Simon Edu BFF 5914 Bank Lending By Sushi Simon Edu BFF 5914 Bank Lending By Sushi Topic 1 – Introduction: the principles of lending 1. What is lending? 2. Judgmental Approach to the lending appraisal - The Five Cs & CAMPARI 3. Framework for credit and lending decisions - Borrower-specific factors - Internal factors - External factors 4. The lending processes 5. Types of borrower - Personal - Business - Special types 8 8 9 6. Structuring of loans and advances 9 8 8 p 7. Credit culture g h : t 8. Bridging loan a h C e W u d E n o m i S u d E n o m Si Simon Edu BFC 5914 Bank Lending By Sushi 1. What is lending? The giving of an asset with the expectation of an equivalent amount returned in the future. – Borrower: borrowed funds (loan) are a liability that must be repaid along with charges. – Lender: lent funds are an asset (loan) that is anticipated to be repaid along with additional fees or charges to cover risk and time value of money. 可以看出来,借方愿意把钱给贷方的一个重要原因是:我觉得他会还给我,而且在还给 我本金的基础上,还会支付给我利息 Lender “lends” money 并不是对这笔钱不管不顾的,而是为了receive income from the interest and fee income the loan generates. 同时如果这项借款有抵押物需要谨记的一点是:lender 将钱出借绝不是为了获得其抵押 物 (underlying asset) u d E n o m Si Lender 如此看重repayment & interest,那么在lending的过程中 “我可不可以把钱借给他”à “如果我把钱借给他了,他会不会按照约定那样还给我?” Lender‘s objective: 1. Assess the extent of the risk and 2. Try to reduce the amount of uncertainty that will exist over the prospect of repayment 8 8 9 9 8 8 p Principles of Good lending (基本准则) g h u Safety of loan : t who is considered safe. A loan is granted to only that borrower a h 人品好不好,有没有能力还钱,万一还不了有没有back-up C u Suitability of loan purpose e A loan can be given for any valid purpose. W 借钱的目的合法吗?符合银行的lending policy吗? u Profitability u The risk anddreturns from a possible loan must be carefully considered. E 利息收入是银行的主要收入来源,cost and benefit需要权衡考虑 n o 遵循这三大基本准则,Lender因此需要针对每一次的 lending 进行 Credit analysis m i S analysis 可以分为: Credit A. Traditional method: a) the judgement method, b) the rating method and c) the crediting scoring method B. Modern method 1 Simon Edu BFC 5914 Bank Lending By Sushi 2. Judgmental Approach to the lending appraisal 一个有条理的评估方法: • Introduction • The application credit analysis – CAMPARI & The Five C’s • Review the application • Evaluation • Monitoring and control CAMPARI approach ü Character – Willingness to pay ü Ability – Adequacy Cash flow to meet repayment ü Margin – Borrower must contribute a certain margin as commitment ü Purpose – Legal and conform the lending policy of the bank ü Amount – The amount the lender is willing to contribute ü Repayment – The structure and terms of repayment ü Insurance – Borrower offers satisfactory security u d E n o m Si 8 8 9 & ability]. A先生是BB A先生工作了5年,现年薪 $70,000 ,未来有升职机会 [character 9 8 Bank的老客户,一直以来在BB Bank有存款,工资及生活日常开销都是使用的BB Bank的 8 p 账户 [character] A先生看中了一套市场价值为 $500,000的房子[purpose],他准备用存款 g 支付10万[margin],同时在抵押该房产[insurance]的基础上向BB Bank银行贷款40万. h : t BB Bank综合评估后,同意了A先生的贷款需求40万[amount],并签署贷款合约注明每月 a 还款金额[repayment]。 h C e The Five C’s approach W u Character 通常指的是borrower的financial character,但有时候也会考虑human character u character,去衡量character of a business更加困难 相比较于衡量personal d E 查看个人的财务记录,信用记录,背景道德品质调查 n o u Capacity m i repayment使用现金支付,所以对现金流的评估很重要 S 财力的评估,注意loan 对个人: 收入证明 – verify by salary details 对商业: 个人所在行业的前景评估 – 影响其现金流的稳定 一旦收入没有了, 存款是否足以用来偿还 – verified by bank statement 分析报表 – financial ratio compare with benchmark 分析non-financial statement information: 市场份额,管理层等 u Capital Borrower 为其借款目的所付出的资金contribution,the amount of money the borrower stands to lose if the loan fails Lender通常都喜欢贷款时capital 支出比较多的borrower 2 Simon Edu BFC 5914 Bank Lending By Sushi u Collateral Secondary source of repayment, 贷款一旦无法偿还,抵押物将会被没收 抵押物应具有的特点:1. 价格相对稳定 2. 有市场 3. 定价容易 4. 耐久性 等 获批的贷款金额应当小于抵押物的价值 u Conditions ü Internal ü External – 考虑这笔贷款是否符合银行的lending policy – economy condition – industry condition ü Loan condition (covenants) – 贷款合同里的细则 u d E n o m i factors - Borrower-specific S - The Five C’s & CAMPARI 8 (bank-specific) - Internal8 factors - 9Lending policy 9 8 factors - External 8 p -- Legislation g Macroeconomic h : - Industry-specific t a h C e 4. The lending processes W Step 1: Use the prescribed application form – 填表 Step 2: Obtain required supporting documents such as income and/or financial statements u d – 收取银行所要求的材料 E Step 3: Check loan application and supporting documents for inconsistencies n o – 检查申请表和材料内容是否一致 m Step 4: loan, loan decision can be made. If business loan, lender to gain better Si If personal knowledge of proposed borrower’s business – 若是商业贷款,需作进一步了解 3. Framework for credit and lending decisions Step 5: Appraise technical, commercial, financial and managerial aspects of the business – 评估企业技术,业务,财务和管理 Step 6: Assess financial requirements and determine most suitable product – 评估资金需求,制定方案 Step 7: Advise potential borrower whether loan application is successful or not – 告知申请结果 Step 8: Ensure security and all other loan documents are signed – 签订文件 Step 9: Monitor borrower’s financial position and repayment position – 监控借方财务及还款状况 Step 10: Ensure necessary steps are taken before loan in default – 确保有应对违约的必要手段 3 Simon Edu BFC 5914 Bank Lending By Sushi Exercise When a loan officer considers the capital of the loan proposal, it is interested in: a) The amount the borrower stands to lose if the loan is not repaid b) The bank’s position with respect to loans of this type c) The cash flows used to service the loan d) The relevant of the borrower’s experience to running the business e) None of the above Examples of the external conditions that a loan officer would consider when assessing a business loan are: a) The firm’s use of signs and brand to advertise its products b) The details of the loan contract that the borrower will sign c) The record of the business in paying its financial obligations of time d) The level of industry competition, the impact of technology and the economic cycle e) None of the above u d E n One of the ‘five Cs’ are loan conditions. Conditions are: o a) The ability to repay the loan m idetails of the loan b) The internal and external factors affecting the loan as well as the S contract 8 financed by the loan c) The contributions the borrower makes to the project being 8 9 d) The morality and ethics of the borrower 9 e) None of the above 8 8 p g h : t a h 5. Different types of borrowers C e u Personal W - minors – 未成年(未满18)不能贷款,但是可以申请做为父母信用卡的secondary card holder u mind – 心智不健全(精神疾病) - persons ofd unsound - insolvents – 个人破产(在破产程序中) E n – 中毒/醉酒 - intoxication o 这四类一般是不允许获批借款的,因为只要他们证明了申请贷款的时候不清醒,就可以 m i 逃脱还款责任 S - Joint account – 两人或多人持有的联名账户 - Husband & wife 这两类通常是派一个代表去申请贷款,因此其他被代表的人必须出局明确且具体的授权 个人贷款业务根据金额一般分为——Small or Large Small personal lending – e.g. 旅行,婚礼,装修 一般金额较小,所以评估时使用system approach (credit scoring)即可,情况稍微复杂一些 的可以使用主观的评估方法 4 Simon Edu BFC 5914 Bank Lending By Sushi Notes:Credit scoring gives an entirely objective decision 信用评估是根据数据库之中的个体的个人特征基于概率统计而建立起来的【客观信息】 所以有时候会单单根据申请者具有某特定特征从而make wrong decision 因此有时候会用到lender officer的主观判断来评估申请,但这一行为将会对Credit Scoring造 成影响: 1. 主观判断会凌驾于基于统计基础的客观credit scoring decision 2. 主观判断的结果将会 distort 信息库 3. 系统中的pass mark是基于统计信息的performance设定和更改。因此,持续用主观判断来 override 信用评级系统的建议 将会damage 信息库,从而渐渐破坏Credit Scoring 系统的有效 运行 不太尽责的lend officer可能因为 个人小额贷款的金额小而 疏于监管。 Monitoring的目的在于确保借款人的还款能力 - 收入还稳定吗?有没有高消?借款用途是否一致?账户流水正常吗? Large personal lending – e.g. 房贷 – 运用the Five C’s评估 u d E n o m Si 个人贷款若出现了第三方担保(third party guarantee) A向B银行借钱找C当担保人 银行必须保证担保人fully understands the nature and extent of the liability been undertaken 银行可以自行向潜在担保人进行解释说明,但要确保银行的说明不是误导性的 当担保人和被担保人有利益冲突时,independent legal advice should be considered mandatory 8 8 9 9 8 8 p g h : t u Business – Topic 5 展开 a - Sole proprietorship h C - Partnership e - Companies W u Special type of borrowers u e.g. local government entities such as City Councils - Local authorities: d E - Unincorporated Associations: e.g. arts, charities and religious organisations n - Clubs, Literary Societies and Schools o Generally registered as unincorporated associations or trusts m i 通常是有一个授权人去代表整个团体去borrow S - Cooperatives: e.g. farming bodies Trusts - Trusts 5 Simon Edu BFC 5914 Bank Lending By Sushi Exercise A 15 years old girl from an elite (and expensive) private school applies for a credit card to fund her expenses during an international study tour of Europe organised by her school. She is asking for a credit limit of $2,000 and has a part-time job at her father’s business that she is willing to use to repay the credit card. What is the best course of action, and the correct reason for that action? a) b) c) d) e) Accept the loan, she is able to demonstrate sufficient income to service the obligation Reject the loan, the purpose of the request is not appropriate Accept the loan, her father has sufficient funds to cover such a small credit limit Reject the loan, the applicant is a minor and cannot sign a loan contract. You may wish to explore if the applicant’s parents are prepared to allow her to be a secondary card holder, subject to the usual credit assessments. None of the above u d E n o m Si 8 8 9 9 8 8 p g h : t a h C e 7. Credit culture W lending institution 的 信用文化关系到what kind of loan this lender will grant 可以定义为 The institutional u priorities, traditions and philosophies that surround credit or lending decisiond E 言下之意如果A银行拒绝了我的贷款,可能B银行会批准 n o m Si 6. Structuring of loans and advances u Obtaining security and other documents - 房子,地,公司董事的担保等等 u Deciding the debt covenants - 手续费及利率,保险及抵押物,还款细则及违约补偿及其他费用说明 u Pricing issues – 定价 6 Simon Edu BFC 5914 Bank Lending By Sushi 7. Bridging loan A loan where repayment is to come from the sale of a different asset or from the receipt of funds from a known source. Bridging loans are essentially a technique to deal with differences in the timing of cash flows. 以旧房换新房举一个最简单的例子: 小明现在的房子值50万,他看中了一套新房子机会难得,非常想买,新房子售价60 万 小明怕错过这个新房子,于是需要找银行贷款60万, 其中大概40万可以做Bridging Loan,那么按揭贷款(mortgage)就只用贷款20万就够了 银行一旦批准这笔贷款,其中20万的BL在小明卖出现有房产的时候应当立即偿还 u d E n o m Si 过桥贷款适用于任何购买资产时出现的暂时性财务短缺(不限于买房)属于短期贷款 常见形式有两种: u Closed bridging loan 贷款签订时就已经知道贷款的到期时间,bridging loan period只需要支付利息费用即可 8 8 9 9 8 8 p 接着上面的例子 g h Closed bridging loan : t 小明在6月1日申请新房子的贷款时,已经出现一个第三方小赵有意愿购买小明的房 a h 子,并明确告诉小明将会在9月1日支付买房金额。 C 这时候lender如果同意这笔Bridging e Loan,则会与小明签署一个close-ended bridging loan,并注明本金偿还日期为9月1日。 W 那么小明在6月1日至9月1日之间只需要支付利息即可,9月1日拿到卖房款立即偿还BL uloan Open-ended bridging d E 小明在6月1日申请新房子的贷款时,并未出现有意愿购买小明的房子的第三方。 n 这时候lender如果同意这笔Bridging Loan,则会与小明签署一个open-ended bridging o loan,并注明本金还款期限最多为一年。 m i S 情境一:一年之内出现了有意愿购买小明房子的人,小明于是拿到卖房款立即偿还 u Open-ended bridging loan 贷款签订时并没有设定明确的到期时间(up to 1 year),本金偿还之前需要持续支付利 息 BL,期间只需要支付利息 情境二:次年5月30日,小明的房子还没有卖出去。这时候银行会接管小明的旧房, 选择市场上的best offer将房子卖掉,卖掉的钱偿还BL本金 上面这个例子告诉我们BL没有那么容易申请,一般lender在旧房已有销售合同的情况下, 会同意closed bridging loan (less risky) Lender只会在以下条件都符合的情况下,批准open-ended bridging loan: 1. 当前房地产市场很繁荣,而且这种繁荣会持续 2. 现有的房产有市场,能够尽快以理想价格卖出去 3. 留出a substantial margin to cover all contingency – 这个差价最好能涵盖BL的本利,并 做好20%的降价准备 7 Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 1 – Financial Statement Analysis and Financial Mathematics Part one – Financial Statement Analysis 1. Introduction of Financial Statement Analysis - Importance of FSA - Limitation of FSA – e.g. creating accounting - Types of Analysis techniques 2. Common Financial ratio - Liquidity ratio - Efficiency ratio - Profitability ratio - Leverage ratio 3. Step-by-step Approach to Financial Statements Analysis 8 8 9 Part Two – Financial Mathematic 9 8 1. Time value of money 8 p g 2. PV & FV h : - A single sum t - Over multiple periods of timeha - Annuity eC 3. Mortgage calculations W - Mortgage constant u - Loan balance d E 4. Effective n yield and APR o m i S 1 u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Part one – Financial Statement Analysis 1. Introduction of Financial Statement Analysis 财报分析只出现在商业贷款之中,因此做财报分析的对象是Business 财报分析的目的因而是想从财报之中判断出来,对方这个business是否能如期归还贷款 Importance: Financial Statements are analyzed to help determine: ü The business has adequate liquidity so it can honour short-term obligations ü The business is run efficient ü The business is run profitably ü The proprietor's stake in the business is high versus the business carrying excessive debt u d Analysis helps provide answers to three key questions: E - Should the bank give the requested loan? n o - If the loan is given, will it be repaid together with interests? m - What is the bank’s remedy if the assumptions of the loan turn out to be Si wrong? 8 8 Limitations: 9 9 财务报表分析并不能完全代替sound judgement: 8 8 ü Benchmark – 每个firm都有自己特有的情况,标准指标太绝对 p ü Qualitative aspects – 无法从报表中得到一些非数字类型的信息 g h ü Historical data – 报表上的数字都是代表过去的财务状况,无法说明未来状况 : t ü Creative accounting – 非常有经验的会计可以用不用记账技巧来掩盖事实真相 a h accounting: • Ways of window dressing / creative C 应收账款、存货、不动产、可交易型证券的估值 (valuation) e 表外负债 – e.g. 经营租赁 W Accounting method的转换 – e.g. 从FIFO变成平均成本法等 u d E Exercise n o Which of the following is not an advantage of using financial ratios to analyse potential m i borrowers to making a loan decision? S a) prior They provide a financial picture of the firm b) c) d) e) They are subject to manipulate by accountants They allow trend analysis of the financial performance of the firm. They allow an insight into the security the firm has available as collateral None of the above 2 Simon Edu BFF 5914 Bank Lending By Sushi Three broad types of analysis techniques: u d E n Ratio analysis Common-size statement o size的 – 根据公式计算relevant ratio 分析firm 的 – 以比例的形式,用于比较different m 经营状况偿债能力 公司 Si 8 8 9 9 8 8 p g h : t a h C e Time series techniques W 一般结合ratio analysis, 观察一段时间内的变化 u Combining with non-financial statement information d E ü Market share的变化 nprice了解 ü 通过share o ü 管理层变动 m i ü 宏观经济情况 S Cross-sectional techniques Analyse financial statement at a “point in time” 3 Simon Edu BFF 5914 Bank Lending By Sushi 2. Common Financial ratio u d E Liquidity ratios – measure the ability of the firm to meet its short-term obligations n 短期偿还能力,也就是说通过财报看看这个firm是否能够还得起 o m i u Current ratio S ü Formula 8 8 𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑎𝑠𝑠𝑒𝑡𝑠 9 𝑄𝑢𝑖𝑐𝑘 𝑟𝑎𝑡𝑖𝑜 = 9 𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑙𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑦 8 ü Benchmark 8 p 2 – 比较合理的范围是1.5 – 2,低于1.5需要注意(需参考各行业标准) g h ü Interpretation : tproblem 低于1 说明liquidity a h 1.5 – 2 satisfactory C e liquidity 高于2 excess 2背后的假设为:就算今天shut down,business的current asset半价变现,仍有 W 偿还短期负债的能力 Current ratio并不是越高越好,过高表示 u asset过多,说明the business may be losing opportunities to make d 1. current E profitable use of current asset. n o 2. 存货量过多 m i S u Quick ratio (Acid Test) – a stringent measure ü Formula !"#$% &''()' 𝑄𝑢𝑖𝑐𝑘 𝑟𝑎𝑡𝑖𝑜 = *"++(,) -#&.#-#)/ ü Benchmark 1 – 需参考各行业标准 ü Interpretation 当current asset里面减去inventory之后,基本上剩下的就是现金了,速动比率为1 即可说明 business can meet current liabilities out of quick ratio alone 4 Simon Edu BFF 5914 Bank Lending By Sushi Efficiency ratios – measure the ability of the firm to correctly run the financial aspects of their business, i.e. the ability to use its assets to generate income 通常来讲是看以下三种,但是用于评估不同行业的efficiency ratio不同,评估时应以各 行业为主 u Inventory turnover – 存货周转 ü Formula Inventory turnover ratio (times) Inventory turnover ratio (days) Cost of Goods Sold也可做分子 0() '&-(' = 1,2(,)3+/ = ① 4&/' #, /(&+ ① ü Benchmark No benchmark, 次数越高越好,天数越短越好 ü Interpretation 次数高通常说明 inventory is fast moving, 产品的市场需求大、business的存货管 理有效。 同时也需要注意的是次数高也可能是frequent stock-out造成的,这种情况下, business may lose sale and customers Notes: this ratio can be manipulated by inventory valuation. 分子应是Net sale (gross sales 减去 return / allowance) 分子和分母用一年内的平均值比较合理 u d E n o m Si 8 8 9 9 8 8 p g u Average collection period – 收账期 h : ü Formula t a h Average collection = C e ü Benchmark W 应当小于等于the firm’s credit terms for its customers ü Interpretation u d 平均收账期应和schedule of age of receivable 一起查看,用于判断应收账款的管 E 理是否有效,账龄长的应收账款多,则说明收款管理缺乏有效性 n o m u Average payment period – 付款期 i S ü Formula 5($(#2&.-( 62(+&7( '&-(' 8(+ 9&/ 𝑎𝑛𝑛𝑢𝑎𝑙 𝑠𝑎𝑙𝑒𝑠 365 Average collection = 62(+&7( :&/&.-( 包括notes payable 9&#-/ $+(9#) 8"+$;&'( ü Benchmark 比较行业平均 / 小于或等于the firm’s payment term given by others ü Interpretation 在做time series分析付款期趋势时,若发现是逐年上升的趋势,则可能有cash shortage的迹象 若付款期过短,通过检查其liquidity可分成两个原因 1) high liquidity 没有充分利用供货商给予的赊销期限 2) low liquidity 供货商没有提供赊销期限 5 Simon Edu BFF 5914 Bank Lending By Sushi Profitability ratios – is the firm earning a profit reasonable in its industry? u Profits to sales ü Formula <+3'' :+3=#)' ①= 0() '&-(' ②= 0() :+3=#)' 0() '&-(' ü Benchmark No benchmark, 至少等于行业平均 ü Interpretation ① measure the price and production cost control aspect,但通常定价主体 是市场,所以更多的用途是用来衡量产品的成本控制 ② provides a valuable understanding of the cost-and-profit structure u d E n o m Si u ROA and ROE ü Formula 0() #,$3>( 𝑅𝑂𝐴 = ?3)&- 6''() 0() #,$3>( 𝑅𝑂𝐸 = ?3)&- @A"#)/ 8 8 9 9 8 8 p g h : t a h C e W Leverage ratios – level of debt the firm has and its liability to meet the obligations on firm cash flow created by that u debt d 长期偿债能力 E u Debt / Equity Ratio n o ü Formula m i S ü Benchmark 对比行业标准,越高越好,同时也意味着high risk ü Interpretation 分子net income使用税前税后均可, Lender更常用的是税前as their obligations are paid from before tax income ROA越趋向于ROE à total asset趋向total equity à leverage趋向0 ROA和ROE的差额越大,说明leverage越高 4(.) @A"#)/ ü Benchmark Most firm: should not exceed 2 但需要参考行业标准 ü Interpretation Lower is better for lender, 但是太低可能表示firm没有利用debt的税务优势 6 Simon Edu BFF 5914 Bank Lending By Sushi u Interest Coverage Ratio ü Formula @B1? 1,)(+(') 8&/>(,) 3, -3&, ü Benchmark no benchmark, 参考行业标准,但是至少为2 – give the firm sufficient buffer to pay interest on debt ü Interpretation higher is better for lenders u Fixed charges coverage ratio ü Formula @B1?C9(8+($#&)#3, !"#$%&"'( )' *)$' 1,)(+(') 8&/>(,) 3, -3&,C +,($- !$(" u d E n o m Si ü Benchmark no benchmark, 参考行业标准,但是至少为1 or 1.25 ü Interpretation higher is better 该指数考虑了the costs of acquiring an asset and maintaining it as well as the tax deductions of the borrowing used to fund the asset. 8 8 9 9 8 8 Notes of using Ratios p g 单独看某个指标没有什么价值。通常都需要通过和自己比较(时间跨度的比较)、和 h 同行比较。有些指标需要结合别的一起来看(e.g 检查付款期过短的原因时,需要结合 : t a liquidity一起看 ) h 实际操作中通常还需要调查别的detail信息才能得出比较综合的分析结果 eC W Over-trading & under-trading Over-trading u d 定义:the firm is experiencing rapid growth, 且发现难以生产出必要的财务资源来实现现阶段 E 壮大的目标 n 特征表现: osale激增但profit margin下降了 m 或是 liquidity下降 i S overdraft增加 收账及付款期变长 存货周转次数变低 Under-trading 定义:和over-trading相反,资金变多,资产的利用率变低 特征表现: 销售额(sales)变低 current ratio高,但存货周转次数很低 excessive liquidity 7 Simon Edu BFF 5914 Bank Lending By Sushi Exercise: Read the comparative balance sheet (below) and the income statement of Imaginary Computers Limited. Prepare a credit assessment report using the techniques of financial statements analysis as explained in this chapter. Comment on the financial strengths and weaknesses of the firm. u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W 8 u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Exercise: u d E n o m Si 8 8 9 9 8 3. Step-by-step Approach to Financial Statements Analysis 8 p g u Step 1: Obtain relevant financial statements h – 拿到三个财年的报表 : t Statement of Financial Position and - Obtain Statement of Financial Performance, a Cashflow statements for generally three h years C e u Step 2: Check for consistency – 检查一致性 W signatures of partners, corporate - Verify names on financial statements, seals etc. upreliminary scrutiny of financial statements – 初步审查报表 u Step 3: Undertake d E - Statement of Financial Performance n - Statement of Financial Position o - Cashflow Statement m i S u Step 4: Collect data about industry and general economic trends– 收集外部信息 - Strength of economy and relevant industry u Step 5: Comparison with industry averages – 和同行比 - How does firms’ financial ratios compare with competitors’ in same industry u Step 6: Do supplementary analysis – 补充分析 - Break-even and Sensitivity Analysis (收支平衡和敏感性分析) u Step 7: Summarize main features – 总结关键信息 - Provide an analytical overview from all relevant data obtained 9 Simon Edu BFF 5914 Bank Lending By Sushi Part Two – Financial Mathematic 1. Time value of money A dollar today is worth more than a dollar receive in the future 这个time value of time可能是由于通货膨胀 (inflation) 带来的。 它的存在告诉我们 à 不同时刻点的资金价值不能直接进行比较和加减 当我们讲到收益率和回报率时,我们不仅仅只是希望得到一个抵消通货膨胀的回报。 在大多数的经济环境下,我们都期望货币或是资本的回报能够和我们所购买之物的生 产力相关。