CFA二级阶段总结与重点精讲-财报（下）.docx

阶段总结与重点精讲直播即将开始1.2-FinancialReporting&AnalysisSM-BU<o6±0d cc-roouLL 爆展盅窗4HU-(；)SUO-u二 EueuLZO-S-EU<ZLOU-PBSB vSUoJ8do-EUO-IEUEnW-9L ?P SECQaleqsPUeIU UJAo-dE山JSod-UOQESU dluoo Ao-dE山心L CT xcv SlUCD >-lI)OdJoCM(DSuo4n£su-C5OUEU. O-SA-BU4 pucSuO-IaIadO-BUO-WtnWCUO-IESUadEOO ffllmPUBcEAo-dE山odGSlUaElSaAU- OBOOC -Uo-SsasAP2S zculoo 4HL OU)S nbIS-EU<E(5-°UEU-llOuosu-6l6-PB B (依依)st-od H-B一°UEU一u-O -0 6-1En-B>山LBU-PESB.2SAC5UV CEra-ra0CCEPUB on -°UPUIHJoABnoCDcoAPn-IUSU0。Uo-BSUdEOopSBql,leqs 寸 6,um08VUo-SUdluElsn一PVPUe s_SA-BUV8UB-dBCl-O- CTCCOUO< .WdIuaulalnaHSOdLPSBSaleqsPUeluEAO-dul山ISodZuo-Iesuaduloo o-gL cVBL OAccountingforDBPlanB/SPresentationMeasurementofplanassetsMeasurementofPBOFundedstatusofDBPlanPeriodicPensionCosts(IFRSvs.USGAAP)TPPCCalculationl/SandB/S(Equity-OCI)allocationAccountingforDBPlanDiscountratesusedtoestimatePBOaregenerallybasedonthemarketinterestratesofhigh-qualitycorporatefixed-incomeinvestmentswithamaturitysimilartothetimingofacompany,sfuturepensionpayments.AccountingforDBPlanMeasurementofPlanAssetsandFundedStatusPlauAssetsFakvalueatthebegiigoftheyear(+)EmployerContiibutions(+)Actualretui)()BenefhPaidIoemployee=fairvalueattheendoftheyearPBOPBOatthebegiuigoftheyear(+)Servicecost(÷)Diterestcost(+)Pastsevicecost(planamendmentsduringtheyear)(+)Acniaiiallosses(一)Acuiarialgainsduring(heyear()BenefitPaidioemployee=PBOattheendoftheyearDifferenceisftndedstansoftheplanPlanasset>PBO>OveftudedPlanPlanasset<PBO>UnderftmdedplanAccountingforDBPlanMeasurementofPlanAssetsandFundedStatusWhenacompanyhasasurplusinadefinedbenefitplan,theamountofassetthatcanbereportedisthelowerofthesurplusandtheassetceiling(thepresentvalueoffutureeconomicbenefits,suchasrefundsfromtheplanorreductionsoffuturecontributions).AccountingforDBPlanMeasurementofPlanAssetsandFundedStatusExample:assumeGoldenTeaCo.,spresentvalueofdefinedbenefitobligationis5,500andthefairvalueofthepensionplanassetsis6,000.Inaddition,thepresentvalueofavailablefuturerefundsandreductionsinfuturecontributionsis326.CalculatetheamountwouldreportasapensionassetorliabilityonGoldenTea,sbalancesheet.Answer:Fairvalueofplanasset-PBO=500,whichhasexceedtheassetsceiling,326.Thus,theamountshouldreportedonB/Sis326.AccountingforDBPlanTotalPeriodicPensionCosts(TPPC)TPPC=Employer'scontribution-(fundedstatusending-fundedstatusbeginning)TPPC=Currentservicecost+Interestcost-Actualreturnonplanassets-/+ActuarialG/LduetochangesinassumptionsaffectingPBO+PriorservicecostTPPC=Periodicpensioncostinl/S+PeriodicpensioncostinOCIThemaindifferencebetweenUSGAAPandIFR8istheallocationoftotalperiodicpensioncostbetweentheincomestatement(pensionexpense)andOCI.AccountingforDBPlanPeriodicPensionCosts-l/SIFRSU.S.GAAPCurrentservicecost=PVof养老金CurrentservicecostC、,A亦石宣=PVof+Pastservicecost+Interestexpense=PBObeg×Rd-Netint.income/+Netint.exp.*=(PlanAssetsbpp-PBobeg)XRd-ExpectedreturnonPlanAssets=PIanAssetsbeg×E(R)PPC+Pastservicecostamortization*lfFundedStatus>0,Netinterestincome;IfFundedStatus<0,Netinterestexpense.