复旦大学：《中国金融市场 Chinese Financial Markets》教学课件_Lecture 2（2016）The Chinese Banking System.pdf_大学文库

2016/10/3 2 Basel Accord I • Basel I Framework – Capital Accord in 1988 established minimum capital standard designed to protect against credit risk – The 1996 Amendment broadened the scope to include market risk in calculating capital – In 1998 the Committee discussed the importance of operational risk as a substantial financial factor – In 2001 guidelines on managing operational risk published 2-7 Basel Accord II • Basel II Framework – The new capital accord released in June 2004 – Formalized in 2006 • Three “pillars” in Basel II – Minimum risk-based capital requirements – Supervisory review of capital adequacy – Market discipline through public disclosure 2-8 Capital Requirements • Risk-Based Capital Guidelines – Capital (asset) requirement provides buffer for commercial banks when market reverses. – Safe assets preserve value in the downturn, while risky assets lose value more and faster – Risk-based capital means the average value that can be lost in severe market reverses. – A certainty amount of safe assets should be required to deal with the value loss. 2-9 Capital Requirements • Assets are classified in 4 types according to their risk. • Each is allocated a credit risk weight. • Safe assets do not require buffer in the market downturn as they depreciate little. • Risky assets depreciate more and need more buffer, and should be applied higher weights. • The weighted average is the risk-based capital (or risk-weighted assets). 2-10 Capital Requirements Do you need 100% cover of the risk-based capital? 2-11 Capital Requirements • Capital required is defined as Tier I and Tier II capital. • Tier 1 (Core Capital) includes common stock, certain preferred stock, and minority interest. • Tier 2 (Supplementary Capital) includes loan-loss reserve, certain preferred stock, perpetual debt, hybrid capital instruments, and subordinated debt. • Minimum requirements are established as 4% for Tier I and 8% for total (Tier I and Tier II). 2-12

2016/10/3 3 Capital Requirements • Capital Adequacy Ratio (CAR) – a measure of the amount of a bank's core capital expressed as a percentage of its risk-weighted asset. – According to Basel II, a commercial bank should keep its CAR no lower than 8% for risk management purposes. 2-13 Capital Requirements 2-14 Cash 10*0%=0 Government bonds 15*0%=0 Mortgage loans 20*50%=10 Other loans 50*100%=50 Other assets 5*100%=5 Risk-weighted assets 65 Basel Accord III • Basel III was developed in response to the deficiencies in financial regulation revealed by the late-2000s financial crisis. • It requires banks to hold 4.5% of common equity and 6% of Tier I capital of risk-weighted assets. • Banks should maintain a leverage ratio——Tier1 capital over the bank's average total consolidated assets——no lower than 3%. • Banks should also maintain sufficient liquid assets to cover total net cash outflows over 30 days or amount over a 1-year period of extended stress. 2-15 Basel Accord III • In July 2013, the Fed announced that the minimum leverage ratio would be 6% for 8 systemically important financial institution (SIFI) banks and 5% for their bank holding companies. • In June 2012, CBRC set a minimum CAR for top banks of 9.5% (small banks 8.5%) by the end of 2013. • CBRC also provided a 6-year grace period for banks of "systemic importance" to reach a minimum CAR of 11.5% (smaller banks 10.5%) by the end of 2018. 2-16 CAR in Chinese Banks14.50% 11.60% 12.59% 13.14% 18.48% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% Large Commercial Banks Joint-stock Commercial Banks City Commercial Banks Rural Commercial Banks Foreign Banks CAR in 2015 2-17 Bank Loan Classification Normal Special Mention has potential weaknesses that deserve managements close attention. If left uncorrected, these potential weaknesses may result in deterioration of the repayment prospects for the asset or in the institution’s credit position at some future date. Standard is inadequately protected by the current sound worth and paying capacity of the obligator of the collateral pledged, if any. Assets so classified must have a well-defined weakness, or weaknesses, that jeopardize the liquidation of the debt. Doubtful has all the weaknesses inherent in one classified substandard with the added characteristic that the weaknesses make collection or liquidation in full, on the basis of currently existing facts, conditions, and values, highly questionable and improbable Loss are considered uncollectible and of such little value that their continuance as bankable assets is not warranted. This classification does not mean that the asset has absolutely no recovery or salvage value, but rather that it is not practical or desirable to defer writing off this basically worthless asset even though partial recovery may be effected in the future Non Performing Loans 2-18

