商業(yè)銀行經(jīng)營評價

第二章商業(yè)銀行經(jīng)營評價第一頁，共七十頁。第二章商業(yè)銀行經(jīng)營評價BalanceSheetIncomeStatementRelationshipbetweenBalanceSheetandIncomeStatementReturnonEquityModel股份制商業(yè)銀行風(fēng)險評級體系(04年2月22日)PerformanceCharacteristicsofDifferent-sizedBanks第二頁，共七十頁。BalanceSheetItisastatementoffinancialpositionlistingassetsowned,liabilitiesowed,andowner’sequityasofaspecificdate.Assets=Liabilities+Equity.Balancesheetfiguresarecalculatedataparticularpointintimeandthusrepresentstockvalues.第三頁，共七十頁。ChinaBigFourBanks(12/31/2002)v.s.

AllUSBanks(12/31/2002)Asset(%)Liabilities(%)CNUSCNUSLoans60.261.4Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.89.1Other8.47.4Capital3.87.1Total100100Total100100第四頁，共七十頁。PNCBank(12/31/2000,TA:63bn)v.s.

CommunityNationalBank(12/31/00,TA:0.1bn)Asset(%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total100100第五頁，共七十頁。BankAssets:LoansLoansarethemajorassetinmostbanks’portfoliosandgeneratethegreatestamountofincomebeforeexpensesandtaxes.Theyalsoexhibitthehighestdefaultriskandarerelativelyilliquid.第六頁，共七十頁。Loans:CategoriesRealestateloansCommercialloansLoanstoindividualsAgriculturalloansOtherloansindomesticofficesLoansandleasesinforeignofficesThreeadjustmentsLeases;Unearnedincome;Lossallowance第七頁，共七十頁。PNCandCNB:Loanportfolio(2000)PNCCNBRealestate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domesticother7.34.7International0.50Unearnedincome-0.20Lossallowance-1.0-0.5Total78.064.9第八頁，共七十頁。BankAssets:InvestmentsecuritiesInvestmentsecuritiesareheldtoearninterest,helpmeetliquidityneedsspeculateoninterestratemovementsserveaspartofabank’sdealerfunctions.Theadministrationandtransactioncostsareextremelylow.第九頁，共七十頁。BankAssets:InvestmentsecuritiesShort-terminvestmentsInterest-bearingbankbalances(depositsduefromotherbanks)federalfundssoldsecuritiespurchasedunderagreementtoresell(RPs)TreasurybillsmunicipaltaxwarrantsLong-terminvestment:notesandbondsTreasurysecuritiesObligationsoffederalagenciesMortgage-backed,foreign,andcorporate第十頁，共七十頁。BankAssets:

NoninterestcashandduefrombanksItconsistsofvaultcash,depositsheldatFederalReserveBanksdepositsheldatotherfinancialinstitutionscashitemsintheprocessofcollectionTheseassetsareheldtomeetcustomerwithdrawalneedsmeetlegalreserverequirementsassistincheckclearingandwiretransferseffectthepurchaseandsaleofTreasurysecurities第十一頁，共七十頁。BankAssets:OtherassetsOtherassetsareresidualassetsofrelativelysmallmagnitudessuchasbankersacceptancespremisesandequipmentotherrealestateownedandothersmalleramounts第十二頁，共七十頁。BankLiabilitiesThecharacteristicsofvariousdebtinstrumentsdifferintermsofcheck-writingcapabilitiesinterestpaidmaturitywhethertheycarryFDICinsurancewhethertheycanbetradedinthesecondarymarket.第十三頁，共七十頁。Bankliabilities:DepositsDemanddepositstransactionsaccountsthatpaynointerestNegotiableordersofwithdrawal(NOWs)andautomatictransfersfromsavings(ATS)accountspayinterestsetbyeachbankwithoutfederalrestrictionsMoneymarketdepositaccounts(MMDAs)paymarketrates,butacustomerislimitedtonomorethansixchecksorautomatictransferseachmonth第十四頁，共七十頁。Bankliabilities:DepositsTwogeneraltimedepositscategoriesexist:Timedepositsinexcessof$100,000,labeledjumbocertificatesofdeposit(CDs).SmallCDs,consideredcoredepositswhichtendtobestabledepositsthataretypicallynotwithdrawnovershortperiodsoftime.DepositsheldinforeignofficesbalancesissuedbyabanksubsidiarylocatedoutsidetheU.S.第十五頁，共七十頁。CoredopositsCoredepositsarestabledepositsthatarenothighlyinterestrate-sensitive.Coredepositsaremoresensitivetothefeescharged,servicesrendered,andlocationofthebank.Coredepositsinclude:demanddeposits,NOWaccounts,MMDAs,andsmalltimedeposits.第十六頁，共七十頁。Borrowings(volatilefunds)Large,orvolatile,borrowingsareliabilitiesthatarehighlyrate-sensitive.Normallyissuedinuninsureddenominations.Theirabilitytoborrowissensitivetothemarketsperceptionoftheirassetquality.Volatileliabilitiesornetnon-coreliabilitiesinclude:largeCDs(over100,000)depositsinforeignofficesfederalfundspurchasedrepurchaseagreementsotherborrowingswithmaturitieslessthanoneyear第十七頁，共七十頁。Capital:

SubordinatednotesanddebenturesNotesandbondswithmaturitiesinexcessofoneyear.Long-termuninsureddebt.Mostmeetrequirementsasbankcapitalforregulatorypurposes.Unlikedeposits,thedebtisnotfederallyinsuredandclaimsofbondholdersaresubordinatedtoclaimsofdepositors.第十八頁，共七十頁。Capital:Stockholders'equityOwnershipinterestinthebank.CommonandpreferredstockarelistedatparSurplusaccountrepresentstheamountofproceedsreceivedbythebankinexcessofparwhenitissuedthestock.第十九頁，共七十頁。IncomeStatementItisafinancialstatementshowingasummaryofafirm’sfinancialoperationsforaspecificperiod,includingnetprofitorlossfortheperiodinquestion.Abank’sincomestatementreflectsthefinancialnatureofbanking,asinterestonloansandinvestmentscomprisesthebulkofrevenue.Netinterestincomemadeupapproximately77percentofnetrevenueatabankin1981,butonlyabout58percentoftotalnetrevenueattheendof2001.第二十頁，共七十頁。TheIncomestatement+ Interestincome(II)- Interestexpense(IE)= NetinterestIncome(NII)+ Noninterestincome(OI)- Noninterestexpense(OE)- Loan-lossprovisions(PLL)= Operatingincomebeforesecuritiestransactionsandtaxes +(-) Realizedgainsorlosses= Pretaxnetoperatingincome- Taxes = Netincome =burden第二十一頁，共七十頁。Interestincome…thesumofinterestandfeesearnedonallofabank'sassets.…

Interestincomeincludesinterestfrom:LoansDepositsheldatotherinstitutionsMunicipalandtaxablesecuritiesInvestmentandtradingaccountsecurities第二十二頁，共七十頁。Interestexpense….thesumofinterestpaidonallinterest-bearingliabilities….Itincludesinterestpaidtotransactionsaccounts(NOW,ATS,andMMDA)timeandsavingsdepositsshort-termnon-coreliabilitieslong-termdebtInterestincomelessinterestexpenseis

netinterestincome(NII)第二十三頁，共七十頁。NoninterestincomeTrustorfiduciaryincomereflectswhatabankearnsfromoperatingatrustdepartmentFeesanddepositservicechargesreflectchargesoncheckingaccountactivity,safe-depositboxes,andmanyothertransactions.TradingrevenuesreflectcommissionsandprofitsorgainsfromoperatingatradingaccountOtherforeigntransactionsOthernoninterestincome第二十四頁，共七十頁。NoninterestexpensePersonnelexpense:SalariesandfringebenefitspaidtobankemployeesOccupancyexpense:RentanddepreciationonequipmentandpremisesOtheroperatingexpenses:UtilitiesandDepositinsurancepremiums第二十五頁，共七十頁。Loan-lossprovisions(PLL)Representmanagement'sestimateofpotentiallostrevenuefrombadloans.Itissubtractedfromnetinterestincomeinrecognitionthatsomeofthereportedinterestincomeoverstateswhatwillactuallybereceivedwhensomeoftheloansgointodefault.Charge-offsindicateloansthatabankformallyrecognizesasuncollectableandcharges-offagainstthelossreserve.第二十六頁，共七十頁。Loan-lossprovisions(PLL)

