商业银行财务特征及业绩评价

Chapter 1

Bank ManagementBank Management, 5th edition.5th edition.Timothy W. Koch and S. Scott MacDonaldTimothy W. Koch and S. Scott MacDonaldCopyright © 2003 by South-Western, a division of Thomson Learning

银行的财务特征 高财务杠杆 高财务风险 低固定资产 低经营风险

Balance Sheet

Assets = Liabilities + Equity. Balance sheet figures are calculated at

a particular point in time and thus represent stock values.

资产负债表可以直接看出商业银行在做什么业务，这些业务的最终结果如何。

Bank Assets

Cash and due from banks vault cash, deposits held at the Fed and other

financial institutions, and cash items in the process of collection.

Investment Securities assets held to earn interest and help meet liquidity

needs. Loans( 是最主要的资产 )

the major asset, generate the greatest amount of income, exhibit the highest default risk and are relatively illiquid.

Other assets bank premises and equipment, interest receivable,

prepaid expenses, other real estate owned, and customers' liability to the bank

Provisions for loan losses

Provisions for loan losses

Reserve for Loan Losses

Recoveries

Charge offs

Bank investments categaories

held-to-maturity securities are recorded on the balance sheet at amortized cost.

trading account securities are actively bought and sold, so the bank marks the securities to market (reports them at current market value) on the balance sheet and reports unrealized gains and losses on the income statement.

available-for-sale, all other investment securities, are recorded at market value on the balance sheet with a corresponding change to stockholders’ equity as unrealized gains and losses on securities holdings.

需要注意：这些分类对于风险管理至关重要！

Bank liabilities

Demand deposits ( 是最主要的负债 ) transactions accounts that pay no interest

Negotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts pay interest set by each bank without 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

Savings and time deposits represent the bulk of interest-bearing liabilities at banks.

Bank liabilities (continued)

Two general time deposits categories exist: Time deposits in excess of $100,000, labeled

jumbo certificates 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tend to be stable deposits that are typically not withdrawn over short periods of time.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. Rate-sensitive borrowings:

Federal Funds purchased and Repos

Core versus volatile funds Core deposits are stable deposits that are not highly interest

rate-sensitive. （核心存款最关键的特征） 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. Large, or volatile, borrowings are liabilities that 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, repurchase agreements, and other borrowings with maturities less than one year.

Stockholders equity

Subordinated notes and debentures: notes and bonds with maturities in excess

of one year. （注意，次级债要纳入股东权益进行核算）

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.

The income statement（银行的主要业务分为利息业务和非利息业务。 ）

Interest income (II) Interest expense (IE)

Interest income less interest expense is net interest income (NII)

Loan-loss provisions (PL) represent management's estimate of potential lost

revenue from bad loans. Noninterest income (OI) Noninterest expense (OE)

noninterest expense usually exceeds noninterest income such that the difference is labeled the bank's burden

Taxes

Interest income

Interest income includes interest from: Loans Deposits held at other institutions, Municipal and taxable securities, and Investment and trading account

securities.

Noninterest expense

Personnel expense: salaries and fringe benefits paid to

bank employees, Occupancy expense :

rent and depreciation on equipment and premises, and

Other operating expenses: utilities and deposit insurance premiums.

Non-interest expense

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)

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.对于股东来讲，净资产回报率 ROE 是相当重

要的一个参数，是衡量增长速度的一个指标。

Return on assets (ROA = NI / TA)

ROA = AU - ER= (TR / TA) - (TE / TA)

Where:TR = total revenue or total operating income

= Int. inc. + non-int. inc. + SG(L) and

TE = total expenses= Int. exp. + non-int. exp. + PLL + Taxes

ROA is driven by the bank’s ability to:…generate income (AU) and control expenses (ER)

Income generation (AU) can be found on the UBPR (page 1) as:

TA

losses)( gainsSec

TA

Inc.int. Non.

TA

Inc.Int.AU

Expense Control (ER) can be found on the UBPR (page 1) as:

TA

PLL

TA

.Exp.intNon

TA

.Exp.IntER*

Note, ER* does not include taxes.