e.g: 我投资买生产线是为了,这个生产线能给我带来收益 The required returns 同时也称作 the opportunity of cost of capital u d E n o m Si 2. Present value and Future Value u A single sum 𝐹𝑉 = 𝑃𝑉× 1 + 𝑟 , n 为复利次数 r 为total expected rate of return (risk-free rate + risk premium rate) 当求PV时,其过程称为discount à 其利率通常称discount rate 当求FV时,其过程称为compound à 其利率通常称为rate of return 8 8 9 9 8 à 可推导出回报率 𝑟= −1 8 p Lender更关心的是回报率 / 利息收入 g h : t Notes: the rule of 72 – 快速计算将金额翻倍的年限 (72/r) a h PV 为 $100, 在利率为10%的情况下,多少年能变成 $200? C e 7210 年 计算器验算:−100 àPVW 200 à FV I/YR à 10 得 N =7.27 u d E u Annuity n oStream of regular payments of equal amounts – 等额定期的现金流 m Ordinary Si payment 𝑃𝑀𝑇 1 𝑃𝑉 = ×(1 − ) + DE . :E 𝑟 Payment in advance 𝑃𝑉 = 1+𝑟 𝑃𝑀𝑇 1 ×(1 − 𝑟 1+𝑟 , , )×(1 + 𝑟) Lending 之中,大多数贷款都是monthly payment,因此读题需要判断出实际计息的r和 计息次数 à 可推导出PMT 𝑖/𝑚 𝑃𝑀𝑇 = 𝑃𝑉× 1 1− 1 + 𝑖/𝑚 ?> 10 Simon Edu BFF 5914 Bank Lending By Sushi 3. Mortgage calculations u MMC – monthly mortgage constant The monthly payment per dollar of loan and it includes both interest and principal amortization 其实就是在计算月供(PMT)是恒定不变的因子 𝑃𝑀𝑇 = 𝑃𝑉× 𝑖/𝑚 1 1− 1 + 𝑖/𝑚 u OLB – outstanding loan balance Present Value of the remaining loan payments Original mortgage: T years at a rate of i 若以支付 q 期,则 Loan balance 为 1− 𝑂𝐿𝐵 = 𝑃𝑀𝑇× MMC ?> 1 1 + 𝑖/𝑚 𝑖/𝑚 ?>FA u d E n o m Si Tutorial T2 – Q1 What is the mortgage balance on a $75,000 loan after 5 years, with an original term of 30 years, a 10% contract rate? 已知条件: 75,000 à PV 30*12 àN 10/12 à I/YR 计算器可得现在的PMT为 –658.179 现在30年(360期)的贷款还了5年(60期),还剩25年(300期)未还 剩下的300期的月供(PMT)仍是658.178,因此: –658.179 à PMT 25*12 àN 10/12 à I/YR 计算器可得Year 5 的PV为72,430.78 u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W 11 Simon Edu BFF 5914 Bank Lending By Sushi 4. Effective yield and APR u Example Effective yield calculation – 如果遇到提前还款的情况,lender的收益率 A loan amount of $240,000 with an ordinary term of 30 years at rate of 8%. 计算器: 240,000 à PV 30*12 à N 8/12 à I/YR 计算器可得现在的PMT为 –1761.03 Lender have charged the borrower 1.5 points, and prepayment expected in 10 years without penalty. Points: The fees etc from establishing the mortgage 在支付给借款人之前,从抵押贷款中扣除,用百分数表示(e.g 因此在这里的1.5 其实是 1.5% = 0.015) u d E n o m Si 第一步:计算实际的loan amount 实际支付给borrower的金额 = $240,000 − 1.5% 240,000 = $236,400 net dollars 第二步:计算Year 10的贷款余额 用ordinary term的观点来看,PMT为1761.03 – 1761.03 à PMT 20*12 à N 8/12 à I/YR 8 8 计算器可得Year 9 5 的PV为210,539 9 8 8 第三步:计算lender的实际收益 p 236,400 à PV g h – 1761.03 à PMT : t 10*12 à N a – 210,539 à FV h 计算器可得 I/YR为0.685907… C e 这10年名义年利率为0.685907…*12 = 8.23% W 8.23%才是effective cost of borrowing u d E n u APR o m 当贷款完完全全held over full amortization term时 i S 有效借款成本是以年利率(APR)来计算的,如果贷款条约中没有point charge,则贷款 条约中列出的APR即为the effective borrowing costs 当条约中有point charge时 实际𝑃𝑉 = 𝑚𝑜𝑟𝑡𝑔𝑎𝑔𝑒 − 𝑝𝑜𝑖𝑛𝑡𝑠 = 𝑃𝑀𝑇× GF + +/012/& 4 6:5/> 因此我们可以看出来,points从lender的角度出发: 可以降低条约中的APR,让lender通过point charge的方式提高自己的收益 12 Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 3 - Credit Scoring Techniques 1. Introduction of Credit Scoring Techniques 2. background information on credit scoring – 消费信贷的兴起 3. An example of a credit application scorecard - 以真实的评分表为例 4. How to build a credit application scorecard - Overall goal 5. Moving beyond credit application scorecards u d E n o m Si 6. The future of credit scoring 1. Building better credit scoring models 2. Incorporating economics and market conditions into credit scoring models 3. Credit scoring models for Fintech 8 8 9 9 8 Capacity 7. Extending Time Value of Money Calculations: Borrowing 8 p g h : t a h C e W u d E n o m i S Simon Edu BFF 5914 Bank Lending By Sushi 1. Introduction of credit scoring techniques 信用评级系统 – 运用statistical analysis,客观、高效评估 borrower 偿还的可能性 【其基本原理是运用很多的历史数据建模。当我们给一个新客户进行评估的时候,系统将个 人信息放入模型中来得出相应的分数。】 对于整个lending 来说,credit scoring 起到了改革性的作用,特别是对消费信贷的改变 尤其大。 2. Background information on credit scoring u Growth in consumer credit 消费信贷促进了credit scoring的发展 消费信贷被认为对经济增长起到了强有力的作用。It can be an engine for growth. 从2012年的数据来看,澳洲的bank lending中: u d E n o m Si 8 8 9 9 8 8 p g h : t 可以看出来consumer credit的占比很大,在澳洲,基本上所有的信用卡申请都会使用 a 到信用评分,大部分的hosing loan也会使用到信用评分。因此消费信贷的发展会要求 h C 更完善更有效的credit scoring来配合完成。 e W u Why has Retail credit Scoring become so important? 首先讲两个专有名词: u– 关系型借贷。使用更多时间和人力成本,来做一个judgmental Relationship lending d credit decision. E nlending – 交易型借贷。使用机器运算,来做一个credit scoring decision Transactional o m i 由此我们可以看出,credit scoring 是银行业对于借贷业务,想要去减少时间人力成本, S 提高精确性而发展出来的产物 [reduce cost and increase accuracy of lending process] Exercise: Chose the words that correctly complete the following sentence: Credit scoring has resulted in a(n)______________ in transaction lending and a(n)__________ in relationship lending a) Increase, reduction b) Reduction, reduction c) Reduction, increase d) Increase, increase e) None of the above 1 Simon Edu BFF 5914 Bank Lending By Sushi 3. An example of a Credit Application Scorecard 下表是摘于Home Loan Experts 的网站,用于 HLE 为潜在房贷需求者的打分。 一共有12个问题,分数越高,该客户的信用评级越差 (higher the score, lower the creditworthiness) Note: credit scorecard is only one part of the decision making process points allocated Best Case to buy a home – negligible risk 0 0 To buy an investment property – low risk 5 To refinance a home – low risk 10 To consolidate debt – medium high risk 15 To help fund your business – medium risk 10 Worst Case 1. what are you using the loan? 2. Are you applying for a loan on your own Yes – low risk 5 No, I an applying for a loan with my partner – negligible risk 0 8 8 9 9 8 8 p g h : t a h C e W u d E n o m Si 15 5 0 3. How long have you lived in your current address <6 months – high risk >6 months but <2 years – low risk >2 years – negligible risk 8 8 3 0 0 4. How long have you been in your jobs? I‘m on probation - medium high risk <6 months – high risk >6 months but < 2years –low risk >2 year – negligible risk 15 15 5 1 0 0 I’m self employed for more than 2 yrs 0 0 I’m self employed for less than 2 yrs – medium high risk 15 I’m permanent full time or part time – negligible risk 0 I’m casual – medium risk 10 I’m a contractor – medium high risk 15 I’m employed by an agency – medium high risk 15 u d E n o m i S 5. how are you employed? 15 6. How many credit enquiries are on your credit file in the past 6 months? (How many loans have you applied for) None 0 One 3 Two 7 Three to six 17 Greater than six 30 2 0 30 Simon Edu BFF 5914 Bank Lending By Sushi 7. Do you have any credit problems such as judgments or defaults? I am bankrupt – declined 100 100 I am a discharged bankrupt – declined 50 I have more than 2 defaults OR my defaults are over $1,000 in total OR my defaults are not yet paid – declined 50 I have a or less defaults AND my defaults total to less than $1,000 AND they have been paid – very high risk 15 My Credit history is clear – negligible risk 0 0 Yes however it was more than 6 months ago – negligible risk 0 0 Yes within the last six months – very high risk 25 No I never miss repayments – negligible risk 0 8. Have you missed payments on your current debts? 9. How much are you borrowing? $0 to $300,000 – negligible risk 0 $300,001 to $500,000 – low risk 5 $500,001 to $750,000 – medium risk 10 $750,001 - $1,000,000 – medium high risk 15 >$1,000,000 – very high risk 25 8 8 9 9 8 8 p g h : t a h C e W u d E n o m Si 25 0 25 10. What percentage of the property value (LVR) are you borrowing? Less than 60% - low risk 0 Between 60% and 80% - negligible risk 5 80.1% to 85% - medium risk 15 85.1% to 90% - medium high risk 20 90.1% to 95% - very high risk 30 u d E n o m i S 95% + - extreme risk 0 50 50 11. Do you have any genuine savings or shares (gifts are not included) I have more than 10% of the purchase price in savings - low risk 0 I have more than 5% of the purchase price in savings - negligible risk 5 I have 3% of the purchase price in savings - low risk 10 I have no savings - medium high risk 20 I have equity in an existing property - negligible risk 5 0 20 12. What is your net asset position (assets minus liabilities) like? >$1,000,000 - negligible risk -10 >$100,000 - negligible risk -10 >$50,000 - negligible risk -9 >$25,000 - low risk -5 $0 to $25,000 - medium risk 0 I own nothing! - medium high risk 5 I own nothing and I am on an income over $50,000 - very high risk 15 My liabilities are more than my assets - declined 40 -10 40 Simon Edu BFF 5914 Bank Lending By Sushi points allocated Total Best Case Worst Case -10 348 针对以上得分表,我们可以看出来的是 Best borrower的得分将会是-10,worst borrower的得分将会是348,中间得分被分为: 小于35 points à “low risk” 35 points – 55 points à “medium risk” 大于35 points à “high risk” 分界值可以由lender修改 4. How to build a credit application scorecard 以建立对信用卡申请的信用评分表为例 u The overall goal • 收集银行所有个人借款(超过一年的客户)的历史数据 u d E n o m Si 8 8 9 9 8 在这些信息之中,通常选择50个解释变量(进一步筛选为10个解释变量左右)用于建 8 模 p g h : t a 因变量设置为借款人头一年的还款表现(通常将其表现划分为 “Good” or “Bad”) h eC on all individuals who applied for credit over a 1 ü Collect historical information year period W ü Usually start with 50 explanatory variables u reduced to around 10 variables ü These are usually d ü The dependent variable is the borrower’s performance in the first year (’Good’ E lessnthan 3 months of missed payments ; ’Bad’ - more than 3 months of missed o payments) m applicants are usually included in this analysis Si üü Unsuccessful Usually 1m+ applicants in a data set for a larger bank (通常来说,大一些的银行大概会有100万个申请人,申请成功及未成功的客户都应该录入此数据库) • (比方说收入来源收入水平,借款记录还款记录,存款等) • (Note that 3 months corresponds with APRA’s impaired asset definition ) Other considerations Data sample Data validation and cleaning Data segmentation Development sample and validation sample Reducing the number of variables in the model Coarse classifying characteristics Regression analysis 4 Simon Edu BFF 5914 Bank Lending By Sushi 5. Moving beyond Credit Application scorecard 信用评分表除了用于评估‘申请人是否会在未来违约’ 还可以用于评估的其他方面 – the 4Rs of credit scoring Risk Credit Fraud Insurance Will he pay? Will he cheat? Will he claim? Response Response Cross-sell Will he call? Will he buy others? Retention Churn Attrition Will he use me and leave? Will he leave? Revenue Utilisation Profit Will he use it? Will it be worth it? u d E n o m Si 8 8 9 6. The future of credit scoring 9 8 ü Building better credit scoring models 8 ü Incorporating economics and market conditions p into credit scoring models g ü Credit scoring models for Fintech h : t a h eC W u d E n o m i S 5 Simon Edu BFF 5914 Bank Lending By Sushi 7. Extending Time Value of Money Calculations: Borrowing Capacity Borrowing capacity: Gross income 之中能够用于偿还贷款的比例 在不同的lending policy下,估算能借到的资金总额 Example: Let us assume that Mr Smith has an annual income of $100,000 per annum and wishes to borrow to buy a home. He considers two possible banks, each bank with a different lending policy. For loan proposals like these a bank will have a policy called a borrowing capacity. This is the amount of your gross income that you can devote to your loan payments. Let us assume that the relevant interest rate starts at 6.5% per annum calculated monthly over a 30-year period. Bank A has a policy of thirty percent borrowing capacity while Bank B has a thirty five percent borrowing capacity policy. u d Part A:计算Smith可以借多少? E Bank A: 30% borrowing capacity à 30%×$100,000 = $30,000 𝑝𝑒𝑟 𝑎𝑛𝑛𝑢𝑚 n o 也就是说 = $2,500 𝑝𝑒𝑟 𝑚𝑜𝑛𝑡ℎ m 那么对于Bank A来说: Si – 2,500 à PMT 8 8 30*12 à N 9 395,527 6.5/12 à I/YR 计算器可得PV为 9 8 $395,527 的一笔贷款 à 根据Bank A的lending policy,Mr. Smith可以从借到总额为 8 p g Bank B: 35% borrowing capacity à 35%×$100,000 = $35,000 𝑝𝑒𝑟 𝑎𝑛𝑛𝑢𝑚 h : t 也就是说 = $2,916.66 𝑝𝑒𝑟 𝑚𝑜𝑛𝑡ℎ a h 那么对于Bank A来说: eC – 2,916.66 à PMT 30*12 à N W 6.5/12 à I/YR 计算器可得PV为 $461,447.17 à 根据Bank B的lending u policy,Mr. Smith可以从借到总额为 $461,447.17 的一笔贷款 d E 如果我们考虑借款人的税务情况 n rate来计算,年收入10万需要交的税为 $24,947 o 以澳洲的marginal m 因此借款人的每月税后收入为($100,000 − $24,947) /12 = $6,254.42 𝑝𝑒𝑟 𝑚𝑜𝑛𝑡ℎ i S 那么对于Smith 来说: $"#,### %& $"',### %& 若从Bank A借款,则需要将每月39.97% 用于支付按揭 若从Bank B借款,则需要将每月46.63% 用于支付按揭 [2500 / 6254.42] [2916.66 / 6254.42] 其实我们从这一步就可以有一个初步感觉: 对于Smith(借款人)来说,Bank B可以借到更多钱,但不一定是好的,因为相对于自己 的工资来说,偿还比例提高。 对于Bank B来说,Bank B可能更吸引Smith,但因为偿还比例较高,所以面临的信用风 险更大。 6 Simon Edu BFF 5914 Bank Lending By Sushi Part B:如果一旦市场利率发生变化,将会对Smith的这笔房贷造成什么影响呢? 两年之后, Smith的年薪从$100,000上涨到$106,000,同时市场利率从6.5% 上涨到 8% 原始贷款为30年,现在两年后,还剩余28年(剩336期) Bank A: 如果从银行A贷款的话 – 2,500 à PMT 28*12 à N 6.5/12 à I/YR 计算器可得PV为 386,389.16 à利率变化后,现在28年的贷款的余额(OLB)为 $386,389.16 当利率变为8%,我们使用现在的OLB计算新的monthly repayment 386,389.16 à PV 28*12 à N 8/12 à I/YR 计算器可得PMT为 -2,885.39 也就是说利率从6.5%提高到8%后,Smith 每月的按揭从2500增加为2,885.29 u d E n o m Si Bank B: 如果从银行B贷款的话 – 2,916.66 à PMT 28*12 à N 6.5/12 à I/YR 计算器可得PV为 450,786.32 à利率变化后,现在28年的贷款的余额(OLB)为 $450,786.32 当利率变为8%,我们使用现在的OLB计算新的monthly repayment 450,786.32 à PV 28*12 à N 8/12 à I/YR 计算器可得PMT为 -3,366.29 也就是说利率从6.5%提高到8%后,Smith 每月的按揭从2916.66增加为3,366.29 8 8 9 9 8 8 p g h : t a h C Repayment to net income: e 借款人的每月税后收入为 $6,569.42 W 𝑝𝑒𝑟 𝑚𝑜𝑛𝑡ℎ 那么对于年薪106,000 但贷款利率上升到8%的Smith 来说: u d 若从Bank A借款,则需要将每月43.92% 用于支付按揭 [2885.39 / 6569.42] E 若从Bank B借款,则需要将每月51.24% 用于支付按揭 [3366.29 / 6569.42] n o m Part C: Si 如果经济情况变差,Smith遭遇了20%的减薪 此时Smith的每月净收入为$5456.42,也就意味着: 若从Bank A借款,则需要将每月52.88% 用于支付按揭 若从Bank B借款,则需要将每月61.69% 用于支付按揭 [2885.39 / 5456.42] [3366.29 / 5456.42] Part D: 当经济下行时,regulator需要考虑经济放缓对 银行贷款组合的影响,因此会对 每个银行进行分析。在以上的case中,regulator会更担心Bank B的状况。Bank B从而会 raise more capital以防未来的损失。 结果就是Bank B需要提高其利率至8.35%,那么对于Smith来说 450,786.32 à PV 28*12 à N 8.35/12 à I/YR 计算器可得PMT为 -3474.84, 那么偿还比例将上升为63.68% [3474.84 / 5456.42] 7 Simon Edu BFF 5914 Bank Lending By Sushi Lesson from Borrowing Capacity 作为个人来讲,并不能单纯的因为某个银行愿意批准更多金额的贷款而选择它 而是应该多考虑: ü 利率上升对这笔贷款的影响? ü 利率有多大可能上升? ü 我能不能保住我的工作,以保证良好的CF? 因此,一般保守一些的借款人通常并不会选择金额太高的贷款 u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W 8 u d E n o m Si Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 4 – Customer lending and Real estate Lending Customer lending 1. Nature of consumer loan Loan for household and personal need (e.g. furniture, home appliances, travel, boats, home etc) Definition: made to finance consumption, rather than productive purpose 用于满足个人或家庭的消费需求的贷款 Types of consumer loans o By purpose: houses, holiday, higher studies, cars, boats etc u d E n o m Si o By the terms short-term (up to 1 year) medium-term (1-3 years) long-term (more than 3 years) o By the terms of repayment Instalment loans Non-instalment loans 8 8 o By security Secured loan 99 8 Unsecured loan 8 p g h 2. Two broad categorial of consumer loan:t:Personal loans & Credit card loan a h v Personal loans eC 个人直接与银行商议,填写贷款申请表即可 - 通常2-5年为期,repayment in monthly or quarterly instalment W 抵押物通常是贷款所购买的物品,信用特别好的老顾客可以授予无抵押贷款 u d 其他常见形式:E o overdraft / revolving line of credit n o 从银行账户透支 (e.g. $5000 – $10 000 ), 在透支额度上收取利息费用 m i S o non-instalment loan 通常用于应急(emergency),需要一次性偿还 (one lump sum) o margin lending for share investment 用于个人进行股票投资的贷款。Loan-to-value通常为40%-70%,若股票价值 $1000, 贷款额可以为$400 - $700 Lender 对 personal loan 的评估方式通常还是以主观性的判断方法(5Cs)为主;对额度较 小的个人贷款可以使用信用评分系统代替评估。 Simon Edu BFF 5914 Bank Lending By Sushi Notes: Accounts need to be monitored for the following reasons - to be up to date on an account to ensure any loans remain within the customer’s capacity to repay ; - to observe any adverse trends so that early action can be taken ; for example, borrowers - spending in anticipation of a salary increase that may not arrive. - to discover any irregular practices that the banks have recently been criticised for, e.g. ; allowing the proceeds of crime to be ’laundered’ through accounts without sufficient enquiry ; - to be informed about a customer’s activities and credit worthiness, for example, evidence of gambling or high living ; - to ensure that the customer is using the advance for the agreed purpose ; - to confirm information provided by the customer, for example ; amount of salary and monthly commitments. u d E n o m Si 8 8 9 9 8 8 p g h : t Four parties to a typical credit card transaction a The customer h The card-issuing bank The merchant eC The merchant’s local bank (acquirer) W u d E (1) 持卡人在终端上刷卡 n o (2) 商户终端将交易明细以及持 m 卡人信息发送到商户银行 Si (3) 商户银行向持卡人银行发出 v Credit Card Loans 最常见的两个信用卡组织:Visa & MasterCard 信用卡是由卡组织授权其成员 (银行) 发卡,也就是说银行需要从卡组织获得特许经营 协议 (franchise agreement) to offer credit cards. 银行需要向卡组织缴纳会员费和每年的年费(年费由该行信用卡活跃客户决定) 收款请求 (4) 持卡人银行核对金额和信息 后,反馈至商户银行 (5) 信息反馈至商户 (6) 打单,交易完成 Simon Edu BFF 5914 Bank Lending By Sushi Benefits of credit cards To Consumer: ü Convenience – 免去现金的麻烦 ü Monthly summary – 每月自动生成账单明细 ü Financial freedom – 每期只需要支付a stated minimum amount,不必支付全部欠款 ü No procedural hassles – 可以网上申请,申请过程简单快速 ü Low credit card fees – 费用低,澳洲有些银行不收取任何费用 To Card-issuer: ü Relatively higher risk-adjusted returns – 对银行来说credit card loan的回报率高于其他类 型的贷款(回报来源于 annual fee, interest on unpaid balances, discount charged to merchant) ü Hugh market – 市场巨大 ü Higher interest rates – 澳洲信用卡可变利息率高达19.99%,远高于房贷4.17% ü Expanding services – 银行无需开设分支机构就能够在全国范围内扩展业务 ü Price-insensitive customers – 人们使用信用卡支付时对价格不敏感,而且认为周期性的 利息较小 u d E n o m Si 8 8 9 9 8 8 p g h : t a h C e W Down side to issue of credit card: 发卡行需要承受因信用卡交易而产生的损失或欺诈风险 (risk of loss or fraud) u d E n o m i S To Merchant: ü Increased number of customers ü Advantage over other merchants ü Prompt payment for credit sales – 商家可以在不动用现金的情况下及时向supplier支付 款项 ü Increase in number of prospects – 商家根据消费记录建立自己的mailing list,用于推广 促销及新品 ü Customer profiling – 便于商家做客户分析 Simon Edu BFF 5914 Bank Lending By Sushi 3. Evaluating Consumer loan 额度较小的 personal loan 和 信用卡的申请通常都是由 Credit scoring system 来处理: Advantages: Large volume of credit applications can be handled quickly Lower cost than judgmental methods Lower staff training time and costs Speedier approvals for client and can be done via internet Disadvantage: Only use historical data and so are backward looking u d E n 在使用Judgmental approach 的时候,通常运用简化版本的5Cs o Three fundamental Cs of lending: Character, Capacity and Collateral m i 5Cs之中的capital包含在Capacity之中,condition包含在Collateral之中 S Character 8 ü Track record of the individual – 个人的财务历史,此类查询需要获得借款人的同意 8 9 ü Ability – 从教育水平,特定领域的经验或是工作 9 8 ü Purpose of loan – 目的合法且与银行的lending policy一致 8 ü Integrity of the borrower – 评估其“willingnessp to pay” g ü Spending habits – 从消费习惯来看, “Big spenders”可能更容易拖欠债务 h : t a Capacity to pay h ü Net income – 扣除后所有expenses之后的净收益为多少 C e ü Deposit balance with bank – 检查银行存款余额 (平均值水平) W ü Stability of job – 工作的稳定性和连续性 (以保证现金流的稳定) ü Stability of residence – 稳定的住址能在一定程度上反映出stable personal/financial position u– borrower’ s capital in the total investment. ü Borrower’s margin [capital] d E n Collateral (security) o ü Asset that may be recovered in default, although seizure must be a last resort m i 抵押物不是贷款的 prime consideration. S Simon Edu BFF 5914 Bank Lending By Sushi 4. Step-by-step assessment of personal loan & Specimen form of customer loan v Personal loan Westpac Personal Loan (Web) Character : ü Lender obtains authority to collect information from third parties ü Personal details to be provided and evidenced ü Applicant’s employment history ü Information about personal referees Capacity : ü Current employment details ü Capacity to service the proposed debt ü Details about item(s) to be purchased ü Amount to be borrowed and proposed repayment arrangements ü Whether existing bank customer to verify general financial history u d E n o m Si 8 8 9 9 8 8 Step-by-step assessment of personal loan p [填表] g Step 1 - Obtaining prescribed application form h : Step 2 - Conducting preliminary assessment [初步审核] t a Step 3 - Accepting and loading application [处理申请] h Step 4 - Taking securities C [取得抵押物] e Step 5 - Determining interest, fees, charges [定价] W application Step 6 - Approving/rejecting [通过/拒绝申请] Step 7 -Supervising of loan and follow-up [定期跟进还款状况] u d E n o m i S Collateral : ü What assets applicant has to indicate financial security or requirement for financial guarantees Simon Edu BFF 5914 Bank Lending By Sushi v Credit loan Credit card application form (Web) 表格的大部分内容和personal loan的申请表相同,信用卡申请增加了以下内容: ü Type of card required ü Interest-free periods (if any) ü Membership of ’rewards’ program(s) The applicant’s choices in card requirements will be reflected in the interest rate charged on the credit card. (申请人对信用卡的选择,其实就是在选择相应的利率) Step-by-step assessment of Credit card loan Step 1 - Obtain completed application form [填表] Step 2 - Conduct credit checks via Credit Advantage, employer and other institutions where the customer holds accounts [信用检查] Step 3 - If checks satisfactory, load details into computer to assess whether sufficient points available [申请资格评估] Step 4 - Create and provide card to applicant with letter of conditions etc. [将卡片和条款邮寄至申请人] u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi 5. Precautions to be taken in granting consumer loans 在审核处理 consumer loans需要采取预防措施的情况有: 1. Inconsistent/withheld information 申请人对重要信息有所隐瞒 (e.g.