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1、1/69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(04年年2月月22日日)nPerformance Characteristics of Different-sized Banks2/69Balance SheetnIt is a statement of financial position listing asse
2、ts 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.3/69China Big Four Banks(12/31/2002)v.s.All US Banks(12/31/2002)Asset(%)Liabilities(%)CNUSCNUSLoans60.261.4
3、Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.8 9.1Other8.4 7.4Capital3.87.1Total100100Total1001004/69PNC Bank(12/31/2000,TA:63 bn)v.s.Community National Bank(12/31/00,TA:0.1bn)Asset(%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Ot
4、her7.73.9Capital8.37.3Total100100Total1001005/69Bank 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 highest default risk and are relatively illiquid.6/69Loans:CategoriesnReal estate loansnCom
5、mercial loansnLoans to individualsnAgricultural loansnOther loans in domestic officesnLoans and leases in foreign officesnThree adjustmentsnLeases;Unearned income;Loss allowance7/69PNC and CNB:Loan portfolio(2000)PNCCNBReal estate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domestic ot
6、her7.34.7International0.50Unearned income-0.20Loss allowance-1.0-0.5Total78.064.98/69Bank Assets:Investment securities nInvestment securities are held to nearn interest,nhelp meet liquidity needs nspeculate on interest rate movementsnserve as part of a banks dealer functions.nThe administration and
7、transaction costs are extremely low.9/69Bank Assets:Investment securitiesnShort-term investmentsnInterest-bearing bank balances(deposits due from other banks)nfederal funds soldnsecurities purchased under agreement to resell(RPs)nTreasury bills nmunicipal tax warrantsnLong-term investment:notes and
8、bonds nTreasury securitiesnObligations of federal agenciesnMortgage-backed,foreign,and corporate10/69Bank Assets:Noninterest cash and due from banksnIt consists of nvault cash,ndeposits held at Federal Reserve Banksndeposits held at other financial institutionsncash items in the process of collectio
9、nnThese assets are held tonmeet customer withdrawal needs nmeet legal reserve requirementsnassist in check clearing and wire transfers neffect the purchase and sale of Treasury securities11/69Bank Assets:Other assets nOther assets are residual assets of relatively small magnitudes such asnbankers ac
10、ceptances npremises and equipmentnother real estate owned and other smaller amounts12/69Bank LiabilitiesnThe characteristics of various debt instruments differ in terms of ncheck-writing capabilities ninterest paidnmaturitynwhether they carry FDIC insurancenwhether they can be traded in the secondar
11、y market.13/69Bank liabilities:DepositsnDemand deposits ntransactions accounts that pay no interestnNegotiable orders of withdrawal(NOWs)and automatic transfers from savings(ATS)accounts npay interest set by each bank without federal restrictionsnMoney market deposit accounts(MMDAs)npay market rates
12、,but a customer is limited to no more than six checks or automatic transfers each month14/69Bank liabilities:DepositsnTwo general time deposits categories exist:nTime deposits in excess of$100,000,labeled jumbo certificates of deposit(CDs).nSmall CDs,considered core deposits which tend to be stable
13、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.15/69Core dopositsnCore deposits are stable deposits that are not highly interest rate-sensitive.nCore deposits are more sensitive to t
14、he fees charged,services rendered,and location of the bank.nCore deposits include:demand deposits,NOW accounts,MMDAs,and small time deposits.16/69Borrowings(volatile funds)nLarge,or volatile,borrowings are liabilities that are highly rate-sensitive.nNormally issued in uninsured denominations.nTheir
15、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 purchased nrepurchase agreementsnother borrowings with maturities less than one year17/69Capita
16、l: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 is not federally insured and claims of bondholders are subordinated to claims of depositors.18
17、/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 issued the stock.19/69Income StatementnIt is a financial statement showing a summary of a firms
18、 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 comprises the bulk of revenue.nNet interest income made up approximately 77 percent of net reven
19、ue at a bank in 1981,but only about 58 percent of total net revenue at the end of 2001.20/69The 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