INCOME

Return to the BankROA = NI / TA

EXPENSES

Rate

Composition (mix)

Volume

Interest

Overhead

Prov. for LL

Taxes

Fees and Serv Charge

Trust

Other

Rate

Composition (mix)

Volume

Interest

Non Interest

Salaries and Benefits

Occupancy

Other

Bank Performance ModelBank Performance Model

Returns to ShareholdersROE = NI / TE

Returns to ShareholdersROE = NI / TE

Degree of LeverageEM = 1 / (TA / TE)

Expense ratio (ER = Exp / TA)

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 expenses / TA Other operating expense / TA

Provisions for loan losses / TA Taxes / TA

Asset utilization (AU = TR / TA):

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

Aggregate profitability measures

Net interest margin NIM = NII / earning assets (EA)

Spread （反映资产获利能力与负债融资成本之间的关系） Spread = (int inc / EA) (int exp / int bear. Liab.)

Earnings base Eb = ea / ta

Burden / TA (Noninterest exp. - Noninterest income) / TA

Efficiency ratio Non int. Exp. / (Net int. Inc. + Non int. Inc.)

Fundamental risks for bank

Credit risk

Liquidity risk

Market risk

Operational risk

Capital or solvency risk

Legal risk

Reputational risk

Credit risk…the potential variation in net income and market value of equity resulting from nonpayment or delayed payment.

Three Question need to be addressed:

1. What has been the loss experience?

2. What amount of losses do we expect?

3. How prepared is the bank?

Liquidity risk…the variation in net income and market value of equity caused by a bank's difficulty in obtaining cash at a reasonable cost from either the sale of assets or new borrowings.

Banks can acquire liquidity in two distinct ways:

1. By liquidation of assets. Composition of investments Maturity of investments

2. By borrowing. Core deposits Volatile deposits

Market risk…the risk to a financial institution’s condition resulting from adverse movements in market rates or prices .

Market risk arises from changes in: Interest rates Foreign exchange rates Equity and security prices.

Foreign exchange risk… the risk to a financial institution’s condition resulting from adverse movements in foreign exchange rates.

Foreign exchange risk arises from changes in foreign exchange rates that affect the values of assets, liabilities, and off-balance sheet activities denominated in currencies different from the bank’s domestic (home) currency.

This risk is often found in off-balance sheet loan commitments and guarantees denominated in foreign currencies; foreign currency translation risk.

Equity and security price risk…change in market prices, interest rates and foreign exchange rates affect the market values of equities, fixed income securities, foreign currency holdings, and associated derivative and other off-balance sheet contracts.

Large banks must conduct value-at-risk analysis to assess the risk of loss with their trading account portfolios.

当然，如果一个银行不涉及外币债权和债务，就不存在汇率风险。

Operational risk …measures the cost efficiency of the bank's activities; i.e., expense control or productivity.

Typical ratios focus on: total assets per employee total personnel expense per employee noninterest expense ratio

There is no meaningful way to estimate the likelihood of fraud or other contingencies from published data

A bank’s operating risk is closely related to its operating policies and processes and whether is has adequate controls

Capital risk… closely tied to asset quality and a bank's overall risk profile

The more risk taken, the greater is the amount of capital required.

同时，需要注意银行的预期风险损失在资产定价和贷款拨备中已经有所反映，对于非预期的损失才需要依赖资本进行防御。

Legal risk…the potential that unenforceable contracts, lawsuits, or adverse judgments can disrupt or otherwise negatively affect the operations or condition of banking organization

Legal risk include: Compliance risks Strategic risks General liability issues

Reputational risk

Reputational risk is the potential that negative publicity regarding an institution’s business practices, whether true or not, will cause a decline in the customer base, costly litigation, or revenue reductions.

