1、第二章 商業(yè)銀行運營評價Balance SheetIncome StatementRelationship between Balance Sheet and Income StatementReturn on Equity Model股份制商業(yè)銀行風(fēng)險評級體系(04年2月22日)Performance Characteristics of Different-sized Banks管理資源吧glzy8，提供海量管理資料免費下載！.Balance SheetIt is a statement of financial position listing assets owned, liabili

2、ties owed, and owners equity as of a specific date.Assets = Liabilities + Equity.Balance sheet figures are calculated at a particular point in time and thus represent stock values.管理資源吧glzy8，提供海量管理資料免費下載！.China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002)Asset (%)Liabilities(%)CNUSCNUS

3、Loans60.261.4Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.8 9.1Other8.4 7.4Capital3.87.1Total100100Total100100管理資源吧glzy8，提供海量管理資料免費下載！.PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn)Asset (%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Inve

4、stments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total100100管理資源吧glzy8，提供海量管理資料免費下載！.Bank Assets: LoansLoans are the major asset in most banks portfolios and generate the greatest amount of income before expenses and taxes. They also exhibit the highest default risk and ar

5、e relatively illiquid. 管理資源吧glzy8，提供海量管理資料免費下載！.Loans: CategoriesReal estate loansCommercial loansLoans to individualsAgricultural loansOther loans in domestic officesLoans and leases in foreign officesThree adjustmentsLeases; Unearned income; Loss allowance.PNC and CNB: Loan portfolio (2000)PNCCNBR

6、eal estate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domestic other7.34.7International0.50Unearned income- 0.20Loss allowance- 1.0-0.5Total78.064.9.Bank Assets: Investment securities Investment securities are held to earn interest,help meet liquidity needs speculate on interest rate

7、movementsserve as part of a banks dealer functions.The administration and transaction costs are extremely low.Bank Assets: Investment securitiesShort-term investmentsInterest-bearing bank balances (deposits due from other banks)federal funds soldsecurities purchased under agreement to resell (RPs)Tr

8、easury bills municipal tax warrantsLong-term investment: notes and bonds Treasury securitiesObligations of federal agenciesMortgage-backed, foreign, and corporate.Bank Assets: Noninterest cash and due from banksIt consists of vault cash,deposits held at Federal Reserve Banksdeposits held at other fi

9、nancial institutionscash items in the process of collectionThese assets are held tomeet customer withdrawal needs meet legal reserve requirementsassist in check clearing and wire transfers effect the purchase and sale of Treasury securities.Bank Assets: Other assets Other assets are residual assets

10、of relatively small magnitudes such asbankers acceptances premises and equipmentother real estate owned and other smaller amounts.Bank LiabilitiesThe characteristics of various debt instruments differ in terms of check-writing capabilities interest paidmaturitywhether they carry FDIC insurancewhethe

11、r they can be traded in the secondary market. .Bank liabilities: DepositsDemand deposits transactions accounts that pay no interestNegotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts pay interest set by each bank without federal restrictionsMoney market deposit

12、 accounts (MMDAs) pay market rates, but a customer is limited to no more than six checks or automatic transfers each month.Bank liabilities: DepositsTwo general time deposits categories exist:Time deposits in excess of $100,000, labeled jumbo certificates of deposit (CDs).Small CDs, considered core

13、deposits which tend to be stable deposits that are typically not withdrawn over short periods of time.Deposits held in foreign offices balances issued by a bank subsidiary located outside the U.S.Core dopositsCore deposits are stable deposits that are not highly interest rate-sensitive. Core deposit

14、s are more sensitive to the fees charged, services rendered, and location of the bank. Core deposits include: demand deposits, NOW accounts, MMDAs, and small time deposits.Borrowings (volatile funds)Large, or volatile, borrowings are liabilities that are highly rate-sensitive.Normally issued in unin

15、sured denominations.Their ability to borrow is sensitive to the markets perception of their asset quality. Volatile liabilities or net non-core liabilities include: large CDs (over 100,000)deposits in foreign officesfederal funds purchased repurchase agreementsother borrowings with maturities less t

16、han one year.Capital: Subordinated notes and debenturesNotes and bonds with maturities in excess of one year. Long-term uninsured debt.Most meet requirements as bank capital for regulatory purposes. Unlike deposits, the debt is not federally insured and claims of bondholders are subordinated to clai