20、and taxes+(-)Realized gains or losses=Pretax net operating income-Taxes=Net income=burden21/69Interest incomenthe sum of interest and fees earned on all of a banks assets.nInterest income includes interest from:nLoansnDeposits held at other institutions nMunicipal and taxable securitiesnInvestment a
21、nd trading account securities22/69Interest expensen.the sum of interest paid on all interest-bearing liabilities.nIt includes interest paid tontransactions accounts(NOW,ATS,and MMDA)ntime and savings depositsnshort-term non-core liabilitiesnlong-term debtnInterest income less interest expense is net
22、 interest income(NII)23/69Noninterest incomenTrust or fiduciary incomenreflects what a bank earns from operating a trust departmentnFees and deposit service charges nreflect charges on checking account activity,safe-deposit boxes,and many other transactions.nTrading revenues nreflect commissions and
23、 profits or gains from operating a trading accountnOther foreign transactionsnOther noninterest income24/69Noninterest expensenPersonnel expense:nSalaries and fringe benefits paid to bank employeesnOccupancy expense:nRent and depreciation on equipment and premisesnOther operating expenses:nUtilities
24、 and nDeposit insurance premiums25/69Loan-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 the reported interest income overstates what will actually be received when some of the loans
25、go into default.nCharge-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the loss reserve.26/6927/69Income statement:PNC&CNB,2000+Interest income(II)72%&92%-Interest expense(IE)38%&27%=Net interest Income(NII)+Noninterest income(OI)27%&8%-Noninterest expen
26、se(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-Taxes8.5%&8.6%=Net income16.3%&16.0%28/69Realized securities gains(or losses)nThey arise when a bank sells securities from its in
27、vestment portfolio at prices above(or below)the initial or 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).29/69Relationship between bala
28、nce sheet and income statementnThe composition of assets 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
29、noninterest expense.nThe ownership of nonbank subsidiaries increases fee income but often raises noninterest expense.30/69Relationship between balance sheet and income statementnExpenses and loan losses directly effect the balance sheet.nThe greater the size of loan portfolio,the greater is operatin
30、g overhead and PLL.nConsumer loans are usually smaller and hence more expensive(non-interest)per dollar of loans.31/69Return 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 inves
31、ted in.nEquity Multiplier(EM=TA/TE)nthe degree of financial leverage employed by the bank.32/69Return 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.i
32、nc.+non-int.inc.+SG(L)nTE=total expenses=Int.exp.+non-int.exp.+PLL+Taxes33/6934/69Asset 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$amount asset(i)/TAnVolume of Earning AssetsnEar
33、ning assets/TAnNon interest income/TAnFees and Service ChargesnSecurities Gains(Losses)nOther income35/69Expense ratio(ER=Exp/TA)the ability to control expenses.nInterest expense/TAnCost per liability(rate)nInt.exp.liab.(j)/$amt.liab.(j)nComposition of liabilitiesn$amt.of liab.(j)/TAnVolume of debt
34、and equitynNon-interest expenses/TAnSalaries and employee benefits/TAnOccupancy expenses/TAnOther operating expense/TAnProvisions for loan losses/TAnTaxes/TA36/69Other aggregate profitability measuresnNet interest marginnNIM=NII/earning assets(EA)nSpreadnSpread=(int inc/EA)-(int exp/int bear.Liab.)n
35、Earnings basenEB=EA/TAnBurden/TAn(Noninterest exp.-Noninterest income)/TAnEfficiency rationNon int.Exp./(Net int.Inc.+Non int.Inc.)37/69Financial 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:
36、PM:Net Income/Total Revenue16.2%EM:Avg.TA/Avg,Total Equity12.6xEB:Earning 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%38/6939/6940/6941/6942/6943/6944/6945/6946/6947/6948/6949/6950/6951/6952/69Perf
37、ormance Characteristics of Different-sized Banks:Trend with Size53/69Equity capital ratio54/69Core capital(leverage)ratio55/69Tier 1 risk-based capital ratio56/69Total risk-based capital ratio57/69Net interest margin58/69Yield on earning assets59/69Cost of funding earning assets60/69Earning assets to total assets61/69Efficiency ratio62/69Noninterest income to earning assets63/69Noninterest expense to earning assets64/69LN&LS loss provision to assets65/69US Banks:ROA(2002)66/69US Banks:ROE(2002)67/69US&Chinese Banks:ROA(2002)68/69US&Chinese Banks:ROE(2002)69/69更多资料请到更多资料请到 天天学习网天天学习网 免费下载免费下载