+ActuarialG/LamortizationCorridorApproachPPCAccountingforDBPlanPeriodicPensionCosts-B/S(Equity-OCI)IFRSU.S.GAAPActuarialGL*UnamortizedActuarialGL*UnamortizedPastServiceCostRemeasurement(O.C.I)O.C.I*lncludingthenetreturnonplanassets(actualreturn-planassetsegXdiscountrate)andactuarialgainandlosses.*不摊销。*lncludingthenetreturnonplanassets(actualreturn-planassetsegXexpectedreturn)andactuarialgainandlosses.AnalysisandAdjustmentofPensionAccountingEffectsofchangingpensionassumptionsEffectonItemsIncreaseDiscountRateDecreaseCompensationGrowthRateIncreaseExpectedRateofReturnPBODecreaseDecreaseNoEffectCurrentServiceCostDecreaseDecreaseNo曰feetInterestCostDecrease*DecreaseNoEffectPPCinl/SDecrease*DecreaseDecrease(USGAPAonly)TPPCDecreaseDecreaseNoEffect)FRAAnalysisandAdjustmentofPensionAccountingIncomeStatementAdjustment-USGAAPl/SReported($)Adjustments($)Adj.($)OperatingprofitA+PPC*(reportedonl/S)-CurrentServiceCostA,InterestexpenseB+InterestCostB，OtherincomeC+ActualreturnonPlanAssetsC,IncomebeforetaxA-B+CA'-B,+C,*PPCreportedonl/S=Currentservicecost+Interestcost-Expectedreturnonplanassets9L(6WM0Om)('L)*(UOqooOdd1)+LLLL。HUJlSmPEllLLO(I二)*(UoDnqEUOO，Oddl)，OLL。HIUIUlSmPEOLL。SSUdxUo-SUd-pod-BIoIVUO三qEU0°-UO4nq8uPUn(UJAEd£('L)*(oddluo亏q三Uoo'LILL。HIUUJISmPELLLL。HLoCLCL1IUOuo)+0ll0HIULUlSmPBOLLoS-SoOUo-SUd-pod-EIolAUo-Inqluo°-Uo-Inq0?>oCIUlSmP<三LU-2sMo-llLlSP°CC5OOO<Uo-SuedJowElsmp<PUeS-SA-BUVVBLOShare-basedCompensationStockoptions-CalloptiouGrantdateVestingdate*I<：TliefirstdatetheemployeecanServicePeriod；actuallyexercisetheoptionValue of CallIncreaseSensitivityFactorVolatility(Vega)Risk-freeRate(Rf)TimetoExpiration(Theta)Dividends8LHoa-Js>02-AUedEOOSOUaInSU-UeN-AC<HSJOO*6-Z-EUE三0IIoBoddvSl山WVof=UBqBza-buvd(Sl-SodP)Bn-(SUBo-odSleSSE-EFUBUy)SIss<-SlUaUJlEanCTo<PC56alA->B-62u8-oUB-l)XS-lu-三SAS-feEESUo一DsSWraoueuFo3三'SUo-Inssu-«oue.Eu.O-SA-(OUv:ZLcs4HLO)FRATheCAMELSApproachRatiugveighting(7JjeightedRati鸣Capitaladequacy1.011.00Assetquality2.525.00Maiiageiiieiit2.012.00Eamiiiss3.026.00Liquidity1.0I1.00Sensitivity1.0I1.00Totalscore10.5816.00ConvenedtoCAMELSrating(scoredividedby6)1.752.00Rating1:bestpractices;rating5:poorestpracticesThefinalratingscoreisnotasimplearithmeticmean,itshouldbeweightedbyexaminer'sjudgment.TheCAMELSApproachRisk-weightedassetsCapitaladequacyAssetsqualityTier1capitalTotalcapitalTier2caphal贷款坏账计提充足性CommEquityTier1CapitalOtherTier1CapitalManagementcapabilitiesHighquality(unbiased,sustainable)特点AdequadeEamingsNetinterestincomefiK：ServiceincomeTradingincome1.iquiditypositionCLCRaLNSFRn1流M4强SensitivitytomarketriskVaRTheCAMELSApproachCapitaladequacyRisk-weightedassets(RWAs)AssetsAmountWeightsRisk-weightedAssetsCash$1000%$0Performingloans$1,000100%$1,000non-performingloans$3,000150%$4,500$5,500FRATheCAMELSApproachcapitaladequacy吸收损失的顺序CapitalTierCommonEquityTier1CapitalTotalTier1CeipitalTotalCapitalMinimum capital ratio requirement Hierarchical tiersContentsTier one>=4.5%ofrisk-weightedassetsCommonstock,Retainedearnings,AOCI,Otheradj.