1、第二章 商業(yè)銀行的財(cái)務(wù)分析與業(yè)績(jī)?cè)u(píng)價(jià),第一節(jié) 銀行的財(cái)務(wù)報(bào)表,一、資產(chǎn)負(fù)債表 :資產(chǎn)負(fù)債股東權(quán)益,（一）資產(chǎn): 1、現(xiàn)金及存放銀行同業(yè)：初級(jí)（一級(jí)）儲(chǔ)備; 2、所投資證券：二級(jí)儲(chǔ)備；流動(dòng)性部分+獲取收益部分可銷售證券持有到期證券； 3、交易賬戶資產(chǎn)：用于銷售而謀求價(jià)差的證券 4、已售聯(lián)邦基金和逆回購(gòu)協(xié)議 5、貸款與租賃 6、貸款損失儲(chǔ)備ALL) 7、其他資產(chǎn),5、貸款與租賃,工商貸款 消費(fèi)者貸款 房地產(chǎn)貸款 金融機(jī)構(gòu)貸款 外國(guó)貸款 農(nóng)業(yè)貸款 對(duì)州政府及附屬機(jī)構(gòu)貸款 證券貸款 其他貸款,7、其他資產(chǎn),房屋與固定資產(chǎn) 所持有的其他房地產(chǎn) 在非合并報(bào)表的附屬企業(yè)投資 商譽(yù)及其他無(wú)形資產(chǎn) 其他資產(chǎn),（

2、二）負(fù)債股權(quán)資本,1、負(fù)債： （1）存款(國(guó)內(nèi)+國(guó)外） Or 不付息+付息 不付息活期存款（常規(guī)支票存款） 儲(chǔ)蓄存款 NOW賬戶 貨幣市場(chǎng)存款賬戶 定期存款,（二）負(fù)債股權(quán)資本,（2）非存款性質(zhì)的借款 所購(gòu)買的聯(lián)邦基金及回購(gòu)協(xié)議 其他負(fù)債： 貼現(xiàn)窗口借入 發(fā)行商業(yè)票據(jù) 歐洲貨幣市場(chǎng)借款 發(fā)行債券 次級(jí)債務(wù) 2、股權(quán)資本（永久性優(yōu)先股普通股盈余未分配利潤(rùn)）,二、銀行表外業(yè)務(wù),貸款承諾 備用信用證 衍生合約,三、損益表（收入表）,利息收入 利息支出 凈利息收入 貸款/租賃損失準(zhǔn)備（撥備） 非利息收入 非利息支出 稅前營(yíng)運(yùn)收入 證券收益（損失） 所得稅 特別項(xiàng)前收入 特別收益（損失） 凈收入,主要的

3、非利息收入渠道,信托類業(yè)務(wù)活動(dòng) 存款賬戶的服務(wù)收費(fèi) 交易賬戶所得及收費(fèi) 其他非利息收入,信托類業(yè)務(wù)活動(dòng)的收入類別,管理與維護(hù)客戶財(cái)產(chǎn)的收費(fèi) 提供公司證券交易提供賬簿記錄服務(wù)及利息、紅利支付服務(wù)的收費(fèi) 管理公司和個(gè)人的年金和退休金計(jì)劃的收費(fèi),存款服務(wù)的收費(fèi)項(xiàng)目,支票賬簿的維護(hù)費(fèi) 支票賬戶的透支收費(fèi) 支票服務(wù)費(fèi)（超出額度支票數(shù)量部分） 儲(chǔ)蓄賬戶透支費(fèi) 止付支票收費(fèi),交易賬戶所得及收費(fèi),交易現(xiàn)金類金融工具的損益 表外衍生交易損益,其他非利息收入來(lái)源,投資銀行、咨詢、經(jīng)紀(jì)人和承銷服務(wù) 風(fēng)險(xiǎn)資本收益 服務(wù)收費(fèi) 證券化收益 保險(xiǎn)手續(xù)費(fèi) 貸款出售損益 物業(yè)出售損益 其他資產(chǎn)出售損益,The Direct R

4、elationship between the Income Statement and the Balance Sheet,N M NI = rnAn - rmLm - P + NII - NIE - T n=1 m=1 where NI = Banks net income An = Dollar value of the banks nth asset Lm = Dollar value of the banks nth liability rn = Rate earned on the banks nth asset rm = Rate paid on the banks nth li

5、ability P = Provision for loan losses NII = noninterest income earned, including OBS NIE = noninterest expenses incurred T = Banks taxes N = number of assets the bank holds M = number of liabilities the bank holds,The Direct Relationship between the Income Statement and the Balance Sheet,N M NI = rn

