商业银行经营风险评价英

商业银行经营 评价 LEC评价法下载LEC评价法下载评价量规免费下载学院评价表文档下载学院评价表文档下载 第二章商业银行经营评价BalanceSheetIncomeStatementRelationshipbetweenBalanceSheetandIncomeStatementReturnonEquityModel股份制商业银行风险评级体系(04年2月22日)PerformanceCharacteristicsofDifferent-sizedBanksBalanceSheetItisastatementoffinancialpositionlistingassetsowned,liabilitiesowed,andowner’sequityasofaspecificdate.Assets=Liabilities+Equity.Balancesheetfiguresarecalculatedataparticularpointintimeandthusrepresentstockvalues.ChinaBigFourBanks(12/31/2002)v.s.AllUSBanks(12/31/2002)Asset(%)Liabilities(%)CNUSCNUSLoans60.261.4Deposits81.465.8Investments6.623.1Borrowings14.927.2Cash24.89.1Other8.47.4Capital3.87.1Total100100Total100100PNCBank(12/31/2000,TA:63bn)v.s.CommunityNationalBank(12/31/00,TA:0.1bn)Asset(%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total100100BankAssets:LoansLoansarethemajorassetinmostbanks’portfoliosandgeneratethegreatestamountofincomebeforeexpensesandtaxes.Theyalsoexhibitthehighestdefaultriskandarerelativelyilliquid.Loans:CategoriesRealestateloansCommercialloansLoanstoindividualsAgriculturalloansOtherloansindomesticofficesLoansandleasesinforeignofficesThreeadjustmentsLeases;Unearnedincome;LossallowancePNCandCNB:Loanportfolio(2000)PNCCNBRealestate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domesticother7.34.7International0.50Unearnedincome-0.20Lossallowance-1.0-0.5Total78.064.9BankAssets:InvestmentsecuritiesInvestmentsecuritiesareheldtoearninterest,helpmeetliquidityneedsspeculateoninterestratemovementsserveaspartofabank’sdealerfunctions.Theadministrationandtransactioncostsareextremelylow.BankAssets:InvestmentsecuritiesShort-terminvestmentsInterest-bearingbankbalances(depositsduefromotherbanks)federalfundssoldsecuritiespurchasedunderagreementtoresell(RPs)TreasurybillsmunicipaltaxwarrantsLong-terminvestment:notesandbondsTreasurysecuritiesObligationsoffederalagenciesMortgage-backed,foreign,andcorporateBankAssets:NoninterestcashandduefrombanksItconsistsofvaultcash,depositsheldatFederalReserveBanksdepositsheldatotherfinancialinstitutionscashitemsintheprocessofcollectionTheseassetsareheldtomeetcustomerwithdrawalneedsmeetlegalreserverequirementsassistincheckclearingandwiretransferseffectthepurchaseandsaleofTreasurysecuritiesBankAssets:OtherassetsOtherassetsareresidualassetsofrelativelysmallmagnitudessuchasbankersacceptancespremisesandequipmentotherrealestateownedandothersmalleramountsBankLiabilitiesThecharacteristicsofvariousdebtinstrumentsdifferintermsofcheck-writingcapabilitiesinterestpaidmaturitywhethertheycarryFDICinsurancewhethertheycanbetradedinthesecondarymarket.Bankliabilities:DepositsDemanddepositstransactionsaccountsthatpaynointerestNegotiableordersofwithdrawal(NOWs)andautomatictransfersfromsavings(ATS)accountspayinterestsetbyeachbankwithoutfederalrestrictionsMoneymarketdepositaccounts(MMDAs)paymarketrates,butacustomerislimitedtonomorethansixchecksorautomatictransferseachmonthBankliabilities:DepositsTwogeneraltimedepositscategoriesexist:Timedepositsinexcessof$100,000,labeledjumbocertificatesofdeposit(CDs).SmallCDs,consideredcoredepositswhichtendtobestabledepositsthataretypicallynotwithdrawnovershortperiodsoftime.DepositsheldinforeignofficesbalancesissuedbyabanksubsidiarylocatedoutsidetheU.S.CoredopositsCoredepositsarestabledepositsthatarenothighlyinterestrate-sensitive.Coredepositsaremoresensitivetothefeescharged,servicesrendered,andlocationofthebank.Coredepositsinclude:demanddeposits,NOWaccounts,MMDAs,andsmalltimedeposits.Borrowings(volatilefunds)Large,orvolatile,borrowingsareliabilitiesthatarehighlyrate-sensitive.Normallyissuedinuninsureddenominations.Theirabilitytoborrowissensitivetothemarketsperceptionoftheirassetquality.Volatileliabilitiesornetnon-coreliabilitiesinclude:largeCDs(over100,000)depositsinforeignofficesfederalfundspurchasedrepurchaseagreementsotherborrowingswithmaturitieslessthanoneyearCapital:SubordinatednotesanddebenturesNotesandbondswithmaturitiesinexcessofoneyear.Long-termuninsureddebt.Mostmeetrequirementsasbankcapitalforregulatorypurposes.Unlikedeposits,thedebtisnotfederallyinsuredandclaimsofbondholdersaresubordinatedtoclaimsofdepositors.Capital:Stockholders'equityOwnershipinterestinthebank.CommonandpreferredstockarelistedatparSurplusaccountrepresentstheamountofproceedsreceivedbythebankinexcessofparwhenitissuedthestock.IncomeStatementItisafinancialstatementshowingasummaryofafirm’sfinancialoperationsforaspecificperiod,includingnetprofitorlossfortheperiodinquestion.Abank’sincomestatementreflectsthefinancialnatureofbanking,asinterestonloansandinvestmentscomprisesthebulkofrevenue.Netinterestincomemadeupapproximately77percentofnetrevenueatabankin1981,butonlyabout58percentoftotalnetrevenueattheendof2001.TheIncomestatement+Interestincome(II)-Interestexpense(IE)=NetinterestIncome(NII)+Noninterestincome(OI)-Noninterestexpense(OE)-Loan-lossprovisions(PLL)=Operatingincomebeforesecuritiestransactionsandtaxes+(-)Realizedgainsorlosses=Pretaxnetoperatingincome-Taxes=Netincome=burdenInterestincome…thesumofinterestandfeesearnedonallofabank'sassets.…Interestincomeincludesinterestfrom:LoansDepositsheldatotherinstitutionsMunicipalandtaxablesecuritiesInvestmentandtradingaccountsecuritiesInterestexpense….thesumofinterestpaidonallinterest-bearingliabilities….Itincludesinterestpaidtotransactionsaccounts(NOW,ATS,andMMDA)timeandsavingsdepositsshort-termnon-coreliabilitieslong-termdebtInterestincomelessinterestexpenseisnetinterestincome(NII)NoninterestincomeTrustorfiduciaryincomereflectswhatabankearnsfromoperatingatrustdepartmentFeesanddepositservicechargesreflectchargesoncheckingaccountactivity,safe-depositboxes,andmanyothertransactions.TradingrevenuesreflectcommissionsandprofitsorgainsfromoperatingatradingaccountOtherforeigntransactionsOthernoninterestincomeNoninterestexpensePersonnelexpense:SalariesandfringebenefitspaidtobankemployeesOccupancyexpense:RentanddepreciationonequipmentandpremisesOtheroperatingexpenses:UtilitiesandDepositinsurancepremiumsLoan-lossprovisions(PLL)Representmanagement'sestimateofpotentiallostrevenuefrombadloans.Itissubtractedfromnetinterestincomeinrecognitionthatsomeofthereportedinterestincomeoverstateswhatwillactuallybereceivedwhensomeoftheloansgointodefault.Charge-offsindicateloansthatabankformallyrecognizesasuncollectableandcharges-offagainstthelossreserve.Loan-lossprovisions(PLL)Thereserve’smaximumsizeisdeterminedbytax.ProvisionsforloanlossesReserveforLoanLossesRecoveriesChargeoffsTaxLawIncomestatement: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+(-)Realizedgainsorlosses0.3%&0%=Pretaxnetoperatingincome-Taxes8.5%&8.6%=Netincome16.3%&16.0%Realizedsecuritiesgains(orlosses)Theyarisewhenabanksellssecuritiesfromitsinvestmentportfolioatpricesabove(orbelow)theinitialoramortizedcosttothebank.Generally,securitieschangeinvalueasinterestrateschange,butthegainsorlossesareunrealized(meaningthatthebankhasnotsoldthesecuritiestocapturethechangeinvalue).RelationshipbetweenbalancesheetandincomestatementThecompositionofassetsandliabilitiesandtherelationshipsbetweendifferentinterestratesdeterminenetinterestincome.Themixofdepositsbetweenconsumerandcommercialcustomersaffectstheservicesprovidedandthusthemagnitudeofnoninterestincomeandnoninterestexpense.Theownershipofnonbanksubsidiariesincreasesfeeincomebutoftenraisesnoninterestexpense.RelationshipbetweenbalancesheetandincomestatementExpensesandloanlossesdirectlyeffectthebalancesheet.Thegreaterthesizeofloanportfolio,thegreaterisoperatingoverheadandPLL.Consumerloansareusuallysmallerandhencemoreexpensive(non-interest)perdollarofloans.Returnonequity(ROE=NI/TE)…thebasicmeasureofstockholders’returnsROEiscomposedoftwoparts:ReturnonAssets(ROA=NI/TA)representsthereturnstotheassetsthebankhasinvestedin.EquityMultiplier(EM=TA/TE)thedegreeoffinancialleverageemployedbythebank.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+TaxesINCOMEReturntotheBankROA=NI/TAEXPENSESRateComposition(mix)VolumeInterestOverheadProv.forLLTaxesFeesandServChargeTrustOtherRateComposition(mix)VolumeInterestNonInterestSalariesandBenefitsOccupancyOtherBankPerformanceModelReturnstoShareholdersROE=NI/TEDegreeofLeverageEM=1/(TA/TE)Assetutilization(AU=TR/TA):…theabilitytogenerateincome.InterestIncome/TAAssetyields(rate)Interestincomeasset(i)/$amountofasset(i)Compositionofassets(mix)$amountasset(i)/TAVolumeofEarningAssetsEarningassets/TANoninterestincome/TAFeesandServiceChargesSecuritiesGains(Losses)OtherincomeExpenseratio(ER=Exp/TA)…theabilitytocontrolexpenses.Interestexpense/TACostperliability(rate)Int.exp.liab.(j)/$amt.liab.(j)Compositionofliabilities$amt.ofliab.(j)/TAVolumeofdebtandequityNon-interestexpenses/TASalariesandemployeebenefits/TAOccupancyexpenses/TAOtheroperatingexpense/TAProvisionsforloanlosses/TATaxes/TAOtheraggregateprofitabilitymeasuresNetinterestmarginNIM=NII/earningassets(EA)SpreadSpread=(intinc/EA)-(intexp/intbear.Liab.)EarningsbaseEB=EA/TABurden/TA(Noninterestexp.