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1、1/69Copyright 2004 by He Ziyun 商业银行世界商业银行世界（Http:/）第二章第二章 商业银行经营评价商业银行经营评价对外经济贸易大学对外经济贸易大学 金融学院金融学院何自云何自云2/69第二章第二章 商业银行经营评价商业银行经营评价nBalance SheetnIncome StatementnRelationship between Balance Sheet and Income StatementnReturn on Equity Modeln股份制商业银行风险评级体系股份制商业银行风险评级体系nPerformance Characteristics of
2、 Different-sized Banks3/69Balance SheetnIt is a statement of financial position listing assets owned,liabilities owed,and owners equity as of a specific date.nAssets=Liabilities+Equity.nBalance sheet figures are calculated at a particular point in time and thus represent stock values.4/69China Big F
3、our Banks(12/31/2002)v.s.All US Banks(12/31/2002)Asset(%)Liabilities(%)CNUSCNUSLoans60.261.4Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.8 9.1Other8.4 7.4Capital3.87.1Total100100Total1001005/69PNC Bank(12/31/2000,TA:63 bn)v.s.Community National Bank(12/31/00,TA:0.1bn)Asset(%)Liabilitie
4、s(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total1001006/69Bank Assets:LoansnLoans are the major asset in most banks portfolios and generate the greatest amount of income before expenses and taxes.nThey also exhibit the
5、 highest default risk and are relatively illiquid.7/69Loans:CategoriesnReal estate loansnCommercial loansnLoans to individualsnAgricultural loansnOther loans in domestic officesnLoans and leases in foreign officesnThree adjustmentsnLeases;Unearned income;Loss allowance8/69PNC and CNB:Loan portfolio(
6、2000)PNCCNBReal estate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domestic other7.34.7International0.50Unearned income-0.20Loss allowance-1.0-0.5Total78.064.99/69Bank Assets:Investment securities nInvestment securities are held to nearn interest,nhelp meet liquidity needs nspeculate o
7、n interest rate movementsnserve as part of a banks dealer functions.nThe administration and transaction costs are extremely low.10/69Bank Assets:Investment securitiesnShort-term investmentsnInterest-bearing bank balances(deposits due from other banks)nfederal funds soldnsecurities purchased under ag
8、reement to resell(RPs)nTreasury bills nmunicipal tax warrantsnLong-term investment:notes and bonds nTreasury securitiesnObligations of federal agenciesnMortgage-backed,foreign,and corporate11/69Bank Assets:Noninterest cash and due from banksnIt consists of nvault cash,ndeposits held at Federal Reser
9、ve Banksndeposits held at other financial institutionsncash items in the process of collectionnThese assets are held tonmeet customer withdrawal needs nmeet legal reserve requirementsnassist in check clearing and wire transfers neffect the purchase and sale of Treasury securities12/69Bank Assets:Oth
10、er assets nOther assets are residual assets of relatively small magnitudes such asnbankers acceptances npremises and equipmentnother real estate owned and other smaller amounts13/69Bank LiabilitiesnThe characteristics of various debt instruments differ in terms of ncheck-writing capabilities nintere
11、st paidnmaturitynwhether they carry FDIC insurancenwhether they can be traded in the secondary market.14/69Bank liabilities:DepositsnDemand deposits ntransactions accounts that pay no interestnNegotiable orders of withdrawal(NOWs)and automatic transfers from savings(ATS)accounts npay interest set by
12、 each bank without federal restrictionsnMoney market deposit accounts(MMDAs)npay market rates,but a customer is limited to no more than six checks or automatic transfers each month15/69Bank liabilities:DepositsnTwo general time deposits categories exist:nTime deposits in excess of$100,000,labeled ju
