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金融民工阿聪 · 2021年09月03日

allowance和provision

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

这里可以看到commercial loan里面,provision是变高的,allowance是降低的。

问:

1.提到cusion就只考虑allowance的比例变化?

2.provision和allowance变动反向代表什么?我什么时候需要考虑provision?这里看起来provision甚至可以不去算?毕竟都高了还是说cusion变低

1 个答案

王琛_品职助教 · 2021年09月06日

嗨,爱思考的PZer你好:


1)这里可以看到commercial loan里面,provision是变高的,allowance是降低的

请问同学具体说的是哪里呢?可以具体到表格中的数据嘛?比如同学是看到哪几个数据得出的结论

2)提到cusion就只考虑allowance的比例变化?

选项 C 并不是只有 cushion 一个单词哈,后面也说了是具体哪两个指标之间的安全垫:allowance 和 net commercial loan charge-offs

选项并没有提到 provision,所以就这个选项的表述而言,并不需要考虑 provision

3)provision和allowance变动反向代表什么?

请问同学具体说的是哪几个数据,得出的结论是 commercial loan 的 provision 和 allowance 是反向变动呢?

4)我什么时候需要考虑provision?这里看起来provision甚至可以不去算?毕竟都高了还是说cusion变低

选项 A 和 B 需要考虑 provision 呀,因为选项中已经明确提到了 provision

5)建议

我们在分析选项的时候,更多是关注:选项中提到了哪个指标,就去分析那个指标即可。选项 A 和 B 提到 provision,我们就分析 provision;选项 C 提到 allowance,我们就分析 allowance

6)解题思路

6.1)

Allowance for loan losses 期末累计的贷款损失准备,是存量概念,是资产负债表的科目,相当于备抵账户

Provision for loan losses 当期计提的贷款损失准备,是流量概念,是损益表的科目,相当于一个费用。每年在损益表中计提的 provision 会相应的增加资产负债表中的 allowance

6.2)

选项 A 错误。描述为:XYZ 公司在为消费贷款计提当期贷款损失准备时,更加激进了。如何判断当期计提的是否激进呢?使用指标:Provision for loan losses / Net charge-offs,用管理层预期的损失除以真实发生的损失,并看指标的同比变化

这个指标越大越好,说明计提的损失准备更多,意味着更加保守谨慎。根据计算结果,指标数据逐年上升(0.45 -> 0.80 -> 1.22),说明公司是 more 保守,而不是描述的 less 保守。所以 A 错误

6.3)

选项 B 错误。描述为:商业贷款当期计提的损失准备,已经落后于 trailed 实际的净冲销经验。如何判断当期计提的损失准备是否落后呢?使用指标:Provision for loan losses / Net charge-offs,用管理层预期的损失除以真实发生的损失。看结果和 1 的大小关系

如果这个比率小于 1,说明管理层预期的损失,小于真实的损失,意味着,贷款损失准备,落后于 trailed 实际的净损失经验。根据计算结果,虽然指标数据逐年下降(2.16 -> 1.14 -> 1.04),但是数值都是大于 1 的,说明贷款损失准备,并没有落后于实际的净损失经验。所以 B 错误

6.4)

选项 C 正确。描述为:商业贷款的期末累计的损失准备,和净损失之间的安全垫已经下降了。如何判断其安全垫的变化呢?使用指标:Allowance for loan losses / Net charge-offs。看指标的同比变化

这个指标越大越好,说明累计的贷款损失准备更多,和净损失之间的安全垫更大。根据计算结果,指标数据逐年下降(3.84 -> 2.61 -> 1.45),说明安全垫在下降,所以 C 正确

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