1、第二章 商业银行经营评价,Balance Sheet Income Statement Relationship between Balance Sheet and Income Statement Return on Equity Model 股份制商业银行风险评级体系(04年2月22日) Performance Characteristics of Different-sized Banks,Balance Sheet,It is a statement of financial position listing assets owned, liabilities owed, and ow
2、ners 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.,China Big Four Banks (12/31/2002) v.s. All US Banks (12/31/2002),PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/
3、00, TA: 0.1bn),Bank Assets: Loans,Loans 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 are relatively illiquid.,Loans: Categories,Real estate loans Commercial loans Loans to individuals
4、 Agricultural loans Other loans in domestic offices Loans and leases in foreign offices Three adjustments Leases; Unearned income; Loss allowance,PNC and CNB: Loan portfolio (2000),Bank Assets: Investment securities,Investment securities are held to earn interest, help meet liquidity needs speculate
5、 on interest rate movements serve as part of a banks dealer functions. The administration and transaction costs are extremely low.,Bank Assets: Investment securities,Short-term investments Interest-bearing bank balances (deposits due from other banks) federal funds sold securities purchased under ag
6、reement to resell (RPs) Treasury bills municipal tax warrants Long-term investment: notes and bonds Treasury securities Obligations of federal agencies Mortgage-backed, foreign, and corporate,Bank Assets: Noninterest cash and due from banks,It consists of vault cash, deposits held at Federal Reserve
7、 Banks deposits held at other financial institutions cash items in the process of collection These assets are held to meet customer withdrawal needs meet legal reserve requirements assist in check clearing and wire transfers effect the purchase and sale of Treasury securities,Bank Assets: Other asse
8、ts,Other assets are residual assets of relatively small magnitudes such as bankers acceptances premises and equipment other real estate owned and other smaller amounts,Bank Liabilities,The characteristics of various debt instruments differ in terms of check-writing capabilities interest paid maturit
9、y whether they carry FDIC insurance whether they can be traded in the secondary market.,Bank liabilities: Deposits,Demand deposits transactions accounts that pay no interest Negotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts pay interest set by each bank witho
10、ut federal restrictions Money market deposit accounts (MMDAs) pay market rates, but a customer is limited to no more than six checks or automatic transfers each month,Bank liabilities: Deposits,Two general time deposits categories exist: Time deposits in excess of $100,000, labeled jumbo certificate
11、s of deposit (CDs). Small CDs, considered core 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 doposits,Core deposits are stable deposits that ar
12、e not highly interest rate-sensitive. Core deposits 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 th
13、at are highly rate-sensitive. Normally issued in uninsured 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 offices federal funds purchased repu
14、rchase agreements other borrowings with maturities less than one year,Capital: Subordinated notes and debentures,Notes 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
15、 insured and claims of bondholders are subordinated to claims of depositors.,Capital: Stockholders equity,Ownership 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.,Inc
16、ome Statement,It 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. A banks income statement reflects the financial nature of banking, as interest on loans and investments comprises the bulk of re
17、venue. Net 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.,The Income statement,+ Interest income (II) - Interest expense (IE) = Net interest Income (NII) + Noninterest income (OI) - Noninterest exp
18、ense (OE) - Loan-loss provisions (PLL) = Operating income before securities transactions and taxes +(-) Realized gains or losses = Pretax net operating income - Taxes = Net income,=burden,Interest income,the sum of interest and fees earned on all of a banks assets. Interest income includes interest
19、from: Loans Deposits held at other institutions Municipal and taxable securities Investment and trading account securities,Interest expense,. the sum of interest paid on all interest-bearing liabilities . It includes interest paid to transactions accounts (NOW, ATS, and MMDA) time and savings deposi
20、ts short-term non- core liabilities long-term debt Interest income less interest expense is net interest income (NII),Noninterest income,Trust or fiduciary income reflects what a bank earns from operating a trust department Fees and deposit service charges reflect charges on checking account activit
21、y, safe-deposit boxes, and many other transactions. Trading revenues reflect commissions and profits or gains from operating a trading account Other foreign transactions Other noninterest income,Noninterest expense,Personnel expense: Salaries and fringe benefits paid to bank employees Occupancy expe
22、nse : Rent and depreciation on equipment and premises Other operating expenses: Utilities and Deposit insurance 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 repor
23、ted interest income overstates what will actually be received when some of the loans go into default. Charge-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 exp
24、ense (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 - Taxes 8
25、.5% & 8.6% = Net income 16.3% & 16.0%,Realized securities gains (or losses),They arise when a bank sells securities from its investment 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 los
26、ses are unrealized (meaning that the bank has not sold the securities to capture the change in value).,Relationship between balance sheet and income statement,The composition of assets and liabilities and the relationships between different interest rates determine net interest income. The mix of de
27、posits between consumer and commercial customers affects the services provided and thus the magnitude of noninterest income and noninterest expense. The ownership of nonbank subsidiaries increases fee income but often raises noninterest expense.,Relationship between balance sheet and income statemen
28、t,Expenses and loan losses directly effect the balance sheet. The greater the size of loan portfolio, the greater is operating overhead and 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 stock
29、holders returns,ROE is composed of two parts: Return on Assets (ROA = NI / TA) represents the returns to the assets the bank has invested in. Equity 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: Ass
30、et utilization (AU) income generation Expense ratio (ER) expense control,ROA = AU ER = (TR / TA) (TE / TA) TR = total revenue or total operating income = 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 g
31、enerate income.,Interest Income / TA Asset yields (rate) Interest income asset (i) / $ amount of asset (i) Composition of assets (mix) $ amount asset (i) / TA Volume of Earning Assets Earning assets / TA Non interest income / TA Fees and Service Charges Securities Gains (Losses) Other income,Expense
32、 ratio (ER = Exp / TA) the ability to control expenses.,Interest expense / TA Cost per liability (rate) Int. exp. liab. (j) / $ amt. liab. (j) Composition of liabilities $ amt. of liab. (j) / TA Volume of debt and equity Non-interest expenses / TA Salaries and employee benefits / TA Occupancy expens
33、es / TA Other operating expense / TA Provisions for loan losses / TA Taxes / TA,Other aggregate profitability measures,Net interest margin NIM = NII / earning assets (EA) Spread Spread = (int inc / EA) - (int exp / int bear. Liab.) Earnings base EB = EA / TA Burden / TA (Noninterest exp. - Nonintere
34、st income) / TA Efficiency ratio Non int. Exp. / (Net int. Inc. + Non int. Inc.),Financial ratiosPNC, 2000,Performance Characteristics of Different-sized Banks: Trend with Size,Equity capital ratio,Core capital (leverage) ratio,Tier 1 risk-based capital ratio,Total risk-based capital ratio,Net inter
35、est margin,Yield on earning assets,Cost of funding earning assets,Earning assets to total assets,Efficiency ratio,Noninterest income to earning assets,Noninterest expense to earning assets,LN&LS loss provision to assets,US Banks: ROA (2002),US Banks: ROE (2002),US & Chinese Banks: ROA (2002),US & Chinese Banks: ROE (2002),
