零售贷款管理

Chapter 7

Bank ManagementBank Management, 5th edition.5th edition.Timothy W. Koch and S. Scott MacDonaldTimothy W. Koch and S. Scott MacDonaldCopyright © 2003 by South-Western, a division of Thomson Learning

Recent trends in consumer lending

Credit scoring more lenders use statistical models to predict

which individuals are good and bad credit risks.

Rapid consolidation of the credit card business at year-end 1997, for example, the 10 largest

bank card issuers held approximately 85% of all credit card loans.

Move to subprime lending, where banks court the business of higher risk individuals. it is popular because banks credit score these

loans and thus feel comfortable pricing these loans at much higher rates than prime loans.

Evaluating consumer loans

When evaluating consumer loan requests, an analyst addresses the same issues discussed with commercial loans: （这些是关键） the use of loan proceeds, the amount needed, the primary and secondary source of

repayment. However, consumer loans differ so much in

design that no comprehensive analytical format applies to all loans.

Installment loans

Installment loans require the periodic payment of principal and interest.

Installment loans may be either direct or indirect loans. A direct loan is negotiated between the bank

and the ultimate user of the funds. An indirect loan is funded by a bank through a

separate retailer that sells merchandise to a customer.

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DataAverage size of loan $5,104 $5,448Average number of loans 1,146 6,729Number of banks surveyed 70 49Costs per LoanCost to make a loan:

Electronic $202.42 $84.56Nonelectronic 152.17 137.49

Cost to maintain a loan (monthly)Electronic $19.21 $16.96Nonelectronic 21.74 20.07

Loan loss (average size loan) 27.05 31.05Total $422.59 $290.13

As a Percent of Total Loans OutstandingLoan income* 10.11% 9.35%Expenses

Direct 3.6 2.83Net indirect 0.97 0.7Loan loss rate (3-year average) 0.53 0.57

Total 5.1 4.1Net yield 5.01 5.25Cost of funds 3.28 3.31

Net spread 1.73% 1.94%

Deposit Size (Millions of Dollars)

Credit cards and other revolving credit

Credit cards and over-lines tied to checking accounts are the two most popular forms of revolving credit agreements.

In 2001 consumers charged almost $650 billion on credit cards.

Most operate as franchises of MasterCard and/or Visa. bank must pay a one-time membership fee

plus an annual charge determined by the number of its customers actively using the cards.

Credit cards are attractive because they provide higher risk-adjusted returns than do other types of loans.

Card issuers earn income from three sources: card holders annual fees, interest on outstanding loan balances, and discounting the charges that merchants accept

on purchases.

Debit cards, smart cards, and prepaid cards

Debit cards are widely available when an individual uses the card, their balance

is immediately debited. they have lower processing costs to the bank

A smart card is an extension of debit and credit cards contains a memory chip which can manipulate

information it is programmable such that users can store

information and recall this information when effecting transactions.

only modest usage in the U.S.

The future of smart cards

Smart card usage will likely increase dramatically in the U.S.: firms can offer a much

wider range of services smart cards represent a

link between the internet and real economic activity

suppliers of smart cards are standardizing the formats so that all cards work on the same systems

Prepaid cards

Prepaid cards such as phone cards, prepaid cellular, toll tags, subway, etc. are growing rapidly.

Prepaid cards are a hybrid of debit cards in which customers prepay for services to be rendered and receive a card against which purchases are charged.

Overdraft protection and open credit lines

Revolving credit also takes the form of overdraft protection against checking accounts.

One relatively recent innovation is to offer open credit lines to affluent individuals whether or not they have an existing account relationship.

In most instances, the bank provides customers with special checks that activate a loan when presented for payment.

Home equity loans and credit cards

Home equity loans grew from virtually nothing in the mid-1980s to over $220 billion in 2001 Home equity loans meet the tax deductibility

requirements of the Tax Reform Act of 1986, which limits deductions for consumer loan interest paid by individuals, because they are secured by equity in an individual's home.