健康或是工作连续性相关的问题), 申请人提交的信息不一致 2. Dangers of over- committed borrower 过度承诺的申请人 3. Proper signing of all loan documentation 正确签署了所有贷款文件的申请人 4. Meticulously ensure bank’s lending policy is adhered to 确保遵守银行的lending policy 5. Proper searches for bankruptcy or other credit problems must be conducted 必须对破产或是其他的信用问题进行调查 6. Laws and regulations affecting consumer loans u d E n o m Si 8 8 9 9 8 8 p g h : t a h ü Anti-Discrimination Laws – 贷款不能因年龄性别种族等问题被拒绝或扣留 C e ü Code of Banking Practice –W 澳洲银行协会自发性组织 u Act (CCA) 2010 – 确保公平竞争市场 ü Competition and Consumer d E ü Privacy Legislation n – 银行需要征求申请人的同意才能查看某些隐私信息 o m i S The national credit code (NCC) - The NCC is a contained in Schedule 1 of the National Consumer Credit Protection Act (NCCPA) 2009. - 适用于 “个人住宅或家庭用途,为投资目的而购买、翻新或是改善住宅”而提供贷款 的情况;或对全部或主要用于购买、翻新或改善住宅地产以提供投资的贷款进行再 融资 Simon Edu BFF 5914 Bank Lending By Sushi Trends in consumer credit - As per the OECD (2017), the household debt as a proportion of net disposable income rose to 212 in 2015. Australia ranks number four in the OECD countries in household debt. Trends in Personal Lending - Sustained growth not any more (Australian Statistic Bureau) - Dominated by loan for motor vehicles and residential block of lands - 73% of personal finance is provided by banks Trends in credit card lending - Credit card figures not reported separately and so includes revolving lines of credit - On consolidated figures, only around 40% of available credit is actually being used - According to the Australian Payments Clearing Association (2017) ’there are some 55 million credit and debit cards on issue in Australia. On average, 19 million transactions are made at Australia’s ATMs and in-store terminals each day’. u d E n o m Si 8 8 9 9 8 7. Pricing and structuring of consumer lending 8 p Loan Pricing : g h ü Is a function of the cost of funds, risk, macroeconomic factors, inflation and competitor’s : t pricing a h 定价函数取决于资金成本、风险、宏观经济因素、通货膨胀以及对手定价 Cor without early payment penalties ü Either fixed or variable rate with e 固定/变动利率;提前还款有(无)罚款 W ü Fees add to profitability and an important loan pricing considerations u Loan Structuring : d E ü Repayment structure and any other relevant conditions n 具体还款计划及相关条款 osupported by appropriate documents at all stages ü Must be m Si 所有阶段 (申请,审批等)的文件必须保留完整 ü May contain guarantees or other collateral 可能包含其他担保或是抵押物 ü Finalisation of the terms 贷款条款的最终确定 Simon Edu BFF 5914 Bank Lending By Sushi Real Estate lending 1. Nature of real estate lending Made for 1) the purchase of home 2) fund improvements to private residential property 通常称为 residential mortgages,时长通常为10-30年 Basic terms: Property: anything that is owned or controlled (有所属的资产) Real estate: earth, land and man-made hereditaments (无所属权的) u d E n o m Si 2. Evaluating real estate loan applications 不动产的贷款通常都是金额大,时间长,因此对贷款所购置的不动产的估值非常重要 Loan feature 房产贷款的特征 ü Loan-to Value (LVR) 不超过 80 % ü 只有经认证过的估值师 (approved valuers ) 才能进行 8 8 9 Capitalisation approach 3. Income 9 8 8 p g h : t a h Market value approach C e 最新的市场售价来估值 [very popular] 基于 comparable properties W 这种方法可能存在的问题有 u – 不存在一模一样的房产,能够找到做比较的房产有限 ü limited comparability d ü House’s condition may vary considerably – 每个房子的内部装潢,使用程度不一样 E ü Quality ofn foundations may differ greatly – 地基质量不相同 o ü Sale reflects historical trends and may be inaccurate for current market conditions – 市场 m i 上的价格反应的是历史,用于评估现状不够准确 S ü Are any special features apparent, e.g. on sacred site or other sentimental value ? – 当房产 Three traditional approaches 传统三种估值方法 1. Market value approach 2. Cost approach I 有独特的特征时,无法与市场上别处房产做比较分析 Simon Edu BFF 5914 Bank Lending By Sushi Cost approach I 成本法 ü 对房产所在土地进行单独估值,将所有有价值的修缮成本加入,减去房屋使用折旧及 损坏部分,最后根据其他外部因素 (e.g. 地理位置) 调整价格 这种方法的关键问题在于: 需要估值的东西太多,成本的确定存在争议 (disputes over costs used) Step 1 - Value of land alone is assessed using recent property sales Step 2 - Adds value of all improvements Step 3 - Subtracts allowance for depreciation, wear-and-tear, etc. Step 4 - Adjustments for any other matters, e.g. desirability of location u d E n o m i method) Income Capitalization approach (years purchase method / net incomeSmultiplier 资本化 8 使用 comparable properties 的租金(按照具体差异进行调整)后,将租金资本化后来评估 8 9 房产价值 9 8and adjusted for any specific - Uses ratio of rental income from comparable properties 8 differences/characteristics p to determine yield g - Relies on net income (gross income minus expenses) h : t a h C e W 除了对房产进行评估以外,我们还需要考虑申请人是否能够以自己的收入来支付按揭 u Three factors in loan instalments d E 1. Amount of loan n 2. Period ofoloan 3. Applicable interest rate (sometimes with sensitivity analysis) m i S Simon Edu BFF 5914 Bank Lending By Sushi Example of A Real Estate Loan Application Sourced from ANZ (Web) - Details requested by lender include : ü Purpose of loan, i.e. owner-occupied or investment ü Property details, i.e. address, price, access for valuation, contractor/builder, etc. ü Type of loan requested, repayment options, whether mortgage insurance - Details required and proposed insurance: ü Applicant’s personal details including name, address and financial position ü Legal elements including purchaser’s solicitor/conveyancing firm, and validity of property’s title. Important to note that this document does not constitute an offer to lend ü Applicant’s gross monthly income, LVR, mortgage insurance (if any) ü Lender’s decision about loan completed u d E n o 3. Step-by-step evaluation of home loans m Step 1 - Applicant completes prescribed form including privacy waiver (so that the credit i S (包括私隐豁免书)] assessor can verify the information). [填写申请表 88 and determine interest Step 2 - Determine loan eligibility and serviceability, arrange9 valuation 9 rate, fees, caps, etc. [确定贷款资格,安排股价,确定利率,费用] 8 8borrower. If loan declined, use bank’s p Step 3 - If loan approved, send loan offer document to g h standard letter due to possible legal implications. : t a [批准的贷款:银行将贷款文件发送至申请人] h [拒绝的贷款:银行使用标准文件回复申请人] C e Step 4 - If applicant proceeds, gather all legal and title details from applicant’s solicitor and W other institution if refinancing involved. - Applicant must sign mortgage documents in presence of authorised bank officer. u d [如果是在融资:银行向申请人的律师或是其他机构收集所有legal and title detailed] E [申请人在获取授权的银行员工面前签署所有按揭贷款文件] n o Step 5im - Arrange settlement of loan transaction with applicant’s solicitor. Debit stamp duty andS other fees/charges/taxes from nominated mortgage account (these charges can be substantial and the borrower should be informed of these upfront). [安排贷款事宜。银行在通知完申请人后,从指定账户收取stamp duty以及其他费用] Simon Edu BFF 5914 Bank Lending By Sushi 4. Precautions in Granting Real Estate loans The following are some precautions that the lender should consider : ü Accurate factual information such as valuation, dimensions of land, title, etc. 所获资料的准确性,如估价、土地面积、业权等。 ü Information about recent local sales 关于最近本地销售的信息 ü Vendor has proper title to transfer 卖主有适当的所有权可以转让 u d E n o ü Verifying that applicant has not withheld information such as health orm employment i (although may be difficult to obtain) S 核实申请人没有隐瞒诸如健康或就业等信息 8 8 9problems with health, injury, ü Despite lender’s best efforts, default may be possible from 9 8 employment, family disputes, etc. 8 有时候就算是审核贷款时用了很认真,但由于健康、受伤、就业、家庭纠纷等问题,仍 p g 有可能出现违约。 h : t a ü Ensuring loan officer has complied with h the many complex lending procedures 确保lender遵守复杂的贷款程序 C e ü Ensuring loan officers are W aware of all lending policy changes. 确保lender了解所有贷款政策的变化。 u d E n o m i S ü For new housing, permissions granted from council, water authorities, electricity, telephone and determining suitability of site for construction 有关新房屋、立法会、水务、电力、电话及确定适合兴建地点的许可 Simon Edu BFF 5914 Bank Lending By Sushi Trends in Real Estate Credit High borrowings due to the current low interest rate environment Mortgage originators create ongoing competitive pressure Considerable pressure has been placed on interest rate margins Greater emphasis on fee income 5. Pricing and Structuring of Real estate loans v Loan Pricing Loan pricing refers to the : - Interest rates - Fees - Other terms imposed by the lender 贷款定价由利率,费用及lender要求的其他项目组成,会收到资金来源、成本和所需资 本费用的影响 ü Calculation of interest on loans 利率通常由市场的供求力量及资金来源决定 u d E n o m Si 8 8 9 9 8 8 p Floating : 一般由银行根据官方利率自行调整 g h - Borrower bears interest rate risk : t a hcalculations, using the PMT formula in topic 2. Notes:Monthly Repayment (MRP) C e W ü Bank fees Bank’s shown great fee - generating creativity including fees for : u d 贷款设立、服务、转贷、渐进式放款、递交、结算、结单、提早还款等。 E - Loan establishment, service, loan switching, progressive loan drawing, lodgement, n o statement, early repayment, etc. settlement, m Si Structuring v Loan Fixed : 一般设定1-5年固定 - Lender bears interest rate risk which is generally managed by using interest rate swaps Usually has the following documents - A promissory note - Mortgage deed - Letter of guarantee - Property’s sale deed - Assignment of other collateral (if required) - Loan agreement with terms and conditions Terms and conditions - Repayments : Amount and frequency - Interest Rates : Fixed, variable or variant - Security/Insurance : Details of assets to be mortgaged and any insurance details - Default Clause : Actions available in the event of default - Pre-Payment Clause : Pre-payment procedures and costs - Fees : Schedule of fees and payment timing - Stamp Duty and Government Charges Westpac Banking Corporation ABN 33 007 457 141 Bank Use Only Date of application Reference number Personal Loan Application For Personal Loans (Secured or Unsecured) Secured Unsecured Before you complete this form please read the section titled Acknowledgements & Consents shown on page 4 and 5 Type of Loan Please use BLOCK LETTERS and tick ( ) appropriate boxes Type of purchase I would like to use the funds to purchase the following: Car Bike Boat Caravan and/or Other (specify below) New Amount $ Used 1 $ 2 $ 3 $ Total Loan Amount Please indicate how long you would like to repay the loan? Loan Details (Secured Loans) Do you know the details of the goods you would like to purchase? No If NO, you do not need to complete this section. A Personal Lending Centre representative will contact you to discuss pre-approval option. Yes If YES, where are the goods being purchased from? Dealer/auction Refinance Private sale Details Year of manufacture of goods being pur- Body (e.g. ute, sedan) chased: Make (e.g. Ford, Toyota) Model (e.g. Falcon, Camry) Kilometres (odometer reading) Protecting Your Loan Repayments With Personal Loan Protection We can offer this insurance (with the cost built into your loan) to help cover your loan repayments if you lose your job, contract a sickness or disease, or sustain an injury and aren’t able to work. It will also pay the balance owing on your loan if you die. If you’re working at least 20 hours a week in paid employment you qualify. Personal Loan Protection is issued by Westpac General Insurance Limited ABN 99 003 719 319 and Westpac Life Insurance Services Limited ABN 31 003 149 157. This insurance isn’t compulsory and you should obtain the Product Disclosure Statement (PDS) and Financial Services Guide (FSG) to consider whether the cover is appropriate to your financial situation, objectives or needs. A PDS and FSG can be obtained from Westpac.com.au or by calling 1300 369 989. Applicant 1 Personal Details – Applicant 1 No months Applicant 2 Both applicants Yes – If YES years months My relationship to Applicant 1 is: Co-Borrower Co-Borrower/Spouse Title Given name(s) Surname Date of birth Gender / M Marital status Surname F Resident of (if not Australia) Date of birth / Number of dependant children Driver’s licence number Page 1 of 5 No Are you an existing Westpac customer? Given name(s) / Yes Personal Details – Applicant 2 Are you an existing Westpac customer? Title months If YES, select which applicant. Other Yes – If YES years years Would you like to apply for Personal Loan Protection? Auto / Manual (if applic.) No $ Gender / M Resident of (if not Australia) State Expiry date Driver’s licence number Confidential Marital status F Number of dependant children State Expiry date WAL065 (6/07) • HPA Personal Details cont.– Applicant 1 Personal Details cont. – Applicant 2 Current residential address Current residential address Postcode Time there years Time there months Home phone number ( Postcode Mobile phone number ) ( years months Home phone number ) ( Current residential status Mobile phone number ) ( ) Current residential status Renting Renting Mortgagee/landlord name Mortgagee/landlord name Contact phone number Contact phone number Buying Own home Housing comm. Boarding Living with parent(s)/relatives Other (specify) Buying Own home Housing comm. Boarding Living with parent(s)/relatives Other (specify) Postal address, write ‘same’ if the same as your residential address Postal address, write ‘same’ if the same as your residential address Postcode Postcode Previous residential address, if less than 2 years at current address Previous residential address, if less than 2 years at current address Postcode Time there years Postcode Time there months Employment Details – Applicant 1 years months Employment Details – Applicant 2 Current employment details Occupation Current employment details Occupation Type of employment Type of employment Full time Part time Self-employed Temp/Casual Contractor Other (specify) Full time Part time Self-employed Temp/Casual Contractor Other (specify) Employer’s name (or Accountants details if Self Employed) Employer’s name (or Accountants details if Self Employed) Employer’s/Accountant’s address Employer’s/Accountant’s address Postcode Postcode Time there years Time there months Name of contact person at your employer Title of contact person Contact person’s phone number Contact person’s fax number ( ) Time there Page 2 of 5 years months Name of contact person at your employer Title of contact person Contact person’s phone number Contact person’s fax number ( Previous employer’s name (if less than 3 yrs with current employer) years ) ( ) Previous employer’s name (if less than 3 yrs with current employer) months Confidential Time there years months WAL065 (6/07) • HPA Account Details – Applicant 1 Account Details – Applicant 2 Please list all current accounts including loans and savings. Please list all current accounts including loans and savings. Note – Account number is not compulsory Note – Account number is not compulsory Acct. 1 Financial Institution Acct. 1 Financial Institution Account type Account number Limit – $ Acct. 2 Financial Institution Account type Account number Limit – $ Acct. 3 Financial Institution Account type Limit – $ Limit – $ Account type Limit – $ Acct. 6 Financial Institution Account type Account type Account type Limit – $ Account type Limit – $ Account type Financial Details – Applicant 1 Monthly income after tax $ Other monthly income (please specify) Total Monthly Income after tax Balance – $ Account number Limit – $ Balance – $ Account number Limit – $ Balance – $ Account number Limit – $ Acct. 7 Financial Institution Balance – $ Monthly Income – i.e. money that you receive Limit – $ Acct. 6 Financial Institution Account type Balance – $ Account number Acct. 5 Financial Institution Balance – $ Account number Limit – $ Acct. 4 Financial Institution Account type Balance – $ Account number Acct. 3 Financial Institution Balance – $ Account number Acct. 7 Financial Institution Account type Balance – $ Account number Limit – $ Acct. 2 Financial Institution Balance – $ Account number Acct. 5 Financial Institution Account type Balance – $ Account number Acct. 4 Financial Institution Account type Balance – $ Account number Balance – $ Account number Limit – $ Balance – $ Financial Details – Applicant 2 Monthly Income – i.e. money that you receive Monthly income after tax $ Other monthly income (please specify) $ $ $ $ $ Monthly Expenses – i.e. money that you pay out Total Monthly Income after tax $ Monthly Expenses – i.e. money that you pay out Mortgage repayment $ Mortgage repayment $ Rent/board payment $ Rent/board payment $ Other loans/overdraft $ Other loans/overdraft $ Credit/store cards $ Credit/store cards $ Other – e.g. school fees, medical insurance Other – e.g. school fees, medical insurance $ $ $ $ Total Monthly Expenses Page 3 of 5 $ Total Monthly Expenses Confidential $ WAL065 (6/07) • HPA Financial Details cont. – Applicant 1 Financial Details cont. – Applicant 2 Assets – i.e. what you own Assets – i.e. what you own Property $ Property $ Credit funds (Westpac) $ Credit funds (Westpac) $ Credit funds (other banks) $ Credit funds (other banks) $ Shares/trusts $ Shares/trusts $ Life insurance/superannuation $ Life insurance/superannuation $ Motor vehicles $ Motor vehicles $ Personal effects, jewellery, furniture etc. $ Personal effects, jewellery, furniture etc. $ Other (please specify) Other (please specify) $ $ Total Assets $ Total Assets Liabilities – i.e. what you owe $ Liabilities – i.e. what you owe Name of Lender Name of Lender Mortgage with Westpac Mortgage with other bank $ $ Mortgage with Westpac Mortgage with other bank $ Car loan $ $ Car loan $ Credit cards/ lines of credit $ Credit cards/ lines of credit $ Personal loans $ Personal loans $ Other loans $ Other loans $ Total Liabilities $ Total Liabilities $ Financial Transaction Reports Act (1988) Requirements Acknowledgements & Consents cont. I state that the account(s) will be held in the name(s) of a person(s) and will not be held in trust. If the Parties engage anyone (a “Service Provider”) to do something on their behalf (for example a mailing house or a data processor) then I agree the Parties and the Service Provider may exchange with each other any information referred to above. The Bank might give any information referred to above to entities other than the Parties and the Service Providers where it is required or allowed by law or where I have otherwise consented (this includes the consents I have provided below). I agree that any information referred to above can be used by the Parties and any Service Provider to assess my application for a personal loan and Personal Loan Protection, if requested; for administration of my account and policy, if applicable; and planning, product development and research purposes. I understand that I can access most personal information that the Parties hold about me (sometimes there will be a reason why that is not possible, in which case I will be told why). I understand that if I fail to provide any information requested in this form, or do not agree to any of the possible exchanges or uses detailed above, my application may not be accepted by the Bank. To find out what sort of personal information the Parties have about you, or to make a request for access, please contact: 132 032 Is either Applicant 1 or Applicant 2 known by any other name(s)? No Yes If YES, give details of other name(s): Applicant 1 Applicant 2 Note: It is an offence under the Financial Transaction Reports Act (1988) to make a false or misleading statement. Acknowledgements & Consents PROTECTION OF YOUR PRIVACY PERSONAL INFORMATION In this section, titled Personal Information, the Bank means Westpac Banking Corporation. I agree that the Bank and any other member of the Westpac Group* (the “Parties”) may exchange with each other any information about me including: • any information provided by me in this document; • any other personal information I provide to any of them or which they otherwise lawfully obtain about me; and • transaction details or transaction history arising out of my arrangements with the Bank. Page 4 of 5 * The Westpac Group means Westpac Banking Corporation and its related bodies corporate. CREDIT INFORMATION In this section, titled Credit Information and in the section titled Other Acknowledgments and Consents, the Bank means Westpac Banking Corporation, any manager, any servicing company or Confidential WAL065 (6/07) • HPA Acknowledgements & Consents