商业银行的经营评价分析
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商业银行的经营评价分析 单击此处添加副标题
第二章 商业银行经营评价
对外经济贸易大学 金融学院
何自云
2/69
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(XX年2月22
100 100
5/69
PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn)
Asset (%)
Liabilities(%)
PNC CNB
PNC CNB
Loans
78.0 64.9 Deposits
Long-term investment: notes and bonds
Treasury securities Obligations of federal agencies Mortgage-backed, foreign, and corporate
11/69
Bank Assets: Noninterest cash and due from banks
market.
14/69
Bank liabilities: Deposits
Demand deposits
transactions accounts that pay no interest
Negotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts
12/69
Bank Assets: Other assets
Other assets are residual assets of relatively small magnitudes such as
bankers acceptances premises and equipment other real estate owned and other smaller
15/69
Fra Baidu bibliotek
Bank liabilities: Deposits
Two general time deposits categories exist:
Time deposits in excess of $100,000, labeled jumbo certificates of deposit (CDs).
Asset (%)
Liabilities(%)
CN US
CN US
Loans
60.2 61.4 Deposits
81.4 65.8
Investments
6.6 23.1 Borrowings
14.9 27.2
Cash
24.8 9.1
Other
8.4 7.4 Capital
3.8 7.1
Total
100 100 Total
Unlike deposits, the debt is not federally insured and claims of bondholders are subordinated to claims of depositors.
19/69
Capital: Stockholders' equity
日) Performance Characteristics of Different-
sized Banks
3/69
Balance Sheet
It is a statement of financial position listing assets owned, liabilities owed, and owner’s equity as of a specific date.
earn interest, help meet liquidity needs speculate on interest rate movements serve as part of a bank’s dealer functions.
The administration and transaction costs are extremely low.
18/69
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.
Small CDs, considered core deposits which tend to be stable deposits that are typically not withdrawn over short periods of time.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
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
Leases; Unearned income; Loss allowance
8/69
PNC and CNB: Loan portfolio (2000)
Real estate Commercial Individuals Agricultural Domestic other International Unearned income Loss allowance Total
72.8 91.7
Investments
8.7 25.6 Borrowings
18.9 1.0
Cash
5.6 5.7
Other
7.7 3.9 Capital
8.3 7.3
Total
100 100 Total
100 100
6/69
Bank Assets: Loans
Loans are the major asset in most banks’ portfolios and generate the greatest amount of income before expenses and taxes.
17/69
Borrowings (volatile funds)
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
It consists of
vault cash, deposits held at Federal Reserve Banks deposits held at other financial institutions cash items in the process of collection
balances issued by a bank subsidiary located outside the U.S.
16/69
Core doposits
Core deposits are stable deposits that are 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.
PNC 37.0 28.8 5.6 0.0 7.3 0.5 - 0.2 - 1.0 78.0
CNB 37.0 19.4 4.3
0 4.7 0 0 -0.5 64.9
9/69
Bank Assets: Investment securities
Investment securities are held to
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 other borrowings with maturities less than one year
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
amounts
13/69
Bank Liabilities
The characteristics of various debt instruments differ in terms of
check-writing capabilities interest paid maturity whether they carry FDIC insurance whether they can be traded in the secondary
They also exhibit the highest default risk and are relatively illiquid.
7/69
Loans: Categories
Real estate loans Commercial loans Loans to individuals Agricultural loans Other loans in domestic offices Loans and leases in foreign offices Three adjustments
Assets = Liabilities + Equity. Balance sheet figures are calculated at a
particular point in time and thus represent stock values.