These credit arrangements combine the risks of a second mortgage with the temptation of a credit card, a potentially dangerous combination.（这里存在以同一担保物的两次担保）

Non-installment loans

A limited number of consumer loans require a single principal and interest payment.

Bridge loans are representative of single payment consumer loans. Bridge loans often arise when an individual

borrows funds for the down payment on a new house.

Subprime loans

During the 1990s, one of the hottest growth areas was subprime lending.

Subprime loans are higher-risk loans labeled labeled “B,” “C,” and “D” credits

They have been especially popular in auto, home equity, and mortgage lending.

These are the same risk loans as those originated through consumer finance companies.

What are subprime loans?

Although no precise definitions exist, “B,” “C,” and “D” credits exhibit increasingly greater risk and must be priced consistently higher than prime-grade loans.

Paul Finfer of Franklin Acceptance Corp, a subprime auto lender, provided the following definitions: B: typically scores 600+ under the Fair Isaac system（一种评级系统） ; has some 90-day past dues but is now current. When extended credit, typical delinquencies are 2%-5%; repossessions are 2.5%-6%; and losses are 1.5%-3%.

C: typically scores between 500 and 600 and has had write-offs and judgments. The borrower has made subsequent payments of some or all of the loans. When extended credit, delinquencies are typically 5%-10%; repos, 5%-20%; and losses 3%-10%.

D: typically scores between 440 and 500 and has charge-offs and judgments that have not been repaid and has not made payments on these loans. When extended credit, delinquencies are 10%-20%; repos, 16%-40%; losses, 10%-20%.

High LTV loans

During the latter half of the 1990s, many lenders upped the stakes by making “high LTV” (loan-to-value) loans based on the equity in a borrower’s home.

Where traditional home equity loans are capped at 75 percent of appraised value minus the outstanding principal balance, high LTV loans equal as much as 125% of the value of a home. （说明银行现在的胆子放大了。）

Consumer credit regulations

Equal Credit Opportunity Act (ECOA), makes it illegal for lenders to discriminate.

Prohibits Information Requests on: the applicant's marital status, whether alimony, child support, and public

assistance are included in reported income, a woman's childbearing capability and plans, whether an applicant has a telephone.

Credit scoring systems

Credit scoring systems are acceptable if they do not require prohibited information and are statistically justified.

Credit scoring systems can use information about age, sex, and marital status as long as these factors contribute positively to the applicant's creditworthiness.

Credit reporting

Lenders must report credit extended jointly to married couples in both spouses' names.

Whenever lenders reject a loan, they must notify applicants of the credit denial within 30 days and indicate why the request was turned down.

Truth in lending

Truth in lending regulations apply to all individual loans up to $25,000 where the borrower‘s primary residence does not serve as collateral（主要住所一般不能充当担保） .

Legislation arose because lenders quoted interest rates in many different ways and often included supplemental charges in a loan that substantially increased the actual cost.

Truth in lending disclosure requirements…requires that lenders disclose to potential borrowers both the total finance charge and an annual percentage rate (APR).

The APR equals the total finance charge

computed against the loan balance as a

simple annual interest rate equivalent. Historically, consumer loan rates were quoted

as add-on rates, discount rates, or simple

interest rates.银行既要讲清收取利息总数，还要讲清年率为多少。

Add-on rates（分期付款的实际利率）… applied against the entire principal of installment loans.

Gross interest is added to the principal with the total divided by the number of periodic payments to determine the size of each payment.

Example: suppose that a customer borrows $3,000 for one year at a 12 percent add-on rate with the loan to be repaid in 12 equal monthly installments. Total interest equals $360, monthly payment equals $280, and

the effective annual interest cost is approximately 21.5%.

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Discount rate method…the quoted rate is applied against the sum of principal and interest, yet the borrower gets to use only the principal, as interest is immediately deducted from the total loan.

Example: consider a 1-year loan with a single $3,000 payment at maturity. The borrower receives only $2,640, or the total loan minus 12%

discount rate interest. The effective annual percentage rate, or APR, equals 13.64% Interest charge = 0.12 ($3,000) = $360

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Simple interest…interest paid on only the principal sum.

Example: $3,000 loan at 12% simple interest per year produces $360 in interest, or a 12 percent effective rate

Interest (is): = $3,000(0.12)(1)= $360

The quoted rate (APR) is adjusted to its monthly equivalent, which is applied against the unpaid principal balance on a loan. Hence a $3,000 loan, repaid in 12 monthly installments at 1%

monthly simple interest, produces interest under $200. The monthly interest rate equals 1 percent of the outstanding

principal balance at each interval. Depending on how it is quoted, a 12 percent rate exhibits a

noticeably different effective rate, ranging from 12% to 21.5% in the examples to follow.

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Fair credit reporting

The Fair Credit Reporting Act enables individuals to examine their credit reports provided by credit bureaus.

If any information is incorrect, the individual can have the bureau make changes and notify all lenders who obtained the inaccurate data.

There are three primary credit reporting agencies: Equifax, Experian, and Trans Union.

Unfortunately, the credit reports that they produce are quite often wrong.

Bankruptcy reform（个人破产不能逃债）

Individuals who cannot repay their debts on time can file for bankruptcy and receive court protection against creditors.

Individuals can file for bankruptcy under:1. Chapter 7, individuals liquidate qualified

assets and distribute the proceeds to creditors.

2. Chapter 13, an individual works out a repayment plan with court supervision.

Individuals appear to be using bankruptcy as a financial planning tool; the stigma of bankruptcy is largely gone.

Credit analysis

The objective of consumer credit analysis is to assess the risks associated with lending to individuals.

When evaluating loans, bankers cite the Cs of credit: 1. character:

the most important element--difficult to assess2. capital:

refers to the individual's wealth position3. capacity:

the lender often imposes minimum down payment requirements and maximum allowable debt-service to income ratios

4. conditions: the impact of economic events on the borrower's capacity

to pay 5. collateral:

the importance of collateral is in providing a secondary source of repayment.

Two additional Cs have been added reflecting customer relationships and competition

6. Customer relationship A bank’s prior relationship with a customer reveals

information about past credit and deposit experience that is useful in assessing willingness and ability to repay.

7. Competition has an impact by affecting the pricing of a loan. all loans should generate positive risk-adjusted returns. lenders periodically react to competitive pressures by

undercutting competitors’ rates in order to attract new business. still, such competition should not affect the

accept/reject decision.

Policy guidelines… Acceptable Loans

Consumer loans are extended for a variety of purposes.

Acceptable Loans Automobile Boat Home Improvement Personal-Unsecured Single Payment Cosigned

Policy guidelines …Unacceptable Loans

Unacceptable Loans1. Loans for speculative purposes.2. Loans secured by a second lien, other than

home improvement or home equity loans.3. Any participation with a correspondent bank

in a loan that the bank would not normally approve.

4. Accommodation loans to a poor credit risk based on the strength of the cosigner.

5. Single payment automobile or boat loans.6. Loans secured by existing home furnishings.7. Loans for skydiving equipment and hang

gliders.

Evaluation procedures: Judgmental and credit scoring

Banks employ basically two procedures when evaluating consumer loans :

1. judgmental procedures…the loan officer subjectively interprets the information in light of the bank’s lending guidelines and accepts or rejects the loan

2. quantitative credit scoring or credit scoring model…the loan officer grades the loan request according to a statistically sound model that assigns points to selected characteristics of the prospective borrower

In both cases, a lending officer collects information regarding the borrower’s character, capacity, and collateral.

An application: credit scoring

Credit scoring models are based on historical data obtained from applicants who actually received loans.