Acknowledgements & Consents any authorised agent of the Bank who for the purposes of the Privacy Act is a credit provider. Notice that credit information may be given to a credit reporting agency The Privacy Act (1988) allows the Bank to give a credit reporting agency certain personal information about me which I authorise the Bank to do. This information includes: my identification; that credit has been applied for and the amount; that the Bank is a current credit provider to me; details of payments which become overdue for more than 60 days and for which collection action has commenced; that payments are no longer overdue; details of cheques drawn by me which have been dishonoured more than once; that in the Bank’s opinion I have committed a serious credit infringement; and that the credit provided to me by the Bank has been paid or discharged. • This facility is not for business purposes. • I confirm that the information contained in this application and the financial information supporting it are in all respects complete and correct. I acknowledge that the Bank will rely on this information when making its decision. • I acknowledge that the Bank has the right to confirm the details of the information provided in this application. • I am not an undischarged bankrupt. • I have read, understand and agree to the acknowledgments and consents relating to the protection of my privacy. Authority to obtain certain credit information To enable the Bank to assess my application for personal or commercial credit I authorise the Bank to obtain: from a credit reporting agency, a credit report containing personal or commercial information about me in relation to personal or commercial credit provided to me; and from a business which provides information about the commercial creditworthiness of persons, information about my commercial activities or commercial credit worthiness. Authority to disclose certain information to joint applicants I understand that if the Bank declines my credit application due to adverse information on my personal credit file, then each applicant for the credit may be notified that the application has been declined wholly or partly on information derived from a personal credit report relating to me. Banker’s Opinion I authorise the Bank to give and receive a banker’s opinion for purposes connected with my business, trade or profession. Authority to exchange credit information with other credit providers I authorise the Bank to give to and obtain from other credit providers named either in this application or in a credit report issued by a credit reporting agency any information about my credit worthiness, credit standing, credit history or credit capacity. This information may be used to: assess my application for credit and or my creditworthiness; assist me to avoid defaulting on my credit obligations, and notify other credit providers of a default by me. We may also disclose personal information to other financial institutions and organisations at their request if you seek finance from them. Authority to exchange credit information for securitisation purposes I authorise the Bank to give to and obtain from persons involved in securitisation arrangements, any report or information about me in relation to personal or commercial credit provided to me, including any information about my credit worthiness, credit standing, credit history or credit capacity. Securitisation arrangements may include purchasing, funding, managing or processing credit. Members of the Westpac Group would like to be able to contact you, or send you information, regarding other products and services. Your terms and conditions document will explain this in more detail, including what action to take if you do not wish to receive this information. Signature of Applicant 1 Signature of Applicant 2 Thank you for taking the time to apply for a loan with us. Bank Use Only Preferred BSB for customer sign up Promotion code (if applic.) Originating branch BSB Originating staff contact phone no. Originating staff contact name I have confirmed the applicant(s) Yes No identity by sighting the applicant(s) Drivers Licence; Applicant 1 – ID type / no. OR (if Drivers Licence not available) I have sighted other identification Applicant 2 – ID type / no. the customer has provided (e.g. passport, credit card). OTHER ACKNOWLEDGEMENTS AND CONSENTS • I acknowledge that this application form is not to be regarded as an offer or acceptance of credit under any legislation relating to the provision of credit. The information I have provided in this form will not become part of any contract for credit which may come into existence between me and the Bank. • I authorise the Bank to use this application to assess and approve products which I have selected. • I understand that only the Bank can decide whether this application is approved and that any person who may have introduced me to the Bank has no authority to give that approval. • I consent to the Bank exchanging information concerning my financial affairs with any person acting on my behalf, including my agent, accountant, solicitor or broker. Page 5 of 5 Confidential WAL065 (6/07) • HPA Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 5 – Corporate and Small Business Lending Corporate Lending 1. The principles of corporate lending 2. Discuss the application of lending criteria Financial & non-financial 3. Structuring the loan proposal Small business Lending 1. Overview of small business lending u d E n o m Si 8 8 9 9 8 8 p financial information 3. Appraise the business proposals without goodgquality h : t a h C e W General tip for all business lending • Apprising capital investment u forecast • Appraising profitability d E • Monitor and control nLending and security • Corporate o • Advice from the past m i • Manage loan portfolio S • Skills required of loan officer 2. Describe the distinctive risk of small business lending Asymmetric information Credit rationing Simon Edu BFF 5914 Bank Lending By Sushi Recall: 任何贷款的三个首要原则都是 ü Safety - Ability to repay the loan (Acceptable security? Satisfactory financial position?) ü Suitability - Purpose and amount of loan, hurt money and repayment schedule ü Profitability - Sufficient return on investment 在整个business lending中,不论是在large corporate lending中还是small business lending 中,我们使用的general评估规则仍然还是以CAMPARI / 5 Cs为主 本周内容应当结合第二周的financial ratio analysis一起运用于评估business lending case General Corporate Lending u d E Safety / Suitability / Profitability n CAMPARI / 5 Cs o m i 但和之前的personal lending 相比,商业借贷特别是large corporation所需要的金额大, S 风险高。所以评估相比个人的要更谨慎,更复杂一些 8 (more complex, rigorous, time consuming, so need to pay more attention) 8 9 9 8 8 Approach of Assessment p g ü CAMPARI h ; Repayment ; Insurance (Security) : - Character ; Ability ; Margin ; Purpose ; t Amount a h ü 5 Cs eC W ü PARSER - Personal element, Amount required, Repayment, Security, Expedience, Remuneration u d ü Statistical methods (Z-Score, KMV, etc) E n o The lending cycle m i 1. Origination 2. Funding 3. Monitoring S 1. The principle of corporate lending Lending过程中最关心的仍是 主要的核心规则仍然是 1 Simon Edu BFF 5914 Bank Lending By Sushi 2. Discuss the application of lending criteria There two aspects to business appraisal (i) financial, and ; (ii) non-financial matters 非财务信息 (non-financial) 的评估通常考虑的是character or capacity的问题 这方面的评估通常比较难进行,需要运用很多主观判断/经验之谈 但是非财务评估hold key to the success or failure of the business. 需要考虑的部分有: Markets and products – 市场份额/市场环境;公司产品/主营业务水平 Competition – 公司当前及未来的竞争水平 Resources – 公司的physical and production resources Management – 管理层水平/变动对公司的影响 财务信息 (financial) 的评估结合topic 2讲到的各项ratio 四大方面: 1. leverage 2. liquidity 3. efficiency u d E n o m i 4. S profitability 8 8 9Link to collateral / capacity 9 Financial structure (财务结构) 8 q D/E ratio (capital gearing/gearing) 8 p of proprietor’s capital and 基本上所有的corporate的资本结构都是D+E (combination g h borrowed money )。债务比重高的公司(high D/E ratio)相对于债务比重低的公司来 : t 说,更容易被摧毁(vulnerable) a h 而且站在lender的角度,公司的equity(capital)越多,越说明公司的shareholder付出 的更多,那么在公司的管理运营方面肯定会比负债高的公司要更负责一些 eC W cover) q Interest coverage ratio (interest 在偿付顺序中,债务永远是优先偿还的,也就说不论公司今年是否盈利,利息费用 u 都是必须支付的,公司的已获利息倍数(interest coverage ratio)越高越好 d E n 除了这两个关键的,我们还会考虑: o Fixedm charge coverage ratio i Retained S earning – 用于公司reinvestment的利润有多少 现有贷款状况 – 到期日,贷款形式 Fix asset – 固定资产的种类 固定资产里面通常还会考虑,有多少已经作为collateral to secure the current loan? 2 Simon Edu BFF 5914 Bank Lending By Sushi Liquidity & efficiency Poor efficiency management lend to the liquidity problem in the end 所以这两个方面通常是一起评估的 Liquidity Link to capacity 衡量的是企业的变现速度。Lender 评估的原因是,liquidity代表了企业总是能有现金 去支付loan repayment的能力 q Current ratio q Quick ratio 通过两个ratio的比较总是能够比较得出来存货inventory/stock在该企业是什么状况 u d Efficiency Link to characterE n q Stock turnover o q Average collection period m i 通常要和schedule of age of receivable一起分析 S q Average payment period 8 8 9 其他可能会考虑的: 9 8 debt, loans from/to directors, HP/leasing, short-term vs. long-term loans, Inter-company 8 dividends, taxation, working capital, operating cashp flow, capital expenditure g h : t a h C e W u d E Profitability Link to capacity n 在考虑企业是否盈利时,lender通常会考虑的问题是: o 企业的profit是否和sale有一个同增长的趋势,一起增长对lender来说是good sign m i 公司的profit如果是由主营业务 (main activity)所带来的,那么就是好的信号 S 如果是由其他项目(some risky investment)带来的,那么就要take care Lender prefer 留存收益多的公司(公司用于reinvest的钱多,银行贷出去的就少) Trends in profitability can be analysed through the examination of a number of ratios. q Gross margin q Net profit margin 3 Simon Edu BFF 5914 Bank Lending By Sushi 3. Structuring The Loan Proposal 构建一个corporate loan需要站在双方的角度,去建立一个optimum terms/conditions 出现一个loan proposal,一定是企业出现了资金短缺才会去寻求银行贷款 Borrower需要资金,lender需要确保借方由盈利能力,能够产生足够的现金流payback It should address the following questions • Is loan amount sufficient for task ? • Is cash available and repayment identifiable ? - 企业要求的款项够不够完成目标项目,以此来产生足够的现金流偿还贷款? • Is term of debt long (>12 months) or short-term ? - If long-term, will cashflow projections support repayment and does purpose match term ? 长期贷款的话,衡量项目是否能产生足够的现金流。借款目的是否始终如一 u d - If short-term, does asset conversion cycle and working capital allow repayment ? E 短期贷款的话,考虑企业是否有足够的WC来偿还贷款 n o m i S 8 borrower呢? If the loan are granted, 那么lender一般都哪些产品可以提供给business 8 9 9 Product structure and application 8 8 面向large corporate的通常是设计更加复杂的highp end products (并不适用于Small buz) g h - Revolving Credit : Flexible facility with a limit that may be drawn, repaid and used again : t a 和个人信用卡差不多,银行给予一个额度,可以灵活使用,一般用于短期资金周转 h ebeCdrawn down when required with guaranteed access - Standby Lines : Funds that may 备用金性质,制定一个上限后,在公司有需求的时候,借出a sum of money W - Revolving underwriting u facilities : Funds available on demand and reinstated on d repayment E 按照企业的要求放款,还款后恢复到约定的数额 n o m - Syndicated facilities : Mixture of product offerings shared by multiple lending firms i S 多个借款机构的款项混合贷款 - Project finance : Specific funding for single large-scale projects 通常是长期贷款,为投资发展专门的项目时所使用到的贷款 Notes 在评估large corporate lending时除了主观判断法,还会运用到credit rating 市场上会有专门的Credit rating agencies来为大型企业出具 formal credit opinion report Lender在评估时,通常会结合credit rating report 和其他credit criteria 4 Simon Edu BFF 5914 Bank Lending By Sushi Small business lending Facts: SME represent 99% of all business SMEs contributes 57% to GDP SMEs employ over 7million people (67% of total employment) - One SME born every 2 minutes. Banks lend on average $100,000 with mortgage collateral up to 3 years to SMEs. Fintechs will offer smaller loans (up to 18 months) with back up collateral based on the business assets - but at a higher interest rate. Home ownership for 25-34 year olds down 30% (compared to last 25 year average). What to use as collateral ? Lack of competition - major 4 banks held 83% share of SME finance (RBA, 2017). 总的来说,中小型企业因为规模小、缺少有效的抵押物,能够借到的贷款金额通常金额 小(small amount),期限短(short maturity),甚至很多无法获得贷款 u d E n o m Si 1. Overview of Small Business Lending Small business lending is a specialized area of lending Small business lending是一个专门的领域,有自己专门的特点,两种主要评估方法为 Two main approaches : Relationship Management approach – 关系管理法 Credit Scoring approach – 信用评分法 8 8 9 9 8 8 p g h : t 简单来看的话,区分中小企业的方式可以基于员工数量,销售额,资本数量来判断 a 但是对于lender (bank) 来说,中小企业的最显著的特点是 h C e that many ’small’ businesses either cannot or will not produce good quality W management information or projections which are generally available from larger ones. u 这就会造成Lenderd 在评估small business lending 时,无法获得enough or reliable E information (both finanical and non-financial )。这种信息的不完善,会让lender在整个 n o lending process中面临更大的风险 m Si 学术上将这种称之为信息不对称 – Asymmetric Information 5 Simon Edu BFF 5914 Bank Lending By Sushi 2. Distinctive risk of small business lending Asymmetric Information: Borrower is much better informed about the firm than lender 信息不对称是小型企业hard to finance的关键性问题(main issue) 这种信息不对称的问题会引出credit rationing 在普通的供求市场中,通常商品的的供求会到达平衡点 但在中小企业借贷市场上,因为信息不对称的原因,市场上的供求无法找到平衡点, 银行为了补偿自己的风险,所要求的利息率通常都比较高,造成了high loan price u d E n o m Si Credit Rationing: Loan price set too high 高定价进而又带来两个影响 - Adverse Selection: Better borrowers depart while poor borrowers remain 高定价,导致了市场上留下来的small business borrower通常是high risk的 Good SMB会因为觉得自己的状况很好,而拒绝选择高利息,从而去别的bank或是其他 机构寻求与自己匹配的贷款 - Moral Hazard: Seeking of riskier projects 如果市场上的贷款定价都很高,小型企业为了获得这笔贷款,为了保证未来的偿还, 进而会选择risker project来寻求高回报率 8 8 9 9 8 8 Solution: 通过和小型企业建立良好的合作关系来减小信息不对称带来的问题 p information types: gtwo Relationship lending helps reduce asymmetriesh via : - Hard: Verifiable financial information t a - Soft: Borrower’s character/reliability h eC W u d E n o 其实在理想状态下,the existence of decent information management systems in a small m i business is a positive sign in itself. S 但在现实中,很少能够做到有效收集Sufficient and reliable information to the bank 所以当企业迫于形势压力,为了借钱而开始准备一些formal budget和cash flow forecast的 时候。Bank 会面临新的疑问,这些临时做出来的预测,是否能够真实的反应企业的状 况以及未来情况的预测呢? 所以对于这些平时没有做financial planning,而又临时的迫于形势做了cash flow的小型 企业,lender会更谨慎一些,通常还需要和行业现有的平均水平去比较,或是展开很多 额外的调查 6 Simon Edu BFF 5914 Bank Lending 小型企业最常见的三种融资形式: 1. Floating rate finance 2.Fixed rate finance By Sushi 3. Bill finance u d E n o m Si 3. Appraising business proposals without good quality financial information 总的来说,在分析过中小企业的显著问题之后,我们知道: 银行难以获取sufficient and reliable information,是中小企业贷款难的首要、中心问题 因此在评估过程之中,lender通常需要: to seek a second opinion from a colleague whose judgment and objectivity is respected. need someone with a good knowledge of that industry. E.g. specialists. 8 8 9 9 8 除了寻找他人的意见,还要尽可能的去调查小型企业的相关情况 8 p The areas which need to be examined are: g h ü the ability and integrity of the proprietors;业主的能力以及品行 : t a h resources; the present and potential ü the availability of physical and production C profitability;产品资源,现在及未来的盈利能力 e Won future cash flow; 现在这个贷款提议对未来现金流的影 ü the impact of the proposition 响。如果我同意了这项提议,那么这个小型企业未来的现金流相对于现在来说会有 u 什么变化 d E n of present and planned capital resources. 资本资源是否充足 ü the adequacy o m i S Monitor and control 建立规则 – Lender要求borrower定期提交报告 (regular report) 针对small business,lender尽可能的应该以 loan 的形式放款而非 lines of credit - 建立自动还款的机制 - 确保款项用于其目标用途 - For working capital purposes a line of credit is appropriate, but should be monitored to ensure that it is not misused. - For capital expenditure purposes like purchasing of machinery and other fixed assets, a loan is appropriate. 7 Simon Edu BFF 5914 Bank Lending By Sushi General tips for all business lending Appraising Capital investment 对一个loan的审核其实和企业去做投资是很像的 Bank也是希望通过lending activity去获取利润,所以bank也是需要去评估当前这个 lending proposal是否是一个profitable的项目,这就和我们企业在做投资项目评估, capital budgeting时候的状况很相似。如果比方说企业对一个项目评估最后NPV是负的, 那么自然会直接拒绝这样一个项目 所以我们来简单回顾一下投资项目评估时常用到的四种方法 1. Payback 2. Return on investment 3. Yield (IRR) 4. Net present value 以上四种方法都是在已知未来现金流 (future cash flow) 的基础上进行计算 u d E n o m Si 8 8 9 9 8 8 Appraising Profitability forecast p g Business borrower在寻求银行的loan融资时,应当要做一个至少包含未来12个月的 h future budget plan,长期一些的贷款的话,最好是有3-5年的预测值 : t 对于任何因为lender要求才出具的预算要格外小心 a h C e / forecast / financial / business / project plan 一般情况会给出未来3年的Budget 理想状况下,这些未来预算应当展现出来,当前年度的一个财务状况是未来长期规划 W 的一部分 u d Budget Plan对于lender来说,起到了评估未来的作用 E 同时对于borrower来说,管理层要做的不仅仅是要去实现预算的这些金额,而是应该 n o 用预算来起到管理和监控的作用 m i S Monitoring and control in general The bank lender has a number of aids to assist in monitoring his customer : ü Internal records ü Visits and interviews ü Audited accounts ü Management accounts 8 Simon Edu BFF 5914 Bank Lending By Sushi Corporate lending and security 以下几种情况,基本上可以说是 必须获得抵押物 才能批准的 1. Where the realisation of specific assets represents the source of repayment, e.g. a bridging loan. 过桥贷款,买地,买设备的例子等 2. Where the purpose of the advance is to acquire a specific asset e.g. a medium term loan for the purchase of machinery. 购买特定资产,生产线,厂房,那么一般这项资产就 会被作为collateral来作为贷款的保障 3. Where the risks and consequences of the expected source of repayment failing are such as to make it necessary to have clearly defined and controlled alternative source. (Look for at least 2 exit strategies) 未来预期的repayment方法减值的时候,制定别的还款来 源是非常重要的 u d E n o m Si v Security margin 是所有贷款抵押物问题之中要考虑到的事情 lender 需要留出一部分的差额,来保证this loan are fully secured Any advance may not be fully repaid from the sales of the security should be recognized that this lending is partially secured 8 8 9 9 8 8 p g h : t a h v Secondary mortgage C 例如:你向A银行借款1 m,用于购买一个2 m的房子 。 e 你以这个价值 $2m 的房子as a security to get the loan à A银行属于first mortgage W 这时候如果你还有别的贷款需求,比方说有个商业方案想要贷款10万来做个生意。 u d 这时候你手上可以当作抵押物的东西其实就只有这个 $2 m的房子,所以你再次将房子 E 二次抵押来向B银行申请获得10万的新贷款 à B银行属于secondary mortgage n o Second mortgage的贷款余额永远是次于first mortgage的,接受first mortgage的银行不会 m i S 在意变卖抵押资产后是否还能够偿还得起second mortgage 所以在评估二次抵押时,非常重要的一点是assessing the value of a second charge 需要计算好在该资产first mortgage之后,还剩余多少价值可以作抵押 9 Simon Edu BFF 5914 Bank Lending By Sushi v Guarantees and other third party security 担保或是第三方也可以用来做商业贷款的security, to secure the loan payment 在business lending 中,通常是另一公司来充当guarantee/third party 常见形式有 Intra-group guarantees – 集团内部公司之间做担保 Parent company guarantees – 母公司为子公司担保 Lender需要在意的是这个guarantee有没有资格做担保 1. To make sure whether a company can validly give the guarantee: 通过check公司章程来确认the company is eligible to offer the guarantee. u d E n o m Si 2. it is then necessary to determine whether the transaction is within the authority of the directors. 确保这项担保是在directors的授权之下进行的 Directors must have: - given actual consideration to the position of the company in giving the proposed guarantee ; 在作出提议的担保时,必须考虑到公司的实际情况; 8 8 9 9 8 - acted in good faith in reaching their decision.8在作出决定时本着诚信行事 p g h : t a h Advice from the past (适用于所有lending appraisal,尤其是business lending) C e What are some of the key lessons from experienced credit managers? Wfor credit decisions 1. Always try to work in a team 2. Allow sufficient time for reasoned decisions u figures 3. Verify ALL factsdand 4. Segregate theEselling and approval of loans n the client and don’t be forced into bad decisions 5. Be firm with o 6. Never what you cannot deliver impromise 7. S Always consider client’s quantitative AND qualitative aspects 8. Volume is not necessarily profit. The client must also add to profitability - been satisfied that the transaction was in the interests of the company itself (not some third party) 确信该交易符合公司本身(而非某第三者)的利益; 9. The purpose of the loan should also indicate the repayment ability 10. Visiting client’s firms adds to your understanding and allows business creation 11. Record all relevant facts as soon as possible, and not from memory, as files may become evidence 12. Try to confine client dealings to professional matters only 13. Timely and careful gathering of information 14. Be proactive, not lazy and reactive 15. All loans should provide at least two ways out - cashflows and security 10 Simon Edu BFF 5914 Bank Lending By Sushi 对于一个银行来说,银行所有的lending project汇总到一起 其实是等于银行自己的一个loan portfolio 那么lender在评估某一个单个项目时,也需要站在银行整体的loan portfolio的角度出发 Managing the Loan Portfolio What can go wrong ? - 30% of bad loans were unsound when loan made - facts missed or analysis was faulty - Much greater risk of errors in loan approval process than fraud - Risks are : § External : Changes to regulations/legislation, technological, globalisation, economic, etc. § Internal : Poor planning, organisation, profit planning/cost control and resource. management u d E n o m Si Skills required of the loan officer ü Understanding loan portfolio complexity ü Subjective and objective in risk assessment ü Sound credit administration and record-keeping ü Strong focus on loan monitoring and credit judgment ü Technologically competent / Technically competent ü Clear thinker who is good at early problem recognition and decisive solution-finding u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W 11 Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 6 – Traditional Approaches to Credit Risk Measurement q Definition of Credit Risk q Four categories to measure the credit risk - Expert system - Risk premium system - Econometric based systems - Hybrid system 8 8 9 9 8 8 p g h q Econometric analysis : t 1. Regression analysis a h 2. Altman’s Z score C e 3. Limitations W q Hybrid system RAROC model u d E n o m i S q Risk Premium analysis 1. Probability of repayment / probability of default 2. Mortality rate / survival rate using survival rate to price the risky bond 3. Issues of risk premium analysis u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi q Definition of Credit Risk Credit risk is the risk of loss through the default on the legal obligations - Major source of financial institution failure 讨论 Credit risk 的时候,不仅包括了违约风险(default risk) 还包括了贷款不能按照合同 条约支付的可能性 在我们整个Topic 6之中,需要谨记的一点是违约并不总是代表 100% 的损失。 