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CC · 2025年02月10日

财报 M4 金融机构 provision &net charge off

  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

老师好，这道题：

1. B选项不是说trailed么？干嘛给的答案都是求的比例啊？我理解的看下provision 数字和net charge-off数字对比下大小，不就可以了么？

2.C选项 说的是cushion 为什么不是用allowance 和net commercial loan charge-offs 作差啊 ？再比较每个年度差值大小啊？

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1 个答案

王园圆_品职助教 · 2025年02月10日

同学你好

1.你的观点助教同意，确实并不一定需要计算比例，仅靠肉眼比较两者每年间的大小本选项就能做出判断了——不过解析其实也只是给出了一种解题思路，并不代表唯一思路，所以你有自己的判断是完全可以的

2.这里你的思路可能不太行——所谓cushion的变大变小，不应该用数字的绝对值来判断，而应该用比例判断才更准确

举个例子：一组数据：A＝1000，B=950

A和B之间的绝对差异 =50 但事实上A相对于B：A／Ｂ　＝１．０５

另一组数据：C=10，D = 5

C和D之间绝对差异 =5 ，但是C/D = 10/5 =2

第一组数据看起来绝对差异更大，但是显然第二组数据两者之间的cushion才更大对吧

所以对应到这道题，还是计算allowance和 the net commercial loan charge- offs 的比 的变化值更合适哦

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