6、An - rmIm - P + NII - NIE - T n=1 m=1 where NI = Banks net income An = Dollar value of the banks nth asset Lm = Dollar value of the banks nth liability rn = Rate earned on the banks nth asset rm = Rate paid on the banks nth liability P = Provision for loan losses NII = noninterest income earned, inc

7、luding OBS NIE = noninterest expenses incurred T = Banks taxes N = number of assets the bank holds M = number of liabilities the bank holds,第二節(jié) 銀行的業(yè)績(jī)?cè)u(píng)價(jià)與財(cái)務(wù)分析,一、銀行的長(zhǎng)期經(jīng)營(yíng)目標(biāo) 股東利益最大化 股東利益的衡量 資產(chǎn)負(fù)債表的股東權(quán)益 根據(jù)股票市場(chǎng)價(jià)格計(jì)算的股東利益 按凈現(xiàn)金流折現(xiàn)的股東利益,二、績(jī)效評(píng)價(jià)方法,Time series analysis - analysis of financial statements over a per

8、iod of time Cross-sectional analysis - analysis of financial statements comparing one firm with others （一）比率分析法 盈利能力比率 營(yíng)業(yè)支出比率 流動(dòng)性比率 風(fēng)險(xiǎn)比率 （二）杜邦分析法：漸次分解法,三、績(jī)效評(píng)價(jià)指標(biāo)體系,（一）股權(quán)價(jià)值 E=A-L， L一般按原始價(jià)值計(jì)算 A按原始價(jià)值計(jì)算 A按市場(chǎng)價(jià)值計(jì)算（主要是證券資產(chǎn)按市場(chǎng)價(jià)值計(jì)算） E =P0Q, P0為股票價(jià)格，Q為股票數(shù)量 股票價(jià)格的計(jì)算： P0=E(Dt)/(1+r)t, t=0 P0=D1/(r-g) 股票此時(shí)在流通市場(chǎng)的價(jià)格

9、,（二）主要的盈利指標(biāo),ROE與ROA ROE = Net income Average Assets Average Assets Average equity capital = ROA EM,Return on Assets and Its Components,Return on Assets (ROA) - measures profit generated relative to the FIs assets ROA = Net Income Total operating income Total operating income Average assets = PM AU *

10、 Total operating income = Interest Income + Non-Interest Income,Return on Assets and Its Components,ROE=ROA x EM =PM x AU x EM =TME x EME x AU x EM PM=Net income/Total operating revenue AU= Total operating revenue/Total asset EM=Total assets/Total equity capital TME=Net income/Pretax net operating i

11、ncome EME=Pretax net operating income/Total operating revenue,Profit Margin,Profit Margin (PM) - measures the ability to pay expenses and generate income from interest and noninterest income Interest expense ratio = Interest expense Total operating income Provision for loan loss ration = Provision f

12、or loan losses Total operating income Noninterest expense ratio = Noninterest expense Total operating income Tax Ratio = Income taxes Total operating income,Asset Utilization,Asset utilization (AU) - measures the amount of interest/ noninterest income generated per dollar of total assets AU = Total

13、operating income = Interest + Noninterest Average assets income income ratio ratio,Net Interest Margin,Net interest margin : interest income minus interest expense divided by total assets or earning assets Net interest = Net interest income margin Average assets = Interest income - Interest expense

14、Avg. Investment securities + Avg. Net loans and leases,Net noninterest Margin,Net noninterest Margin: Noninterest revenues minus noninterest expenses divided by total assets or earning assets. Net noninterest margin =noninterest revenues- noninterest expenses total assets (or earning assets),Net ope

15、rating margin,Net operating margin = total operating revenues-total operating expense total assets (or earning assets),Spread,Spread - the difference between lending and deposit rates *Spread = Interest income - Interest expense Avg. Earning assets Avg. Interest-bearing liabilities * The higher the

16、spread, the better.,Net operating margin,Net operating margin = total operating revenues-total operating expense total assets (or earning assets),Overhead Efficiency,Overhead efficiency - a banks ability to generate noninterest income to cover noninterest expenses *Overhead efficiency = Noninterest income Noninterest expense * The higher the ratio, the better.,（三）主要的風(fēng)險(xiǎn)指標(biāo),1、總體風(fēng)險(xiǎn)的度量 股票價(jià)格的方差或標(biāo)準(zhǔn)差 凈收入的方差或標(biāo)準(zhǔn)差 ROE或ROA的方差或標(biāo)準(zhǔn)差,2、信用風(fēng)險(xiǎn)的度量,不良貸款/(總貸款與租賃） 沖銷貸款/(總貸款與租賃） 年度貸款損失準(zhǔn)備/總貸款與