2016/10/3 NPL (Non Performing Loans) Total NPL Calculation A non-performing loan is a loan that is in default or The total amount of the loan, not just the outstanding close to being in default loan balance when the loan was considered (By IMF)A loan is nonperforming when nonperforming, counts toward the nPl total 1) payments of interest and principal are past due Example: a borrower had a $100, 000 loan but repaid 40,000 on time, and went 90 days behind on hi by 90 days or more, ayments with $60,000 still due, the entire $100,000 2)or at least 90 days of interest payments have would be classified as a nonperforming loan delayed by If the borrower starts repaying the loan again after it agreement has been classified as nonperforming the loan is removed from the npl list there are other good reasons to doubt that payments will be made in full If the bank sells the loan to another agency fes l total collection the loan is also removed from the np NPL Ratio NPL Ratio NPL ratio is the NPl to total amount of outstanding perce Example: Bank xXX has a total loan portfolio of $200 illion with S5 million in NPL. The NPl rati 50000005200,000000)=(5/200)=0025,or Financial analysts frequently use the NPl ratio to compare the quality of loan portfolios among banks NPL LoSS Provision NPL Provision Coverage ratio For commercial banks unrecoverable npls are a The loan loss provision coverage ratio is an indicator major source of asset impairment. of how protected a bank is against future losses eet a Provision coverage ratio =(pretax income loan loss that represents a bank's best estimate of future loan amount of the loan that will never be rep Example: a bank extends a $500,000 5-year loan,one If the bank reported pretax income of $2, 500,000 year later the borrower runs into financial problems and a loan loss provision of $800,000 and net charge- If the bank believes the client will only repay 60% of offs of s500, 000, the loan loss provision coverage the borrowed amount the bank will record a loan atio=66(5250000+5800,000)/S500000,or loss provision of s200000=(100%-60%×S500,000

2016/10/3 4 NPL (Non Performing Loans) • A non-performing loan is a loan that is in default or close to being in default. • (By IMF) A loan is nonperforming when: – 1) payments of interest and principal are past due by 90 days or more, – 2)or at least 90 days of interest payments have been capitalized, refinanced or delayed by agreement, – 3)or payments are less than 90 days overdue, but there are other good reasons to doubt that payments will be made in full 2-19 Total NPL Calculation • The total amount of the loan, not just the outstanding loan balance when the loan was considered nonperforming, counts toward the NPL total. • Example: a borrower had a $100,000 loan but repaid $40,000 on time, and went 90 days behind on his payments with $60,000 still due, the entire $100,000 would be classified as a nonperforming loan. • If the borrower starts repaying the loan again after it has been classified as nonperforming, the loan is removed from the NPL list. • If the bank sells the loan to another agency for collection, the loan is also removed from the NPL total. 2-20 NPL Ratio • NPL ratio is the NPL to total amount of outstanding loans in the bank's portfolio, usually expressed as a percentage. • Example: Bank XXX has a total loan portfolio of $200 million, with $5 million in NPL. The NPL ratio is: ($5,000,000/$200,000,000) = (5/200) = 0.025, or 2.5%. • Financial analysts frequently use the NPL ratio to compare the quality of loan portfolios among banks. 2-21 NPL Ratio 2-22 NPL Loss Provision • For commercial banks, unrecoverable NPLs are a major source of asset impairment. • The loan loss provision is a balance sheet account that represents a bank's best estimate of future loan losses. • Example: a bank extends a $500,000 5-year loan, one year later the borrower runs into financial problems. If the bank believes the client will only repay 60% of the borrowed amount, the bank will record a loan loss provision of $200,000= (100% – 60%) x $500,0002-23 NPL Provision Coverage Ratio • The loan loss provision coverage ratio is an indicator of how protected a bank is against future losses. • Provision coverage ratio =(pretax income + loan loss provision) / net charge-offs. A net charge-off is the amount of the loan that will never be repaid. • If the bank reported pretax income of $2,500,000 and a loan loss provision of $800,000 and net chargeoffs of $500,000, the loan loss provision coverage ratio = 6.6 (($2,500,000 + $800,000) / $500,000), or 660%. 2-24