Statistical techniques assign weights to various borrower characteristics that represent each factor's contribution toward distinguishing between good loans that were repaid on time and problem loans that produced losses.

Credit scoring system, university national bank, applied to credit application for purchase of a 2000 Jeep

Category Characteristics/Weights

Annual Gross Income <$10,000

5 $10,000-$20,000

15 $20,000-$40,000

30 $40,000-60,000

45 >$60,000

60

Monthly Debt Payment Monthly Net Income

>40% 0

30-40% 5

20-30% 20

10-20% 35

<10% 50

Bank Relationship Checking/Saving

None 0

Checking Only 30

Saving only 30

Checking & Saving 50

No answer 0

Major Credit Cards None

0 1 or more

30 No answer

0

Credit History Any derogatory within 7 yrs.

-10 No record

0 Met obligated payments

30

Applicant's Age < 50 yrs.

5 >50 yrs.

25 No answer

0

Residence Rent

15 Own/Buying

40 Own outright

50 No answer

15

Residence Stability < 1 yr. 0

1-2 yrs. 15

2-4 yrs. 35

>4 yrs. 50

No answer 0

Job Stability < 1 yr. 5

1-2 yrs. 20

2-4 yrs. 50

>4 yrs. 70

Unemployed 5

Retired 70

NOTE: Minimum score for automatic credit approval is 200; score for judgmental evaluation, 150 to 1 95; score for automatic credit denial is less than 150. Melanie Groome's credit score is 185.

An application: The credit score

A loan is automatically approved if the applicant's total score equals at least 200.

The applicant is denied credit if the total score falls below 150.

At University National bank, five factors, including employment status, principal residence, monthly debt relative to monthly income, total income, and banking references are weighted heaviest.

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FICO Score Range

National Distribution of FICO Scores

Delinquency Rates by FICO Score

Up to 499 500-549 550-599 600-649 650-699 700-749 750-799 800+

FICO Score RangeUp to 499 500-549 550-599 600-649 650-699 700-749 750-799 800+

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Indirect lending is an attractive form of consumer lending when a bank deals with reputable retailers.

A retailer sells merchandise and takes the credit application.

Because many firms do not have the resources to carry their receivables, they sell the loans to banks or other financial institutions.

These loans are collectively referred to as dealer paper.

Banks aggressively compete for paper originated by well-established automobile, mobile home, and furniture dealers.

Indirect lending (continued)

Dealers negotiate finance charges directly with their customers.

A bank, in turn, agrees to purchase the paper at predetermined rates that vary with the default risk assumed by the bank, the quality of the assets sold, and the maturity of the consumer loan.

A dealer normally negotiates a higher rate with the car buyer than the determined rate charged by the bank.

This differential varies with competitive conditions but potentially represents a significant source of dealer profit.

Indirect lending (continued)

Most indirect loan arrangements provide for dealer reserves that reduce the risk in indirect lending.

The reserves are derived from the differential between the normal, or contract loan rate and the bank rate, and help protect the bank against customer defaults and refunds.

Role of dealer reserves in indirect lending: Automobile paper

Terms of the Dealer Agreement Bank buys dealer paper at a 12 percent rate. Dealer charges customers a higher

rate (15 percent APR), with 25 percent of difference allocated to a reserve. Sample Automobile Loan Principal = $8,000 Maturity = 3 years, 36 monthly installments Loan rate = 15% annual percentage rate (APR) Monthly payment = $8,000/[(I/.0125) - (1/.0125(l.0125)36)] $277.32 Allocation to the Dealer Reserve Total interest expense to customer = $1,983.52 Total interest income for bank = 1,565.72 Differential interest - $ 417.80 75% allocated to dealer: 0.75(417.80) = $313.35 25% allocated to reserve: 0.25(417.80) = $104.45 Interest Refunds on Prepayments with Add-on Rates Loan is written on a precomputed basis, and bank accrues interest using “rule of 78s"* Interest expense to customer = 0.09($8,000)(3) = $2,160 Interest income for bank = 0.07($8,000)(3) = 1,680 Differential interest = $ 480 75% allocated to dealer: 0.75($480) = $360 25% allocated to reserve: 0.25($480) = 120 End of Year Interest Earned* Total Bank Difference 1 54.96% $1,187.14 $923.33 $263.81 2 33.33 719.33 559.94 159.99 3 11.71 252.93 196.73 56.20 100.00% $2,160.00 $1,680.00 $480.00 *Rule of 78s factors are 366/666, 222/666, and 78/666, respectively.

