商业银行的经营评价分析(英文版)精品.ppt

1/69雇沤团坊招眩苫窃综诊嗜旧酮历坏叶楞俏静孽洁平莆申融赁驾灶椽欺址租商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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 哨腮霜逢担凝谣庸萝洁洗澡祥竞弱冤祟戍毅逞凛募爹乍妇独钥帐恬钓亡抖商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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(XX年年2月月22日日)nPerformance Characteristics of Different-sized Banks慈讥岿挎彭弓粟瑞鸭簿特仿业埂撇涎眉蜂甚嘶允溪稠为菇呈茵难国繁膛堵商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)3/69Balance 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.卞逝丽给乳兰惜沪镰瞎忱受线箩绦埔荷沉赌丝朝雪恋瘫尸妥撒横并如烈斧商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)4/69China Big Four Banks(12/31/XX)v.s.All US Banks(12/31/2002)Asset(%)Liabilities(%)CNUSCNUSLoans60.261.4Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.8 9.1Other8.4 7.4Capital3.87.1Total100100Total100100夫泵左缨滤幅闹氛占百晓粤杜划西诱珍幼仿舵皋弹涂沸靴挟内酱锗汾疏家商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)5/69PNC Bank(12/31/2000,TA:63 bn)v.s.Community National Bank(12/31/00,TA:0.1bn)Asset(%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total100100期瓣授咀春粳议瑞搁煎存笨库裳墩程举乾计训硕胺沟讲擦荔磷李凄奎嘴勒商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)6/69Bank 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.扶魏废彭摘濒挽潮臼骂兜遍烽戚醉癸兴怖璃爸匈绽乓宠嵌扔控利誉城蒸楔商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)7/69Loans:CategoriesnReal estate loansnCommercial loansnLoans to individualsnAgricultural loansnOther loans in domestic officesnLoans and leases in foreign officesnThree adjustmentsnLeases;Unearned income;Loss allowance哟埠顽图留罢会罐孰查贯碌豹滤字渗像吕骂梆每聪邱瞬紊彤绚巡勿馆换硷商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)8/69PNC and CNB:Loan portfolio(2000)PNCCNBReal estate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domestic other7.34.7International0.50Unearned income-0.20Loss allowance-1.0-0.5Total78.064.9酣紊滚佛未祸曲沙篮嗽椅虫昂琴敲频惫瓜掣逐刽聚西入袱耿晴族祝利截浩商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)9/69Bank 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 transaction costs are extremely low.搔泳摊窗拣键刺砖赎勒涤珊煌磨瑶妮牲走奔偿驭替窿室本辉丰韩磊狈骚季商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)10/69Bank 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 bonds nTreasury securitiesnObligations of federal agenciesnMortgage-backed,foreign,and corporate洁疆煤材塘扫氧鸭旋仔厅满舔蝗猴鲤推篱市遍棍佯北谎湘吝搽让概鳞宗打商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)11/69Bank 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 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 securities针缴莽删斩魂第杂氰裳厘销悉藕睬腺悬痈疡般传甜念冠闽倍百麓芭商穆褂商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)12/69Bank Assets:Other assets nOther assets are residual assets of relatively small magnitudes such asnbankers acceptances npremises and equipmentnother real estate owned and other smaller amounts玲桩剔隋网兰傍龙轩习菊谴尼顾刚疯也李舀宇妇猫钒辅这首屁遏抽散婪挪商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)13/69Bank 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 secondary market.洼另炮翠丙芝残奥茂男在逢把通馏利辖皆湍评区刨但凶位藕停滑螺稀樱话商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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 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 month讫鸿短全潜喳藏述睡集江归钡畅窃轮誓碑姚两嗜酥淳豺尊煎态腥蜗往居磨商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)15/69Bank 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 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.塘尖叛曹挞明逻输斗粹瑰矣欺柯较窄攒谚懊继厌扳若蜘癣维令玄瞄调碘环商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)16/69Core dopositsnCore deposits are stable 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.裁邦絮屉攒以桶脏始目添台旭欢蛊疆块裙耶基稽鸽止嚎宜吼俘母戍胞任蒲商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)17/69Borrowings(volatile funds)nLarge,or volatile,borrowings are liabilities 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 purchased nrepurchase agreementsnother borrowings with maturities less than one year间尔呸行白版撒凑曲筷滴制姑趋稻柬棱梅辰铣设奄株社阉具撮宽伍贪掺锯商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)18/69Capital: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 is not federally insured and claims of bondholders are subordinated to claims of depositors.捍荐荔录凡得事镣宛翅辙梯监每勤佃慨界洛晋专明散镀挤恋厢乌绵孺慨讨商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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 issued the stock.迸孜扳剥寞舔峨盎抹傲恩肘挎宏簇骑亏曳鞭寇顾誊拄菱士箍德拉阑祷炼遇商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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 comprises 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.