2016/10/3 5 NPL Ratio 2015Q1 2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 Normal 95.08% 94.87% 94.64% 94.54% 94.25% 94.22% Special Mention 3.52% 3.64% 3.77% 3.79% 4.01% 4.03% NPL 1.39% 1.50% 1.59% 1.67% 1.75% 1.75% Standard 0.68% 0.73% 0.75% 0.78% 0.82% 0.77% Doubtful 0.56% 0.60% 0.65% 0.69% 0.73% 0.76% Loss 0.16% 0.17% 0.19% 0.20% 0.20% 0.21% Provision Coverage Ratio 211.98% 198.39% 190.79% 181.18% 175.03% 175.96% NPL ratio and provisioning in incorporated financial institutions in China 2-25 Loan to Deposit Ratio (LTD) • Loan to deposit ratio is the ratio between a bank’s total loans and total deposits. • A high ratio indicates high operating efficiency, but also high risks because the bank might not have enough liquidity to cover any unforeseen funding requirements or economic crises. • If the ratio is greater than 1, the bank is borrowing money that is re-loaned at higher rates, rather than relying entirely on its own deposits. • On June 25, 2015, the 75 percent loan-to-deposit ratio in China was removed 2-26 2.2 Current Banking System in China2-27 2-28 Abbreviations • PBoC: People’s Bank of China • BOC: Bank of China • ICBC: Industrial and Commercial Bank of China • CCB: China Construction Bank • ABC: Agricultural Bank of China • BoCom: Bank of Communication • PSBC: Postal Savings Bank of China • SOCB: State-owned Commercial Banks • JSCB: Joint-stock Commercial Banks 2-29 Abbreviations • AMC: Asset Management Company • SAFE: State Administration of Foreign Exchange • CBRC: China Banking Regulatory Committee • CIRC: China Insurance Regulatory Committee • CSRC: China Security Regulatory Committee • MOF: Ministry of Finance • Huijin: China Huijin Investment Co. • CIC: China Investment Co. • SOE: State-owned Enterprises • NPL: Non-performing Loans Current Banking System 2-30 Central bank People’s Bank of China Regulatory institution CBRC China Banking Association Self-discipline institution Banking Institutions Non-banking Institutions

2016/10/3 6 Current Banking System 2-31 Banking System in China 5 State-owned Commercial Banks 12 Joint Stock Commercial Banks 133 City Commercial Banks 3 Policy Banks 665 Rural Commercial Banks 89 Rural Cooperative Banks 1596 Rural Credit Cooperatives 41 Incorporated Foreign Banks 68 Trust Companies 49 Rural Mutual Cooperatives 1 China-German Bausparkasse 30 Financial Leasing Companies 18 Auto Finance Companies 1 Postal Saving Bank As of end 2014 6 Consuming Finance Companies 5 Money Brokerage Firms 1153 Town and Village Banks 196 Finance Companies 4 Asset Mgt. Companies 14 Lending Companies 2-31 State-owned Commercial Banks 2-32 2-33 Establish Year IPO Huijin Holding* MOF Holding Total Assets** (Tril. RMB) Rev.** (Bil. RMB) Net Profit** (Bil. RMB) CCB 1954 SSE：2007/9/15 HKSE：2005/10/27 57% 16.74 570.47 227.83 BOC 1912 SSE：2006/6/23 HKSE：2006/6/11 64% 15.25 456.33 169.60 ICBC 1984 SSE：2006/10/27 HKSE：2006/10/27 35% 34.88% 20.61 658.89 275.81 ABC 1955 SSE： 2010/7/15 HKSE：2010/7/16 40% 42.70% 15.97 520.86 179.46 BoCom 1908 SSE：2007/5/15； HKSE：2005/6/24 26.5% 6.27 177.40 65.85 State-owned Commercial Banks *As of mid 2015；**From 2014 annual reports History of BOC • China's first central bank was established as the Bank of the Board of Revenue in 1905. • The name was changed to the Great Qing Government Bank (Daqing Bank) in I908. • Daqing Bank's note was granted exclusive privilege to be used in all public and private fund transfers, including tax payments and debt settlements. • Following the Xinhai Revolution of 1911, Daqing Bank was renamed the Bank of China. • BOC was specialized in forex transactions during 1953-1978. 2-34 History of BoCom • Bank of Communications was organized by the Ministry of Posts and Communications in 1908. • It was chartered as "the bank for developing the country's industries". • The bank's aim was to unify funding for steamship lines, railways, as well as telegraph and postal facilities. • The bank opened its first Hong Kong Branch on 27 November 1934. • BoCom merged to PBC and CCB in 1958 except the business in Hong Kong. 2-35 Other State-owned Banks Policy Banks • All established in 1994, directly supervised by the State Council Postal Savings Bank of China • established in Mar 2007 • the former as CPSRB(China Postal Saving Regulatory Bureau) 2-36

