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暖暖的虹虹 · 2023年03月20日

拨备覆盖率的计算

  1. CFA II
  2. FRA

NO.PZ2020021601000019

问题如下：

Judith Yoo is a financial sector analyst writing an industry report.

Part of Yoo’s analysis focuses on Company XYZ, a global commercial bank, and its CAMELS rating, risk management practices, and performance.

To assess Company XYZ’s risk management practices, Yoo reviews the loan loss analysis in Exhibit 4.

Based on Exhibit 4, a loan loss analysis for the last three years indicates that:

选项：

A.

Company XYZ has become less conservative in its provisioning for consumer loans.

B.

the provision for commercial loan losses has trailed the actual net charge- off experience.

C.

the cushion between the allowance and the net commercial loan charge- offs has declined.

解释：

C is correct.

The allowance for loan losses to net commercial loan charge- offs has been declining during the last three years, which indicates that the cushion between the allowance and the net commercial loan charge- offs has deteriorated.

2015 Consumer: Allowance for Loan Losses/Net Loan Charge-Offs=13,000/2,901=4.48

2016 Consumer: Allowance for Loan Losses/Net Loan Charge-Offs=11,500/2,505=4.59

2017 Consumer: Allowance for Loan Losses/Net Loan Charge-Offs=11,000/2,460=4.47

2015 Commercial: Allowance for Loan Losses/Net Loan Charge-Offs=169/44=3.84

2016 Commercial: Allowance for Loan Losses/Net Loan Charge-Offs=1,012/387=2.61

2017 Commercial: Allowance for Loan Losses/Net Loan Charge-Offs=1,540/1,060=1.45

2015 Consumer: Provision for Loan Losses/Net Loan Charge-Offs=1,300/2,901=0.45

2016 Consumer: Provision for Loan Losses/Net Loan Charge-Offs=2,000/2,505=0.80

2017 Consumer: Provision for Loan Losses/Net Loan Charge-Offs=3,000/2,460=1.22

2015 Commercial: Provision for Loan Losses/Net Loan Charge-Offs=95/44=2.16

2016 Commercial: Provision for Loan Losses/Net Loan Charge-Offs=442/387=1.14

2017 Commercial: Provision for Loan Losses/Net Loan Charge-Offs=1,100/1,060=1.04

请问拨备覆盖率计算中分子是allowance对应的是累积值，分母对应的是利润表中当年的net charge off吧。那一个是累积值，一个是当年损失，只要还存续分子一定会越来越大，分母就是每年的损失只是一年的，这个指标不是会逐年越来越大，不同公司放在一起比较还有意义吗

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王园圆_品职助教 · 2023年03月21日

嗨，努力学习的PZer你好：


同学你好，不是的，net charge off是allowance是减项，意思是真实的损失发生的金额，所以也属于资产负债表的小科目。

请看以下讲义截图黄色部分

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加油吧，让我们一起遇见更好的自己！

暖暖的虹虹 · 2023年03月21日

请问老师，当年的net charge of是否就等于当年的actual loss

王园圆_品职助教 · 2023年03月21日

嗨，努力学习的PZer你好：


是的同学，讲义截图中已经体现了哦，net charge off代表的就是当年的净贷款损失

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加油吧，让我们一起遇见更好的自己！

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