4/69
China Big Four Banks (12/31/XX ) v.s. All US Banks (12/31/2019)
10/69
Bank Assets: Investment securities
Short-term investments
Interest-bearing bank balances (deposits due from other banks)
federal funds sold securities purchased under agreement to resell (RPs) Treasury bills municipal tax warrants
第二章 商业银行经营评价
对外经济贸易大学 金融学院
何自云
2/69
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(XX年2月22
100 100
5/69
PNC Bank (12/31/2000, TA: 63 bn) v.s. Community National Bank (12/31/00, TA: 0.1bn)
Asset (%)
Liabilities(%)
PNC CNB
PNC CNB
Loans
78.0 64.9 Deposits
Long-term investment: notes and bonds
Treasury securities Obligations of federal agencies Mortgage-backed, foreign, and corporate
11/69
Bank Assets: Noninterest cash and due from banks
market.
14/69
Bank liabilities: Deposits
Demand deposits
transactions accounts that pay no interest
Negotiable orders of withdrawal (NOWs) and automatic transfers from savings (ATS) accounts
12/69
Bank Assets: Other assets
Other assets are residual assets of relatively small magnitudes such as
bankers acceptances premises and equipment other real estate owned and other smaller
15/69
Fra Baidu bibliotek
Bank liabilities: Deposits
Two general time deposits categories exist:
Time deposits in excess of $100,000, labeled jumbo certificates of deposit (CDs).
Asset (%)
Liabilities(%)
CN US
CN US
Loans
60.2 61.4 Deposits
81.4 65.8
Investments
6.6 23.1 Borrowings
14.9 27.2
Cash
24.8 9.1
Other
8.4 7.4 Capital
3.8 7.1
Total
100 100 Total
Unlike deposits, the debt is not federally insured and claims of bondholders are subordinated to claims of depositors.
19/69
Capital: Stockholders' equity
日) Performance Characteristics of Different-
sized Banks
3/69
Balance Sheet
It is a statement of financial position listing assets owned, liabilities owed, and owner’s equity as of a specific date.
earn interest, help meet liquidity needs speculate on interest rate movements serve as part of a bank’s dealer functions.
The administration and transaction costs are extremely low.
18/69
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.
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
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
Leases; Unearned income; Loss allowance
8/69
PNC and CNB: Loan portfolio (2000)
Real estate Commercial Individuals Agricultural Domestic other International Unearned income Loss allowance Total
72.8 91.7
Investments
8.7 25.6 Borrowings
18.9 1.0
Cash
5.6 5.7
Other
7.7 3.9 Capital
8.3 7.3
Total
100 100 Total
100 100
6/69
Bank Assets: Loans
Loans are the major asset in most banks’ portfolios and generate the greatest amount of income before expenses and taxes.
17/69
Borrowings (volatile funds)
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
It consists of
vault cash, deposits held at Federal Reserve Banks deposits held at other financial institutions cash items in the process of collection
balances issued by a bank subsidiary located outside the U.S.
16/69
Core doposits
Core deposits are stable deposits that are 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.
PNC 37.0 28.8 5.6 0.0 7.3 0.5 - 0.2 - 1.0 78.0
CNB 37.0 19.4 4.3
0 4.7 0 0 -0.5 64.9
9/69
Bank Assets: Investment securities
Investment securities are held to
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 other borrowings with maturities less than one year
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
amounts
13/69
Bank Liabilities
The characteristics of various debt instruments differ in terms of
check-writing capabilities interest paid maturity whether they carry FDIC insurance whether they can be traded in the secondary
They also exhibit the highest default risk and are relatively illiquid.
7/69
Loans: Categories
Real estate loans Commercial loans Loans to individuals Agricultural loans Other loans in domestic offices Loans and leases in foreign offices Three adjustments
Assets = Liabilities + Equity. Balance sheet figures are calculated at a
particular point in time and thus represent stock values.
4/69
China Big Four Banks (12/31/XX ) v.s. All US Banks (12/31/2019)
10/69
Bank Assets: Investment securities
Short-term investments
Interest-bearing bank balances (deposits due from other banks)
federal funds sold securities purchased under agreement to resell (RPs) Treasury bills municipal tax warrants