Recent risk and return characteristics of consumer loans

The attraction is two-fold:1. Competition for commercial customers

narrowed commercial loan yields so that returns fell relative to potential risks

2. Developing loan and deposit relationships with individuals presumably represents a strategic response to deregulation

Revenues from consumer loans

Consumer loan rates have been among the highest rates quoted at banks in recent years.

Consumer groups still argue that consumer loan rates are too high, especially when the prime rate declines.

In addition to interest income, banks generate substantial noninterest revenues from consumer loans.

With traditional installment credit, banks often encourage borrowers to purchase credit life insurance on which the bank may earn a premium.

Consumer loan losses

Losses on consumer loans are normally the highest among all categories of bank credit.

Losses are anticipated because of mass marketing efforts pursued by many lenders, particularly with credit cards.

Credit card fraud arises out of the traditional lender/merchant relationship.

Interest rate and liquidity risk with consumer credit

The majority of consumer loans are priced at fixed rates.

New auto loans typically carry 4-year maturities, and credit card loans exhibit an average 15- to 18-month maturity.

Bankers have responded in two ways:1. price more consumer loans on a floating-rate

basis2. commercial and investment banks have

created a secondary market in consumer loans, allowing loan originators to sell a package of loans

Customer profitability analysis is a decision tool used to evaluate the profitability of a customer relationship.

The analysis procedure compels banks to be

aware of cost estimates for providing each

service. The applicability of customer profitability

analysis has been questioned in recent years

with the move toward unbundling services.

Profit Target + Expenses Account Revenue Account

Account analysis framework

Customer profitability analysis is used to evaluate whether net revenue from an account meets a bank’s profit objectives.

Identify the full list of services used by a customer

Transactions account activity Extension of credit Security safekeeping, and Related items such as:

Wire transfers Safety deposit boxes Letters of credit Trust accounts

Expense components

Noncredit services Credit Services

Cost of funds Loan administration Default risk expense

Non-credit services

Aggregate cost estimates for noncredit services are obtained by multiplying the unit cost of each service by the corresponding activity level.

Example: it costs $7 to facilitate a wire transfer and the

customer authorizes eight such transfers, the total periodic wire transfer expense to the bank is $16 for that account.

These costs include the interest cost of financing the loan, loan administration costs, and risk expense associated with potential default.

Credit services

Cost of Funds…the cost of funds estimate may be a bank’s weighted marginal cost of pooled debt or its weighted marginal cost of capital at the time the loan was made.

Loan Administration…loan administration expense is the cost of a loan’s credit analysis and execution.

Default Risk Expense…the actual risk expense measure equals the historical default percentage for loans in that risk class times the outstanding loan balance.

Commercial loan classification by risk category

Risk Class Characteristics

Historical Default

Percentage

1Short-term working capital loans secured with accounts receivable and inventory

0.22%

2

Short-term real estate loans secured by facility and borrower’s cash flow from total operations

0.61

3Term plant and equipment loans secured by physical plant and other real estate

1.3

4 Other loans 1.94NOTE: Percentage is average of loan charge-offs divided by total loans in that risk class during the past five years.

amount Loanrsshareholde

to return Target

assets Total

Equity = profit Target

Target profit

The target profit is then based on a minimum required return to shareholders per account.

