2011第二章 商业银行的财务分析与业绩

第二章商业银行的财务分析与业绩评价第一节银行的财务报表一、资产负债表:资产＝负债＋股东权益（一）资产:1、现金及存放银行同业：初级（一级）储备;2、所投资证券：二级储备；流动性部分+获取收益部分＝可销售证券＋持有到期证券；3、交易账户资产：用于销售而谋求价差的证券4、已售联邦基金和逆回购协议5、贷款与租赁6、贷款损失储备ALL)7、其他资产5、贷款与租赁•工商贷款•消费者贷款•房地产贷款•金融机构贷款•外国贷款•农业贷款•对州政府及附属机构贷款•证券贷款•其他贷款7、其他资产•房屋与固定资产•所持有的其他房地产•在非合并报表的附属企业投资•商誉及其他无形资产•其他资产（二）负债＋股权资本•1、负债：–（1）存款(国内+国外）Or不付息+付息不付息活期存款（常规支票存款）•储蓄存款•NOW账户•货币市场存款账户•定期存款（二）负债＋股权资本（2）非存款性质的借款–所购买的联邦基金及回购协议–其他负债：•贴现窗口借入•发行商业票据•欧洲货币市场借款•发行债券•次级债务•2、股权资本（永久性优先股＋普通股＋盈余＋未分配利润）二、银行表外业务•贷款承诺•备用信用证•衍生合约三、损益表（收入表）•利息收入•利息支出•净利息收入•贷款/租赁损失准备（拨备）•非利息收入•非利息支出•税前营运收入•证券收益（损失）•所得税•特别项前收入•特别收益（损失）•净收入主要的非利息收入渠道•信托类业务活动•存款账户的服务收费•交易账户所得及收费•其他非利息收入信托类业务活动的收入类别•管理与维护客户财产的收费•提供公司证券交易提供账簿记录服务及利息、红利支付服务的收费•管理公司和个人的年金和退休金计划的收费存款服务的收费项目•支票账簿的维护费•支票账户的透支收费•支票服务费（超出额度支票数量部分）•储蓄账户透支费•止付支票收费交易账户所得及收费•交易现金类金融工具的损益•表外衍生交易损益其他非利息收入来源•投资银行、咨询、经纪人和承销服务•风险资本收益•服务收费•证券化收益•保险手续费•贷款出售损益•物业出售损益•其他资产出售损益TheDirectRelationshipbetweentheIncomeStatementandtheBalanceSheetNMNI=rnAn-rmLm-P+NII-NIE-Tn=1m=1whereNI=Bank’snetincomeAn=Dollarvalueofthebank’snthassetLm=Dollarvalueofthebank’snthliabilityrn=Rateearnedonthebank’snthassetrm=Ratepaidonthebank’snthliabilityP=ProvisionforloanlossesNII=noninterestincomeearned,includingOBSNIE=noninterestexpensesincurredT=Bank’staxesN=numberofassetsthebankholdsM=numberofliabilitiesthebankholdsTheDirectRelationshipbetweentheIncomeStatementandtheBalanceSheetNMNI=rnAn-rmIm-P+NII-NIE-Tn=1m=1whereNI=Bank’snetincomeAn=Dollarvalueofthebank’snthassetLm=Dollarvalueofthebank’snthliabilityrn=Rateearnedonthebank’snthassetrm=Ratepaidonthebank’snthliabilityP=ProvisionforloanlossesNII=noninterestincomeearned,includingOBSNIE=noninterestexpensesincurredT=Bank’staxesN=numberofassetsthebankholdsM=numberofliabilitiesthebankholds第二节银行的业绩评价与财务分析一、银行的长期经营目标――股东利益最大化股东利益的衡量•资产负债表的股东权益•根据股票市场价格计算的股东利益•按净现金流折现的股东利益二、绩效评价方法Timeseriesanalysis-analysisoffinancialstatementsoveraperiodoftimeCross-sectionalanalysis-analysisoffinancialstatementscomparingonefirmwithothers（一）比率分析法•盈利能力比率•营业支出比率•流动性比率•风险比率（二）杜邦分析法：渐次分解法三、绩效评价指标体系•（一）股权价值•E=A-L，L一般按原始价值计算–A按原始价值计算–A按市场价值计算（主要是证券资产按市场价值计算）•E=P0×Q,P0为股票价格，Q为股票数量•股票价格的计算：–P0=Σ[E(Dt)/(1+r)t],t=0~∞–P0=D1/(r-g)–股票此时在流通市场的价格（二）主要的盈利指标•ROE与ROAROE=NetincomeAverageAssetsAverageAssetsAverageequitycapital=ROAEMReturnonAssetsandItsComponentsReturnonAssets(ROA)-measuresprofitgeneratedrelativetotheFI’sassetsROA=NetIncomeTotaloperatingincomeTotaloperatingincomeAverageassets=PMAU*Totaloperatingincome=InterestIncome+Non-InterestIncomeReturnonAssetsandItsComponentsROE=ROAxEM=PMxAUxEM=TMExEMExAUxEMPM=Netincome/TotaloperatingrevenueAU=Totaloperatingrevenue/TotalassetEM=Totalassets/TotalequitycapitalTME=Netincome/PretaxnetoperatingincomeEME=Pretaxnetoperatingincome/TotaloperatingrevenueProfitMarginProfitMargin(PM)-measurestheabilitytopayexpensesandgenerateincomefrominterestandnoninterestincomeInterestexpenseratio=InterestexpenseTotaloperatingincomeProvisionforloanlossration=ProvisionforloanlossesTotaloperatingincomeNoninterestexpenseratio=NoninterestexpenseTotaloperatingincomeTaxRatio=IncometaxesTotaloperatingincomeAssetUtilizationAssetutilization(AU)-measurestheamountofinterest/noninterestincomegeneratedperdollaroftotalassetsAU=Totaloperatingincome=Interest+NoninterestAverageassetsincomeincomeratioratioNetInterestMarginNetinterestmargin:interestincomeminusinterestexpensedividedbytotalassetsorearningassetsNetinterest=NetinterestincomemarginAverageassets=Interestincome-InterestexpenseAvg.Investmentsecurities+Avg.NetloansandleasesNetnoninterestMargin•NetnoninterestMargin:Noninterestrevenuesminusnoninterestexpensesdividedbytotalassetsorearningassets.•Netnoninterestmargin=noninterestrevenues-noninterestexpensestotalassets(orearningassets)Netoperatingmargin•Netoperatingmargin=totaloperatingrevenues-totaloperatingexpensetotalassets(orearningassets)SpreadSpread-thedifferencebetweenlendinganddepositrates*Spread=Interestincome-InterestexpenseAvg.EarningassetsAvg.Interest-bearingliabilities*Thehigherthespread,thebetter.Netoperatingmargin•Netoperatingmargin=totaloperatingrevenues-totaloperatingexpensetotalassets(orearningassets)OverheadEfficiencyOverheadefficiency-abank’sabilitytogeneratenoninterestincometocovernoninterestexpenses*Overheadefficiency=NoninterestincomeNoninterestexpense*Thehighertheratio,thebetter.（三）主要的风险指标1、总体风险的度量•股票价格的方差或标准差•净收入的方差或标准差•ROE或ROA的方差或标准差2、信用风险的度量•不良贷款/(总贷款与租赁）•冲销贷款/(总贷款与租赁）•年度贷款损失准备/总贷款与租赁（或股权资本）•贷款损失准备/总贷款与租赁（或股权资本）•不良贷款/股权资本3、其他风险的度量•流动性风险•市场风险•利率风险•操作风险（四）其他常用指标•营运效率Operatingefficiencyratio=TotaloperatingexpensesTotaloperaingrevenues•员工生产效率Employeeproductivityratio=NetoperatingincomeNumberoffull-time-equivalentimployees