Thereserve’smaximumsizeisdetermined

bytax.ProvisionsforloanlossesReserveforLoanLossesRecoveriesChargeoffsTaxLaw第二十七頁，共七十頁。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 +(-) Realizedgainsorlosses 0.3%&0%= Pretaxnetoperatingincome- Taxes 8.5%&8.6%= Netincome 16.3%&16.0%第二十八頁，共七十頁。Realizedsecuritiesgains(orlosses)Theyarisewhenabanksellssecuritiesfromitsinvestmentportfolioatpricesabove(orbelow)theinitialoramortizedcosttothebank.Generally,securitieschangeinvalueasinterestrateschange,butthegainsorlossesareunrealized(meaningthatthebankhasnotsoldthesecuritiestocapturethechangeinvalue).第二十九頁，共七十頁。RelationshipbetweenbalancesheetandincomestatementThecompositionofassetsandliabilitiesandtherelationshipsbetweendifferentinterestratesdeterminenetinterestincome.Themixofdepositsbetweenconsumerandcommercialcustomersaffectstheservicesprovidedandthusthemagnitudeofnoninterestincomeandnoninterestexpense.Theownershipofnonbanksubsidiariesincreasesfeeincomebutoftenraisesnoninterestexpense.第三十頁，共七十頁。Relationshipbetweenbalancesheet

andincomestatementExpensesandloanlossesdirectlyeffectthebalancesheet.Thegreaterthesizeofloanportfolio,thegreaterisoperatingoverheadandPLL.Consumerloansareusuallysmallerandhencemoreexpensive(non-interest)perdollarofloans.第三十一頁，共七十頁。Returnonequity(ROE=NI/TE)

…thebasicmeasureofstockholders’returnsROEiscomposedoftwoparts:ReturnonAssets(ROA=NI/TA)representsthereturnstotheassetsthebankhasinvestedin.EquityMultiplier(EM=TA/TE)thedegreeoffinancialleverageemployedbythebank.第三十二頁，共七十頁。Returnonassets(ROA=NI/TA)

…canbedecomposedintotwoparts:

Assetutilization(AU)→incomegeneration

Expenseratio(ER)→expensecontrolROA = AU－ER

=(TR/TA)－(TE/TA)TR =totalrevenueortotaloperatingincome

=Int.inc.+non-int.inc.+SG(L)TE =totalexpenses

=Int.exp.+non-int.exp.+PLL+Taxes第三十三頁，共七十頁。INCOMEReturntotheBankROA=NI/TAEXPENSESRateComposition(mix)VolumeInterestOverheadProv.forLLTaxesFeesandServChargeTrustOtherRateComposition(mix)VolumeInterestNonInterestSalariesandBenefitsOccupancyOtherBankPerformanceModelReturnsto

ShareholdersROE=NI/TEDegreeofLeverageEM=1/(TA/TE)第三十四頁，共七十頁。Assetutilization(AU=TR/TA):

