商业贷款准备金.ppt
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1、Enterprise Credit Risk 企业信用风险 Commercial Reserves 商业贷款准备金,2,Allowance for Credit Losses & Provision 坏账备抵金及拨备 Historical Perspective 历史综述,Industry-wide Allowance for Credit Losses (ACL) practices have evolved over the past several years. Response to concerns raised by the Securities & Exchange Commis
2、sion and accounting authorities over: 过去几年,金融业的坏账备抵金(ACL)做法也发生了变化,这是为了响应证券交易委员会和会计主管机关对以下方面提出的担心: Diversity in practice 会计做法的多元化 Earnings management 盈利管理 Documentation adequacy and financial statement disclosure sufficiency 文档的充足性和财务报表披露的充分性 Accounting Standards Executive Committee (AcSEC) of the Am
3、erican Institute of Certified Public Accountants (AICPA) undertook a project intended to: 美国注册会计师协会(AICPA)会计准则执行委员会进行了一个项目,旨在: Narrow the wide spectrum of practices and interpretations 缩小会计做法和解释的自由掌握空间 Improve disclosures 改进信息披露 Impact 影响 Industry refined methodologies consistent with the guidance 金
4、融业根据指导意见重新定义了会计方法,3,Allowance for Credit Losses & Provision 坏账备抵金及拨备 Historical Perspective 历史综述,Key Guiding Principles of the Exposure Draft 征求意见稿的关键指导原则 Component of ACL for Individual Loan Impairment (Typically applies to nonperforming commercial loans) 坏账备抵金中的个别贷款减值部分(一般适用于不良商业贷款) Component of A
5、CL for Collective Loan Impairment Groups of loans based on similar credit risk characteristics with the primary basis for reserving being historical charge-off experience 坏账备抵金中的集体贷款减值部分以信用风险特征类似性别为依据对贷款进行分类,以历史撇账经验为了提列准备金的主要依据 Historical charge-off experience adequacy / appropriateness 历史撇账经验的充足性/适
6、当性 Observable data 可观测的数据 Directional consistency 方向的一致性,4,Allowance for Credit Losses & Provision 坏账备抵金及拨备,Allowance for Credit Losses (ACL) 坏账备抵金 Represents managements estimate of probable losses in the loan and leases portfolio and within the unfunded lending commitments portfolio 坏帐备抵反映了管理层对贷款及
7、租赁组合以及未使用贷款承诺组合中可能发生之损失的估计 The Allowance for Loan and Lease Losses (ALL) is allocated based on three components 贷款及租赁损失备抵(ALL)分摊给三个组成部分 Nonperforming or impaired commercial loans 不良或减值的商业贷款 Performing commercial loans and leases and all consumer loans 良好的商业贷款及租赁和所有消费类贷款 Economy and imprecision compo
8、nent 经济及不准确性部分 The Reserve for Unfunded Lending Commitments is determined in a similar fashion to the ALL 未使用贷款承诺准备金的确定方法与贷款及租赁损失备抵类似 Additions or adjustments to the reserve are made by charges to provision for credit loss expense. 准备金的增加或调整计入信用损失费用拨备项下,5,Commercial Reserves Starting Point 商业贷款准备金起点
9、,The starting point in calculating the Commercial Allowance for Credit Losses (ACL) is Reservable Exposure by product. 商业贷款坏账备抵金的计算方法起点是各产品的应准备风险暴露 Reservable Exposure for the Allowance for Loan and Lease Losses ( ALL) includes: 贷款及租赁损失备抵(ALL)的应准备风险暴露包括: Loans 贷款 Leases 租赁 Bankers Acceptances 银行承兑汇票
10、 Reservable Exposure for the Reserve for Unfunded Lending Commitments (RULC) includes: 未使用贷款承诺准备金的应准备风险暴露包括: Letters of Credit 信用证 Binding Unfunded Commitments 有约束力的未使用贷款承诺 Reservable Exposure excludes (because these are marked to market value): 应准备风险暴露不包括(因系按市值计价): Derivatives 衍生工具 Assets Held for
11、Sale 持有待售资产 Other Collateral Acquired 取得的其他抵押品 Foreclosed Property 止赎不动产,6,Commercial ACL Components 商业贷款坏账备抵金的组成部分,Base Reserves 基础准备金 Computed using historical loss experience by risk rating (developed from migration models updated quarterly) 按风险评级,根据历史损失经验进行计算(根据变动模型法发展而来每季度更新一次) Component Adjust