也就是说即使发生了违约 (in the events of default),lender 通常也是能得到一部分的还 款的,这部分的还款我们通常用 recovery rate 来表示。 u d E n o m i 需要强调的是一旦发生违约,the bank will lose money,最后损害的是shareholder of S bank的利益,因此measure the credit risk 显得尤为重要 8 8 9 9 8 8 p g h : t a h risk q Four categories to measure the credit C e - Expert system W 基于lend officer的主观判断的人工衡量方法 – Five Cs / CAMPARI / PARSER 名字称为 expert,是因为分析过程用到了专家,而不是说分析结果是专家级的 u 这种分析方法运用了大量的human judgment,所以通常分析结果有很大的不确定 d 性。最终导致了这种方式的表现不佳。 E n o - Risk premium system m i 基于risk-free rate计算风险溢价 S 例子:A公司破产,贷款(抵押物为办公楼)还剩100万没有还完的情况下,如果未来没 有任何现金流,接下来必定是违约了。这时候如果银行将抵押物变卖得到的70万,那 么这笔贷款的recovery rate 即为 70% 这个例子也凸显了抵押物的重要性,可以让lender的损失尽可能的小 - Econometric based systems 回归分析;有既定模型 - Hybrid system 混合方法, topic 6 主要介绍 RAROC model 1 Simon Edu BFF 5914 Bank Lending By Sushi q Risk Premium analysis 简单来说高出 risk-free interest rate 的部分就叫做 risk premium 比方说 现在市面上的无风险利率为 6 %,如果某项投资的收益率为 7% 则此处的 risk premium 为 1%,高出的这 1% 代表了对风险的补偿 银行把钱借给公司 和 投资人购买公司债券 这两件事情在公司眼里都是通过举债的方式筹款 所以当银行可以站在投资者的角度, 通过研究该公司 (可类比公司) 债券的 risk premium 去估计 发放贷款 (loan) 的风险 u d E n o Assumption: a world with NO Arbitrages m Si 1. Probability of repayment / probability of default 8 8 risky bond 对 risk of 在这个情况下,risky bond 和 risk-free bond 之前的差额刚好等于 9 9 default 的补偿,因此 8 𝑝 1+𝑟 =1+ 𝑖 公式 1 8 p ** p 表示probability of repayment g k 表示 h r 表示 risky corporate bond rate,有时候也会用 : t i 表示risk-free rate a h 整理可得: eC 1 + 𝑖 W 𝑝 =1+𝑟 u Example 1: d Assume that theE risk-free rate is 2% per annum and a risky corporate bond with B rating is n offering 8%oper annum. What is the market estimated probability of repayment if lending to this corporation? m i Solution: S 那么整个Topic 6 里面的 risk premium 都是基于公司债券的基础上去分析的,我们现在 将自己(Bank)想象成一个投资者 !"# !"%% 𝑝 = !"$ = !"'% = 0.9444 偿还概率 94.44%,违约概率 (1-p) = 5.56% 注意这个情况下的 risk premium 直接等于 r – i = 8% – 2% = 6% 2 Simon Edu BFF 5914 Bank Lending By Sushi Recall: 违约并不代表 100% 的损失,还要考虑 recovery rate 因此上面的 这个情况下,risky bond 和 risk-free bond 之前的差额刚好等于 risky bond 对 risk of default 的补偿,因此公式 1可以延伸为 𝑝 + 1 + 𝑟 + (1 − 𝑝) + 𝑒 + (1 + 𝑟) = 1 + 𝑖 公式 2 ** e 表示 the the proportion of the loan is recovered in the event of default 也是就是recovery rate,有时候也会用 𝛾 表示 公式 2 的变型 𝑟= 1+𝑖 −1 𝑒 + 𝑝 − 𝑒𝑝 因此在考虑了 recovery rate 之后,risk premium (r – i) 变成了 u d E n o m Si 公式 3 8 8 9 9 8 8 p g Example 2: Extension of Example 1 h : Again assume that the risk-free rate is 2% per annum and a risky corporate bond is offering t a 8% per annum, with the recovery rate in times of default of 70% (sometimes called γ). What h is the risk premium in this case? C e Solution: W 上一个例子中,我们计算出来了probability of repayment (p) 是 0.9444 𝑟𝑖𝑠𝑘 𝑝𝑟𝑒𝑚𝑖𝑢𝑚 (𝑟 − i) = − 1+𝑖 = − (1 + 2%)= 1.73% u d E 通过对比Example 1 & 2, n recovery rate 从 0 提高到 70%,credit risk premium 从 6% 降低到 我们发现,当我们将 o m 了 1.73% i S à 提高 recovery rate 可以有效降低 风险 !"# 𝑟 − i = $"%&$% − (1 + 𝑖) !"# !"%% (")*() +.-"+..///*+.-×+../// 3 Simon Edu BFF 5914 Bank Lending By Sushi 在刚刚的例子之中,我们计算的违约概率、risk premium 都是某单个年份的 但实际上,同一个债券,每一年的 risky bond interest rate 和 risk-free rate 都可能是有 变化的 接着考虑下一个问题, 一个长期贷款的所面临的每一年偿还概率 (probability of repayment) 都不同的时候, 那么整个贷款的累积违约概率(cumulative default probability)是多少? 𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 𝑑𝑒𝑓𝑎𝑢𝑙𝑡 𝑝𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑦 = 1 − 𝑝! ×𝑝% ×𝑝1 … 𝑝2 u d Example 3: E n 1. Assume that the probability of repayment in Year 1 is 97% and 96% in year 2 o What is the cumulative default probability? m i Solution: S 𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 𝑑𝑒𝑓𝑎𝑢𝑙𝑡 𝑝𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑦 = 1 − 0.97×0.96 = 0.0688 8 8 9 probability of default in 2. Consider the cases of ABC Company. The company’s marginal 9 year 1 is 0.03 and 0.08 in year 2. What is ABC company’s8 cumulative default probability 8 (round to two decimals)? p g Solution: h : 𝑝 =1− 0.03 = 0.97 t a 𝑝 = h1 − 0.08 = 0.92 𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 𝑑𝑒𝑓𝑎𝑢𝑙𝑡 C 𝑝𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑦 = 1 − 0.97×0.92 = 0.1076 e 这个例子告诉我们,在计算累积违约概率的时候,总是应该 W 1. 先得到marginal probability of repayment (𝑝 … 𝑝 ) u probability of repayment 的乘积 2. 用 1 减去 所有marginal d E n o m i S 接下来思考一个问题 ** 𝑝2 表示第 n 年的probability of repayment ! % ! 2 如何得到 每一年的偿还概率 (marginal probability of repayment)? a. 题目直接给出 (e.g. Example 3) b. 使用公式 1 计算 4 Simon Edu BFF 5914 Bank Lending 使用公式 𝑝= 1+𝑖 By Sushi 逐年计算 marginal probability of repayment 1+𝑟 每一年的 probability of repayment 对应着每一年的 risk-free rate (i) 和 risky bond rate (r) 但现实生活中能直接看到的利率通常是一年期或者几年期的 表1 one-year rate (%) two-year rate (%) Government bonds 8 10 Corporate bonds 10 13.5 比方说在表 1 之中我们可以知道 一年期的 risk-free rate 是 8%, u d E n o m Si 8 8 9 但我们并不知道单独来看第二年的的 risk-free rate 是多少 9 8 8 这时候我们需要用到一理论来求解:The unbiased pExpectation Theory g 这个理论在 NO arbitrage 的条件下,尝试告诉我们一年期利率和两年期利率之间隐含的 h : 一种关系,这种关系反映了 市场对 未来一年时间内 one-year rate 的期望 t a h 求解方式有两种:1. 算数平均数 2.C 几何平均数 e 1. 算数平均数 2. 几何平均数 W u 𝑖 +𝑖 (1 + 𝑖 ) = (1 + 𝑖 )(1 + 𝑖 ) d 𝑖 = 2 E n o m i S 两年期的 risk-free rate 是 10% 0,2 0,1 0,1 0,2 2 0,1 1,2 𝑖0,1: one-year rate, starting from t=0 and maturating in t =1 𝑖0,2: two-year rate, starting from t=0 and maturating in t =2 𝑖1,2: one-year rate, starting from t=1 and maturating in t =2 因此表 1 当中,risk-free rate 部分 𝑖+,! = 8% 𝑖+,% = 10% 可求 𝑖!,% = !"#!,# !"#!,$ # !.!# − 1 = !.+' − 1 = 12.04% 5 Simon Edu BFF 5914 Bank Lending By Sushi Example 4 Using the information of table 1, determine the cumulative default probability Table 1 one-year rate (%) two-year rate (%) Government bonds 8 10 Corporate bonds 10 13.5 Step 1: 用几何平均数的方法, 用几年期的利率推算出每一年的利率 (expected forward rate) 𝑖!,% = !"#!,# 𝑟!,% = !"$!,# # − 1 = !.+' − 1 = 12.04% !"#!,$ !"$!,$ u d E n o m Si !.!# # −1= !.!17# !.! − 1 = 17.11% 8 8 9 9 Step 2: 用每一年的利率计算当年的偿还概率 (marginal8probability of repayment) 8 p g 1+𝑖 1.08 h 𝑝 = = = 0.9818 : 1+𝑟 1.1 t a h 1+𝑖 1.1204 C 𝑝 = = = 0.9567e 1+𝑟 1.1711 W u Step 3: 用1 减去 每一年的偿还概率的乘积 d E 得到累积违约概率 (cumulative probability of default) n o 𝑑𝑒𝑓𝑎𝑢𝑙𝑡 𝑝𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑦 = 1 − 𝑝 ×𝑝 = 1 − 0.9818×0.9567 = 0.0607 𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 m Si ! % +,! +,! !,% !,% ! Step 4: 和银行的 policy rate 进行比较 6 % Simon Edu BFF 5914 Bank Lending By Sushi 2. Mortality rate / survival rate and Using survival rate to price risky debt 除了上述使用 interest rate 来计算偿还概率和违约概率的方法之外, 另外一种计算违约概率的方法叫做 Mortality rate 𝑚𝑖𝑡 𝑅 𝑀𝑀𝑅𝑖𝑡 𝑅 = 𝑀𝑖𝑡 𝑅 ** i表示自债券发行以来的第i年 R表示某种级别的债券 比方说:今年是某BB级别发行的第5年 u d 【 𝑀 BB = 10 m】 E n 【 𝑚 BBo= 0.3 m 】 m i S 那么𝑀𝑀𝑅 𝐵𝐵 = = 3% 88 9 9 8 & for each year的 我们可以看出来 MMR 的计算是分别 for each credit rating 8 p g The probability of a rated bond/loan h defaulting in any given year of issue : t a h C e W u d E n o m i S 分母是第5年BB债券的总量。 比方说所有今年所有评级为BB的债券发行的总量是1000万 分子是第5年BB债券违约的总量。 比方说今年所有的BB债券的违约总额是30万 +.1 5𝑡 10 ; 𝐶𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 𝑠𝑢𝑟𝑣𝑖𝑣𝑎𝑙 𝑟𝑎𝑡𝑒 ∶ 𝑆; = Q (1 − 𝑀𝑀𝑅< ) ! 𝐶𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 𝑚𝑜𝑟𝑡𝑎𝑙𝑖𝑡𝑦 𝑟𝑎𝑡𝑒 ∶ 𝐶𝑀𝑅; = 1 − 𝑆; 7 78 78 Simon Edu BFF 5914 Bank Lending By Sushi Example 5: Using survival rate to price risky debt Assume the risk-free rate is 7%, and a risky bond is rated A and offers a face value of 100$ due in two year’s time, and 8% coupons, paid annually. Using the information of Table 6.2, what is the credit risk premium in this case? Step 1: 运用cumulative survival rate 将 bond 每一年的现金流算出来 (𝐶8 𝑆8 ) 𝐶! 𝑆! = 8 × 1 − 0.01% 𝐶% 𝑆% = 108× 1 − 0.11% Step 2: 使用risk-free rate 将第一步中的现金流折现,来得到current price of this bond 8 × 1 − 0.01% 108× 1 − 0.11% 𝑃𝑟𝑖𝑐𝑒 = + = $101.7035 (1 + 7%) (1 + 7%)% u d E n o m i Step 3: 使用 current price 当作CF0,结合未来每期票息,计算该债券的回报率 S CF 0: −101.7035 8 CF 1: 8 8 CF 2: 108 计算IRR = 7.057% 9 9 8 8 Step 4: 计算 risk premium, 即 债券回报率 减去 无风险利率 p g risk premium = 7.057% − 7% = 0.057 % h : t a h C e W u d E n o m i S Notes: 使用 survival rate to price risky debt 的过程中需要注意的是 这种方法假设了 未来的违约率/存活率 会和历史的节奏一致 如果信贷风险过程发生结构性变化( 2007 -2008年的全球金融危机),这些假设就不 再有效 8 Simon Edu BFF 5914 Bank Lending By Sushi 3. Issues of risk premium analysis 整个 risk premium 的分析过程之中,我们可以感受到很大程度上依赖了 an interest of a rated bond 而且在衡量 risk premium 时,我们基本只考虑了default risk 因此整个topic 6 之中的 risk premium analysis 的可能存在的问题总结如下: 1. Sometimes it is difficult to find a rated and traded corporate bond that matches the characteristics of the credit risk you are interested in 有时候很难找到这样一个具有对比性的bond rate来做分析 比方说A是个中型企业,没有公开发行债券,市场上也很难找到可以类比的,发行了 债券而且还被评级的公司的话,那么risk premium这个方法就很难运用 u d E 2. Other factors play a role in the premium: bond liquidity will impact upon the observed n repayment probability o 其实除了risk of default 会影响风险溢价之外,其实债券的流通性也会影响premium m i 通常流通性比较好的(也就是放到市场上好卖的那种)他们的利率比较低 S 评分在BB以上的债券通常流通性比较好 à overstate the probability of repayment 8 BB一下的流通性比较差 à understate the probability of repayment 8 9 9 8life with a particular credit rating it 3. Rating Migration: While a loan or bond may begin its 8 plife may not maintain this credit rating through its entire g 同一个债券在不同年份被评定的信用级别不一样的话,会影响到该债券的current price h : t a h C e W u d E n o m i S 9 Simon Edu BFF 5914 Bank Lending By Sushi q Econometric analysis 计量经济的分析方法主要是通过建模,试图减少与信用风险分析相关的人为错误 本质上是去 estimated 一组选定的变量 和 违约 之间的关系,然后假设这一关系在未来 的一段时间内适用 Two main techniques: 1. Regression analysis 2. Discriminant analysis 1. Regression analysis u d E n o m Si 有大量的基于回归的方法,将 default 与 可观察变量(可来自资产负债表、损益表或更 广泛的行业或宏观经济变量) 联系起来。 常用的回归分析技术有 – logit / probit / tobit Example 6 Assume that there are two factors influencing the past default behaviour of borrowers; these being the debt to equity ratio and the sales to assets ratio. Based on past default (repayment) experience, the linear probability model is estimated as 𝑍# = 0.3(𝐷/𝐸# ) + 0.15 (𝑆/𝐴# ). Assume that a prospective borrower has a D/E ratio of 0.9 and a Sales to Assets ratio of 2.5. What is the borrower’s probability of default? 8 8 9 9 8 8 p g Solution: 𝑍 = 0.3×0.9 +h0.15×2.5 = 0.645 : t a 2. Altman’s Z score – most famoush example of using discriminant analysis The Z score model takes the form ofC e 𝑍 = 1.2𝑋 + 1.4𝑋 + 3.3𝑋 + 0.6𝑋 + 1.0𝑋 W 这是一个固定的模型 Where - 𝑋 = working capital / total assets u earning / total assets d -- 𝑋𝑋 == retained E earning before interest and taxes / total assets n 𝑋 = market value of equity / book value of total liabilities o - 𝑋 = sales / total assets m i S 这两个分布的边界是 1.81 和2.99 # ! % 1 / 7 ! % 1 / 7 得分在2.99或以上的公司 被认为是信誉良好的(creditworthy) 得分在1.81以下的公司 被认为是信誉不佳的(non-creditworthy) 对于lender来说,得分在1.81 到 2.99之间的比较困难。 因此很多对 Z score 模型的扩展延伸 都旨在 减小 area of ignorance 的区域范围 10 Simon Edu BFF 5914 Bank Lending By Sushi Exercise: 1. Which of the following statements in relation to Altman’s discriminant function is true? A. The higher the Z score the higher the probability of default. B. The loan size does not influence the result of the Altman Z score model. C. The size of the borrower does not influence the result of the Altman Z score model. D. The Altman Z score model always produces an exact reject or accept decision. E. All of the given answers. 2. How would you interpret a Z score of 2.25? u d E n o m Si A. The Z score lies within the ‘safe’ zone and thus a loan should be granted. B. The Z score lies within the ‘high default’ zone and thus a loan should be granted. C. The Z score lies within the ‘zone of ignorance’ and thus the borrower may or may not default. D. The interpretation of the Z score is always dependent on an FI manager’s subjective opinion. 8 8 9 9 8 8 p g h : t a h C e Limitation of econometric analysis W - input 决定了 output u - 该关系可能不会在未来的所有时期都保持,因此需要对模型进行维护/更新 d E n 还是Z score,他们都缺乏一个基本(统一)的理论基础。 - 不论是regression o 模型只能简单的反应出来 违约 和 一组变量 之间的关系 m i 选择建模的变量可能不是违约的真正原因 S 这种关系经常随着时间改变,因此需要对模型进行维护/更新 - 这种关系是使用线性模型来估计的,但实际上 违约 不太可能是一条直线 - 模型建立完成后,每个变量使用的值 (e.g. sales to total asset) 依赖于财报上某一时刻 的静止值 11 Simon Edu BFF 5914 Bank Lending By Sushi q Hybrid system 结合不同方法中的元素来应对 credit risk,试图克服不同方法的一些缺点 RAROC model – a common method of evaluating loans and profits the risk adjusted return on capital model 𝑅𝐴𝑅𝑂𝐶 = 𝑅𝑖𝑠𝑘 𝐴𝑑𝑗𝑢𝑠𝑡 𝑅𝑒𝑡𝑢𝑟𝑛 𝐿𝑜𝑎𝑛 𝑅𝑖𝑠𝑘 基于RAROC model 来进行评估,通常事先会设定好 target / hurdle rate 如果最后的计算结果大于 target / hurdle rate à approve the loan u d 分子部分 E 𝑹𝒊𝒔𝒌 𝑨𝒅𝒋𝒖𝒔𝒕 𝑹𝒆𝒕𝒖𝒓𝒏 (𝒊𝒏𝒄𝒐𝒎𝒆) n o − 𝝉) = (𝑺𝒑𝒓𝒆𝒂𝒅 + 𝑭𝒆𝒆𝒔 − 𝑬𝒙𝒑𝒆𝒄𝒕𝒆𝒅𝑳𝒐𝒔𝒔 − 𝑶𝒑𝒆𝒓𝒂𝒕𝒊𝒏𝒈𝑪𝒐𝒔𝒕𝒔)(𝟏 m i S Spread difference between loan rate and bank’s cost of fund 8 Fees initiation fees / annual fees etc. 8 9of this type Expected Loss average losses associated with a loan 9 两个组成部分:1. 预期损失金额82. 预期违约概率 8 cost Operating Costs granting cost and ongoing management p g 𝝉 tax rate h : t a h 分母部分 C e ∆𝑹 𝑳𝒐𝒂𝒏 𝑹𝒊𝒔𝒌 = ∆𝑳 = −𝑫 ×𝑳× W 𝟏+𝑹 𝐷 duration of the loan u L Loan value d ∆𝑹 the change in yield for the risk bond and risk-free bond of same maturity E nthe relevant discount rate for bonds of this level of credit risk 𝟏+𝑹 o m i S 𝑳 > 𝑳 12 𝑳 Simon Edu BFF 5914 Bank Lending By Sushi Example 7 Assume the bond has a face value of $10 m and has a credit rating of AA. The duration of this bond is 3.4 years. It is known that AA bond currently have a discount rate of 9%, and evaluating a large sample of AA bonds yield spread changes over the past year at the 99% confidence level produces a value of 1.6% If there is a spread of 0.7%, fees of 0.3% and the expected loss of 0.1%, while the operating costs is $15,000. What is the RAROC under the 30% tax rate? Should the bank approve this loan? Solution: 𝑹𝒊𝒔𝒌 𝑨𝒅𝒋𝒖𝒔𝒕 𝑹𝒆𝒕𝒖𝒓𝒏 𝒊𝒏𝒄𝒐𝒎𝒆 = 𝟕𝟎, 𝟎𝟎𝟎 + 𝟑𝟎, 𝟎𝟎𝟎 − 𝟏𝟎, 𝟎𝟎𝟎 − 𝟏𝟓, 𝟎𝟎𝟎 𝟏 − 𝟎. 𝟑 = $𝟓𝟐, 𝟓𝟎𝟎 𝑳𝒐𝒂𝒏 𝒂𝒕 𝑹𝒊𝒔𝒌 = ∆𝑳 = −𝟒. 𝟑×𝟏𝟎 𝒎× 𝟏. 𝟔% = $𝟒𝟗𝟗, 𝟎𝟖𝟐. 𝟓𝟔 𝟏 + 𝟗% u d E n o m Si 8 8 9 9 8 8 p g h 10.52%表示这笔贷款所带来的 risk adjusted return on capital,也就是经历过风险调整 : t 后的收益率 a h 如果银行所要求的 target rate 是9%的话,则10.52% > 9%,这笔贷款可以approve C e 如果银行要求的 target rate 是12%的话,可行的办法有 W 1. 提高spread/fees 2. 减少expected loss(常见方法:多要点抵押物) u 3. 直接拒绝d E n o m i S 𝑅𝑖𝑠𝑘 𝐴𝑑𝑗𝑢𝑠𝑡 𝑅𝑒𝑡𝑢𝑟𝑛 52,500 𝑅𝐴𝑅𝑂𝐶 = = = 10.52% 𝐿𝑜𝑎𝑛 𝑅𝑖𝑠𝑘 499,082.56 13 Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 7 – Credit Risk Models Based on Stock Market 1. Review of Option Pricing Theory 2. The Expected Default Frequency (EDF) Model - Three steps to derive the actual probabilities of default 3. Private company KMV model 4. Feature of KMV model 5. Applications 6. Use of EDF in Asset Valuation u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi 1. Review of Option Pricing Theory 首先回顾期权的定价因素 General form: 𝑂𝑝𝑡𝑖𝑜𝑛 𝑣𝑎𝑙𝑢𝑒 = 𝑓𝑐𝑛 (𝑆, 𝑋, 𝑟, 𝜎, 𝜏) 期权的定价由五个变量决定: 𝑆 标的物的价格 𝑋 行权价 𝑟 无风险利率 𝜎 标的物价格的波动率 (风险) 𝜏 到期时间 通常来说,波动率越大意味着风险越大,那么期权的价格会越高 回顾期权的payoff diagram Call: right to buy 【看涨】 u d E n o m i S u d E n o m Si Put: right to sell 【看跌】 8 8 9 9 8 8 p g h : t a h C e W Simon Edu BFF 5914 Bank Lending By Sushi 那么我们本周要学习的 credit risk measurement 的方法就是基于option pricing theory 首先 option 和 loan (debt) 的联系是什么? 现在我们分别从 share holder 和 debt holder 的角度来看一笔 debt Shareholder’s perspective – Equity 我们考虑一个非常简单的控股公司——AAA公司,其唯一的资产是一家上市公司的股 票,比如Alibaba。 我们假设AAA公司有债务和股权,债务包括一张一年到期的零息债券,面值为 $D 那么一年后的情况可以分析如下: 1)AAA公司资产 ($A) (阿里的股票价值)大于 $ D à 通过卖掉一部分的阿里股票来得到 $ D, 剩余部分($ A – $ D)则为 Equity 2)AAA公司资产 ($A) (阿里的股票价值)小于 $ D à AAA违约,并将阿里股票转让给lender , 无剩余部分 8 8 9 9 8 8 p g h : t a h C e W 所以 AAA公司的 Equity 可做图 u d E n o m Si u d 因此在这个例子中,站在equity holder的角度,我们可以看到AAA公司的Equity 和 上页 E 我们回顾的 n BUY CALL option 的 payoff diagram 是一致的 o m i à Equity is a Call option S Simon Edu BFF 5914 Bank Lending By Sushi Debt holder’s perspective – Debt 还是AAA公司不变,其唯一的资产是 Alibaba的股票。 我们假设AAA公司有债务和股权,债务包括一张一年到期的零息债券,面值为 $D 购买AAA公司零息债券的bond holder 为 小明 那么一年后的情况可以分析如下: 1)AAA公司资产 ($A) (阿里的股票价值)大于 $ D à 通过卖掉一部分的阿里股票来得到 $ D, 小明 (debt holder) 所得等于 $D 2)AAA公司资产 ($A) (阿里的股票价值)小于 $ D à AAA违约,并将阿里股票转让给小明,小明 (debt holder) 所得少于 $D 所以 小明借出去的这笔钱 可做图 u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W u d E n o m Si 因此在这个例子中,站在debt holder的角度,我们可以看到小明的盈亏 和 我们之前回 顾的 SELL PUT 的 payoff diagram 是一致的 à Debt is like selling a Put Option Simon Edu BFF 5914 Bank Lending By Sushi 2. The Expected Default Frequency Model Moody’s KMV estimates the default probability of a firm based on Merton’s approach 是 KMV 公司基于 Merton’s approach (期权定价理论)来估计的相应违约风险的模型 Generally, There are three steps: Step 1: Estimate the current value and volatility of the firm’s assets Step 2: Determine how far the firm is from default (its distance from default) Step 3: Scale the distance to default to a probability using a default database. u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Step 1: Estimate the current value and volatility of the firm’s assets 在步骤一中就是运用到前面说到的 Equity is a call option, debt is like selling a put option 的关系用来估计 current value of the firm’s assets volatility of the firm’s assets (具体计算不需要掌握,但是计算方法和过程需要理解) à Market value o𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 = 𝒇(𝑏𝑜𝑜𝑘 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑙𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠, 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑠𝑠𝑒𝑡𝑠, 𝑣𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦 𝑜𝑓 𝑎𝑠𝑠𝑒𝑡𝑠, 𝑡𝑖𝑚𝑒 ℎ𝑜𝑟𝑖𝑧𝑜𝑛) 使用 Black and Scholes option formula as the function f u d E 公式 1 𝐸 = 𝑽𝑵 𝒅 − 𝑫𝒆 𝑵 𝒅 n o m 𝒅 = 𝒅 = 𝒅 −S𝝈i 𝝉 8 8 E – the market value of equity (option value) 9 9 D – the book value of liabilities (strike price) 8 V – the market value of assets 8 p 𝜏 – the time horizon g h r – the risk-free rate : t 𝜎 – the percentage volatility of asset a h function whose value is calculated at 𝑑 and 𝑑 N(.) – the cumulative normal distribution C e By taking the mathematical expectation of the total derivative, we obtians: W Volatility of Equity 𝝈 = 公式 2 u d E Two equations with Two unknowns n o 公式 1 和公式 2 的LHS,分别是the market value of equity 和 the volatility of equity m i 这两项对于public company来说,是可以从公司的historical stock data来做估计的 S 因此在公式 1 和公式 2 之中,我们不知道的两个变量为 所以Equity value 的公式为 "𝒓𝝉 𝟏 𝒍𝒏 𝟏 𝑽 𝟏 ( 𝒓( 𝝈𝟐 𝝉 𝑫 𝟐 𝒂 𝟐 𝟐 𝝈𝒂 𝝉 𝟏 𝒂 + , 𝒆 𝑵 𝒅𝟏 𝑽𝝈𝒂 𝑬 1. V – the market value of assets 2. 𝜎+ – the percentage volatility of asset 所以整个Step 1 做的事情是 基于 option pricing theory,得到了两个公式 使用公式 1 和 公式 2 来求解两个未知数 V 和 𝜎+ - Simon Edu BFF 5914 Bank Lending By Sushi Step 2: Determine how far the firm is from default (its distance from default) 步骤二中,我们需要计算公司的违约点 (default point) 当公司的价值(Asset)下降到哪一个点,会出现违约? 进而计算公司的违约距离(DD – distance to default) 从公司现在的价值(current market value of asset)出发,到违约点还有多远? 并且我们需要将违约距离标准化 其实我们可以用,在步骤一中求出来 market value of asset 和 volatility of asset 来做正态 分布图,违约距离的求解其实是在标准正态化 我们先来了解一下 KMV 模型 8 8 9 9 8 8 p g h : t a h C e W u d E n o m Si u d E n o X轴表示的是时间跨度(time horizon) m i S Y轴表示的是公司的价值(market value) 图中的虚线表示的时候公司价值的净增长率 钟形曲线表示的是一年后公司未来价值的分布 (distribution of future asset value) 钟形曲线为正态分布曲线,曲线下方表示概率 图中平行于X轴的直线,表示公司的违约点(default point) 该条直线上方表示公司资产大于债务 该条直线下方表示公司资产小于债务 因此下方表示公司违约的概率 我们要求的违约距离(distance to default)就是标准正态化后 图中的 # of SD from Mean 这个部分的距离 Simon Edu BFF 5914 Bank Lending By Sushi 所以我们去求DD的步骤为 q 1. 首先确定公司的default point 和 Expected market value of Asset 通常是题目直接给你,或者按照题目要求计算,或按照以下公式 𝐷𝑒𝑓𝑎𝑢𝑙𝑡 𝑝𝑜𝑖𝑛𝑡 = 𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑙𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 + 0.5×𝑙𝑜𝑛𝑔 𝑡𝑒𝑟𝑚 𝑙𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 𝐸𝑥𝑝𝑒𝑐𝑡𝑒𝑑 𝑀𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝐴𝑠𝑠𝑒𝑡 = 𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑠𝑠𝑒𝑡× 𝑁𝑒𝑡 𝑒𝑥𝑝𝑒𝑐𝑡𝑒𝑑 𝑔𝑟𝑜𝑤𝑡ℎ 𝑜𝑓 𝑎𝑠𝑠𝑒𝑡 = 𝑀𝑎𝑟𝑘𝑒𝑡 𝑐𝑎𝑝𝑖𝑡𝑎𝑙𝑖𝑧𝑎𝑡𝑖𝑜𝑛 + 𝐵𝑜𝑜𝑘 𝑙𝑖𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 q 2. 