13、mbo certificates of deposit(CDs).nSmall CDs,considered core deposits which tend to be stable deposits that are typically not withdrawn over short periods of time.nDeposits held in foreign offices nbalances issued by a bank subsidiary located outside the U.S.16/69Core dopositsnCore deposits are stabl
14、e deposits that are not highly interest rate-sensitive.nCore deposits are more sensitive to the fees charged,services rendered,and location of the bank.nCore deposits include:demand deposits,NOW accounts,MMDAs,and small time deposits.17/69Borrowings(volatile funds)nLarge,or volatile,borrowings are l
15、iabilities that are highly rate-sensitive.nNormally issued in uninsured denominations.nTheir ability to borrow is sensitive to the markets perception of their asset quality.nVolatile liabilities or net non-core liabilities include:nlarge CDs(over 100,000)ndeposits in foreign officesnfederal funds pu
16、rchased nrepurchase agreementsnother borrowings with maturities less than one year18/69Capital:Subordinated notes and debenturesnNotes and bonds with maturities in excess of one year.nLong-term uninsured debt.nMost meet requirements as bank capital for regulatory purposes.nUnlike deposits,the debt i
17、s not federally insured and claims of bondholders are subordinated to claims of depositors.19/69Capital:Stockholders equitynOwnership interest in the bank.nCommon and preferred stock are listed at par nSurplus account represents the amount of proceeds received by the bank in excess of par when it is
18、sued the stock.20/69Income StatementnIt 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.nA banks income statement reflects the financial nature of banking,as interest on loans and investments com
19、prises the bulk of revenue.nNet 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 2001.21/69The Income statement+Interest income(II)-Interest expense(IE)=Net interest Income(NII)+Noninterest income(OI)-Nonin
20、terest expense(OE)-Loan-loss provisions(PLL)=Operating income before securities transactions and taxes+(-)Realized gains or losses=Pretax net operating income-Taxes=Net income=burden22/69Interest incomenthe sum of interest and fees earned on all of a banks assets.nInterest income includes interest f
21、rom:nLoansnDeposits held at other institutions nMunicipal and taxable securitiesnInvestment and trading account securities23/69Interest expensen.the sum of interest paid on all interest-bearing liabilities.nIt includes interest paid tontransactions accounts(NOW,ATS,and MMDA)ntime and savings deposit
22、snshort-term non-core liabilitiesnlong-term debtnInterest income less interest expense is net interest income(NII)24/69Noninterest incomenTrust or fiduciary incomenreflects what a bank earns from operating a trust departmentnFees and deposit service charges nreflect charges on checking account activ
23、ity,safe-deposit boxes,and many other transactions.nTrading revenues nreflect commissions and profits or gains from operating a trading accountnOther foreign transactionsnOther noninterest income25/69Noninterest expensenPersonnel expense:nSalaries and fringe benefits paid to bank employeesnOccupancy
24、 expense:nRent and depreciation on equipment and premisesnOther operating expenses:nUtilities and nDeposit insurance premiums26/69Loan-loss provisions(PLL)nRepresent managements estimate of potential lost revenue from bad loans.nIt is subtracted from net interest income in recognition that some of t
25、he reported interest income overstates what will actually be received when some of the loans go into default.nCharge-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the loss reserve.27/69Loan-loss provisions(PLL)The reserves maximum size is determined by
