商业银行经营风险评价英文版.ppt

商业银行经营评价,第二章 商业银行经营评价,Balance Sheet Income Statement Relationship between Balance Sheet and Income Statement Return 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 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: 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 loans Commercial loans Loans to individuals Agricultural loans Other loans in domestic offices Loans and leases in foreign offices Three adjustments Leases; 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 rate movements serve as part of a banks dealer functions. The administration and transaction costs are extremely low.,Bank Assets: Investment securities,Short-term investments Interest-bearing bank balances (deposits due from other banks) federal funds sold securities purchased under agreement to resell (RPs) Treasury bills municipal tax warrants Long-term investment: notes and bonds Treasury securities Obligations of federal agencies Mortgage-backed, foreign, and corporate,Bank Assets: Noninterest cash and due from banks,It consists of vault cash, deposits held at Federal Reserve Banks deposits held at other financial institutions cash items in the process of collection These assets are held to meet customer withdrawal needs meet legal reserve requirements assist in check clearing and wire transfers effect the purchase and sale of Treasury securities,Bank Assets: Other assets,Other assets are residual assets of relatively small magnitudes such as bankers acceptances premises and equipment other real estate owned and other smaller amounts,Bank Liabilities,The characteristics of various debt instruments differ in terms of check-writing capabilities interest paid maturity whether they carry FDIC insurance whether they can be traded in the secondary market.,Bank liabilities: Deposits,Demand deposits transactions accounts that pay no interest Negotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts pay interest set by each bank without federal restrictions Money market 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, 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.,Core doposits,Core deposits are stable deposits that are not highly interest 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.,Borrowings (volatile funds),Large, or volatile, borrowings are liabilities that are highly 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 offices federal funds purchased repurchase agreements other borrowings with maturities 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 subordinated 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 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 comprises 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.,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 before 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: Loans Deposits held at other institutions Municipal and taxable securities Investment and trading account securities,Interest expense,. the sum of interest paid on all interest-bearing liabilities . It includes interest paid to transactions accounts (NOW, ATS, and MMDA) time and savings deposits short-term non- core liabilities long-term debt Interest income less interest expense is net interest income (NII),Noninterest income,Trust or fiduciary income reflects what a bank earns from operating a trust department Fees and deposit service charges reflect charges on checking account activity, safe-deposit boxes, and many other transactions. Trading revenues reflect commissions and profits or gains from operating a trading account Other foreign transactions Other noninterest income,Noninterest expense,Personnel expense: Salaries and fringe benefits paid to bank employees Occupancy expense : Rent and depreciation on equipment and premises Other operating expenses: Utilities 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 go 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 statement: 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 losses 0.3% & 0% = Pretax net operating income - Taxes 8.5% & 8.6% = Net income 16.3% & 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 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 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.,Relationship 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 (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) can 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 Bank ROA = 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 Shareholders ROE = NI / TE,Degree of Leverage EM = 1 / (TA / TE),Asset utilization (AU = TR / TA): the ability to generate income.,Interest Income / TA Asset yields (rate) Interest income asset (i) / $ amount of asset (i) Composition of assets (mix) $ amount asset (i) / TA Volume of Earning Assets Earning assets / TA Non interest income / TA Fees and Service Charges Securities Gains (Losses) Other income,Expense ratio (ER = Exp / TA) the ability to control expenses.,Interest expense / TA Cost per liability (rate) Int. exp. liab. (j) / $ amt. liab. (j) Composition of liabilities $ amt. of liab. (j) / TA Volume of debt and equity Non-interest expenses / TA Salaries and employee benefits / TA Occupancy expenses / TA Other operating expense / TA Provisions for loan losses / TA Taxes / TA,Other aggregate profitability measures,Net interest margin NIM = NII / earning assets (EA) Spread Spread = (int inc / EA) - (int exp / int bear. Liab.) Earnings base EB = EA / TA Burden / TA (Noninterest exp. - Noninterest income) / TA Efficiency ratio Non 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 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）,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（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 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