct or indirect impact on the countrys overall economic and financial performance.对国家整体经济和财政执行有直接或者间接的冲击的外在因素的反映。 sovereign risk主权风险： : all the risks associated with extending local currency and foreign currency credit to, or making investments with, a sovereign entity.所有和提供当地货币和外币信贷给政府机构 ，或者和其投资相关的所有风险 country risk rating system:国家风险评级系统： is based on a single country rating from 1(least) to 10 (most risky), covering a two-year time horizon.基于从1（最少）级到10级（最危险）的单独国家，包括两年的时间范畴。 includes the occ