直接将相关数值带入DD公式中 𝐸𝑥𝑝𝑒𝑐𝑡𝑒𝑑 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝐴𝑠𝑠𝑒𝑡 − 𝐷𝑒𝑓𝑎𝑢𝑙𝑡 𝑝𝑜𝑖𝑛𝑡 𝐷𝑖𝑠𝑡𝑎𝑛𝑐𝑒 𝑡𝑜 𝐷𝑒𝑓𝑎𝑢𝑙𝑡 = 𝐸𝑥𝑝𝑒𝑐𝑡𝑒𝑑 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑠𝑠𝑒𝑡𝑠 × 𝑣𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦 𝑜𝑓 𝑎𝑠𝑠𝑒𝑡𝑠(%) Example 1: - Current market value of asset: 𝑉3 = 1000 - Net expected growth of asset annually: 20% - Expected asset value in one year: 𝑉4 = 1200 - Annualized asset volatility: 𝝈𝑽 = 𝟏𝟎𝟎 - Default point: 800 u d E n o m Si 8 8 9 9 8 8 p g h 𝐷𝑖𝑠𝑡𝑎𝑛𝑐𝑒 𝑡𝑜 𝐷𝑒𝑓𝑎𝑢𝑙𝑡 = : t − 800 a 1200 =h =4 100 C e 4 Standard Deviation 说法上:4 Distance to Default 也称作 𝐷𝐷 = 4的含义: W 若公司资产下降幅度小于其4个标准差,则公司不会违约 If the market asset values u of the firms drop less than 4 times of its standard deviation, then d the firm will notEdefault in the next year n o m i S Example 2: 56789:8; <+=>8: ?+@A8 BC DEE8: "F8C+A@: 7BGH: 56789:8; <+=>8: ?+@A8 BC +EE8:E × ?B@+:G@G:J BC +EE8:E(%) - Market capitalization Book liabilities Market value of assets Asset volatility Default point $7.9 $4.7 $12.6 15% $3.4 56789:8; <+=>8: ?+@A8 BC DEE8: "F8C+A@: 7BGH: 𝐷𝑖𝑠𝑡𝑎𝑛𝑐𝑒 𝑡𝑜 𝐷𝑒𝑓𝑎𝑢𝑙𝑡 = 56789:8; <+=>8: ?+@A8 BC +EE8:E × ?B@+:G@G:J BC +EE8:E(%) Simon Edu BFF 5914 Bank Lending By Sushi Example 3 The historical financial data for ABC Ltd is shown below. ABC Ltd.’s shares are trading at $250 per share now but were issued at $100 each with an amount of 1000,000 shares. As at end of year Current Assets cash Debtors Stock Balance sheets 2017 2016 $'000 $'000 2018 $'000 300 150,000 240,000 400 160,000 270,000 500 175,000 310,000 390,300 430,400 485,500 Current Liabilities Creditors Hire Purchase Bank Overdraft Directors' loan Current Tax 110,000 3,000 160,000 14,000 300 120,000 3,500 150,000 15,000 400 135,000 4,500 180,000 16,000 500 Net Current Assets 287,300 103,000 288,900 141,500 336,000 149,500 Fixed Assets Freehold Building Plant & Machinery 120,000 150,000 140,000 160,000 150,000 170,000 40,000 5,000 60,000 40,000 7,000 70,000 40,000 9,000 70,000 165,000 183,000 201,000 268,000 324,500 350,500 100,000 100,000 100,000 168,000 224,500 250,500 268,000 324,500 350,500 Long Term Liabilities Mortgage Loan Deferred Taxation Corporate Bonds Net Long Assets u d E n Net Assets o m i S Financed by: Issued Share Capital Profit and Loss Account Total Capital (a) Under the popular KMV model, what’s the default point of ABC Ltd. in 2018? default point of ABC Ltd. u d E n o m Si 8 8 9 (b) Suppose that the market 9 8 value of assets of the ABC 8 p Ltd. is the sum of the market g h values of equity plus the : t book value of liabilities and a that the standard deviation h C of the market value of assets e is 25%. W You are also provided that the growth rate of assets of ABC Ltd. is 20% for the next year(2019). What’s the distance-todefault (DD) of ABC Ltd. in the next year (2019) according to the KMV model? And interpret the defaultto-distance for ABC Ltd. Simon Edu BFF 5914 Bank Lending By Sushi 计算出了DD,那么如何知道所对应的违约率(Default probability)呢? Step 3: Scale the distance to default to a probability using a default database. Moody’s KMV 模型的特别之处在于,并不是直接将DD置于标准正态分布中求概率 而是不同的DD,会有相应的违约率 类似于债券评级,不同 的债券类型(AAA或是BB) 会给出相应的表格直接 告诉我们违约率 u d E n o m Si 8 8 9 9 KMV使用公司数据库,基于数据库内历史违约记录来更新不用DD下的default 8 8 probability p g h 𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝐷𝑒𝑓𝑎𝑢𝑙𝑡𝑒𝑑 𝑓𝑖𝑟𝑚𝑠 : t 𝐸𝑥𝑝𝑒𝑐𝑡𝑒𝑑 𝐷𝑒𝑓𝑎𝑢𝑙𝑡 𝑃𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑦 (𝐸𝐷𝐹) = a 𝐴𝑙𝑙 𝑓𝑖𝑟𝑚𝑠 𝑤𝑖𝑡ℎ 𝑡ℎ𝑒 𝑠𝑎𝑚𝑒 𝐷𝐷 h eC 比方说,之前的Example 1 之中,我们计算出来了DD为4。那么如果在数据库之中,所 有DD为4 的公司为 5000 个,其中在一年内发生违约的个数为20。我们则可以用这份 W 数据库的出来一个结果 u 𝐷𝐷 = 4 所对应的 EDF 为 = 0.4% d E n o m i S -3 N333 Simon Edu BFF 5914 Bank Lending By Sushi 从前面的三个步骤来看, 第一步在期权定价的理论基础上,使用公司股价来计算出 current market value (V) and volatility of asset (𝜎+ ) 第二步根据 current market value and volatility of asset 来计算出DD 第三步根据DD来找到对应的 Expected default probability 那么如果我们想要评估的公司并非 public company (unavailable stock price) 怎么办呢? 3. Private Company KMV Model à 通过上市公司,结合自己公司的情况,估计出 market value and volatility of assets u d E n o m Si KMV uses data from public firms to develop an estimation model for the market value of assets and the asset volatility, these model must rely upon the private firm’s reported characteristic and accounting data, which may not be as timely or accurate as would be ideal. Step 1: The market value of Asset (V) – Based on two Value: ü Operating value – EBITDA × Multiplier 8 8 99 ü Liquidating value – based upon the firm’s book8liabilities 8 p g h : t a h eC The Asset Volatility (𝜎 ) – based Won a function of sales size, industry and asset size u Step 2: d 使用步骤一中估计的V 和 𝜎 计算DD E n Step 3: o m i 使用步骤二中的DD,找到对应的EDF (通过public firm default experience 计算) S The multiplier is estimated by stratifying the public companies by country and industry. EBITDA底时,A 会越接近 Liquidating Value Low Liquidating Value EBITDA高时,A 会越接近 Operating Value EBITDA High Market value of Asset of a private firm Operating Value + + Note: Moody’s KMV has replaced the private company KMV model by RiskCalc which uses financial ratios in a manner similar to Altman’s Z-score model. Simon Edu BFF 5914 Bank Lending By Sushi 4. Feature of KMV Model EDF is firm specific KMV model is based on the structural approach to calculate EDF (credit risk is driven by the firm value process) 过去很多credit measurement都是基于accounting information。KMV 直接将股票价格, 公司价值和违约率联系了起来,开创了使用股价评估公司信用风险的先河 - The most distinguishing feature of the EDF measure is that it imposes such a direct connection between market values and default probabilities - There is a close connection between changes in EDF values for a given firm and changes in the equity value of the firm - It represents a translation of the information in equity prices into credit information ; u d E The KMV represents a change in paradigm from accounting based approaches to n o market value based approaches. m Si 实际上,EDF 并没有直接明确地去预测违约率为多少。该模型能起到预测作用的最 8 8 主要原因是公司的现在的价值 (the current value of the firm)对未来价值起到了很好的 9 9 预测作用。 8 8 - The EDF differs from other approaches by : p § It relies on the information in equity prices g h § It does not try explicitly to be predictive : t relative to its default point and historical It simply looks at the current value of thea firm volatility. If it has predictive power ith is because the current value of the firm is a good C prediction of future values e W Since this value is derived from the firm’s equity market value, the EDF model is u totally dependentd on stock prices for its information content. E n o m i S Simon Edu BFF 5914 Bank Lending By Sushi 5. Application KMV model 在金融机构中的应用广泛,有些公司使用 EDF 来作为传统信用分析的补 充;有些使用 EDF 当作投资组合审查小组的早期预警工具,但至少会有一家机构在贷 款定价和与银行债务交易估值时,将 EDF 作为衡量credit risk的唯一指标。 KMV公司对其模型的使用建议是: - 银行需要结合自身情况,以最适合的方式使用该模型 - 该模型可以减少评估违约风险的时间,让更多的资源集中在 Structuring 上,以便在 违约发生时尽量追回损失 u d E - EDF是利用股票市场信息对债务进行估价的一个创新办法 n o m - KMV类型模型非常有用,但它们的结论必须与其他信息一起使用,有时还需要进行 i S 修改以适应特定客户的独特结构。 8 8 9 9 8 8 6. Use of EDF in Asset Valuation p 资产价值的推导一直是KMV EDF模型的核心,现在已经公开化,利用默顿的债务期权 g h 构造来评估信用风险资产的模型被称为“结构性”模型 (Structural model) : t 结构模型利用资产价值和债务价值之间的因果关系来推导资产价值; a h Structural models develop asset values using a causal relationship between asset value and eC debt value W 在另一类被称为“简化形式”(reduced form model) 的竞争性模型中,采用的方法是将 违约过程(或违约强度)作为“给定”来评估风险资产;即外生 u d Reduced form models is to value risky assets taking the default process (or default intensity) E as ’given’; i.e.n Exogenous o 在这种方法中,设定了一个投资者均为风险中性的理想世界, 在这个世界中违约概率取 m 决于某种价值,比方说 将概率加权的未来现金流使用无风险利率折现后的债券价值, i S 由此过程产生的现值 (PV) 完全等于观察价格。 - EDF tends to act as a change agent in stimulating management thinking on credit risk. In this approach, the model considers an idealized world where investors behave in a risk neutral fashion where the default probabilities take on values such that when the probability-weighted future cash flows from a bond are discounted by the risk-free rate, the resulting present value exactly equals the observed price 结构性模型和简化模型都被用于信用违约互换CDS市场的估值之中。 Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 8 – Special customers / Pricing Loans / Ethics in Bank Lending Special customer Advances to builders Calculate the minimum finance required Pricing Loans Cost-plus pricing models Price leadership pricing models Below prime market pricing Loans bearing maximum interest rates Customer profitability analysis The contractually promised return on a Loan 8 8 9 9 8 8 p g h : t a h C e W Ethics in Bank Lending Effort made by banks : Equator Principles, BankTrack etc Ethical dilemmas that a banker may face - Conflicts of Interests - Privacy & confidentiality - Predatory Lending - Responsible Lending u d E n o m i S u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Special customer Advances to Builders 此类借款人通常是建造商,建筑工人等 借款人目的是为了开展 施工业务,比如道路施工,房屋扩建,修建工厂、学校、医院等 他们的特殊之处在于 工程期时间长 ,工程款通常是一边验货一边支付,工程完工后对其没有所有权 Lender 通常是根据具体的施工合同去评判是否可以放贷给builder的,因此: 1. 了解施工合同 Always closely investigate the details of specific contracts. 即使是一个非常有经验, 成功且财务状况良好的borrower,也还是应该了解合同的详情。 u d E n o 2. 了解borrower是否有能力完成合同 m It is vital that the borrower has the capacity to complete the contract Si 8 具体而言,可能会考虑到的问题有 8 9 合同具体的细节,比如 9 8 合同款进度安排、施工不达标的罚款额度、工程保留金 8 p g 施工方行业经验如何? h : 施工方提供的成本预算是否可信,成本的波动幅度 t 施工方是否有充足的财务资源ha 影响施工方借款金额的因素有哪些 eC W how sensitive is the budget to its underlying assumption? 如果说合同上假定的情况出现变化, 预算会发生多大的变化? u d E n o m i S 1 Simon Edu BFF 5914 Bank Lending By Sushi q Minimum finance required 计算工程一旦开始,由于工程款还未开始支付的情况下 Builder 因为需要支付人工费用、材料费用 所面临的资金需求 Terminology: 1. Interim Certificates 表示的是工程的验货周期 2. Period of honoring Interim Certificates 表示的是得到付款证之后,工程款发放的时间 3. Retention 这部分的保留金是在合同有效期内,为补救任何潜在缺陷而预留的金额,并 且只有在项目完成并被证明无缺陷时才会发放。 Retentions Rate 表示的是每次工程款发放所保留的部分 Retention Fund 通常是工程初期就被留置的部分 u d Scenario E 合同价格 Contract price $ 118,000,000 n 工期 Time allowed for work 9 months o 期中付款证 Interim Certificates monthlyim S 期中付款时间 Period of honoring Interim Certificates 25 days 8 保留费率 Retentions Rate 10% 8 保留金最低限额 Retention Fund $5,900,000 (5% of contract) 9 9 8 20% 8 预期利润率 Estimated profit p 预期成本率 Estimated total cost 80% g h 人工成本 Cost of Labour 2/3 : t 材料成本 Cost of Material 1/3 a h C Notes: e 材料可有一个月的赊销期限 (one-month credit term) W 每个月的成本是一致的 (cost spread evenly / straight line approach) u 每月成本 根据以上条件,计算 d E Monthly estimates cost (straight line approach) n $118,000,000×80% o ≈ $10,500,000 9 m i S其中 人工成本 材料成本 ! $10,500,000× " = $7,000,000 当月付 $10,500,000× " = $3,500,000 次月付 # 每月验收工程,验收成功后25天收到工程款的支付 根据时间跨度,builder至少工程的前两个月都在自己垫付成本费用,因此 Minimum finance required: 两个月人工 $7,000,000×2 一个月材料 $3,500,000 初始保留金 $5,900,000 共计: $𝟐𝟑, 𝟒𝟎𝟎, 𝟎𝟎𝟎 2 Simon Edu BFF 5914 Bank Lending Time Particulars Start work commences End of 1st month wages paid during month By Sushi $ - 7,000,000 1st certificates issued End of 2nd month wages paid during the month - 7,000,000 u d E Balance of overdraft 17,500,000 n o 1 certificates paid less retention + 11,800,000 m i S 2 certificates issued 8 8 9overdraft 5,700,000 Balance of 9 8 End of 3 month wages paid during the month - 7,000,000 8 p g material h payment for 2 month’s -3,500,000 : t a h Balance of overdraft 16,200,000 C e W 从以上表格可以看出来, 工程中发生的最高的overdraft在第二个月末的时候 —— $ 17,500,000 u d 这个金额再加上一开始需要预留的保留金 $5,900,000 E 共计: $𝟐𝟑, 𝟒𝟎𝟎, 𝟎𝟎𝟎,是 builder 一旦选择开工,手头应该做的资金准备 n o m 根据不同的lending policy,lender 会向 builder 要求一定比例的cash requirement i S 比方说我们这个例子之中,如果银行向Builder提出至少 50% 的现金要求 payment for 1st month’s material -3,500,000 st nd rd nd 也就说在 builder 至少自己要有 $11,700,000 的前提下,银行才会同意借款 假设在我们的例子中,Builder 可以为工程提供的现金为 $12,700,000 那么经过核算后,builder 需要来自银行的资金帮助金额为 $ 10,700,000 Note: 通过 builder 成本计算出来的minimum finance requirement 不代表 the amount bank can be approved 3 Simon Edu BFF 5914 Bank Lending By Sushi Provided there is satisfactory evidence that the builder will have the $12,700,000 available, a limit of $10,700,000 might be considered and it would be reasonable to expect to see the contract completed fairly comfortably within this figure 如果有令人满意的证据表明,Builder将有 $12,700,000 可用资金,则可以考虑给予 Builder $10,700,000 的额度,并且可以合理地期望在这个限额范围内能够顺利完成合同 if the contract experiences any significant delays due to weather, strikes, arrival of key components on time, disputes over interim certificates etc, then a supplementary facility may be needed. This should not be provided as an upfront as it will reduce the builder’s incentives to keep the project on track. 如果在工程中,发生了由于天气、罢工、关键建材的准时到达、期中付款证书存在争议 等原因造成合同的重大延误。 Lender 可以酌情给予补充额度,但是一开始银行在计算批准的额度的时候不能包含此种 情况,否则会降低 Builder 保持项目正常进行的动机。 u d E n o m Si 8 8 9 9 8 q Security in advances to builders 8 p g 一般来说 builder 会在工程开始的时候 (自费)h获得开发许可证 (license to develop) : 当项目部分完成或是全部圆满完成(satisfactorily completed)的时候,业主可能会给予 t a builder 一些合法权益。 h C e 建筑合同/工程合同是否能作为 builder 申请 advances 的抵押物? W 除非有明确的条约说明builder在项目中有actual interest 否则在通常情况下,builder 不会获得土地的实际权益, u 因此 lender 无法将该财产作为担保。 d E n o m i S 4 Simon Edu BFF 5914 Bank Lending By Sushi Property Advances Property lending 的两种主要类型: 投资和开发 q Property investment Lending is provided to purchase an existing property, with repayment coming from the rental income of the property The lender’s assessment will concentrate on the following areas : • Rental Income/Debt • Service Costs • Quality of Tenants • Conditions in the Lease • Term of Leases • Nature and Quality of the Property Security Margin u d E n o q Property development m This is, in effect, bridging finance for the borrower to purchase and develop land or property, i S with repayment coming from the sale of the property. Bridging finance 涉及很多不确定因素,如果能够确定该房产开发不确定因素少,安全 8 8 性高,则lender可以提供closed bridge loan 9 9 8 are : 8 The key elements in an ideal property development transaction pplanning permission having been ü The land will be available as security with detailed g h obtained : t who is reputable and financially sound. ü Fixed price building contract with a builder a h from a recognised architect or quantity ü Drawdown of the lending against certificates C surveyor e ü The borrower having the capacity to meet interest as it falls due so that it does not have to W be added to the loan ü Repayment from au reliable source, dependent only on the building work being d satisfactorily completed. E n o The lender’s assessment will concentrate on the following areas : m of the security i S •• Nature Building contract • • • • Drawdown Covering interest Source of repayment Limited recourse property projects. 5 Simon Edu BFF 5914 Bank Lending By Sushi Pricing loan Lending 里面最难的事情之一就是定价 定价 需要足够高来确保每笔贷款的盈利性及相对应的风险补偿 需要足够低来确保借款人能够按照约定偿还 Explore the different methods used today to price business loan 1. cost-plus pricing models 2. Price leadership pricing models 3. Below prime market pricing 4. Loans bearing maximum interest rates 5. Customer profitability analysis q 1. Cost-plus pricing models 用于放贷 这笔资金的 筹资成本 u d E n o m Si 8 8 9违约风险补偿 9 8 8 Marginal cost of p Estimated margin Desired Loan Nonfunds g raising loanable h + operating + to compensate for + interest = profit : funds to lend to the t rate default risk margin a costs borrower h 预期利润率 eC 经营成本 W relevant maturity 的产品来代替 其中筹资成本的确定通常是根据市场上 经营成本则是所有和筹资成本无关的成本 u 这个方法的看起来是各项成本费用的叠加,但是难点就在于各项成本的identification d E 银行除了lending还会有别的业务,难以确定这些成本之中哪些是由lending function带来的 n o m Si 6 Simon Edu BFF 5914 Bank Lending By Sushi 因此发展出了prime rate 的方法 q 2. Price Leadership Model Markup Loan interest rate = Base or prime rate (including the lender’s desired profit margin over all operating and administrative costs) Default-risk premium paid by nonprimerated borrower + + Term-risk premium paid by borrowers seeking long-term credit u d E n o m Si Prime rate,也称作 base / reference rate it is estimated at that time the lowest rate charged the most creditworthy customers on shortterm, working capital loan. It usually reflects the cost of fund plus the relevant administrative costs and the relevant return to shareholder. AU: 使用90 days Bank Bill Rate 8 8 9 9 8 8 p 使用这种model的 lender 通常将 borrower 进行风险分类,不同类别下有不同risk premium g h : t rate a Prime rate 的衍生 à LIBOR-based loan h C e + Default-risk + Profit LIBOR-based = LIBOR loan rate premium margin W u d E LIBOR: The London Interbank Offer Rate n o used benchmark for international loans and bond issues, many banks now The most commonly m use LIIBOR Si instead of prime rate Markup,也称作risk premium 有特定贷款的违约风险(default-risk)和期限风险(term-risk)决定 7 Simon Edu BFF 5914 Bank Lending By Sushi 面向small firm的贷款定价通常用prime rate 而面向large firm的贷款定价通常用market reference rate 因为 large firm 通常都有直接向市场发债的能力 (corporate bond) q 3. Below-Prime Market Pricing Market reference rates 通常比 prime rate 低 Loan interest rate = Interest cost of Borrowing in money market + Markup for Risk and Profit 8 8 9 9 8 8 p g h : t a h C e W u d E n o m Si q 4. Loans bearing maximum interest rates 也称作 Cap Rate Model Banks Offer a Floating Rate Loan with an agreed upon upper limit on the loan contract regardless of the course of future interest rates Typically banks manage the risks associated with this type of product with an option over a swap. 银行提供浮动利率贷款,并在贷款合同上约定上限,而不考虑未来利率的走向 通常,银行通过swap option 来管理与此类产品相关的风险。 u d q 5. Customer E profitability analysis n 这种贷款定价方法首先假设贷款人在为贷款请求定价时应该考虑整个客户关系 o take them whole customer relationship into account i S Net beforetax rate of return to the lender from the whole customer relationship = Revenue from loans and other services provided to this customer - Expenses from providing loans and other services to this customer Net loanable funds used in excess of this customer’s deposits 8 Simon Edu BFF 5914 Bank Lending By Sushi v The contractually promised return on a Loan 用于计算 在没有违约发生的情况下,银行从贷款中实际得到的收益率 影响贷款收益的因素: Loan interest rate Collateral Fees Credit risk premium or margin (m) Non-price terms such as compensating balance Direct and indirect fees and charges : Loan origination fee (f), Compensating balance requirements (b) : a fraction of the loan principal required to be held in demand deposits at the bank Reserve requirement (R) Base Rate (BR) Gross return on loan (k) per dollar lent: 𝑓 + 𝐵𝑅 + 𝑚 1−𝑏 1−𝑅 u d E n o m Si 8 8 9 9 Exercise 8 Consider the following scenario: an FI charges a 0.5% 8 loan origination fee and imposes an 8% p bearing demand deposits. It compensating balance requirement to be held as non-interest g h further sets aside reserves held at the central :bank. The value of these reserves is 10% of t deposits. The base lending rate is 9% anda the credit risk premium for a specific borrower is h 3%. What is the ROA on the loan? eC W 𝑓 + 𝐵𝑅 + 𝑚 0.005 + 0.09 + 0.03 1+𝑘 =1+ =1+ = 1.1347 u 1−𝑏 1−𝑅 1 − 0.08 1 − 0.1 d E The gross return on loan (k) is 13.47% n o m Si 1+𝑘 =1+ 9 Simon Edu BFF 5914 Bank Lending By Sushi Ethic in bank lending 了解 banker 可能会面临哪些道德困境 (ethical dilemmas) (当我们看到一个case的时候,需要判断出来这个里面可能会存在哪些ethical problem) 为什么需要考虑Ethical problem? - Sustainability - Ethical behaviour builds trust and future rewards - Builds teams and leadership based on excellence - Higher moral standard than regulations or laws - Reputation and conscience u d E n Ethical problem 是一个影响所有利益相关者的话题,ethical practices haveo huge impact m i across the community.从社会各方面看,存款人、投资人、社区团体等可能都会有自己 S 的道德准则,并不是所有的人都会同意lender对各类活动的接受程度,因此银行必须 8 有自己的code of conduct来阐明自己的观点 8 9 9 8 8 p g Example h : t a h C e W u d E n o m i S Our principles for Doing Business – Bank of Melbourne 10 Simon Edu BFF 5914 Bank Lending By Sushi v Effort made by banks Equator Principles 为评估融资项目对环境的影响提供了 risk management framework 该原则将项目分成A,B,C三类 Category A projects are “likely to have significant adverse environmental impacts that are sensitive, diverse, or unprecedented.” Category B projects, if they have “potential adverse environmental impacts on human populations or environmentally important areas-including wetlands, forests, grasslands, and other natural habitats-are less adverse than those of Category A projects.” u d E n Category C projects are “likely to have minimal or no adverse environmental impacts” o m i S BankTrack 8 银行监察组织成员的共同目标是促进私营金融部门承担起应负的社会责任,使其经营 8 9 有利于创造一个健康公正的社会,保护地球良好的生态环境。 9 8 8 The Paris pledge p g h : t a h C e W u d E n o m i S Notes Ethical lending does not mean abandoning profit Unprofitable banks will mean bank failures and extensive financial hardship and social distress 11 Simon Edu BFF 5914 Bank Lending By Sushi q 常见问题一: conflicts of interest A situation that has the potential to undermine the impartiality of a person because of the possibility of a clash between the person's self-interest and professional interest or public interest. 