商业银行经营评价PPT

第二章商业银行经营评价,BalanceSheetIncomeStatementRelationshipbetweenBalanceSheetandIncomeStatementReturnonEquityModel股份制商业银行风险评级体系(04年2月22日)PerformanceCharacteristicsofDifferent-sizedBanks,BalanceSheet,Itisastatementoffinancialpositionlistingassetsowned,liabilitiesowed,andownersequityasofaspecificdate.Assets=Liabilities+Equity.Balancesheetfiguresarecalculatedataparticularpointintimeandthusrepresentstockvalues.,ChinaBigFourBanks(12/31/2002)v.s.AllUSBanks(12/31/2002),PNCBank(12/31/2000,TA:63bn)v.s.CommunityNationalBank(12/31/00,TA:0.1bn),BankAssets:Loans,Loansarethemajorassetinmostbanksportfoliosandgeneratethegreatestamountofincomebeforeexpensesandtaxes.Theyalsoexhibitthehighestdefaultriskandarerelativelyilliquid.,Loans:Categories,RealestateloansCommercialloansLoanstoindividualsAgriculturalloansOtherloansindomesticofficesLoansandleasesinforeignofficesThreeadjustmentsLeases;Unearnedincome;Lossallowance,PNCandCNB:Loanportfolio(2000),BankAssets:Investmentsecurities,Investmentsecuritiesareheldtoearninterest,helpmeetliquidityneedsspeculateoninterestratemovementsserveaspartofabanksdealerfunctions.Theadministrationandtransactioncostsareextremelylow.,BankAssets:Investmentsecurities,Short-terminvestmentsInterest-bearingbankbalances(depositsduefromotherbanks)federalfundssoldsecuritiespurchasedunderagreementtoresell(RPs)TreasurybillsmunicipaltaxwarrantsLong-terminvestment:notesandbondsTreasurysecuritiesObligationsoffederalagenciesMortgage-backed,foreign,andcorporate,BankAssets:Noninterestcashandduefrombanks,Itconsistsofvaultcash,depositsheldatFederalReserveBanksdepositsheldatotherfinancialinstitutionscashitemsintheprocessofcollectionTheseassetsareheldtomeetcustomerwithdrawalneedsmeetlegalreserverequirementsassistincheckclearingandwiretransferseffectthepurchaseandsaleofTreasurysecurities,BankAssets:Otherassets,Otherassetsareresidualassetsofrelativelysmallmagnitudessuchasbankersacceptancespremisesandequipmentotherrealestateownedandothersmalleramounts,BankLiabilities,Thecharacteristicsofvariousdebtinstrumentsdifferintermsofcheck-writingcapabilitiesinterestpaidmaturitywhethertheycarryFDICinsurancewhethertheycanbetradedinthesecondarymarket.,Bankliabilities:Deposits,DemanddepositstransactionsaccountsthatpaynointerestNegotiableordersofwithdrawal(NOWs)andautomatictransfersfromsavings(ATS)accountspayinterestsetbyeachbankwithoutfederalrestrictionsMoneymarketdepositaccounts(MMDAs)paymarketrates,butacustomerislimitedtonomorethansixchecksorautomatictransferseachmonth,精品资料网,Bankliabilities:Deposits,Twogeneraltimedepositscategoriesexist:Timedepositsinexcessof$100,000,labeledjumbocertificatesofdeposit(CDs).SmallCDs,consideredcoredepositswhichtendtobestabledepositsthataretypicallynotwithdrawnovershortperiodsoftime.DepositsheldinforeignofficesbalancesissuedbyabanksubsidiarylocatedoutsidetheU.S.,Coredoposits,Coredepositsarestabledepositsthatarenothighlyinterestrate-sensitive.Coredepositsaremoresensitivetothefeescharged,servicesrendered,andlocationofthebank.Coredepositsinclude:demanddeposits,NOWaccounts,MMDAs,andsmalltimedeposits.,Borrowings(volatilefunds),Large,orvolatile,borrowingsareliabilitiesthatarehighlyrate-sensitive.Normallyissuedinuninsureddenominations.Theirabilitytoborrowissensitivetothemarketsperceptionoftheirassetquality.Volatileliabilitiesornetnon-coreliabilitiesinclude:largeCDs(over100,000)depositsinforeignofficesfederalfundspurchasedrepurchaseagreementsotherborrowingswithmaturitieslessthanoneyear,Capital:Subordinatednotesanddebentures,Notesandbondswithmaturitiesinexcessofoneyear.Long-termuninsureddebt.Mostmeetrequirementsasbankcapitalforregulatorypurposes.Unlikedeposits,thedebtisnotfederallyinsuredandclaimsofbondholdersaresubordinatedtoclaimsofdepositors.,Capital:Stockholdersequity,Ownershipinterestinthebank.CommonandpreferredstockarelistedatparSurplusaccountrepresentstheamountofproceedsreceivedbythebankinexcessofparwhenitissuedthestock.,精品资料网,IncomeStatement,Itisafinancialstatementshowingasummaryofafirmsfinancialoperationsforaspecificperiod,includingnetprofitorlossfortheperiodinquestion.Abanksincomestatementreflectsthefinancialnatureofbanking,asinterestonloansandinvestmentscomprisesthebulkofrevenue.Netinterestincomemadeupapproximately77percentofnetrevenueatabankin1981,butonlyabout58percentoftotalnetrevenueattheendof2001.,TheIncomestatement,+Interestincome(II)-Interestexpense(IE)=NetinterestIncome(NII)+Noninterestincome(OI)-Noninterestexpense(OE)-Loan-lossprovisions(PLL)=Operatingincomebeforesecuritiestransactionsandtaxes+(-)Realizedgainsorlosses=Pretaxnetoperatingincome-Taxes=Netincome,=burden,Interestincome,thesumofinterestandfeesearnedonallofabanksassets.Interestincomeincludesinterestfrom:LoansDepositsheldatotherinstitutionsMunicipalandtaxablesecuritiesInvestmentandtradingaccountsecurities,Interestexpense,.thesumofinterestpaidonallinterest-bearingliabilities.Itincludesinterestpaidtotransactionsaccounts(NOW,ATS,andMMDA)timeandsavingsdepositsshort-termnon-coreliabilitieslong-termdebtInterestincomelessinterestexpenseisnetinterestincome(NII),Noninterestincome,TrustorfiduciaryincomereflectswhatabankearnsfromoperatingatrustdepartmentFeesanddepositservicechargesreflectchargesoncheckingaccountactivity,safe-depositboxes,andmanyothertransactions.TradingrevenuesreflectcommissionsandprofitsorgainsfromoperatingatradingaccountOtherforeigntransactionsOthernoninterestincome,Noninterestexpense,Personnelexpense:SalariesandfringebenefitspaidtobankemployeesOccupancyexpense:RentanddepreciationonequipmentandpremisesOtheroperatingexpenses:UtilitiesandDepositinsurancepremiums,精品资料网,Loan-lossprovisions(PLL),Representmanagementsestimateofpotentiallostrevenuefrombadloans.Itissubtractedfromnetinterestincomeinrecognitionthatsomeofthereportedinterestincomeoverstateswhatwillactuallybereceivedwhensomeoftheloansgointodefault.Charge-offsindicateloansthatabankformallyrecognizesasuncollectableandcharges-offagainstthelossreserve.,Incomestatement:PNC&CNB,2000,+Interestincome(II)72%&92%-Interestexpense(IE)38%&27%=NetinterestIncome(NII)+Noninterestincome(OI)27%&8%-Noninterestexpense(OE)35%&46%-Loan-lossprovisions(PLL)2.1%&1.7%=Operatingincomebeforesecuritiestransactionsandtaxes+(-)Realizedgainsorlosses0.3%&0%=Pretaxnetoperatingincome-Taxes8.5%&8.6%=Netincome16.3%&16.0%,Realizedsecuritiesgains(orlosses),Theyarisewhenabanksellssecuritiesfromitsinvestmentportfolioatpricesabove(orbelow)theinitialoramortizedcosttothebank.Generally,securitieschangeinvalueasinterestrateschange,butthegainsorlossesareunrealized(meaningthatthebankhasnotsoldthesecuritiestocapturethechangeinvalue).,Relationshipbetweenbalancesheetandincomestatement,Thecompositionofassetsandliabilitiesandtherelationshipsbetweendifferentinterestratesdeterminenetinterestincome.Themixofdepositsbetweenconsumerandcommercialcustomersaffectstheservicesprovidedandthusthemagnitudeofnoninterestincomeandnoninterestexpense.Theownershipofnonbanksubsidiariesincreasesfeeincomebutoftenraisesnoninterestexpense.,精品资料网,Relationshipbetweenbalancesheetandincomestatement,Expensesandloanlossesdirectlyeffectthebalancesheet.Thegreaterthesizeofloanportfolio,thegreaterisoperatingoverheadandPLL.Consumerloansareusuallysmallerandhencemoreexpensive(non-interest)perdollarofloans.,Returnonequity(ROE=NI/TE)thebasicmeasureofstockholdersreturns,ROEiscomposedoftwoparts:ReturnonAssets(ROA=NI/TA)representsthereturnstotheassetsthebankhasinvestedin.EquityMultiplier(EM=TA/TE)thedegreeoffinancialleverageemployedbythebank.,Returnonassets(ROA=NI/TA)canbedecomposedintotwoparts:Assetutilization(AU)incomegenerationExpenseratio(ER)expensecontrol,ROA=AUER=(TR/TA)(TE/TA)TR=totalrevenueortotaloperatingincome=Int.inc.+non-int.inc.+SG(L)TE=totalexpenses=Int.exp.+non-int.exp.+PLL+Taxes,Assetutilization(AU=TR/TA):theabilitytogenerateincome.,InterestIncome/TAAssetyields(rate)Interestincomeasset(i)/$amountofasset(i)Compositionofassets(mix)$amountasset(i)/TAVolumeofEarningAssetsEarningassets/TANoninterestincome/TAFeesandServiceChargesSecuritiesGains(Losses)Otherincome,Expenseratio(ER=Exp/TA)theabilitytocontrolexpenses.,Interestexpense/TACostperliability(rate)Int.exp.liab.(j)/$amt.liab.(j)Compositionofliabilities$a