…theabilitytogenerateincome.InterestIncome/TAAssetyields(rate)Interestincomeasset(i)/$amountofasset(i)Compositionofassets(mix)$amountasset(i)/TAVolumeofEarningAssetsEarningassets/TANoninterestincome/TAFeesandServiceChargesSecuritiesGains(Losses)Otherincome第三十五頁，共七十頁。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第三十六頁，共七十頁。OtheraggregateprofitabilitymeasuresNetinterestmarginNIM=NII/earningassets(EA)SpreadSpread=(intinc/EA)-(intexp/intbear.Liab.)EarningsbaseEB=EA/TABurden/TA(Noninterestexp.-Noninterestincome)/TAEfficiencyratioNonint.Exp./(Netint.Inc.+Nonint.Inc.)第三十七頁，共七十頁。Financialratios…PNC,2000ROE:NetIncome/AverageTotalequity18.9%ROA:NetIncome/AvgTA1.5%AU:TotalRevenue/AvgTA9.2%ER:Totalexpenses(lessTaxes)/AvgTA7.0%Memo:PM:NetIncome/TotalRevenue16.2%EM:Avg.TA/Avg,TotalEquity12.6xEB:EarningAssets/AvgTA87.0%NIM:Netinterestmargin3.6%Spread3.1%EfficiencyRatio57.2%Burden/Avg.TotalAssets0.7%NonInterestIncome/Noninterestexp.78.3%第三十八頁，共七十頁。股份制商業(yè)銀行風(fēng)險評級體系駱駝氏體系CAMELS資本（Capital） 20%資產(chǎn)（Asset） 20%管理（Management） 25%盈利（Earnings） 20%流動性（Liquidity） 15%敏感性（Sensitivity） 0%第三十九頁，共七十頁。資本（Capital）C:signalstheabilitytomaintaincapitalcommensuratewiththenatureandextentofalltypesofriskandtheabilityofmanagementtoidentify,measure,monitor,andcontroltheserisks.第四十頁，共七十頁。資本（Capital）定量指標(biāo)（60分）資本充足率（30分）：10%核心資本充足率（30分）：6%定性因素（40分）資本的構(gòu)成和質(zhì)量（6分）銀行整體財務(wù)狀況及其對資本的影響（8分）資產(chǎn)質(zhì)量及其對資本的影響（8分）銀行增加資本的能力（8分）銀行對資本的管理情況（10分）第四十一頁，共七十頁。資產(chǎn)（Asset）A:reflectstheamountofexistingcreditriskassociatedwiththeloanandinvestmentportfolioaswellasoffbalancesheetactivities.第四十二頁，共七十頁。資產(chǎn)（Asset）定量指標(biāo)（60分）不良貸款率（15分）：5%以下估計貸款損失率（10分）：3%以下最大單一客戶、集團(tuán)客戶授信比率（10分）：6%、15%撥備覆蓋率（20分）：100%非信貸資產(chǎn)損失率（5分）：2%以下第四十三頁，共七十頁。資產(chǎn)（Asset）：續(xù)定性因素（40分）不良資產(chǎn)變動趨勢及其影響（5分）貸款行業(yè)集中度及其影響（5分）信貸風(fēng)險管理的程序、制度及其有效性（10分）貸款風(fēng)險分類制度的健全性和有效性（10分）保證貸款和抵（質(zhì)）押貸款及其管理狀況（5分）非信貸資產(chǎn)風(fēng)險管理狀況（5分）第四十四頁，共七十頁。管理（Management）M:reflectstheadequacyoftheboardofdirectorsandseniormanagementsystemsandprocedurestoidentify,measure,monitor,andcontrolrisks.第四十五頁，共七十頁。管理（Management）銀行公司治理狀況，公司治理的合理性和有效性（50分）基本結(jié)構(gòu)（10分）：三會、獨(dú)立董事、外部監(jiān)事決策機(jī)制（10分）：股東、董事會執(zhí)行機(jī)制（10分）：高管素質(zhì)、團(tuán)隊(duì)精神監(jiān)督機(jī)制（10分）：獨(dú)立董事、監(jiān)事激勵約束機(jī)制及問責(zé)（10分）：掛鉤內(nèi)部控制狀況（50分）內(nèi)部控制環(huán)境與內(nèi)部控制文化（10分）風(fēng)險識別與評估（10分）控制行為與職責(zé)分工（10分）信息交流與溝通（10分）監(jiān)督與糾正（10分）第四十六頁，共七十頁。盈利（Earnings）E:reflectsnotonlythequantityandtrendinearnings,butalsothefactorsthatmayaffectthesustainabilityorqualityofearnings.第四十七頁，共七十頁。盈利（Earnings）定量指標(biāo)（60分）資產(chǎn)利潤率（15分）：1%資本利潤率（15分）：20%利息回收率（15分）：95%資產(chǎn)費(fèi)用率（15分）：0.75%以下，2%為0定性因素（40分）銀行的成本費(fèi)用和收入狀況以及盈利水平和趨勢（15分）銀行盈利的質(zhì)量，以及銀行盈利對業(yè)務(wù)發(fā)展與資產(chǎn)損失準(zhǔn)備提取的影響（15分）財務(wù)預(yù)決算體系，財務(wù)管理的健全性和有效性（10分）第四十八頁，共七十頁。流動性（Liquidity）L:reflectstheadequacyofthebank'scurrentandprospectivesourcesofliquidityandfundsmanagementpractices第四十九頁，共七十頁。流動性（Liquidity）定量指標(biāo)（60分）流動性比率（20分）：35%人民幣超額準(zhǔn)備金比率（10分）：5%外幣備付金率（5分）：5%本外幣合并存貸款比例（10分）：65%以下外幣存貸款比例（5分）：70%以下凈拆借資金比率（10分