2011第二章 商业银行的财务分析与业绩

1、第二章 商业银行的财务分析与业绩评价,第一节 银行的财务报表,一、资产负债表 :资产负债股东权益,（一）资产: 1、现金及存放银行同业：初级（一级）储备; 2、所投资证券：二级储备；流动性部分+获取收益部分可销售证券持有到期证券； 3、交易账户资产：用于销售而谋求价差的证券 4、已售联邦基金和逆回购协议 5、贷款与租赁 6、贷款损失储备ALL) 7、其他资产,5、贷款与租赁,工商贷款 消费者贷款 房地产贷款 金融机构贷款 外国贷款 农业贷款 对州政府及附属机构贷款 证券贷款 其他贷款,7、其他资产,房屋与固定资产 所持有的其他房地产 在非合并报表的附属企业投资 商誉及其他无形资产 其他资产,（

2、二）负债股权资本,1、负债： （1）存款(国内+国外） Or 不付息+付息 不付息活期存款（常规支票存款） 储蓄存款 NOW账户 货币市场存款账户 定期存款,（二）负债股权资本,（2）非存款性质的借款 所购买的联邦基金及回购协议 其他负债： 贴现窗口借入 发行商业票据 欧洲货币市场借款 发行债券 次级债务 2、股权资本（永久性优先股普通股盈余未分配利润）,二、银行表外业务,贷款承诺 备用信用证 衍生合约,三、损益表（收入表）,利息收入 利息支出 净利息收入 贷款/租赁损失准备（拨备） 非利息收入 非利息支出 税前营运收入 证券收益（损失） 所得税 特别项前收入 特别收益（损失） 净收入,主要的

3、非利息收入渠道,信托类业务活动 存款账户的服务收费 交易账户所得及收费 其他非利息收入,信托类业务活动的收入类别,管理与维护客户财产的收费 提供公司证券交易提供账簿记录服务及利息、红利支付服务的收费 管理公司和个人的年金和退休金计划的收费,存款服务的收费项目,支票账簿的维护费 支票账户的透支收费 支票服务费（超出额度支票数量部分） 储蓄账户透支费 止付支票收费,交易账户所得及收费,交易现金类金融工具的损益 表外衍生交易损益,其他非利息收入来源,投资银行、咨询、经纪人和承销服务 风险资本收益 服务收费 证券化收益 保险手续费 贷款出售损益 物业出售损益 其他资产出售损益,The Direct R

4、elationship between the Income Statement and the Balance Sheet,N M NI = rnAn - rmLm - P + NII - NIE - T n=1 m=1 where NI = Banks net income An = Dollar value of the banks nth asset Lm = Dollar value of the banks nth liability rn = Rate earned on the banks nth asset rm = Rate paid on the banks nth li

5、ability P = Provision for loan losses NII = noninterest income earned, including OBS NIE = noninterest expenses incurred T = Banks taxes N = number of assets the bank holds M = number of liabilities the bank holds,The Direct Relationship between the Income Statement and the Balance Sheet,N M NI = rn

6、An - rmIm - P + NII - NIE - T n=1 m=1 where NI = Banks net income An = Dollar value of the banks nth asset Lm = Dollar value of the banks nth liability rn = Rate earned on the banks nth asset rm = Rate paid on the banks nth liability P = Provision for loan losses NII = noninterest income earned, inc

7、luding OBS NIE = noninterest expenses incurred T = Banks taxes N = number of assets the bank holds M = number of liabilities the bank holds,第二节 银行的业绩评价与财务分析,一、银行的长期经营目标 股东利益最大化 股东利益的衡量 资产负债表的股东权益 根据股票市场价格计算的股东利益 按净现金流折现的股东利益,二、绩效评价方法,Time series analysis - analysis of financial statements over a per

8、iod of time Cross-sectional analysis - analysis of financial statements comparing one firm with others （一）比率分析法 盈利能力比率 营业支出比率 流动性比率 风险比率 （二）杜邦分析法：渐次分解法,三、绩效评价指标体系,（一）股权价值 E=A-L， L一般按原始价值计算 A按原始价值计算 A按市场价值计算（主要是证券资产按市场价值计算） E =P0Q, P0为股票价格，Q为股票数量 股票价格的计算： P0=E(Dt)/(1+r)t, t=0 P0=D1/(r-g) 股票此时在流通市场的价格

9、,（二）主要的盈利指标,ROE与ROA ROE = Net income Average Assets Average Assets Average equity capital = ROA EM,Return on Assets and Its Components,Return on Assets (ROA) - measures profit generated relative to the FIs assets ROA = Net Income Total operating income Total operating income Average assets = PM AU *

10、 Total operating income = Interest Income + Non-Interest Income,Return on Assets and Its Components,ROE=ROA x EM =PM x AU x EM =TME x EME x AU x EM PM=Net income/Total operating revenue AU= Total operating revenue/Total asset EM=Total assets/Total equity capital TME=Net income/Pretax net operating i

11、ncome EME=Pretax net operating income/Total operating revenue,Profit Margin,Profit Margin (PM) - measures the ability to pay expenses and generate income from interest and noninterest income Interest expense ratio = Interest expense Total operating income Provision for loan loss ration = Provision f

12、or loan losses Total operating income Noninterest expense ratio = Noninterest expense Total operating income Tax Ratio = Income taxes Total operating income,Asset Utilization,Asset utilization (AU) - measures the amount of interest/ noninterest income generated per dollar of total assets AU = Total

13、operating income = Interest + Noninterest Average assets income income ratio ratio,Net Interest Margin,Net interest margin : interest income minus interest expense divided by total assets or earning assets Net interest = Net interest income margin Average assets = Interest income - Interest expense

14、Avg. Investment securities + Avg. Net loans and leases,Net noninterest Margin,Net noninterest Margin: Noninterest revenues minus noninterest expenses divided by total assets or earning assets. Net noninterest margin =noninterest revenues- noninterest expenses total assets (or earning assets),Net ope

15、rating margin,Net operating margin = total operating revenues-total operating expense total assets (or earning assets),Spread,Spread - the difference between lending and deposit rates *Spread = Interest income - Interest expense Avg. Earning assets Avg. Interest-bearing liabilities * The higher the

16、spread, the better.,Net operating margin,Net operating margin = total operating revenues-total operating expense total assets (or earning assets),Overhead Efficiency,Overhead efficiency - a banks ability to generate noninterest income to cover noninterest expenses *Overhead efficiency = Noninterest income Noninterest expense * The higher the ratio, the better.,（三）主要的风险指标,1、总体风险的度量 股票价格的方差或标准差 净收入的方差或标准差 ROE或ROA的方差或标准差,2、信用风险的度量,不良贷款/(总贷款与租赁） 冲销贷款/(总贷款与租赁） 年度贷款损失准备/总贷款与