26、tax.Provisions for loan losses Reserve for Loan LossesRecoveriesCharge offsTax Law28/69Income 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%=Operatin
27、g income before securities transactions and taxes+(-)Realized gains or losses 0.3%&0%=Pretax net operating income-Taxes8.5%&8.6%=Net income16.3%&16.0%29/69Realized securities gains(or losses)nThey arise when a bank sells securities from its investment portfolio at prices above(or below)the initial o
28、r amortized cost to the bank.nGenerally,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).30/69Relationship between balance sheet and income statementnThe composition of assets
29、and liabilities and the relationships between different interest rates determine net interest income.nThe mix of deposits between consumer and commercial customers affects the services provided and thus the magnitude of noninterest income and noninterest expense.nThe ownership of nonbank subsidiarie
30、s increases fee income but often raises noninterest expense.31/69Relationship between balance sheet and income statementnExpenses and loan losses directly effect the balance sheet.nThe greater the size of loan portfolio,the greater is operating overhead and PLL.nConsumer loans are usually smaller an
31、d hence more expensive(non-interest)per dollar of loans.32/69Return on equity(ROE=NI/TE)the basic measure of stockholders returnsnROE is composed of two parts:nReturn on Assets(ROA=NI/TA)nrepresents the returns to the assets the bank has invested in.nEquity Multiplier(EM=TA/TE)nthe degree of financi
32、al leverage employed by the bank.33/69Return on assets(ROA=NI/TA)can be decomposed into two parts:Asset utilization(AU)income generation Expense ratio(ER)expense controlnROA=AU ER=(TR/TA)(TE/TA)nTR=total revenue or total operating income=Int.inc.+non-int.inc.+SG(L)nTE=total expenses=Int.exp.+non-int
33、.exp.+PLL+TaxesINCOMEReturn to the BankROA=NI/TAEXPENSESRateComposition(mix)VolumeInterestOverheadProv.for LLTaxesFees and Serv ChargeTrustOtherRateComposition(mix)VolumeInterestNon InterestSalaries and BenefitsOccupancyOtherBank Performance ModelReturns to ShareholdersROE=NI/TEDegree of LeverageEM=
34、1/(TA/TE)35/69Asset utilization(AU=TR/TA):the ability to generate income.nInterest Income/TAnAsset yields(rate)nInterest income asset(i)/$amount of asset(i)nComposition of assets(mix)n$amount asset(i)/TAnVolume of Earning AssetsnEarning assets/TAnNon interest income/TAnFees and Service ChargesnSecur
35、ities Gains(Losses)nOther income36/69Expense ratio(ER=Exp/TA)the ability to control expenses.nInterest expense/TAnCost per liability(rate)nInt.exp.liab.(j)/$amt.liab.(j)nComposition of liabilitiesn$amt.of liab.(j)/TAnVolume of debt and equitynNon-interest expenses/TAnSalaries and employee benefits/T
36、AnOccupancy expenses/TAnOther operating expense/TAnProvisions for loan losses/TAnTaxes/TA37/69Other aggregate profitability measuresnNet interest marginnNIM=NII/earning assets(EA)nSpreadnSpread=(int inc/EA)-(int exp/int bear.Liab.)nEarnings basenEB=EA/TAnBurden/TAn(Noninterest exp.-Noninterest incom
37、e)/TAnEfficiency rationNon int.Exp./(Net int.Inc.+Non int.Inc.)38/69Financial ratiosPNC,2000ROE:Net Income/Average Total equity18.9%ROA:Net Income/Avg TA 1.5%AU:Total Revenue/Avg TA 9.2%ER:Total expenses(less Taxes)/Avg TA 7.0%Memo:PM:Net Income/Total Revenue16.2%EM:Avg.TA/Avg,Total Equity12.6xEB:Ea
38、rning Assets/Avg TA87.0%NIM:Net interest margin 3.6%Spread 3.1%Efficiency Ratio57.2%Burden/Avg.Total Assets 0.7%Non Interest Income/Noninterest exp.78.3%39/69股份制商业银行风险评级体系股份制商业银行风险评级体系n骆驼氏体系骆驼氏体系CAMELSn资本（资本（Capital）20%n资产（资产（Asset）20%n管理（管理（Management）25%n盈利（盈利（Earnings）20%n流动性（流动性（Liquidity）15%n敏感