在lending process之中,如果判断出lender officer存在利益冲突的话,最好的方法就是 直接换一个lender officer。 True or False: Having loan applicants pay for the expenses of bank officer travel for purposes of evaluating collateral is not a conflict of interest u d E n q 常见问题二: Privacy & confidentiality o m i 银行所持有的客户资料通常都是非常详细的信息,比方说financialS details,business plan,private information等等。 8 8 9 这种包含私人信息敏感信息的资料仅限于特定情况下去讨论分析 9 8 professional circumstances à Cannot disclosed or discussed outside of the relevant 8 p g h : True or False: tinformation about your co-workers even to your a It is an ethical violation to disclose personal h family C e W 但是,当客户账户存在可疑活动,比方说:large amount of cash, possible tax evasion, proceeds of crime etc.. 银行需要配合当局 (authorities),报告可疑账户的交易情况 u d E n o m i S 12 Simon Edu BFF 5914 Bank Lending By Sushi q 常见问题三: Predatory Lending Definition: Any lending practice that imposes unfair or abusive loan terms on a borrower 通过欺骗、胁迫、剥削或不择手段的行为说服borrower接受不公平的贷款条件,让 borrower接受了一个don’t need / want / afford Warning signs: 利率通常不符合常理 (too good to be true – teaser rates) 流程尽可能的快 (pressure to act quickly) u d E n 可能存在要求贷款人说谎,比如说虚报收入 (lie on application) o m i 利率或费用结构的忽然改变 (interest rate or fee structure starts S changing) 信用卡利率的不透明不规范 8 8 9 9 8 8 p g q 常见问题四: Affordability & Responsible Lending h Lending to low income borrowers who cannot repay is unethical : t a h 在lending process里面,borrower 一般是缺乏专业知识的,决定最终的借款金额是多少 eC 的人通常都是lender W 所以在当lender考虑最终的借款金额时,需要考虑借款人是否能够负担得起 u d 澳洲法律规定,银行有义务确保不会因为放贷金额过多而给借款人带来潜在的财务困 E 难 (potentialn financial hardship by lending too much). o m Lender i S Must 1) 调查 borrower的财务状况,贷款要求及目的 贷款产品看起来很复杂 (complex structure/product) 20世纪80年代,在澳洲出现的一种一瑞士法郎计价的贷款 2) 证实财务状况 3) 确定borrower的要求是否 not unsuitable should Consider 1) 按揭不应当超过总收入的30-33% (25% is better ) 2) more dependents,lower borrowing capacity 3) 信用卡持有状况应当考虑到borrowing capacity的计算中 4) some allowance for increase interest rate and unanticipated events 13 Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 9 – The Problem Loan and Regualtions Problem Loans - Definition of loan default - Causes of loan default - Problem Loan - Provision Specific provision General Provision Bad-Debt Write-offs Dynamic Provision key principles u d E n o m Si - Deal with Default - Default categories Mild Financial Distress Moderate Financial Distress Severe Financial Distress - The coordination problem - Other breaches – places conditions to strengthen loan repayment prob. - - 8 8 9 9 8 8 p g h : t a h C Regulations e Aim of regulation W - Market confidence - Financial stability u d - Consumer protection E - Reduction of financial crime n oleads to the presence of regulation: m Reasons Si - Asymmetric problem Moral Hazard Adverse selection - Nine basic categories of bank regulation Simon Edu BFF 5914 Bank Lending By Sushi Problem Loans 当金融机构发放贷款想要获得一定的收益时,就意味着要承担一定的违约风险。因此 机构必须对default risk进行管理,以使银行的偿付能力 (solvency of the bank)不受到威 胁。那么当贷款出现问题(违约)的时候,银行是应该 直接接管抵押物 (foreclose)还 是 积极管理该笔贷款 (actively managed) Loan default 首先违约并不一定意味着所有的贷款都失去了 (all of the loan extended is lost) 它被定义为 逾期未还的贷款—— a loan where repayments are overdue 更好的贷款程序设计(Better lending procedures )可以让违约风险最小化,但是不能完全 消除违约风险。随着贷款规模的扩大,违约风险的管理难度就会增加 u d Causes of loan default 造成贷款违约的原因可能有:E n Lack of compliance with loan policies 未遵守贷款政策 o Lack of clear standards and excessively lax loan terms 缺乏明确条款,贷款条款过于宽松 m i S Inadequate controls over loan officers 对信贷员的控制不足 Over-concentration of bank lending 银行贷款的过度集中 8 8 Loan growth exceeding bank’s capabilities 贷款增长超过的银行的能力 9 9 Inadequate problem loan identification 识别问题贷款的能力不足 8 对客户的财务状况不够了解 Insufficient knowledge of customer’s finance 8 p 在不熟悉的市场放贷 Lending in unfamiliar markets g h : t a h C e W The Business Cycle ——了解经济周期以及不同时间点的特征 u d Three phases: E nExpansion: 1. Recovery and o m Flourishing economy with increased spending i Sto higher deposits and interest rates lending 2. Boom: Major asset inflation with business overconfidence and declining credit standards 3. Downturn: Declining asset values and economic activity generally accompanied by increased defaults Simon Edu BFF 5914 Bank Lending By Sushi Problem loans 当borrower发生逾期未偿还的事情时,lending institution要考虑: - 这个missed repayment是暂时的(temporary)还是永久的(permanent)? 如果逾期超过90天,贷款被认为是一项“减值资产(impaired asset)”,因为贷款没有 实现回报 (return on loan not achieved) 减值贷款的价值必须在财务状况报告上降低 APRA-澳洲审慎监管局(Australian Prudential Regulation Authority )规定: 如果某客户的一项资产受损,所有贷给该客户的贷款都被视为受损 If one asset is impaired, all loans to that client considered impaired u d E Provision n o 三种 Provision —— Specific Provision, General Provision and Bad-Debt Write-offs m i S q Specific Provision (aside for a specifically identifiable loan ) 8 of the loan 2) 如果减值的贷款是identifiable的,那么机构需要在评估了1) 8 Condition 9 Condition of the borrower 3) Impact of economic events 之后,确定provision的金额 9 E.g. The loan has a face value of $100 and the specific provision is $50 based on the likely 8 8 value of the security. p g h 如果说机构没有办法识别到底是哪一些具体的贷款会出现财务困难,那么只能说对整 : t provision a 体投资组合的风险进行评估,来做一个general h C e of the entire loan portfolio) q General Provision (a proportion 适用于由 similar assets 组成的大型贷款组合 W APRA 规定通常minimum provision 应当为风险加权资产 (Risk-Weighted Assets) 的0.5% u d 可以根据经济活动或是风险水平调整 general provision level ,这个level通常反映了银行 E 对未来可能发生的贷款损失的展望 n o m q Bad-Debt Write-offs i S 坏账的确认(Recognition of bad debts )发生在: 一旦贷款发生减值,机构必须要建立 Provision 账户来为贷款损失作准备 - All security liquidated ; - Guarantees have been enforced ; - Remaining remedial actions explored ; and - No remaining sources of cash can be called 所有的证券已清盘 担保已经执行 已经讨论了所有的补救行动 没有剩余的cash可以调用 Once the above steps are completed, the financial institution must write off the bad debt with asset valued at zero and a charge made against profits. 一旦确认坏账,FI必须write off坏账的金额为0,并从profit中冲销 Simon Edu BFF 5914 Bank Lending By Sushi The provisions made reduce the availability of capital that could otherwise be used for lending purposes provision的存在降低了 本来可以用于贷款目的的资本 (如果provision准备得多的话, 那么可以用于贷款目的的资本就少了) 金融机构通常拥有超出APRA的要求的provision level,这个level反映出了机构目前的风 险状况 - Higher provisions indicate higher risk and/or more conservative management - Lower provisions indicate lower risk and/or more aggressive management. u d E n o m Si 贷款组合的风险对目前的经济环境(the point in the economic cycle)是很敏感的,经济周 期的底部通常意味着最大的违约风险 所以 credit risk 是会随着时间变化的 (Credit risk is not static but changes over time ) 因此建模应该检测投资组合部分中可能的违约风险的变化。 动态准备金的运用应运而生 8 8 9 9 8 8 p g h : t a h C e W Dynamic Provisioning Key principles in dynamic provisioning : - Classify loans into homogeneous groups - Sub-classify groups by maturity length Determine probability of loss for each group Determine likely severity of loss for each group - Use the historical loan-loss information to create predictive model incorporating economic conditions, interest rates, investment activity, etc - Apply model outcome to current provisions. u d E n o m i S 1. 先将loans根据性质分类下一步, 2. 再按照 到期时间 细分组 1)决定每组的损失概率 2)决定每组的可能损失的程度 3. 使用历史贷款损失信息,结合经济条件、利率、投资活动等建立预测模型 4. 最后使用预测模型来预测provision金额 Simon Edu BFF 5914 Bank Lending By Sushi Dealing with Default 如果出现贷款违约,银行必须采取行动,确保尽量减少因为违约带来的损失, 可能会重新安排付款时间(reschedule),而不是直接清算贷款(liquidate) 违约可以根据程度分成三个类别: Mild, Moderate and Severe 我们需要了解每种程度的特征以及补救措施(remedies) q Mild Financial distress 特征:借款人面临的是短期资金不足(short-term cash flow shortages),例如延迟收账 u d E n o m Si 如果逾期未超过 90 天,则: • Changing/lengthening repayment schedules • Assisting firm if cash flow shortage has risen from period of rapid growth (e.g overtrading) • Encouraging firm to sell non-core assets • Requesting/demanding equity capital injection 逾期如果超过 90 天 8 8 9 9 8 q Moderate Financial distress 8 特征:借款人面临现金流问题以及资产开始减值(asset p value declining) g h : 银行采取哪种措施需要根据抵押物的性质来决定。Lender 可以考虑通过NPV或不同措 t a 施的期望值概率模型对替代方案进行评估。 h C e Example: Wbank $300 and is in financial distress now. The owner of Company A Ltd. owes Monash Company A has some special skills to run the firm, that costs him $15. With these skills, firm ua probability of 0.8, otherwise 0. The liquidation value of the firm is value can be $315 with d $200. E n o 站在A公司Shareholder的角度: m i 清算则得到 $0 S 不清算则: −15 + 0.8× 315 − 300 + 0.2×0 = −$3 所以对于shareholder来说,在欠款$300的前提下, 继续花 $15 去经营公司是亏的,所以 shareholder 在这种情况下会偏好于直接清算。 Simon Edu 站在银行(lender)的角度: Choice of bank: 1) Liquidate – bank realizes loss $100 owe amount: $300 直接清算,银行损失 $100 BFF 5914 Bank Lending 1) liquidate By Sushi 2) restructure liquidation value $200 2) Restructure – reduce loan amount to motivate the owner continues 从刚刚shareholder的expected value来看 −15 + 0.8× 315 − 300 + 0.2×0 = −$3 u d E n o m i 比较之后,银行会选择重组,the owner would have the incentive to continue S 而银行得到 $295.25 的 还款,高于之前的清算价格 8 8 9 9 q Severe Financial distress 8 8 特征: 借款人逾期未还以及出现了资产总价值小于贷款金额 p g h 银行在决定是清算还是重组时要格外小心 : t a h Example: C e with Company A Ltd.. Now Company A Ltd. owes Monash bank again is having problem senior bond holders $75 and W Monash bank $500. It still costs Company A Ltd. $15 to run the company, if it continues, the firm will be worth $520 with a probability 0.75, otherwise 0. The liquidation of theu firm is $90 and the firm wants to default. d E 对比之前的例子,这个题目中又多加入了Senior bondholder,这类债权人有优先偿还权, n o 也就是说,公司如果清算的话,$75要优先还给senior bondholder,剩下的再还银行 m i S 对于senior bondholder来说 我们通过股东们的收支平衡点 (break-even condition) ,来计算当loam amount 调整到多 少时,股东们愿意继续注资 $15 来运营: −15 + 0.8× 315 − 𝑙𝑜𝑎𝑛 𝑎𝑚𝑜𝑢𝑛𝑡 + 0.2×0 = 0 得到new loan amount $295.25 清算意味着直接拿到$75,让公司继续经营则只能拿到 $56.25 ($75 * 0.75 + 0) 对于shareholder来说,还要多注资$15,所以也是倾向于直接清算的 对于银行来说 清算意味着只得到 $15 不清算 意味着可以得到 $333.75 ($(520 -75) * 0.75) 所以银行应该如何重组来说服其他两方同意keep running the business? Simon Edu BFF 5914 Bank Lending By Sushi Restructure by Bank Step 1 银行买断优先债券的所有权 (buy out the senior bond holders) 那么A公司所欠银行的金额,总共达到了$575。(但是没有优先于银行的债权人了) Step 2 激励股东继续经营 (motivate the shareholders to continue) breakeven condition: −15 + 0.75× 520 − 𝑙𝑜𝑎𝑛 𝑎𝑚𝑜𝑢𝑛𝑡 + 0.15×0 = 0 得到: New contracted loan amount: $ 500 对比直接清算($15)要多得多,但是这个例子中存在了一个和senior bondholder协调的问 题 u d The Coordination Problem E n 在债务重组时,需要注意的如果一笔贷款中,有不同等级的debt-holder o 那么rescheduling是需要所有债权人的合作,但实际上,合作是比较难实现的 m i S • May be difficult to coordinate actions between junior and senior debt-holders 8 - 初级债权人和高级债券人之间的合作意愿很难协调 8 9equitably or else rescheduling • Need to restructure debts to ensure all debt-holders treated 9 8 proposal will fail 8 - 如果要重组债务的话,需要确保所有的债权人得到公平的结果,否则reschedule的建议 p g 将失败 h : t a h C e Other Breaches 其他违约问题 W of covenants imposed to protect loan quality Corporate loans may have a variety 企业贷款可能会有各种各样的条款来保护贷款质量 u d E Lender may place a variety of conditions to strengthen loan repayment probability : n 贷款人可以设置各种条件,以加强贷款偿还的可能性: o • No excessive withdrawal of cash flows m Si • Risk不过度提取现金流 profile of firm to remain unchanged 公司风险概况保持不变 • Specification of various ratios including gearing, dividend payout and interest coverage 各种比率的规范,包括杠杆率、股息支付和利息覆盖率 • Continued involvement of key staff 关键员工的持续参与 • Application of risk management strategies. 风险管理策略的应用 Simon Edu BFF 5914 Bank Lending By Sushi Regulation 金融体系是经济中监管最严格的部门之一。银行是受监管最严格的金融机构之一 监管有时会阻碍银行的发展,有时也无法预防金融危机。那么银行业监管有益吗? q Aim of regulation • Market confidence - to maintain confidence in the financial system • Financial stability - contributing to the protection and enhancement of stability of the financial system • Consumer protection - securing the appropriate degree of protection for consumers. • Reduction of financial crime - reducing the extent to which it is possible for a regulated business to be used for a purpose connected with financial crime. • regulating foreign participation in the financial markets. u d E n 对金融市场的监管可以维护市场稳定性,保护消费者,减少经济犯罪。维护整体对金 o 融体系的信心,市场有序进行,经济才能有序发展。 m Si 8 q Reasons leads to the presence of regulations: 8 9 Asymmetric information 9 8 - Moral hazard 8 - Adverse selection p g h : 因为信息不对称而导致的道德风险(MoraltHazard)和逆向选择(Adverse Selection) a 向我们说明了regulation的必要性 h eC 这里的信息不对称指的是 borrower/depositor的信息不对称 W u d E n o m i S Simon Edu BFF 5914 Bank Lending By Sushi Moral hazard Moral hazard happens when an agent is given an implicit guarantee of support in the event of making loss —— for example insurance pay-outs or the prospect of a state bail-out 当一家代理机构在发生亏损(例如保险赔付或政府补助的前景)时得到隐性支持担保, 就会发生道德风险。 Moral Hazard 的存在会导致,机构(银行)去寻求风险更高的项目(因为最求更高的回报) 比方说,BB bank 吸收储户存款 10万,并为这 10 万买了存款保险 (一旦银行发生亏损, 保险公司将会赔偿储户)。那么BB bank 就会认为即使发生了亏损状况,也不需要银行 自己承担,则会在投资或是放贷的决定上 去追求风险更高的项目。 这些风险高的项目一旦失败,保险公司赔付储户 这些风险高的项目一旦成功,银行则可以得到更高的收益(private benefit) u d E Lower ($10,000) Higher ($20,000) n o m P(10%) = 0.9 P(10%) = 0.5 i S P(0%) = 0.1 P(0%) = 0.4 8 P (-10%) = 0.1 8 E(payoff) = 10,000 * 0.9 + 0 * 0.1 E(payoff) = 20,000 *90.5 + 0 * 0.4 + (-1,000) * 0.1 9 8 = $9,000 = $9,000 8 p 如果说存在保险来承担损失的话,那么 g E(payoff) = 20,000 * 0.5 + 0 * 0.4 + 0 * 0.1 h : t = $10,000 a h C e W u d E n o m i S 10 万的投资 Simon Edu BFF 5914 Bank Lending By Sushi Adverse selection Asymmetric information has generated a situation where the high risks drive the low risk out of the insurance market ,信息不对称带来的,高风险将低风险驱逐出市场 Adverse selection 会导致留在市场上的都是风险较高的参与者 Example: 所有的司机有 $50,000 年收入,当发生车祸时,all lose $20,000 现在将所有人划分成两个群体 组1 – 车祸的概率为10% 组2 – 车祸的概率为70% Key assumption: 司机对自己是哪组人很清楚 u d E n o m Si 从司机的角度看,愿意为保险支出的费用 组1的年收入 à E (income)1 = 0.9(50K) + 0.1(30K)=$48K 组2的年收入 à E (income)2 = 0.3(50K) + 0.7(30K)=$36K 8 8 9 𝑈=𝑌 9 组1的Utility à 𝐸 (𝑈)1 = 0.9 50𝐾 + 0.1 30𝐾 = 218.6 8 8 组2的Utility à 𝐸 𝑈 2 = 0.3 50𝐾 + 0.7 p 30𝐾 = 188.3 g h 这两组司机,愿意花多少钱去买车险? t: a 保险可以帮助司机们在两种状况下(平安/出车祸),Utility保持一致 h eC 平安状态下,收入为Y,保险费用为Prem 车祸状态下,收入为Y,损失为L,保险费用为Prem,但是保险会赔偿损失L W 所以两种状态下的效用均为 𝑈 = (𝑌 − 𝑃𝑟𝑒𝑚) u d E 组1效用等式n 𝑈 = (𝑌 − o 𝑃𝑟𝑒𝑚) = 218.6 50,000 − 𝑃𝑟𝑒𝑚 = 218.6 = 47,786 m i à prem = 2,214 S 组2效用等式 假设所有人的效用函数为 !.# !.# !.# !.# !.# !.# !.# 𝑈 = (𝑌 − 𝑃𝑟𝑒𝑚)!.# = 188.3 $ 50,000 − 𝑃𝑟𝑒𝑚 = 188.3$ = 35,457 à prem = 14,543 组1 的司机因为知道自己出车祸的可能性小,所以愿意支出的保险费用低,相反组2的 司机知道自己出车祸的风险高,愿意支付的保险费用高 Simon Edu BFF 5914 Bank Lending By Sushi 从保险公司的角度看,保险最终的定价 由于信息不对称,保险公司很确定前来购买车险的司机是低车祸风险的(组1)还是高车 祸风险的(组2) 所以当任意一司机前来购买车险时,在保险公司眼里这个是组1/组2的可能性是一致的 其中 组1发生$20k损失的可能性是10% ——组1的expected loss 0.1 * 20k = 2k 组2发生$20k损失的可能性是70% ——组1的expected loss 0.7 * 20k = 14k 则有, 𝐸 𝑙𝑜𝑠𝑠 = 0.5×2k + 0.5×14k = $8k 保险公司计算的预期损失为$8,000,于是最终会将车险定价为 $8,000 Review: 组1愿意支付的车险金额为 prem = 2,214 组2愿意支付的车险金额为 prem = 14,543 8 8 9 9 8 8 p g h : t a h C e W 在保险公司定价$8,000的情况下,只有组2才会接受这项车险, 也就是说信息不对称最终导致了高风险组迫使低风险组退 出了市场 u d E n o m i S u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Nine basic categories of bank regulation 1. Government Safety Net 2. Restrictions on Asset Holdings 3. Bank Capital Requirements 4. Prompt Corrective Action 5. Financial Supervision: Chartering and Examination 6. Assessment of Risk Management 7. Disclosure Requirements 8. Consumer Protection 9. Restrictions on Competition u d E n o 1. Government Safety Net: Deposit Insurance and the FDIC m i S 安全网的一种形式是存款保障计划,如美国联邦存款保险公司(FDIC)提供的计划,在 8 该计划下,无论银行发生什么情况,储户都能全额获得存款的前10万美元。在这种情 8 况下,储户不会再银行系统出现任何问题的时候就离开。9 9 世界银行的研究表明,在制度环境薄弱的国家,特别是在新兴国家,明确的政府存款 8 8 保险(explicit government deposit insurance)导致了银行业稳定性下降(less bank sector p stability)和银行业危机频发(higher bank crises)。需要一个强有力的制度环境来限制道 g h 德风险,因为存款保险使得过度冒险行为成为可能。 : t a h The FDIC insurance creates moral hazard incentives for banks to take on greater risk than they otherwise would because of the eClack of ”market discipline” on the part of depositors. W The FDIC insurance creates adverse selection. Those who can take advantage of (abuse) the insurance are mostly likely u to find banks attractive. d E 监管机构不愿让大型银行倒闭,因为这会对整个体系造成潜在影响。这就是所谓的 n “Too Big o to Fail”原则。这增加了大银行的道德风险问题,降低了大储户监督银行的 m 动机。 i S Simon Edu BFF 5914 Bank Lending By Sushi 2. Restriction on Asset Holdings Regulations limit the type of assets banks may hold as assets. For instance, banks may not hold common equity. 这种形式的监管禁止银行持有普通股等波动性较大的资产,来避免银行参与风险过高 的投资活动 3. Bank Capital Requirement 要求银行持有一定数量的资本 (hold a certain level of capital) Example: Leverage ratio must exceed 5% to avoid restrictions Capital must exceed 8% of the banks risk-weighted assets and off-balance sheet activities (details follow) New capital requirements are forthcoming to address problems (such as OBS items) with risk-weighted assets First National Bank Assets Liabilities 8 8 9 9 8 8 p g h : t a h C e Leverage ratio = Capital/AssetW = 7m/100m = 7% Calculation of Risk-Adjusted Requirement u d E n o m i S Reserves Treasury securities Government agency securities Municipal bonds Residential mortgages Real estate loans C&I loans Fixed assets 0 ´ $3 million +0 ´ $10 million + .20 ´ $7 million + .50 ´ $10 million + .50 ´ $10 million +1.00 ´ $20 million +1.00 ´ $35 million +1.00 ´ $5 million +1.00 ´ $20 million $91.4 million $3 m $10 m $7 m $10 m $10 m $20 m $35 m $5 m u d E n o m Si Checkable deposits Nontransactions deposits Borrowings $20 m $60 m Loan loss reserves Bank capital $2 m $7 m $11 m (Reserves) (Treasury securities) (Agency securities) (Municipal bonds) (Residential mortgages) (Real estate loans) (Commercial loans) (Fixed assets) (Letters of credit) (Total risk-adjusted assets) If the core capital requirement is 4% That is = 4% * risk-adjusted assets = 4% * $91.4m = $3.66m < $7m of core capital If The Total capital requirement is 8% That is = 8% * risk-adjusted assets = 8% * $91.4m = $7.31m < $9m of total capital Simon Edu 网络教室 远程辅导 版权归Simon Edu所有 8 8 9 9 8 8 网络教室直播互动 p g h : t 高质量 低价位 高效率 a h C 任何时间 任何地点 e W所有重点 各个击破 辅导MPA, BF各类科目 u d E n o m i S 请扫微信二维码或电话联系 微信号:hgp889988 公众号:Simon-accounting u d E n o m Si Simon Edu BFF 5914 Bank Lending By Sushi Topic 10 – Fundamental Credit derivative Products q Overview of products What is the credit derivative (CD)? Credit derivative (CD) contracts are financial instruments that transfer between two parties the risk and return characteristics of a credit-risky reference asset 其实可以直接把CD想象成是银行为了对冲自己的信用风险而购买的“保险” 在这样一个合约中 - Lender 是 contract buyer,也称作 protection buyer / beneficiary - Contract seller,也称作 protection seller / credit guarantor u d 被“保险”的是 Lender 出借给 Borrower的 loan,也称作 reference asset / underlying asset E n o 于是 Lender 可以通过向 seller 购买 CD contract 的形式,将 Borrower 的违约风险转移到 m i seller 一方 S 8 例子: 8 9 BB bank 出借给 AAA company 一笔 10 年,$10 m 的贷款。于此同时向 CC institution 购买 9 了一份 Credit derivative contract,以此保证 BB bank 不必承受违约所带来的损失 8 8 如果在合约生效期间, AAA company 违约破产,那么 CC institution 将按照 AAA p g company 应该偿还的金额,对 BB bank 进行赔偿 h : t a h an economic pay-off based on the credit Credit Derivatives are contracts thatC generate e ; performance may be determined by whether or not the performance of a reference credit asset reference credit defaults, and/or Wwhether its credit spreads improve or deteriorate Credit spread deteriorate u 表现为 credit rating downgrade / widening of credit spread d E Note: 这种‘保险’看似很安全,那么如果 seller also default on its obligations? nà Credit Derivatives are only asprotection o good as the credit worthiness of the party m writing the derivatives CD是否能在关键时刻奏效也是取决于seller的信用的 i S The common structure of CD: Asset swap Credit default swaps Credit spread forwards Total return swaps Basket swaps Credit spread option 每一个都要知道运行的机制大致是什么样子的 1 Simon Edu BFF 5914 Bank Lending By Sushi q Asset Swap An instrument that combines an interest-rate swap with a bond. 参与方: XYZ company Investor Swap bank Synthetic investment – only issue fix-rate liabilities – seek to invest XYZ’s bonds on floating-rate basis – sell the investor fixed-rate bonds and attach a swap that converts the fixed-rate coupons into LIBOR based 投资者想要买购买 XYZ 公司的债券,但是想要的是浮动利率的票息 而XYZ公司只发行了固定票息的债券 这时候就会出来一个 intermediary,将 XYZ公司的债券 外加 一个interest rate swap打包 在了一起做成了一个拥有浮动利率票息的 synthetic investment 卖给投资者 Synthetic FRN Investment Package 8 8 9 9 8 8 p g h : t a h C e W LIBOR + Spread Investor (Buyer) Swap Bank (Seller) Fixed rate u d E n o m Si invest Fixed rate XYZ company (issuer) u d E n Rate Investment Package o Synthetic Fixed m i S 反过来,如果 XYZ只发行了 LIBOR-based liabilities,但是投资者想要的是fixed-rate, 也可以通过 synthetic investment 来完成 Fixed rate Investor (Buyer) LIBOR + Spread Swap Bank (Seller) LIBOR + Spread invest XYZ company (issuer) 2 Simon Edu BFF 5914 Bank Lending By Sushi Regardless of the specific structural details, the intent is to provide the investor with an opportunity to benefit from XYZ’s credit spread levels and movements 不论Asset Swap 的结构如何,其目的都是为了给投资者提供一个保障,不论XYZ公司 的信用利差等级发生什么变化,投资者都能够收益 除了规避风险,投资者还可以使用 Asset Swap 来进行套利 u d E n o m Si If fixed payments under the swap are less than the payments received from a fixed asset, then a LIBOR + x bp spread is created; 当在 swap 之中要支付出去的fixed payment 是小于 从bond 之中收到的fixed payment的 话,LIBOR + x bps 就产生了 (比如说投资者从bond收到的每期票息是 6%,但是在swap之中每期只用给银行 5.5%) 8 8 9 9 8 8 p g h : t a Example : Asset Swap Arbitrage h 投资者现在的选择有 C 1. 