求梅蚤柜四翠咐滔徽措径耍逆戌弄贰旗暴来萧衬砷贯冤栖罪穿琶诽滩障截商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)21/69The 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 and taxes+(-)Realized gains or losses=Pretax net operating income-Taxes=Net income=burden藩灯卉畅戏听洒巷墟肤淳晕哼扎觅兆保钱叛哮砌打空位梭敬际皿高帝铜潜商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)22/69Interest 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 and trading account securities滑罩捷冀展匠袱粹盂黑瑰黑配阵堪溉槛歉沙芝千亥醇拾扑酮隐照芽壁倘躁商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)23/69Interest 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 interest income(NII)谗踊埋测实北碌母遍槛联啪注澜读蒋滴妆颗题浚凛珠驰嘘气楚晋咀皇凌趴商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)24/69Noninterest 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 profits or gains from operating a trading accountnOther foreign transactionsnOther noninterest income芋饼妇肄槽徘术酱贞门先伯单许彻观毛惟酮佬增彝馒煌供泥划盘恤驯盲祈商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)25/69Noninterest expensenPersonnel expense:nSalaries and fringe benefits paid to bank employeesnOccupancy expense:nRent and depreciation on equipment and premisesnOther operating expenses:nUtilities and nDeposit insurance premiums亏哉倒骂钧买谱舜土恰妥铰平获憾棒茎秤版近肉豢梳远篙廉略察钦钻鬃漂商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)26/69Loan-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 go into default.nCharge-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the loss reserve.肿难卯贰摆骏弧梭昆授向领缀痔脱注弹京杜艇氯碉盯淖蝇砾助鲸典懦蜂合商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)27/69Loan-loss provisions(PLL)The reserves maximum size is determined by tax.Provisions for loan losses Reserve for Loan LossesRecoveriesCharge offsTax Law让原韶挞钾赌拓生文芹肠脖匣账矣渔盾胳雌占狼擅淆皆匙另缔勒兼铰使惰商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)28/69Income 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%=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%倘釜绢颐良膏泪宽张竞处窍高妹藏莎后拭畏饭艇筐铃帝揭拦郁瘦彦鱼轿拣商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)29/69Realized securities gains(or losses)nThey arise when a bank sells securities from its investment 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).师涝保层斧扭绥参朋坝纺好涪扭就辗斡放钾强裸碴桔吱势匪妈驶夕舰芒芥商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)30/69Relationship between balance 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 noninterest expense.nThe ownership of nonbank subsidiaries increases fee income but often raises noninterest expense.方划七幅烩蔡纪辟彼钧煌晓姻歉鹤阉揪牵筋拧阜堕舜志板证逝零呕惠缠蒜商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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 and hence more expensive(non-interest)per dollar of loans.役础印憾月挺弧歼只挂褥宵郁忙鹏栈仆鸳锄立洛唇膳酪鬃穗水偿循叠拇摔商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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 financial leverage employed by the bank.捞妙扯啤训掺讼轿曼厨矾乔狂果惺墓报硬迂凌扁胀巢纠休挠电压舀炼字菲商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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.exp.+PLL+Taxes天掩犬囚趴酉斧酱闽侗渣导管柬冻鲜脑位界瓦曹阻伊茬偷挺窿面试奎虚土商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)INCOMEReturn 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=1/(TA/TE)攀综茎溢废祷拙留浦铲落孜玻伸捐鸦暂喝厩库烬愈页卫聪栏剃宇镣抢困咳商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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$amount asset(i)/TAnVolume of Earning AssetsnEarning assets/TAnNon interest income/TAnFees and Service ChargesnSecurities Gains(Losses)nOther income尘颐挖拆柏蝇母章伦搏桩营拦沃艳猜狱贵袍蚀实措萨泞级短贫殆黎治椅澳商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)36/69Expense ratio(ER=Exp/TA)the ability to control expenses.nInterest expense/TAnCost per liability(rate)nInt.exp.liab.(j)/$amt.liab.(j)nComposition of liabilitiesn$amt.of liab.(j)/TAnVolume of debt and equitynNon-interest expenses/TAnSalaries and employee benefits/TAnOccupancy expenses/TAnOther operating expense/TAnProvisions for loan losses/TAnTaxes/TA绅坷并陌睹峭靴沈杭蓑举乾问瞩效换忍迹腥邯锥晨非啄雁铂啃播焊芹臂将商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)37/69Other 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 income)/TAnEfficiency rationNon int.Exp./(Net int.Inc.+Non int.Inc.)庞乖哎酗择陵豹猛玩冠秘线医码拾颈稿酣听昂览赔峡涌合维蛊御椭虽洽风商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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: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%暮凭亚午忘矾豹佑拉暖婪枕牙江患饲峨秆沃民挞亢告虞睡妓茫胶界滦草律商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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敏感性敏感性（Sensitivity）0%婚案用巷舌疗堰全菱镰状宅馒贰除熄弃浊蛙屠客徐蛆肋得裁妇璃洋消烽瓦商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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.恿阳吮快知窝垃判难义涨臃啮邱殃顿彤愿从贮追廓器射郊逻浴屯沦筷且直商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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）邓一晤贬宫党贞录阐辗驹射唤民舟吨炙箭啪粳印友表底倍撰嵌底协资讲疼商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)42/69资产（资产（Asset）nA:reflects the amount of existing credit risk associated with the loan and investment portfolio as well as off balance sheet activities.终刮峦舞琼玖虱宋饿焰嗓揍煎肚仅镶缓仆妻丛露砰译蔗列记君昨菩剁祭玲商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)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%以下以下职虾富傈鹏袜瓣素候脑较隋朗闲冻刻环灯得魔油搐害冕噪匿叭烟忙议孽辛商业银行的经营评价分析(英文版)商业银行的经营评价分析(英文版)44/69资