39、性（敏感性（Sensitivity）0%40/69资本（资本（Capital）nC: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.41/69资本（资本（Capital）n定量指标（定量指标（60分）分）n资本充足率（资本充足率（30分）：分）：10%n核心资本充足率（核心资本充足
40、率（30分）：分）：6%n定性因素（定性因素（40分）分）n资本的构成和质量（资本的构成和质量（6分）分）n银行整体财务状况及其对资本的影响（银行整体财务状况及其对资本的影响（8分）分）n资产质量及其对资本的影响（资产质量及其对资本的影响（8分）分）n银行增加资本的能力（银行增加资本的能力（8分）分）n银行对资本的管理情况（银行对资本的管理情况（10分）分）42/69资产（资产（Asset）nA:reflects the amount of existing credit risk associated with the loan and investment portfolio as wel
41、l as off balance sheet activities.43/69资产（资产（Asset）n定量指标（定量指标（60分）分）n不良贷款率（不良贷款率（15分）：分）：5%以下以下n估计贷款损失率（估计贷款损失率（10分）：分）：3%以下以下n最大单一客户、集团客户授信比率（最大单一客户、集团客户授信比率（10分）：分）：6%、15%n拨备覆盖率（拨备覆盖率（20分）：分）：100%n非信贷资产损失率（非信贷资产损失率（5分）：分）：2%以下以下44/69资产（资产（Asset）：续）：续n定性因素（定性因素（40分）分）n不良资产变动趋势及其影响不良资产变动趋势及其影响（5分）分）
42、n贷款行业集中度及其影响（贷款行业集中度及其影响（5分）分）n信贷风险管理的程序、制度及其有效性（信贷风险管理的程序、制度及其有效性（10分）分）n贷款风险分类制度的健全性和有效性（贷款风险分类制度的健全性和有效性（10分）分）n保证贷款和抵（质）押贷款及其管理状况（保证贷款和抵（质）押贷款及其管理状况（5分）分）n非信贷资产风险管理状况（非信贷资产风险管理状况（5分）分）45/69管理（管理（Management）nM:reflects the adequacy of the board of directors and senior management systems and proce
43、dures to identify,measure,monitor,and control risks.46/69管理（管理（Management）n银行公司治理状况，公司治理的合理性和有效性（银行公司治理状况，公司治理的合理性和有效性（50分）分）n基本结构（基本结构（10分）：三会、独立董事、外部监事分）：三会、独立董事、外部监事n决策机制（决策机制（10分）：股东、董事会分）：股东、董事会n执行机制（执行机制（10分）：高管素质、团队精神分）：高管素质、团队精神n监督机制（监督机制（10分）：独立董事、监事分）：独立董事、监事n激励约束机制及问责（激励约束机制及问责（10分）：挂钩分）：
44、挂钩n内部控制状况（内部控制状况（50分）分）n内部控制环境与内部控制文化（内部控制环境与内部控制文化（10分）分）n风险识别与评估（风险识别与评估（10分）分）n控制行为与职责分工（控制行为与职责分工（10分）分）n信息交流与沟通（信息交流与沟通（10分）分）n监督与纠正（监督与纠正（10分）分）47/69盈利（盈利（Earnings）nE:reflects not only the quantity and trend in earnings,but also the factors that may affect the sustainability or quality of earn
45、ings.48/69盈利（盈利（Earnings）n定量指标（定量指标（60分）分）n资产利润率（资产利润率（15分）：分）：1%n资本利润率（资本利润率（15分）：分）：20%n利息回收率（利息回收率（15分）：分）：95%n资产费用率（资产费用率（15分）：分）：0.75%以下，以下，2%为为0n定性因素（定性因素（40分）分）n银行的成本费用和收入状况以及盈利水平和趋势（银行的成本费用和收入状况以及盈利水平和趋势（15分）分）n银行盈利的质量，以及银行盈利对业务发展与资产损失银行盈利的质量，以及银行盈利对业务发展与资产损失准备提取的影响（准备提取的影响（15分）分）n财务预决算体系，财务
46、管理的健全性和有效性（财务预决算体系，财务管理的健全性和有效性（10分）分）49/69流动性（流动性（Liquidity）nL:reflects the adequacy of the banks current and prospective sources of liquidity and funds management practices50/69流动性（流动性（Liquidity）n定量指标（定量指标（60分）分）n流动性比率（流动性比率（20分）：分）：35%n人民币超额准备金比率（人民币超额准备金比率（10分）：分）：5%n外币备付金率（外币备付金率（5分）：分）：5%n本外币合
47、并存贷款比例（本外币合并存贷款比例（10分）：分）：65%以下以下n外币存贷款比例（外币存贷款比例（5分）：分）：70%以下以下n净拆借资金比率（净拆借资金比率（10分）：分）：-4%以下以下n定性因素（定性因素（40分）分）n资金来源的构成、变化趋势和稳定性（资金来源的构成、变化趋势和稳定性（5分）分）n资产负债管理政策和资金的调配情况（资产负债管理政策和资金的调配情况（5分）分）n银行对流动性的管理情况（银行对流动性的管理情况（20分）：专门管理部门、需求预测、管分）：专门管理部门、需求预测、管理政策、日常管理理政策、日常管理n银行以主动负债形式满足流动性需求的能力（银行以主动负债形式满足
48、流动性需求的能力（5分）分）n管理层有效识别、监测、和调控银行头寸的能力（管理层有效识别、监测、和调控银行头寸的能力（5分）分）51/69敏感性（敏感性（Sensitivity）nS:reflects the degree to which changes in interest rates,foreign exchange rates,commodity prices,and equity prices can adversely affect earnings.52/69敏感性（敏感性（Sensitivity）n包括利率风险、外汇风险、股本风险和商品风险。包括利率风险、外汇风险、股本风险和
49、商品风险。n金融机构盈利性或资产价值对利率、汇率、商品价格或金融机构盈利性或资产价值对利率、汇率、商品价格或产权价反向变动的敏感程度；产权价反向变动的敏感程度；n银行董事会和高级管理层识别、衡量、监督和控制市场银行董事会和高级管理层识别、衡量、监督和控制市场风险敞口的能力；风险敞口的能力；n源自非交易性头寸利率风险敞口的性质和复杂程度；源自非交易性头寸利率风险敞口的性质和复杂程度；n源自交易性和境外业务市场风险敞口的性质和复杂程度。源自交易性和境外业务市场风险敞口的性质和复杂程度。n根据我国银行业现状，暂不对市场风险进行评级，根据我国银行业现状，暂不对市场风险进行评级，但可以考察银行资产价值与
50、盈利水平受利率政策但可以考察银行资产价值与盈利水平受利率政策与外汇价格变化的影响，作为评价盈利性和资产与外汇价格变化的影响，作为评价盈利性和资产质量的参考。质量的参考。53/69Performance Characteristics of Different-sized Banks:Trend with Size54/69Equity capital ratio55/69Core capital(leverage)ratio56/69Tier 1 risk-based capital ratio57/69Total risk-based capital ratio58/69Net intere