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 ,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 owners 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 (12/31/00, 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 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 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 agreement 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 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 assets,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 maturity 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 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,Bank liabilities: Deposits,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.,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.,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 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,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 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.,Income 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 revenue. 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.