Revenue components

Banks generate three types of revenue from customer accounts:

1. investment income from the customer’s deposit balance held at the bank

2. fee income from services3. interest income on loans这里需要学生注意：要以银行为会计主体进行分析。

Estimating investment income from deposit balances

1. A bank determines the average ledger (book) balances in the account during the reporting period.

2. The average transactions float is subtracted from the ledger amount.

3. The bank deducts required reserves to arrive at investable balances.

4. Management applies an earnings credit rate against investable balances to determine the average interest revenue earned on the customer’s account.

Calculation of investment income from demand deposit balances

Analysis of Demand Deposits: Corporation's Outstanding Balances for November Average ledger balances = $335,000 Average float = $92,500 Collected balance $335,000 - $92,500 = $242,500 Required reserves (0.10) $242,500 = $24,250 Investable balance $218,250

Earnings Credit Rate: Average 90-day CD rate for November = 4.21%

Investment Income from Balances: November Investment Income

= 0.0421 (30/365) ($218,250) = $755.20

Compensating balances（这是一种担保形式）

In many commercial credit relationships, borrowers must maintain compensating deposit balances with the bank as part of the loan agreement. Ledger balances are those listed on the bank’s

books Collected balances equal ledger balances

minus float associated with the account Investable balances are collected balances

minus required reserves

Fee income

When a bank analyzes a customer’s account relationship, fee income from all services rendered is included in total revenue.

Fees are frequently charged on a per-item basis, as with Federal Reserve wire transfers, or as a fixed periodic charge for a bundle of services, regardless of rate of use.

Fee income (continued)（分类） Facility fee （全额收费） … the fee applies regardless of actual borrowings because it is a charge for making funds available. The most common fee selected is a facility fee, which

ranges from 1/8 of 1 percent to 1/2 of 1 percent of the total credit available（按全部银行贷款承诺收取的费）

Commitment fee （按未使用部分收取的费）… serves the same purpose as a facility fee but is imposed against the unused portion of the line and represents a penalty charge for not borrowing

Conversion fee （将承诺转变定期贷款时收取的费） … a fee applied to loan commitments that convert to a term loan after a specified period Equals as much as 1/2 of 1 percent of the loan principal

converted to term loan and is paid at the time of conversion

Loan interest and base lending rates…Loans are the dominant asset in bank portfolios, and loan interest is the primary revenue source

The actual interest earned depends on the contractual loan rate and the outstanding principal.

Although banks quote many different loan rates to customers, several general features stand out

Most banks price commercial loans off of base rates, which serve as indexes of a bank’s cost of funds. Common base rate alternatives include the federal

funds rate, CD rate, commercial paper rate, the London Interbank Offer Rate (LIBOR), the LIBOR swap curve, Wall Street prime, and a bank’s own weighted cost of funds.

The contractual loan rate is set at some mark-up over the base rate, so that interest income varies directly with movements in the level of borrowing costs. The magnitude of the mark-up reflects differences in

perceived default and liquidity risk associated with the borrower.

Floating-rate loans are popular at banks because they increase the rate sensitivity of loans in line with the increased rate sensitivity of bank liabilities.

A substantial portion of commercial loans and most consumer loans carry fixed rates

In each case, the contractual rates should

reflect the estimated cost of bank funds,

perceived default risk, and a term liquidity and

interest rate risk premium over the life of the

agreement.