中国各银行 2008 年财务报告的相关内容摘要银行名称 每股收益 总资产回

报率净资产收

益率平均净利

差流动性比

率贷存款比

例浦发银行 2.211 0.96 35.77 2.91 55.24 72.85

民生银行 0.42 0.8 15.230 4.92 45.5 75

宁波银行 0.53 1.49 15.91 5.3 56.44 64.49

招商银行 1.43 1.46 27.41 3.24 43.14 74.17

华夏银行 0.7 0.41 20.79 4.5 45.32 71.77

中国银行 0.25 1 13.59 2.45 48.8 63.71

工商银行 0.33 1.13 18.23 2.8 33.3 56.4

兴业银行 2.28 1.22 26.06 4.82 41.04 70.82

中信银行 0.34 1.21 13.83 3.11 51.37 73.29

交通银行 0.58 1.19 19.57 2.96 39.62 64.45

南京银行 0.79 1.06 13.57 5.72 47.07 61.55

北京银行 0.87 1.2 17.91 5.1 63 57.98

建设银行 0.4 1.31 20.68 3.1 52.74 59.5

中国各银行 2008 年财务报告的相关内容摘要银行名称 保证贷款

比率不良贷款

比率损失类款

比率拨备覆盖

率零售贷款

比率核心资充

足率浦发银行 29.31 1.21 0.17 203.32 15.45 5.06

民生银行 23 1.21 0.19 131.59 16 7

宁波银行 17.52 0.92 0.16 152.5 26.5 14.6

招商银行 24.11 1.11 0.46 225.73 27 6.56

华夏银行 32.83 1.82 0.36 151.22 10.95 7.46

中国银行 26.89 3.13 0.48 121.72 29.12 10.81

工商银行 18.9 2.29 0.24 130.15 18.2 10.75

兴业银行 21.31 0.83 0.07 226.58 25.82 8.94

中信银行 28.8 1.36 0.2 150.03 12.74 12.32

交通银行 29.32 1.92 0.17 116.83 15.41 9.54

南京银行 39.24 1.54 0.04 170.76 12.89 20.68

北京银行 34.92 1.55 0.83 180.23 9.08 16.42

建设银行 20.96 2.21 0.23 131.58 21.65 10.17

中国各银行 2008 年财务报告的相关内容摘要

银行名称 资本充足率单一最大

客户贷款比率

最大十家客户贷款比率

本年度贷款减值损失（百万元）

本年度贷款减值准备

贷款减值准备对贷款总额比率

浦发银行 8.88 4.42 27.01 599 16298 2.34

民生银行 9.98 3.41 26.45 6500 11885 2.0100

宁波银行 16.15 3.23 24.54 35.5 689.6 1.4

招商银行 11.34 5.31 32.14 667 21608 2.47

华夏银行 11.4 3.72 36.56 2054 9810 2.76

中国银行 13.43 3.4 17.6 5575 106494 2.76

工商银行 13.06 2.9 20.4 365.12 135983 2.97

兴业银行 11.24 2.82 19.77 860 3238 0.65

中信银行 14.32 4.21 23.95 931 13572 2.04

交通银行 13.47 0.51 21.1 1927 29814 1.23

南京银行 24.12 3.53 26.91 99.34 1122 0.2

北京银行 19.66 7.83 40.89 309 5383 2.79

建设银行 12.16 3.68 20.72 6,571 54,026 2.91

中国各银行 2008 年财务报告的相关内容摘要银行名称 吸收活期存

款吸收定期存

款吸收其他

存款 存款总额 公司存款 个人储蓄存款

浦发银行 396548 408247 142,498 947,293 653,310 151,485

民生银行 329,196 454,944 1,646 785,786 647,903 136,237

宁波银行 46486 29736 0 76,222 57,779 18,443

招商银行 620,707 1,178,240 99,504 1,898,451 1,322,004 476,943

华夏银行 199335 188402 97,613 485,350 327,350 60,387

中国银行 1550720 1853674 253,367 3,657,761 1,585,764 1,818,630

工商银行 3990043 3959172 116,009 8,065,224 7,548,195 401,020

兴业银行 279521 278258 74647 632,426 468,886 88,893

中信银行 414,053 521,362 10,427 945,842 763,279 172,136

交通银行 879,300 785,580 201686 1,866,566 1,020,120 644,760

南京银行 28,703 25,878 8,151 62,732 44,045 10,536

北京银行 191730 117509 6,601 315,840 255,118 54,121

建设银行 3,103,002 2,607,353 67,961 5,778,316 3,434,021 2,276,334

中国各银行 2008 年财务报告的相关内容摘要银行名称 本年度利息

收入本年度利息

支出核心资本

净额 资产总额 净资产总额 资产负债率

浦发银行 55,721 24,187 37845 1,309,425 41,702 0.9682

民生银行 56,115 25,902 51307 1,054,350 54,672 0.9481

宁波银行 4,959 2,068 8403 103,263 8,805 0.9147

招商银行 71,963 25,393 71472 1,571,797 79,515 0.9494

华夏银行 37,370 20910 26416 731,599 276054 0.6227

中国银行 257,953 113,807 443980 6,955,694 468,272 0.9327

工商银行 433,235 173,693 510549 9,757,654 603,183 0.9382

兴业银行 52525 26332 46315 1,020,899 49,022 0.9520

中信银行 58,868 22,776 92042 1,187,837 95,346 0.9197

交通银行 116,787 51,149 132151 2,678,255 145,209 0.9458

南京银行 4,539 1943 10219 93,706 11,346 0.8789

北京银行 18,578 7,490 31716 417,022 33,794 0.9190

建设银行 355,438 131,597 431353 7,555,452 467,562 0.9381