12、ment Reserves 组成部分调整准备金 Specific Reserves 特定准备金 Applies to “impaired” or non-performing commercial loans (Financial Accounting Standard 114) 适用于“减值”或不良的商业贷款(第114号财务会计准则) Loans $7.5 million are individually evaluated and allocated an allowance when the carrying value of the loan is greater than its m
13、arket value 超过750万美元的贷款要进行个别评估,如贷款的账面价值超过贷款的市场价值,则分配备抵金 Alternate reserves may be carried on impaired leases and letters of credit 对减值的租赁和信用证,可持有其他类型的准备金,7,Commercial ACL Components 商业贷款坏账备抵金的组成部分,Component Adjustment Reserves- Continued 组成部分调整准备金(续) Risk Adjustment Factors: 20 +/- factors assessed
14、quarterly, by product, for direction and impact on credit risk above/below what is reflected in the base or specific reserves. 风险调整因素:每个季度按产品评估20个左右的因素,评价内容是这些因素的趋势以及对信用风险的影响,是在基础或特定准备金所反映水平上增加还是降低 Formulaic: Calculated factors and those additional regulatory required reserves 标准值:计算因素调整额以及额外的监管准备金要
15、求 Directional: Factors monitored for direction and magnitude of change 趋势:监控这些因素的变化趋势和变化的大小 Indirect: Factors monitored for impact on the level of risk in the portfolio 间接:监控这些因素对贷款组合风险水平的影响 Economy and Imprecision Reserves: Imprecision inherent in forecasting methodologies, macroeconomic domestic a
16、nd foreign uncertainty and large single name defaults and event risk 经济及不准确性准备金:预测方法的内在不准确性、国内及国外宏观经济的不确定性、以及巨额的单一交易方违约和事件风险 Reserve for Unfunded Lending Commitments Reserves for standby letters of credit and binding unfunded commitments. 未使用贷款承诺准备金备用信用证及有约束力未使用贷款承诺的准备金,8,Commercial Base Reserves 商业
17、贷款基础准备金,Steps 步骤 Loss Rates 损失率 Loss Rates are updated quarterly by product type and risk rating by: 损失率每季度按产品类型和风险评级进行一个更新: Migration model used to determine the historic 3- year average of 1- year loss rates 采用变动模型来确定1年损失率的3年平均值 For loans that have gone to loss, migration model takes the beginning
18、 period balances distributed by risk rating and plots where the exposure was 1 year ago 对已经损失的贷款,变动模型采用按风险评级分布的初期余额,将风险暴露外推至1年以前 Charge-off percentages by risk rating are then computed from the migration table as gross charge-off dollars over total exposure for each risk rating 然后从变动表中按风险评级计算撇帐百分比,方
19、法是用每个风险评级的总撇账金额除以总风险暴露 The 3- year average loss rates are then adjusted to achieve a reasonable loss curve 然后调整3年平均损失率,得到合理的损失曲线,9,Computing Commercial Base Reserves计算商业贷款基础准备金,Loss Rates- Continued 贷款损失率(续) Loss rates are then further bifurcated between Loan and Lease exposure and Letter of Credit
20、(L/C) Exposure using a Loan Equivalent Factor (LEQ) for the L/Cs. 然后,使用信用证(L/C)的贷款当量系数(LEQ),按贷款及租赁风险暴露和信用证(L/C)风险暴露对损失率进一步细分 The LEQ by internal risk rating is multiplied by the initially computed average loss rate to derive the L/C rate 按内部风险评级确定的 LEQ 乘以最初计算出的平均损失率, 得出 L/C 损失率 The proposed rates fo
21、r Loan and Lease exposure are then calculated pro-rata based on the computed L/C rate requirement 然后,根据 L/C 损失率的计算值,按比例计算出贷款及租赁风险 暴露的损失率 Finally, the proposed rates are further adjusted to yield a more realistic loss curve. 最后,对损失率计算值进行进一步的调整,获得较为符合实际的损失曲线,10,Commercial Base Reserves 商业贷款基础准备金,Base
22、Reserves- Loss Rate Illustrative Example: 基础准备金损失率范例,修匀后,贷款当量系数,第二次修匀,第二次修匀,损失率建议值,国内商业贷款,通过数据队列获得的准备金率,根据过去12个季度的平均一年损失率序列,考虑历史损失率,加上判断,根据信用证减少对贷款当量系数的影响,用“累加”法计算修匀后的损失率,按贷款当量系数计算,以修匀后损失率为基数,For illustrative purposes only 仅用于示意目的,11,Commercial Base Reserves,Base Reserves: Historical loss rates for
23、each risk rating within each product type applied against reservable exposure (Loans, Leases and Bankers Acceptances) Example:,For illustrative purposes only 仅用于示意目的,12,商业贷款基础准备金,基础准备金 对应准备风险暴露(贷款、租赁及银行承兑汇票)使用每个产品类型内部每个风险评级的历史数据 范例:,For illustrative purposes only 仅用于示意目的,13,Component Adjustment Rese
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