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 Commission and a

2、ccounting 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 American Institute o

3、f 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 金融业根据指导意见重新定义了会计方法,3,Allow

4、ance 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 ACL for Collective Loan Impairmen

5、t 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/适当性Observable data 可观测的数据Directional

6、 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

7、 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 component 经济及不准确性部分The Reserve for Unfunded Lending Com

8、mitments 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,The starting point in calculating the Commercial All

9、owance 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Reservable Exposure for the Reserve for Unfunded Lending Commitm

10、ents(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 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,Co

11、mmercial 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 Adjustment Reserves 组成部分调整准备金Specific Reserves 特定准备金Applies to“impaired”or non-performi

12、ng 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 market 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

13、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 quarterly,by product,for direction and impact on credit risk above/below what is reflected in t

14、he 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:Fa

15、ctors 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 and 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、

16、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

17、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 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

18、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

19、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(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

20、 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 for 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

21、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 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

22、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 each risk rating within each product type applied against reservable exposure(Loans,Leases and Bankers Acceptances)Example:,For illustrative

23、 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 Reserves 组成部分调整准备金,Specific Reserves:特定准备金Nonperforming or Impaired Commercial Loans 不良或减值商业贷款Larger impaired loans($7.5 million)are individually evalu

24、ated by the Special Assets(workout)Group(SAG)特殊资产（处理）业务组（SAG）单独评估金额较大的减值贷款（超过750万美元）Market value of the loan is assessed by SAG portfolio manager using:SAG 组合经理使用以下方法来评估贷款的市场价值:Discounted cash flows 折扣现金流法Collateral value,and/or 抵押品价值法，以及/或Observable market price 可观测市场价格法Reserves established when th

25、e carrying value of the loan is greater than its market value based on the above evaluation 贷款的账面价值如超过其市场价值Smaller impaired loans are evaluated as a pool and follow base reserve approach 对金额较小的减值贷款，采取基础准备金法进行集合评估Same approach followed for impaired leases and letters of credit对减值租赁和信用证，采取相同的方法,14,Com

26、ponent Adjustment Reserves 组成部分调整准备金,Formulaic Reserves:标准准备金Country Risk Adjustment Factor 地区风险调整因素The Country Risk Adjustment Factor(Country RAF)recognizes the additional risk for non-U.S.country of risk credits resulting from sovereign,transfer risk and local risk 地区风险调整因素（地区RAF）反映因非美国地区的主权风险、转移风

27、险和当地风险额外造成的信用风险Leverage BAC Capital groups expected loss calculation for Sovereign default probabilities by country risk rating applied to exposure for the applicable country risk rate assuming 100%loss given default假设违约损失率为100%，利用美国银行集团资金组在预期损失计算中按风险暴露的风险评级得出的主权违约概率，计算相关地区的风险率Currently Computed as

28、follows:目前按以下方法计算If the debt is Sovereign,then the exposure is multiplied by the Capital Groups loss rate x 100%(loss given default).如债务为主权债务，则用风险暴露乘以资金组计算出的损失率x100%If debt is Non Sovereign a reduction is applied.The exposure is multiplied by the Capital Groups rate x 0.75%(for transfer risk)or 0.25

29、%(for local risk)x 100%(loss given default).如债务是非主权债务，则用风险暴露乘以资金组计算出的损失率x0.75%（转移风险）或0.25%（当地风险）x 100%（违约损失率）,For illustrative purposes only仅用于示意目的,15,Component Adjustment Reserves,Country Risk Adjustment Factor-Continued Illustrative Examples:,For illustrative purposes only仅用于示意目的,16,组成部分调整准备金,地区风险

30、调整因素（续）范例：,总准备金,要求,风险暴露,风险,评级,基础,准备金率,基础,准备金,地区风险,评级,地区,准备金率,违约,损失率,地区,RAF,要求,主权风险,10,000,000,5,0.20%,20,000,5,0.30%,100%,30,000,50,000,转移风险,10,000,000,5,0.20%,20,000,5,0.30%,75%,22,500,42,500,当地国家风险,10,000,000,5,0.20%,20,000,5,0.30%,25%,7,500,27,500,基础准备金,地区风险调整因素,For illustrative purposes only仅用于示

31、意目的,17,Component Adjustment Reserves 组成部分调整准备金,Directional Reserves:趋势准备金：Overview 概述Group of individual factors supported by observable data有观测数据支持的因素Potential Ratings include:no significant change,decreasing or increasing risk from the prior period.潜在的评级包括：与上一期间相比，无重大变化、趋减或趋增These ratings are revi

32、ewed in aggregate to determine the appropriate level of“directional adjustment”by product对这些评级汇总后进行审查，按产品决定适当水平的“趋势调整”Factors may be added/deleted as necessary可按需要增/删因素Input on direction of factors are obtained from LOB Risk Partners and discussed by the Allowance Committee因素的趋势数据由业务线风险伙伴提供，经备抵金委员会讨

33、论,18,Component Adjustment Reserves 组成部分调整准备金,Indirect Reserves:间接准备金:Overview 概述Group of individual factors representing additional risk that may not move directionally with the credit quality reflected in the formula reserves这些因素代表可能不随标准准备金所反映信用质量的变化而增减的风险Factors are“rated,”reviewed and appropriate

