商业银行经营评价模板1254.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,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.,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,Noninterestexpense,Personnelexpense:SalariesandfringebenefitspaidtobankemployeesOccupancyexpense:RentanddepreciationonequipmentandpremisesOtheroperatingexpenses:UtilitiesandDepositinsurancepremiums,Loan-lossprovisions(PLL),Representmanagementsestimateofpotentiallostrevenuefrombadloans.Itissubtractedfromnetinterestincomeinrecognitionthatsomeofthereportedinterestincomeoverstateswhatwillactuallybereceivedwhensomeoftheloansgointodefault.Charge-offsindicateloansthatabankformallyrecognizesasuncollectableandcharges-offagainstthelossreserve.,Loan-lossprovisions(PLL)Thereservesmaximumsizeisdeterminedbytax.,Provisionsforloanlosses,ReserveforLoanLosses,Recoveries,Chargeoffs,TaxLaw,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元贝驾考+(-)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.,Relationshipbetweenbalancesheetandincomestatement,Expensesandloanlossesdirectlyeffectthebalancesheet.Thegreaterthesizeofloanportfolio,thegreaterisoperatingoverheadandPLL.Consumerloansareusuallysmallerandhencemoreexpensive(non-interest)perdollarofloans.,Returnonequity(ROE=NI/TE)thebasicmeasureofstockholdersreturns,ROEiscomposedoftwoparts:ReturnonAssets(ROA=NI/TA)representsthereturnstotheassetsthebankhasinvestedin.EquityMultiplier(EM=TA/TE)thedegreeoffinancialleverageemployedbythebank.,INCOME,ReturntotheBankROA=NI/TA,EXPENSES,Rate,Composition(mix),Volume,Interest,Overhead,Prov.forLL,Taxes,FeesandServCharge,Trust,Other,Rate,Composition(mix),Volume,Interest,NonInterest,SalariesandBenefits,Occupancy,Other,BankPerformanceModel,ReturnstoShareholdersROE=NI/TE,DegreeofLeverageEM=1/(TA/TE),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$amt.ofliab.(j)/TAVolumeofdebtandequityNon-interestexpenses/TASalariesandemployeebenefits/TAOccupancyexpenses/TAOtheroperatingexpense/TAProvisionsforloanlosses/TATaxes/TA,Otheraggregateprofitabilitymeasures,NetinterestmarginNIM=NII/earningassets(EA)SpreadSpread=(intinc/EA)-(intexp/intbear.Liab.)EarningsbaseEB=EA/TABurden/TA(Noninterestexp.-Noninterestincome)/TAEfficiencyratioNonint.Exp./(Netint.Inc.+Nonint.Inc.),FinancialratiosPNC,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:signalstheabilitytomaintaincapitalcommensuratewiththenatureandextentofalltypesofriskandtheabilityof安全文明科目四安全文明驾驶managementtoidentify,measure,monitor,andcontroltheserisks.,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:reflectstheamountofexistingcreditriskassociatedwiththeloanandinvestmentportfolioaswellasoffbalancesheetactivities.,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:reflectstheadequacyoftheboardofdirectorsandseniormanagementsystemsandprocedurestoidentify,measure,monitor,andcontrolrisks.,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:reflectsnotonlythequantityandtrendinearnings,butalsothefactorsthatmayaffectthesustainabilityorqualityofearnings.,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:reflectstheadequacyofthebankscurrentandprospectivesourcesofliquidityandfund