Banken Industries

Loan agreementLine of credit 5,000,000Conversion period (years) 3Bank's base rate 8.00%% over base rate 2.00%Contractual interest rate 10.00%

Fees:Facility fee 0.125%Conversion fee 0.250%

Compensating balances% of facility 3.00%

$ bal req for facility 150,000% of actual borrowing 2.00%

$ bal req for borrowing 82,000Total Comp Bal Req. 232,000

Customer Profitability Analysis

Customer profitability analysis for Banken industries

Customer profitability analysis for Banken industries, expense estimatesBanken Industries

Expenses # items Cost TotalDemand Deposit Expense

Home debits 4,187 0.23 963.01Transit items 15,906 0.12 1,908.72Deposits 90 0.35 31.50Returned items 33 3.50 115.50Account maintenance 3 6.75 20.25

Total transaction exp. 3,038.98Wire transfers 336 2.00 672.00Security safekeeping 13 4.00 52.00Payroll processing 3 1,500 4,500.00

Loan expense: Rate

Days in Period Amount

Total Expense

Loan administration 0.70% 90 4,100,000 7,076.71Risk expense 1.00% 90 4,100,000 10,109.59Interest expense 6.48% 90 4,100,000 65,477.79

Total Expenses $90,927.07

Customer Profitability Analysis

$ per unit

Customer Profitability Analysis for Banken Industries,Revenue and Target Profits Estimates

Banken Industries

Revenues Rate Days in Period Amount

Investment income from:Ledger balances 174,516

Minus float 60,112Collected balance 114,404

Minus required reserves @ 10.00% 11,440Investable balances 102,964

Investment income 5.10% 90 102,964 1,294.80Fee income 0.13% 90 5,000,000 1,541.10Loan interest 0 90 4,100,000 101,095.89

Total Revenue $103,931.79

Target Profit Rate Days in Period Amount Total

Target pretax return 18.00%Relevant fin. % of equity 8.00%

Target profit 18.00% 90 4,100,000 14,557.81

Total Profit Req. (Expenses + Target Profit) 105,484.88

Revenue - Expenses + Target Profit ($1,553.09)

Customer Profitability Analysis

Pricing new commercial loans

The approach is the same, equating revenues with expenses plus target profit, but now the loan officer must forecast borrower behavior.

For loan commitments this involves projecting the magnitude and timing of actual borrowings, compensating balances held, and the volume of services consumed.（这些方面必须都要考虑到。）

The analysis assumes that the contractual loan rate is set at a markup over the bank’s weighted marginal cost of funds and thus varies coincidentally.

Loan pricing analysis

Option A: requires 4+4 investable balance or $490,000 net of account float and req. res.

Option B: assumes no compensating balances but pays a 0.025 facility fee.

Risk-adjusted returns on loans

When deciding what rate to charge, loan officers

attempt to forecast default losses over the life of the

loan. Credit risk, in turn, can be divided into expected

losses and unexpected losses. Expected losses might be reasonably based on mean

historical loss rates.（平均损失率） In contrast, unexpected losses should be measured by

computing the deviation of realized losses from the

historical mean.（损失率的标准差）

Commercial loans are frequently under-priced at banks today

Strong competition for loans tends to increase the banks under-pricing of loans.

Lenders appear to have systematically understated risk（有可能发生系统性亏损） .

The appropriate procedure is to identify expected and unexpected losses and incorporate both in determining the appropriate risk charge.

这里需要注意：不能认同作者的观点，实际上预期损失应当可以从定价中得到回报，而对于非系统损失只能由银行进行严格管理减少损失，往往无法获得确切回报。否则将不符合 CAPM的基本原理。当然，对于短期贷款来讲，有可能通过某种方式（通过供求关系）解决这个问题。

Fixed rates versus floating rates

Floating-rate loans: increase the rate sensitivity of bank assets increase the GAP（因为经常重新定价） reduce potential net interest losses from rising

interest rates Because most banks operate with negative

funding GAPs through one-year maturities, floating-rate loans normally reduce a bank’s interest rate risk.

需要注意的是，在我国银行的零售贷款中多数采用浮动利率贷款，特别是按揭贷款。

Floating-rate loans transfer interest rate risk from the bank to the borrower.

Given equivalent rates, most borrowers prefer fixed-rate loans in which the bank assumes all interest rate risk.

