商业银行经营风险评价(英文版)教学案例

1/69商业银行经营评价2/69第二章商业银行经营评价BalanceSheetIncomeStatementRelationshipbetweenBalanceSheetandIncomeStatementReturnonEquityModel股份制商业银行风险评级体系(04年2月22日)PerformanceCharacteristicsofDifferent-sizedBanks3/69BalanceSheetItisastatementoffinancialpositionlistingassetsowned,liabilitiesowed,andowner’sequityasofaspecificdate.Assets=Liabilities+Equity.Balancesheetfiguresarecalculatedataparticularpointintimeandthusrepresentstockvalues.4/695/69PNCBank(12/31/2000,TA:63bn)v.s.CommunityNationalBank(12/31/00,TA:0.1bn)Asset(%)Liabilities(%)PNCCNBPNCCNBLoans78.064.9Deposits72.891.7Investments8.725.6Borrowings18.91.0Cash5.65.7Other7.73.9Capital8.37.3Total100100Total1001006/69BankAssets:LoansLoansarethemajorassetinmostbanks’portfoliosandgeneratethegreatestamountofincomebeforeexpensesandtaxes.Theyalsoexhibitthehighestdefaultriskandarerelativelyilliquid.7/69Loans:CategoriesRealestateloansCommercialloansLoanstoindividualsAgriculturalloansOtherloansindomesticofficesLoansandleasesinforeignofficesThreeadjustmentsLeases;Unearnedincome;Lossallowance8/69PNCandCNB:Loanportfolio(2000)PNCCNBRealestate37.037.0Commercial28.819.4Individuals5.64.3Agricultural0.00Domesticother7.34.7International0.50Unearnedincome-0.20Lossallowance-1.0-0.5Total78.064.99/69BankAssets:InvestmentsecuritiesInvestmentsecuritiesareheldtoearninterest,helpmeetliquidityneedsspeculateoninterestratemovementsserveaspartofabank’sdealerfunctions.Theadministrationandtransactioncostsareextremelylow.10/69BankAssets:InvestmentsecuritiesShort-terminvestmentsInterest-bearingbankbalances(depositsduefromotherbanks)federalfundssoldsecuritiespurchasedunderagreementtoresell(RPs)TreasurybillsmunicipaltaxwarrantsLong-terminvestment:notesandbondsTreasurysecuritiesObligationsoffederalagenciesMortgage-backed,foreign,andcorporate11/69BankAssets:NoninterestcashandduefrombanksItconsistsofvaultcash,depositsheldatFederalReserveBanksdepositsheldatotherfinancialinstitutionscashitemsintheprocessofcollectionTheseassetsareheldtomeetcustomerwithdrawalneedsmeetlegalreserverequirementsassistincheckclearingandwiretransferseffectthepurchaseandsaleofTreasurysecurities12/69BankAssets:OtherassetsOtherassetsareresidualassetsofrelativelysmallmagnitudessuchasbankersacceptancespremisesandequipmentotherrealestateownedandothersmalleramounts13/69BankLiabilitiesThecharacteristicsofvariousdebtinstrumentsdifferintermsofcheck-writingcapabilitiesinterestpaidmaturitywhethertheycarryFDICinsurancewhethertheycanbetradedinthesecondarymarket.14/69Bankliabilities:DepositsDemanddepositstransactionsaccountsthatpaynointerestNegotiableordersofwithdrawal(NOWs)andautomatictransfersfromsavings(ATS)accountspayinterestsetbyeachbankwithoutfederalrestrictionsMoneymarketdepositaccounts(MMDAs)paymarketrates,butacustomerislimitedtonomorethansixchecksorautomatictransferseachmonth15/69Bankliabilities:DepositsTwogeneraltimedepositscategoriesexist:Timedepositsinexcessof$100,000,labeledjumbocertificatesofdeposit(CDs).SmallCDs,consideredcoredepositswhichtendtobestabledepositsthataretypicallynotwithdrawnovershortperiodsoftime.DepositsheldinforeignofficesbalancesissuedbyabanksubsidiarylocatedoutsidetheU.S.16/69CoredopositsCoredepositsarestabledepositsthatarenothighlyinterestrate-sensitive.Coredepositsaremoresensitivetothefeescharged,servicesrendered,andlocationofthebank.Coredepositsinclude:demanddeposits,NOWaccounts,MMDAs,andsmalltimedeposits.17/69Borrowings(volatilefunds)Large,orvolatile,borrowingsareliabilitiesthatarehighlyrate-sensitive.Normallyissuedinuninsureddenominations.Theirabilitytoborrowissensitivetothemarketsperceptionoftheirassetquality.Volatileliabilitiesornetnon-coreliabilitiesinclude:largeCDs(over100,000)depositsinforeignofficesfederalfundspurchasedrepurchaseagreementsotherborrowingswithmaturitieslessthanoneyear18/69Capital:SubordinatednotesanddebenturesNotesandbondswithmaturitiesinexcessofoneyear.Long-termuninsureddebt.Mostmeetrequirementsasbankcapitalforregulatorypurposes.Unlikedeposits,thedebtisnotfederallyinsuredandclaimsofbondholdersaresubordinatedtoclaimsofdepositors.19/69Capital:Stockholders'equityOwnershipinterestinthebank.CommonandpreferredstockarelistedatparSurplusaccountrepresentstheamountofproceedsreceivedbythebankinexcessofparwhenitissuedthestock.20/69IncomeStatementItisafinancialstatementshowingasummaryofafirm’sfinancialoperationsforaspecificperiod,includingnetprofitorlossfortheperiodinquestion.Abank’sincomestatementreflectsthefinancialnatureofbanking,asinterestonloansandinvestmentscomprisesthebulkofrevenue.Netinterestincomemadeupapproximately77percentofnetrevenueatabankin1981,butonlyabout58percentoftotalnetrevenueattheendof2001.21/69TheIncomestatement+Interestincome(II)-Interestexpense(IE)=NetinterestIncome(NII)+Noninterestincome(OI)-Noninterestexpense(OE)-Loan-lossprovisions(PLL)=Operatingincomebeforesecuritiestransactionsandtaxes+(-)Realizedgainsorlosses=Pretaxnetoperatingincome-Taxes=Netincome=burden22/69Interestincome…thesumofinteres