2016/10/3 7 Policy Banks • China Development Bank – Established in 1994, directly supervised by the State Council – The major task is to provide long-term financing for key projects and supportive construction in infrastructure and basic and pillar industries – The bank was reformed in 2008 with $20 billion capital injection and renamed as “China Development Bank Corporation”. 2-37 Policy Banks • Agricultural Development Bank of China – Established in 1994, directly supervised by the State Council – It raises funds for agricultural policy businesses and undertake the agricultural policy credit businesses specified by the central government – Most of the funds come from the central bank lending, supplemented by deposits from business and overseas financing. 2-38 Policy Banks • The Export-Import Bank of China – Established in 1994, directly supervised by the State Council – It finances the exporting of machinery and electronic products and high-tech products, and supports overseas constructions contracts. – It also accepts government concession loans and onlends loans of foreign government and international financial institutions. 2-39 2-40 Postal Savings Bank of China • Postal savings services started from 1986 with the establishment of CPSRB(China Postal Saving Regulatory Bureau) • CPSRB had a deposit balance of 1.6 RMB trillion by the end of 2006, the biggest saving institution after the "big four” • State Council approved the establishment of the postal savings bank in July 2005; CBRC released the plan in June 2006 • CPSB was established in Mar 20th, 2007. Joint-stock Commercial Banks 2-41 2-42 Found Time IPO Total Assets* Revenue* Net Profit* China Merchant Bank 1987/4 SSE: 2002/4/9; HKSE: 2006/9/22 4.73 165.86 55.91 Industrial Bank Jun-88 SSE: 2007/2/5 4.41 124.9 47.14 Shanghai Pudong Development Bank Aug-92 SSE: 1999/11/10 4.20 123.18 47.03 China Citic Bank Apr-87 SSE&HKSE: 2007/4/26 4.14 124.72 40.69 China Minsheng Bank Jan-96 SSE:2000/12/19; HKSE:2009/11/26 4.02 135.47 44.55 China Everbright Bank Aug-92 SSE: 2010/8/18/; HKSE:2013/12/20 2.74 78.53 28.8 Ping An Bank Dec-87 SZSE: 1991/4/3 2.19 73.41 19.8 Huaxia Bank Oct-92 SSE: 2003/9/12 1.85 54.89 17.98 China Guangfa Bank Jun-88 1.65 44.64 12.04 Hengfeng Bank 2003 reorg. 0.85 19.82 7.17 China Zheshang Bank 2004 reorg. 0.67 17.24 5.03 China Bohai Bank Feb-06 0.67 15.57 5.03 Joint-stock Commercial Banks *From 2014 annual reports

2016/10/3 9 Key Indicators of Chinese Banking Sector 2-49 Key Indicators of Chinese Banking Sector 2-50 Key Indicators of Chinese Banking Sector 2-51 Key Indicators in 2015 and 2016M6 2015 2016M6 Total Assets Total Liabilities Total Assets Total Liabilities Banking Sector 199.35 100.00% 184.14 100.00% 212.31 100.00% 196.17 100.00% Large Commercial Banks 78.16 39.21% 72.04 39.12% 78.46 36.95% 72.24 36.82% Joint-stock Commercial Banks 36.99 18.55% 34.67 18.83% 39.89 18.79% 37.40 19.06% City Commercial Banks 22.68 11.38% 21.13 11.48% 25.20 11.87% 23.54 12.00% Rural Commercial Institutions 25.66 12.87% 23.74 12.89% 28.33 13.34% 26.31 13.41% Others 35.86 17.99% 32.56 17.68% 40.43 19.04% 36.68 18.70% 2-52 Global Competitiveness Current Rank Previous Rank BANK Assets US$m + or - (local curr) Capital US$m 1 1 Industrial & Commercial Bank of China Limited, China 3,320,865 +9.00% 62,506.00 2 2 China Construction Bank Corporation, China 2,697,968 +9.00% 40,284.00 3 3 Agricultural Bank of China Limited, China 2,573,902 +10.00% 58,770.00 4 4 BNP Paribas SA, France 2,513,621 +15.00% 32,629.00 5 5 Bank of China Limited, China 2,457,443 +10.00% 58,083.00 6 6 Barclays Bank PLC, UK 2,115,448 +1.00% 6,426.00 7 7 JPMorgan Chase Bank National Association, USA 2,074,952 +7.00% 1,785.00 8 8 Deutsche Bank AG, Germany 2,067,146 +6.00% 4,272.00 9 9 Crédit Agricole SA, France 1,922,424 +5.00% 9,350.00 10 10 Japan Post Bank Co Ltd., Japan 1,734,936 +3.00% 29,168.00 Balance sheet date: 2014.12.31 2-53 Global Competitiveness Current Rank Previous Rank BANK Assets US$m + or - (local curr) Capital US$m 11 11 China Development Bank Corporation, China 1,662,266 +26.00% 49,420.00 26 26 Postal Savings Bank of China Co Ltd, China 1,014,844 +13.00 9,184.00 27 27 Bank of Communications Co Ltd, China 1,010,006 +5.00% 11,966.00 39 40 Merchants Bank Co Ltd, China 762,436 +18.00% 4,064.00 42 44 Industrial Bank Co Ltd, China 710,000 +20.00% 5,158.00 43 45 Shanghai Pudong Development Bank Co. Ltd., China 676,086 +14.00% 5,416.00 47 50 China Citic Bank Corporation Ltd. (CNCB), China 666,884 +14.00% 7,539.00 49 51 China Minsheng Banking Corporation Limited, China 646,956 +24.00% 5,503.00 Balance sheet date: 2014.12.31 2-54