-Noninterestincome)/TAEfficiencyratioNonint.Exp./(Netint.Inc.+Nonint.Inc.)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%股份制商业银行风险评级体系骆驼氏体系CAMELS资本（Capital）20%资产（Asset）20%管理（Management）25%盈利（Earnings）20%流动性（Liquidity）15%敏感性（Sensitivity）0%资本（Capital）C:signalstheabilitytomaintaincapitalcommensuratewiththenatureandextentofalltypesofriskandtheabilityofmanagementtoidentify,measure,monitor,andcontroltheserisks.资本（Capital）定量指标（60分）资本充足率（30分）：10%核心资本充足率（30分）：6%定性因素（40分）资本的构成和质量（6分）银行整体财务状况及其对资本的影响（8分）资产质量及其对资本的影响（8分）银行增加资本的能力（8分）银行对资本的管理情况（10分）资产（Asset）A:reflectstheamountofexistingcreditriskassociatedwiththeloanandinvestmentportfolioaswellasoffbalancesheetactivities.资产（Asset）定量指标（60分）不良贷款率（15分）：5%以下估计贷款损失率（10分）：3%以下最大单一客户、集团客户授信比率（10分）：6%、15%拨备覆盖率（20分）：100%非信贷资产损失率（5分）：2%以下资产（Asset）：续定性因素（40分）不良资产变动趋势及其影响（5分）贷款行业集中度及其影响（5分）信贷风险管理的程序、 制度 关于办公室下班关闭电源制度矿山事故隐患举报和奖励制度制度下载人事管理制度doc盘点制度下载 及其有效性（10分）贷款风险分类制度的健全性和有效性（10分）保证贷款和抵（质）押贷款及其管理状况（5分）非信贷资产风险管理状况（5分）管理（Management）M:reflectstheadequacyoftheboardofdirectorsandseniormanagementsystemsandprocedurestoidentify,measure,monitor,andcontrolrisks.管理（Management）银行公司治理状况，公司治理的合理性和有效性（50分）基本结构（10分）：三会、独立董事、外部监事决策机制（10分）：股东、董事会执行机制（10分）：高管素质、团队精神监督机制（10分）：独立董事、监事激励约束机制及问责（10分）：挂钩内部控制状况（50分）内部控制环境与内部控制文化（10分）风险识别与评估（10分）控制行为与职责分工（10分）信息交流与沟通（10分）监督与纠正（10分）盈利（Earnings）E:reflectsnotonlythequantityandtrendinearnings,butalsothefactorsthatmayaffectthesustainabilityorqualityofearnings.盈利（Earnings）定量指标（60分）资产利润率（15分）：1%资本利润率（15分）：20%利息回收率（15分）：95%资产费用率（15分）：0.75%以下，2%为0定性因素（40分）银行的成本费用和收入状况以及盈利水平和趋势（15分）银行盈利的质量，以及银行盈利对业务发展与资产损失准备提取的影响（15分）财务预决算体系，财务管理的健全性和有效性（10分）流动性（Liquidity）L:reflectstheadequacyofthebank'scurrentandprospectivesourcesofliquidityandfundsmanagementpractices流动性（Liquidity）定量指标（60分）流动性比率（20分）：35%人民币超额准备金比率（10分）：5%外币备付金率（5分）：5%本外币合并存贷款比例（10分）：65%以下外币存贷款比例（5分）：70%以下净拆借资金比率（10分）：-4%以下定性因素（40分）资金来源的构成、变化趋势和稳定性（5分）资产负债管理政策和资金的调配情况（5分）银行对流动性的管理情况（20分）：专门管理部门、需求预测、管理政策、日常管理银行以主动负债形式满足流动性需求的能力（5分）管理层有效识别、监测、和调控银行头寸的能力（5分）敏感性（Sensitivity）S:reflectsthedegreetowhichchangesininterestrates,foreignexchangerates,commodityprices,andequitypricescanadverselyaffectearnings.敏感性（Sensitivity）包括利率风险、外汇风险、股本风险和商品风险。金融机构盈利性或资产价值对利率、汇率、商品价格或产权价反向变动的敏感程度；银行董事会和高级管理层识别、衡量、监督和控制市场风险敞口的能力；源自非交易性头寸利率风险敞口的性质和复杂程度；源自交易性和境外业务市场风险敞口的性质和复杂程度。根据我国银行业现状，暂不对市场风险进行评级，但可以考察银行资产价值与盈利水平受利率政策与外汇价格变化的影响，作为评价盈利性和资产质量的参考。PerformanceCharacteristicsofDifferent-sizedBanks:TrendwithSizeEquitycapitalratioCorecapital(leverage)ratioTier1risk-basedcapitalratioTotalrisk-basedcapitalratioNetinterestmarginYieldonearningassetsCostoffundingearningassetsEarningassetstototalassetsEfficiencyratioNoninterestincometoearningassetsNoninterestexpensetoearningassetsLN&LSlossprovisiontoassetsUSBanks:ROA(2002)USBanks:ROE(2002)US&ChineseBanks:ROA(2002)US&ChineseBanks:ROE(2002)