五年期的 6% e fixed bond rate 2. 五年期的 LIBORW + 35bps floating rate note 3. 同时Swap bank 提供了一个 5年期 LIBOR + 50 bp 的swap rate u d E Swap Bank Investor n (Seller) o (Buyer) m i S if this spread is greater than the spread on a direct FRN purchase (funded at LIBOR flat or sub-LIBOR), then the asset swap arbitrage is effective. 如果这个利差是大于直接购买FRN 得到的利差的话,这个asset swap的套利则是有效 的 (比如说投资者可以直接购买的FRN为LIBOR + 35 bp,而银行给出的swap是 LIBOR + 50 bp) Corporate bonds (issuer) 3 Simon Edu BFF 5914 Bank Lending By Sushi q Callable Asset Swaps The Swap bank selling the package retains a call option on the underlying asset, allowing it to repurchase the asset at a given spread (strike spread) at some future time. Total package: standard asset swap + call option right ü Credit deteriorate Credit spread widen à Price of underlying asset goes down à swap bank abandon 如果 underlying asset 的价格下降,那么 swap bank 就会放弃权利 u d E n o m Si 8 8 9 9 8 ü Credit improvement 8 pgoes up à swap bank exercise Credit spread tighten à Price of underlying asset g h : 如果说 underlying asset 的价格上涨,那么tswap bank 有权利按照执行价格向 investor 买 a 回该underlying asset h C 然后 swap bank 可以将 underlying asset sell to the market place at current price e 或者重新将这个 underlying asset 打包成一个新的 asset swap 卖给新的investor W u d E n o m i S This process helps the bank realize the mark-to-market value arising from credit improvement. 但同时因为 swap bank 拥有一项 call option (additional right),所以swap bank has to ‘pay’ the right. 最后体现在 投资者购买 callable asset swap option 的价格会比 standard asset swap 要低,因此这种结构对于 buyer 和 seller 都有好处 - The Swap bank preserves the ability (on an off-balance sheet basis) to efficiently crystallize value (cash benefit) by liquidating or selling the structure if asset spreads tighten - While the investor earns an incremental yield for granting the option. 4 Simon Edu BFF 5914 Bank Lending By Sushi q Puttable Asset Swaps 和callable asset swap 相似,只是这次权利在 investor 手中 The investor acquires a package comprised of an asset (fixed bond or FRN) and a puttable swap, where the put allows the investor to sell the asset swap package back to the bank at a predetermined strike spread Total package: standard asset swap + put option right ü Credit deteriorate Credit spread widen à Price of underlying asset goes down à investor exercise 如果 underlying asset 的价格下降,那么 investor 就会行使权力,要求 swap bank 按照 行权价将 underlying asset 给买回去 The swap bank may then retain the asset in its portfolio, sell it in the market-place, or attempt to arrange a new asset swap structure with another investor at the new (wider) spread level. u d E n o m Si 8 8 9 9 8 8 p g h : t ü Credit improvement a h asset goes up à investors abandon Credit spread tighten à Price of underlying C e 如果说 underlying asset 的价格上涨,那么 investor 放弃行权 W u d E n o m i S Both parties obtain benefits through the synthetic structure : - The Swap bank receives incremental income from selling the put option (temporarily or permanently removing the underlying asset from its balance sheet) - The investor obtains de facto downside protection against spread widening on the underlying asset 5 Simon Edu BFF 5914 Bank Lending By Sushi q Asset Swaps Switches 两个asset swap package之间的交换 Example: An investor A may own an asset swap package on credit reference ABC at LIBOR + 30 bps Bank D own an asset swap package on credit reference XYZ, currently trading at LIBOR + 50bps And investor A agree with the Bank D to exchange their asset swap packages if the XYZ’s trading spread widens to + 70 bps u d E n o m Si 那么investor A 能和 Bank D有这样一个互换合约,很大的一个前提是: They must have different views on the current and future creditworthiness of ABC and XYZ à Investor A must believe that XYZ represents good value at +70bps, but is too expensive at +50 bps à Bank D is exposed to 20 bps of spread widening before it can trigger the swap, but effectively acquires default protection through the structure. 8 8 9 q Asset Swaptions 9 Asset swaption is more recent innovation, it can be called 8some synthetic lending 8 por periodic fee for agreeing to purchase g Under asset swaption, the investor earns an up-front h a security or a loan from an intermediary on a:forward basis. t a h This is equivalent to the investor sells a put option to the intermediary (to the third party) C e the put option right, then the investor is obliged to for premium, if the swap dealer exercise buy the reference asset at theW strike price. u d E n o m i S 6 Simon Edu BFF 5914 Bank Lending By Sushi q Credit Default Swap Just like an insurance The swap purchaser (beneficiary) ’swaps’ the credit risk with the provider of the swap (the insurer or guarantor) receiving a compensatory payment if the credit event is triggered 参与者有 buyer 和 seller,buyer 向 seller 支付 premium 一旦 buyer 遭受到违约带来损失,seller 将向 buyer 提供补偿 $50,000 Fee Bank Payment on $10m Notional if reference Default $10m loan Tobacco Company Reference Bond Credit derivative dealer u d E n o m Si 8 8 9 9 8 8 p g h : t 虽然看起来CDS很像一个insurance,但是在两个方面有所区别 a 1. The Swap is an OTC contract (overh the counter) C 所以CDS最后是否能生效,很大程度取决于seller 的信用 e 2. Contracts can be arranged by a party not exposed to the underlying risk W 也就是说 buyer 不是一定非要持有underlying asset 才能购买CDS u d E Factors affecting the Price of a Credit Default Swap n Factor o Pricing Impact m i S to maturity Time the longer the maturity, the greater the default, the Tobacco company higher the premium Probability reference credit will default the higher the probability of default, the higher the premium credit rating od CDS counterparty the lower the credit rating of the seller, the lower the premium correlation between CDS seller and reference credit the higher the correlation between the seller and reference, the lower the premium Expected recovery rate the higher the recovery rate, the lower the premium 7 Simon Edu BFF 5914 Bank Lending By Sushi q CDS Index Swap A derivative contract covering a broad pool of credits that together comprise a standardized index ; The CDS Index swap uses a market index as its benchmark Example: the DJ CDX consists of a basket of 125 CDS contracts on U.S. firms with liquid, investment-grade corporate debt buyer 向 seller 支付 premium 一旦 buyer 遭受到违约带来损失 (within the index),seller 将向 buyer 提供补偿 并且违约事件发生后,seller 需要将已经违约的 reference asset 从组合里面剔除 然后仍然按照之前定好的 fixed premium 继续整个合约,但是因为整体的remaining reference asset 是减少的,所以buyer 每期要支付的实际金额也会减少 比方说: initial CD index price is 35bps (comprised of 125 of the most liquid investment grade CDS) 其中有一个 CDS 违约之后,seller 向 buyer支付赔偿。 The trade then continues at a premium of 35bps on the remaining 124 credits and the lower notional amount. u d E n o m Si 8 8 9 CDS index 的价格 (也就是premium) 在定好后就不会有改变 9 比方说,initial CD index price is 35bps,payable by the8buyer quarterly for the life of the 8 trade. p g 一个月后,fair price widens to 55bps,这时候如果有新的 buyer, h : 那么这个新的 buyer 需要在购买时一次性补齐 the present value of the 20 bps for the life t a 35bps of trade,然后在持有期间仍然每季度支付 h eC W Premium u (Periodic or up-Front) d E n Index o Swap Index Swap m i Buyer Seller S Contingent Payment for Any Reference Credit That Default Reference CDS Index 8 Simon Edu BFF 5914 Bank Lending By Sushi q Credit Spread Forward CSF is a forward contract on a risky credit spread that allows the purchase or sale of a credit spread at a forward price for settlement at some future date Seller agrees to pay Fixed credit spread,receive a market spread The buyer agrees to pay the market spread in exchange for the fixed spread CSF Buyer Payment of Fixed Credit Spread at Settlement Payment of Market Credit Spread at Settlement Reference Asset CSF Seller u d E n o m Si 8 8 9 9 If a bank agrees to pay a fixed 100bps for the spread on Company ABC’s reference bond and 8 8 receive ABCs market spread, it will generate a gain as ABC’s market spread widens beyond p g 100 bps and will post a loss as it tightens (i.e. improves) ; the bank’s counter-party faces the h : opposite scenario. t related to ABCs post-default spread level. a If ABC defaults, the bank will receive a payment h C e W u d E n o m i S 9 Simon Edu BFF 5914 Bank Lending By Sushi q Total Return Swaps TRS is a bilateral contract that transfers the economics of a credit reference between two parties; the contract covers the entire spectrum of pay-offs, from credit strengthening to credit deterioration and default 参与者有 receiver and payer Payer is the legal owner of the reference asset, but receiver is long both price and default risk and the reference asset. ü Reference asset price increase,receiver benefit ü Reference asset price decrease,payer benefit u d E n o m Si The TRS can be arranged on a funded or unfunded basis - Funded TRS: requires the TRS receiver to purchase a risk-free or low- risk floating asset that yields the LIBOR stream payable to the TRS payer - u d E n o m i S 8 8 9 9 8 8 p g h : t a h C e W Unfunded TRS: The receiver do not need to hold such asset, so the LIBOR stream must be sourced from cash flow. 10 Simon Edu BFF 5914 Bank Lending By Sushi q Basket Swap Structure Basket swaps are credit derivatives that allow for the risk transfer of a pool of reference credits ; this creates an efficient and cost effective way of dealing with multiple credit exposures Buyer: 同时有好几个 risk exposure (比方说: BB bank 分别出借给ABC / XYZ / ZZZ 公司的三笔贷款) Seller: 根据buyer,所面临的一篮子风险,定制一个basket swap structure,一旦发生 reference asset 发生违约,seller 对 buyer 进行补偿 The lower the correlation between the components of the reference basket the lower the premium. u d E n o m Si Standard basket swap 只要发生违约seller就会对buyer进行赔偿 合约直到到期日时才会结束 First(n)–to–default Basket Swap Seller 只会对第一个违约的reference asset 进行赔偿,赔偿后合约终止 Fee (up-Front or Periodic) Fee (up-Front or Periodic) 8 8 9 9 8 8 p g h : t a h C e W Basket Swap Buyer Basket Swap Seller Basket Swap Buyer Contingent payment if any Reference Credit Defaults Reference Credit Obligations: A B C D Contingent payment for the 1st Reference Credit Defaults Reference Credit Obligations: A or B or C or D u d E Senior Basket Swap n o 违约金额累计超过first-loss limit的部分才 m 开始赔偿,赔偿后合约终止 i S Subordinated Basket Swap 违约累计金额不超过 上限(cap)的 部分 才 有赔偿 Fee (up-Front or Periodic) Fee (up-Front or Periodic) Senior Basket Swap Seller Senior Basket Swap Buyer Basket Swap Seller Subordinated Basket Swap Seller Subordinated Basket Swap Buyer Contingent payment if any Reference Credit Defaults, once a first-loss level has been reached Contingent payment if any Reference Credit Defaults, up to a Maximum cap Reference Credit Obligations: A B C D Reference Credit Obligations: A B C D 11 Simon Edu BFF 5914 Bank Lending By Sushi Exercise Assume the following reference credit portfolio: Credit 1: $10 million notional, post-default price $40 Credit 2: $10 million notional, post-default price $30 Credit 3: $10 million notional, post-default price $50 Given a $30 million structure, how much will an investor receive? (a) If credit 2 defaults in a standard default? $100𝑚 ∗ 1 − 0.3 = $7𝑚 (b) If credit 2 defaults in a first-to-default basket? $100𝑚 ∗ 1 − 0.3 = $7𝑚 u d E n o (d) If credit 3 defaults in a senior basket with a $5 mn first-loss limit? m $100𝑚 ∗ 1 − 0.5 = $5𝑚 = 𝑓𝑖𝑟𝑠𝑡 𝑙𝑜𝑠𝑠 𝑙𝑖𝑚𝑖𝑡 i S The investor will receive nothing 8 (e) If credit 1 defaults in a senior basket with a $5 mn first-loss 8 limit? 9 𝑙𝑖𝑚𝑖𝑡 = $1𝑚 $100𝑚 ∗ 1 − 0.4 = $6𝑚 − $5𝑚 𝑓𝑖𝑟𝑠𝑡 𝑙𝑜𝑠𝑠 9 8 8 p g h : t q Credit Spread Option a The credit option grants the buyer the h right, but not the obligation to purchase (call) or sell C (put) the credit spread of a reference credit at a particular strike level ; in exchange for this e right, the buyer pays the seller an up-front premium payment W If the investor (buyer) have a call option à exercise the right when spread tighten u If the investor haved a put option à exercise the right when spread widen E n Exercise o m If an investor buys a 12-month credit spread call option on Company ABC’s bond with a i S strike spread of 100bps for a premium of 35 bps, what is the appropriate course of action if (c) If credit 1 and 2 default in a first-to-default basket (in that order)? $100𝑚 ∗ 1 − 0.4 = $6𝑚 ABC’s spread tightens to 50bps? Widens to 150bps? What is the breakeven level of the trade? Spread tighten: the investor should exercise the right Then the investor can get the net gain of 15bps (100bps – 50bps – 35bps) Spread widen: the investor should abandon the right Breakeven level: 100𝑏𝑝𝑠 – 35𝑏𝑝𝑠 = 65 𝑏𝑝𝑠 Each 1bp tighten after 65 bps generates profit 12 5914 Bank Lending Lender's Objective: 1. Assess the extent of the risk 2. Try to reduce the amount of uncertainty that will exist over the prospect of repayment Safety of loan Principles of Good Lending Suitability of loan purpose Profitability Character Capacity Capital The Five C's Approach Collateral internal Conditions external loan covenants Borrower-specific Factors Internal Factors 【Topic 1】 Framework for Credit and Lending Decisions legislation Introduction: the principle of lending External Factors macroeconomic industry-specific personal business Difference type of Borrowers They are neither individual nor companies advance contract 通常是派代表签署 special type of borrower obtain security and other documents Structure of loan & advances deciding the debt covenants pricing issues Closed bridging loan Bridging loan Open-ended bridging loan higher risk, only the conditions fully satisfied, that can be provided Security Property Valuation Second Mortgages Guarantees and other party security Liquidity Ratio Current ratio Quick ratio Efficiency Ratio Inventory Turnover Average Collection period Average Payment Period Profitability Ratios Profit to sales ROA ROE 【Topic 2】 Leverage Ratios Financial Statement Analysis & Financial Mathematics Debt / Equity ratio Interest Coverage Ratio Fixed Charges Coverage Ratio Over-trading Facts of the cases 1. 2. 公司现状简介 与银行关系简介 rapid growth, higher sales but low profits and low liquidity. Under-trading slow growth, low sales, excessive liquidity etc Financial Mathematics overtrading or undertrading, why? Annuity Liquidity and Efficiency Problem? PV / FV Profitability Problem? Outstanding Loan Balance Leverage and Security Problem? 【 Concerns 】 Question 2 Case Study - Lending to corporation Effective yield and APR Product Problem Prediction and Market Expectation Problem Management Problem 【Topic 3】 borrowing capacity Credit Scoring Techniques Economics/Regulation/Industry Problem Other related Problem Reject or Accept - Reject and any other proposals? - Accept under what condition? Decision Suggestion: - Other investigation/research? - Any security you want to take? - Security Margin? - Need new Capital Injection? - Expenditure plans of the Loan clear or not? - Any feasible Business Plan? Personal Loans Credit Card Loans 【Topic 4】 Real estate Loans Customer Lending and Real estate Lending Loan Feature Market Value Approach Three Traditional Approaches Cost Approach Income Capitalization General Corporate Lending Financial Structure Liquidity & Efficiency Financial Profitability (Quality of Profit?) Markets and Products 【Topic 5】 Competition Non-financial Corporate and Small Business Lending Resourses Management Two main Approach: 1. Relationship Management Approach 2. Credit Scoring Approach Distinctive Feature Asymmetric Information Expert System Key Assumption: No arbitrage Condition Without Recovery rate p (1 + r) = 1 + i With Recovery rate p (1 + r) + (1 - p) e (1 + r) = 1 + i Single period Prob. of repayment Expected Forward rate Risk Premium System (Prob. of repayment) Multiple Period Cumulative Default Prob. = 1 - p1 * p2 * p3 ... pn easy to apply if corporate bond information is available sometimes difficult for bank to find a rated and traded similar bond that exactly match the borrower 【Topic 6】 Pros and Cons Traditional Approaches to Credit Risk Measurement The outcome (prob. of repayment) are not very exact Might ignore other risk factors e.g. liquidity of bonds, loan size Both of them are based on corporate bond information Regression Altman's Z Score 1.88 - 2.99: Area of Ignorance - Bank would like to conduct other type of analysis to make decision Econometric based systems attempt to reduce the human induced error associated with Credit risk analysis Pros and Cons Need to update model more frequently Not base on any Finance theory at all Marginal Mortality Rate Assumption: The historical default and survival rates will continue to the future so if there is a structure shift in the credit risk process, these assumption are not longer valid Main problem: Rating Migration Hybrid System RAROC Calculate and compare to the bank policy KMV model 【 】 Question 3 Short-Answer Question (Focus on Topic 6-10) Why can we use option price model to determine the equity value of borrowing firm Equity is a Call Option Debt is like Selling a Put Option 【Step 1】Based on option pricing theory to estimate the current value and volatility of the firm's assets (Since Equity is a call option) 【Step 2】Calculate the Distance to Default Three Steps of KMV Default Point Expected Market value of Asset 【Step 3】Mapping the DD to the Default Probability 【Topic 7】 Firm Specify Credit Risk Models Based on Stock Market Forward-looking measure of actual Prob. of default Structural approach: Credit Risk driven by the firm value process Feature of KMV model Rely on the information in equity prices Based on market value of the firm does not try explicitly to be predictive Standard KMV can only apply to public firm 【Step 1】 1. The Market value of Asset (V) - based on: Operating value and Liquidating value 2. The Asset Volatility - based on a function of sales size, industry and asset size Private Company KMV model 【Step 2】&【Step 3】as the same Minimum finance required Builder Maximum Loan amount that bank can provide Special Customer Property investment Difference? Property development Cost-plus pricing models Price Leadership Model 【Topic 8】 usually use lending to SMB Below-Prime Market Pricing Pricing Loans usually use to lending to large firm all of them are based on [Cost of fund] + [Risk Premium] Loans bearing maximum interest rates Customer profitability analysis The contractually promised return on a loan (gross return rate for bank) Conflicts of Interest Ethics in Banking Lending Predatory Lending Responsible Lending Loan Default A loan where repayments are overdue Causes of Loan Default Less than 90 days Problem Loan More than 90 days Change Schedule Sell non-core assets Capital injection Recognize as an impaired asset Set Provision Mild Financial Distress 【Topic 9】 Dealing with Default The Problem loan and Regulations Moderate Financial Distress Liquidate or Restructure ? Severe Financial Distress Market Confidence Financial Stability Aim of Regulation Consumer Protection Reduction of Financial Crime Regulating foreign participation The interest of all parties are not align Regulation Reasons of Regulation Asymmetric information Moral Hazard Adverse Selection Institution seek for higher risk investment High risks drive the low risk out of the insurance market ( ) 导致留在市场上的都是高风险的参与者 Basic categories of bank regulation Credit Derivative can transfer the risk to other party Combination of 'Bond' and 'Interest rate swap' Callable Asset Swaps Combination of 'Bond' and 'Interest rate swap' swap bank holds a call option Puttable Asset Swaps Combination of 'Bond' and 'Interest rate swap' Investor holds a put option Asset Swap Arbitrage How can an investor use Asset Swap to get a positive return Asset Swap Just like an insurance 【Topic 10】 - Investor pay premium for default protection - Swap bank receive premium and pay a compensate if reference default Five Factors affecting the Price of a CDS, why? Credit Default Swaps CDS index Swap Fundamental Credit Derivative Credit Spread Forwards Receiver receive 'the fixed coupons' + 'any Price Appreciation' in Reference Credit Total Return Swaps Payer receive 'the LIBOR spread' + 'any Price Depreciation' in Reference Credit Standard basket swap First (n) to default Basket Swap Basket Swaps Senior Basket Swap Subordinated Basket Swap Credit Spread Option Grant the buyer a right, can be a put option or a call option