>=6%ofrisk-weightedassetsNoncumulativepreferredstocks>=8%ofrisk-weightedassetsTiertwoSubordinated,minimumfive-yearmaturity.TheCAMELSApproach1.iquidityPositionRatiosExplanationLiquidity Coverage Ratio(LCR)Measureshort-termliquidity3昧篇留'itycassetstothea把流fpfovidedbythefundingsources.FundingRatio星w用斗(NSFR)逋叶一一¾%1.iquidity-monitoringmetricsdiscussedtheconcentrationoffundingandcontractualmaturitymismatch.AnalyzeaninsurancecompanyTypesP&CL&HBusinessprofileProtectagainstlossorProvidebenefitupondeathdamagetoproperty&asavingsvehicleContractdurationShorttermLongtermVariabilityofClaimsaremorevariableClaimsaremorepredictableclaimsand“lumpier”InvestmentSteadyreturn&lowriskSeekhigherreturnsusingreturnsassets,avoidinglowriskerinvestmentsliquidityinvestments1.iquidityHighdegreeofliquidityLessimportantCapitalizationHighercapitalrequirementsLowercapitalrequirementsAnalyzeaninsurancecompanyEarningscharacteristicsLoss and loss adjustment expense ratio Underwriting expense ratio Combined ratioMeasurequalityofunderwritingactivities.Thelowertheratiothehigherquality.1.ossexpense+Lossadj.expenseNetpremiumsearnedMeasuretheefficiencyofacquiringandmanagingunderwritingbusiness.Thelowertheratiothehigherefficiency.UnderwritingexpenseNetpremiumswrittenMeasuretheoverallefficiencyofunderwritingoperation.+<100%EfficiencyAnalyzeaninsurancecompanyEarningscharacteristics(ConfDividends to policyholders (shareholders) ratio (3)Combined ratio after dividendsMeasureliquidityofunderwritingoperation.Relatesthecashoutflowofdividendstothepremiumsearnedinthesameperiod.Dividendstopolicyholders(shareholders)NetpremiumsearnedStrictermeasureofefficiencythantheordinarycombinedratio.+一Reading18:EvaluatingQualityofFinancialReports1.Qualityoffinancialreports2.QuantitativetoolsBeneishmodel:M-Score>-1.78Altman,smodel:Z-Score1.81,33.IndicatorsofearningsqualitySustainableearningsMeanReversion4.IndicatorsandEvaluateofCashFlowQuality5.IndicatorsofBalanceSheetQualityReading19:IntegrationofFinancialStatementAnalysisTechniques1.EarningssourcesandperformanceEquityMethodAdjustment-DuPontequationCapitalallocationdecisions2.EarningsqualityBalancesheetapproachCashflowstatementapproach3.Cashflowanalysis4.Marketvaluedecomposition5.Off-Balance-SheetFinancing(OBS)-LeasecapitalizationEarningsqualityBalancesheetapproachAccruals68=NOAENoNOAbegAccrualsratios=(NOAENONoAb(NOAENitNoAbe2Netoperatingasset(NOA)isthedifferencebetweenoperatingassetsandoperatingliabilitiesNOA=(Totalassets-Cash-Marketablesecurities)-(Totalliabilities-Totaldebt)CashflowstatementapproachAccruaIscp=NI-CFO-CFIAccrualsratioCF=(NI-CFO-CFI)/(NOAeniNOAB战2Off-Balance-SheetFinancing(OBS)LeaseCapitalizationAdjustmentsBalanceSheetAssetsT0 PP&E + PV of future operating lease paymentsLiabilitiesT0 Long-term debt + PV of future operating lease paymentsEquityT1RetainedEarnings+l/SadjustmentsOff-Balance-SheetFinancing(OBS)LeaseCapitalizationAdjustmentsl/S(OperatingLease)AdjustmentsAdj.AmountSG&A-Depreciationexp.-Additionaldepreciationexp.=(PVoffutureoperatingcashflows-residualvalue)/leaseterm-Operatingrentalexp.+Operatingrentalexp.OperatingIncomeAdjustedoperatingincome-Interestexp.-Interestcostduetoleasecapitalization=LeasePayable×Rbeg.dEBTAdjustedEBTS-SA-BUVx6114OdH-Bupu一。1