34、 levels are determined by product因素按产品进行“评级”、审查并确定适当的水平Input received from&reviewed with senior management高级管理层提出意见并审查,19,Component Adjustment Reserves 组成部分调整准备金,Economy&Imprecision Reserves:经济及不准确性准备金:Overview 概述Economic and Imprecision reserve established to address inherent risk that is not refle

35、cted in the base,specific or risk adjustment factor reserves建立经济及不准确性准备性是针对基础、特定或风险调整因素准备金中没有反映的内在风险Economic and Imprecision Reserve has 3 components:经济及不准确性准备金有3个组成部分:Foreign Macro Economic component 国外宏观经济部分 Domestic Macro Economic component 国内宏观经济部分 Imprecision component 不准确性部分,20,Component Adjus

36、tment Reserves 组成部分调整准备金,Foreign(Global)Macroeconomic Uncertainty 国外（全球）宏观经济不确定性Reflects the potential impact of global uncertainty&volatility in economic projections on the foreign portfolio(non U.S.country of risk)反映全球经济预测的不确定性及波动性对国外组合的潜在影响（非美国地区风险）Includes external or contagion risk defined as f

37、actors outside the control of a country that have direct or indirect impact on its overall financial performance包括外部或传染风险，是指在一个国家的控制能力之外、对该国的总体经济表现有直接或间接影响的因素Domestic(total US)Macroeconomic Uncertainty 国内（美国全国）宏观经济不确定性Potential impact of domestic uncertainty for the United States at a national level

38、国内不确定性对美国全国的潜在影响Volatility in economic projections on the domestic portfolio经济预测的波动性对国内组合的影响,21,Component Adjustment Reserves 组成部分调整准备金,Imprecision Reserves 不准确性准备金Overview 概述Uncertainties that affect our estimate of probable losses对可能损失的估算值有影响的不确定性Inherent in any estimation process任何估算过程都无法避免Reserv

39、e Drivers 准备金决定因素Model Imprecision 模型的不准确性Single Name Defaults 单一交易方违约Event Risk 事件风险Other non reoccurring conditions 其他非重复出现的状况,22,Illustrative Example of Computed Commercial Domestic Reserves,Reservable,Blended,Exposure,Rate,ALL,Commercial Domestic,Risk Rate 1-4,67,073,0.05%,34,Risk Rate 5-6,81,37

40、6,0.28%,228,Risk Rate 7,8,763,0.32%,28,Risk Rate 8,2,122,1.00%,21,Risk Rate 9,2,381,5.75%,137,Risk Rate 10,112,28.75%,32,Sub-Total Base,161,827,0.30%,480,FAS 114 Adjustment,8,Alternate Allocations and Other,4,Base Total,492,Directional&Indirect RAFs,150,Economy&Imprecision,50,Total Commercial Domest

41、ic,161,827,0.43%,692,For illustrative purposes only仅用于示意目的,23,国内商业贷款准备金计算范例,应准备,综合,风险暴露,损失率,贷款及租赁损失备抵金,国内商业贷款,风险评级1-4,67,073,0.05%,34,风险评级5-6,81,376,0.28%,228,风险评级7,8,763,0.32%,28,风险评级8,2,122,1.00%,21,风险评级9,2,381,5.75%,137,风险评级10,112,28.75%,32,基础准备金小计,161,827,0.30%,480,FAS 114调整,8,替代性分摊及其他,4,基础准备金合计

42、,492,趋势及间接风险调整因素,150,经济及不准确性,50,国内商业贷款准备金合计,161,827,0.43%,692,For illustrative purposes only仅用于示意目的,24,Reserve for Unfunded Lending Commitments未使用贷款承诺准备金,Same approach as commercial loans except loan equivalent factors,reflecting the amount that is likely to be drawn down by the borrower in the even

43、t of default,are applied to the binding unfunded exposure有约束力的未使用贷款承诺的计算方法与商业贷款相同（除贷款当量系数外），反映借款人在违约时可能已使用的金额,25,Keep in Mind 提醒注意的问题,The commercial methodology is systematic in approach,however,still involves a high degree of judgment including:商业贷款准备金的计算方法是系统性的方法，但是依然有很大的主观判断成分，包括:Risk ratings for

44、 pools of commercial loans and leases 商业贷款及租赁集合的风险评级Market and collateral values for and discount rates for individually evaluated loans 被单独评估之贷款的市场价值、抵押品价值和贴现率Product type classifications 产品类型划分Loss rates 损失率Length of history used for loss experience 历史损失经验数据跨越的时间长度Assessment of direction of risk b

45、ased on observable data 根据观测数据进行的风险趋势评估Additional risk factors that may not move directionally with credit quality 其他可能不与信用质量联动的风险因素Adjustments to assess current events and conditions and the related impact on the loan portfolio 为了评估当前事件和状况以及对贷款组合的相关影响而进行的调整Considerations regarding domestic and global economic uncertainty and geopolitical risk 关于国内、全球经济不确定性和地区风险的考虑Overall credit and economic conditions 总体的信用及经济状况,