Banks frequently offer two types of inducements to encourage floating-rate pricing:

1. Floating rates are initially set below fixed rates for borrowers with a choice

2. A bank may establish an interest rate cap on floating-rate loans to limit the possible increase in periodic payments

Base rate alternatives

The CD base rate is normally the quoted nominal rate adjusted for required reserves and the cost of FDIC insurance.

LIBOR represents the quoted rate, because neither reserves nor insurance is required.

Smaller corporations do not possess the same financial flexibility and thus do not receive the same treatment.

Banks are moving toward using their weighted marginal cost of debt as the preferred base rate for these customers.

Pricing alternatives over various base rates

CD LIBOR

Weighted Cost of

Debt

Revolver 1–2 1 7/8 1/4Term 3–4 1 1/8 1 1/2Term 5–6 1 3/8 1 1/4 3/4

6-Year Revolver/Term Loan Pricing Options

Weighted cost of funds and base rate

Base rate calculation assumes:1. core deposits are not available to fund loans.2. deposits paying below market rates will

continue to decrease as a funding source The cost of debt calculation excludes core

deposits

Sample base rate calculation: weighted cost of debt, core deposits excluded

Loanable Market Rate Debt Amount % Current Rates %

Weighted Cost %

Money market deposit accounts $16.8 19 4.50 0.86 Small time deposits (6-mo.) 19.5 22 5.00 1.10 Small time deposits (30-mo.) 21.3 24 6.80 1.63 Jumbo CDs 25.6 29 6.60 1.91 Federal funds purchased 5.3 6 5.15 0.31 Total $88.5 100% 5.81% Base Rate Cakulation: Weighted cost of market rate debt 5.81% Target net interest margin 4.50 Target loan rate 10.31% Maximum premium over base rate -2.50 Base rate 7.81%

Customer profitability analysis:consumer installment loans

Two significant differences alter the analysis when evaluating the profitability of individual accounts:

1. Consumer loans are much smaller than commercial loans, on average

2. processing costs per dollar of loan are much higher than for commercial loans

Loans will not generate enough interest to cover costs if they are too small or the maturity is too short, even with high interest rates.

Thus, banks set minimum targets for loan size, maturity, and interest rates.

Break-even analysis of consumer loans

The break-even relationship is based on the objective that loan interest revenues net of funding costs and losses equal loan costs:

Net Interest income = Interest expense + Loan losses + Acquisition costs + Collection costs

Break-even analysis of consumer loans general analysis

If:r = annual percentage loan rate (%)d = interest cost of debt (%)l = average loan loss rate (%)s = initial loan sizeb = avg. loan balance outstanding

(% of initial loan)m = number of monthly paymentsca = loan acquisition cost, andcc = collection cost per payment

Then:(r - d - l)SB(M/12) = Ca + (Cc)(M)

Break-even analysis: Consumer loansA 2-year loan with 24 monthly payments priced at a 12% APR, required a minimum $6,932 initial loan to cover costs. A similar $4,000 loan over two years requires a 17.95 percent APR for the bank to break even.

Average Costs: 1999 Functional Cost Analysis Data Acquisition cost per loan Ca = $137.49 Collection cost per payment Cc = $20.07 Interest cost of debt d = 3.31% Loan loss rate (3-year average) I = 0.57%

Break-Even Loan Size (S) Assume:

No. of monthly payments m = 24 Annual percentage loan rate r = 12% Avg loan bal. outstanding (%) b = 55%

(0.12 - 0.0331 - 0.0057)S(O.55)(24/12) = $137.49 + $20.07(24)S = $6,932 Break-Even Loan Rate (r)

Assume: M = 24 S = $3,000 B = 55%

(r - 0.0331- 0.0057)($4,000)(0.55)2 = $137.49 + 20.07(24) r = 17.64%

中国工商银行 2008年个人贷款情况

中国工商银行 2008年个人贷款情况

中国工商银行个人贷款信用风险管理

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