17、ms of depositors. .Capital: Stockholders equityOwnership interest in the bank. Common and preferred stock are listed at par Surplus account represents the amount of proceeds received by the bank in excess of par when it issued the stock.Income StatementIt is a financial statement showing a summary o

18、f a firms financial operations for a specific period, including net profit or loss for the period in question.A banks income statement reflects the financial nature of banking, as interest on loans and investments comprises the bulk of revenue. Net interest income made up approximately 77 percent of

19、 net revenue at a bank in 1981, but only about 58 percent of total net revenue at the end of 2001. .The 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 securitie

20、s transactions and taxes+(-)Realized gains or losses=Pretax net operating income-Taxes=Net income=burden.Interest incomethe sum of interest and fees earned on all of a banks assets. Interest income includes interest from:LoansDeposits held at other institutions Municipal and taxable securitiesInvest

21、ment and trading account securities.Interest expense. the sum of interest paid on all interest-bearing liabilities .It includes interest paid totransactions accounts (NOW, ATS, and MMDA)time and savings depositsshort-term non- core liabilitieslong-term debtInterest income less interest expense is ne

22、t interest income (NII).Noninterest incomeTrust or fiduciary incomereflects what a bank earns from operating a trust departmentFees and deposit service charges reflect charges on checking account activity, safe-deposit boxes, and many other transactions. Trading revenues reflect commissions and prof

23、its or gains from operating a trading accountOther foreign transactionsOther noninterest income.Noninterest expensePersonnel expense:Salaries and fringe benefits paid to bank employeesOccupancy expense :Rent and depreciation on equipment and premisesOther operating expenses:Utilities and Deposit ins

24、urance premiums.Loan-loss provisions (PLL)Represent managements estimate of potential lost revenue from bad loans.It 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. Charg

25、e-offs indicate loans that a bank formally recognizes as uncollectable and charges-off against the loss reserve. .Income 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%

26、-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%.Realized securities gains (or losses)They arise when a bank sells securities from its investment

27、 portfolio at prices above (or below) the initial or amortized cost to the bank. Generally, 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).Relationship between balance shee

28、t and income statementThe composition of assets and liabilities and the relationships between different interest rates determine net interest income. The mix of deposits between consumer and commercial customers affects the services provided and thus the magnitude of noninterest income and nonintere

29、st expense.The ownership of nonbank subsidiaries increases fee income but often raises noninterest expense. .Relationship between balance sheet and income statementExpenses and loan losses directly effect the balance sheet.The greater the size of loan portfolio, the greater is operating overhead and

30、 PLL.Consumer loans are usually smaller and hence more expensive (non-interest) per dollar of loans.Return on equity (ROE = NI / TE) the basic measure of stockholders returnsROE is composed of two parts:Return on Assets (ROA = NI / TA)represents the returns to the assets the bank has invested in.Equ

31、ity Multiplier (EM = TA / TE)the degree of financial leverage employed by the bank.Return on assets (ROA = NI / TA)can be decomposed into two parts: Asset utilization (AU) income generation Expense ratio (ER) expense controlROA= AU ER= (TR / TA) (TE / TA) TR= total revenue or total operating income

32、= Int. inc. + non-int. inc. + SG(L)TE= total expenses= Int. exp. + non-int. exp. + PLL + Taxes.Asset utilization (AU = TR / TA): the ability to generate income.Interest Income / TAAsset yields (rate)Interest income asset (i) / $ amount of asset (i)Composition of assets (mix)$ amount asset (i) / TAVo

33、lume of Earning AssetsEarning assets / TANon interest income / TAFees and Service ChargesSecurities Gains (Losses)Other income.Expense ratio (ER = Exp / TA) the ability to control expenses.Interest expense / TACost per liability (rate)Int. exp. liab. (j) / $ amt. liab. (j) Composition of liabilities

34、$ amt. of liab. (j) / TAVolume of debt and equityNon-interest expenses / TASalaries and employee benefits / TAOccupancy expenses / TAOther operating expense / TAProvisions for loan losses / TATaxes / TA.Other aggregate profitability measuresNet interest marginNIM = NII / earning assets (EA)SpreadSpread = (int inc / EA) -