CFA二级阶段总结与重点精讲-财报（下）.docx

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1、阶段总结与重点精讲直播即将开始1.2-FinancialReporting&AnalysisSM-BUo60d cc-roouLL 爆展盅窗4HU-(；)SUO-u二 EueuLZO-S-EU-lI)OdJoCM(DSuo4nsu-C5OUEU. O-SA-BU4 pucSuO-IaIadO-BUO-WtnWCUO-IESUadEOO ffllmPUBcEAo-dE山odGSlUaElSaAU- OBOOC -Uo-SsasAP2S zculoo 4HL OU)S nbIS-EU山LBU-PESB.2SAC5UV CEra-ra0CCEPUB on -UPUIHJoABnoCDcoAPn-IU

2、SU0。Uo-BSUdEOopSBql,leqs 寸 6,um08VUo-SUdluElsn一PVPUe s_SA-BUV8UB-dBCl-O- CTCCOUOPBOOveftudedPlanPlanassetUnderftmdedplanAccountingforDBPlanMeasurementofPlanAssetsandFundedStatusWhenacompanyhasasurplusinadefinedbenefitplan,theamountofassetthatcanbereportedisthelowerofthesurplusandtheassetceiling(thep

3、resentvalueoffutureeconomicbenefits,suchasrefundsfromtheplanorreductionsoffuturecontributions).AccountingforDBPlanMeasurementofPlanAssetsandFundedStatusExample:assumeGoldenTeaCo.,spresentvalueofdefinedbenefitobligationis5,500andthefairvalueofthepensionplanassetsis6,000.Inaddition,thepresentvalueofav

4、ailablefuturerefundsandreductionsinfuturecontributionsis326.CalculatetheamountwouldreportasapensionassetorliabilityonGoldenTea,sbalancesheet.Answer:Fairvalueofplanasset-PBO=500,whichhasexceedtheassetsceiling,326.Thus,theamountshouldreportedonB/Sis326.AccountingforDBPlanTotalPeriodicPensionCosts(TPPC

5、)TPPC=Employerscontribution-(fundedstatusending-fundedstatusbeginning)TPPC=Currentservicecost+Interestcost-Actualreturnonplanassets-/+ActuarialG/LduetochangesinassumptionsaffectingPBO+PriorservicecostTPPC=Periodicpensioncostinl/S+PeriodicpensioncostinOCIThemaindifferencebetweenUSGAAPandIFR8istheallo

6、cationoftotalperiodicpensioncostbetweentheincomestatement(pensionexpense)andOCI.AccountingforDBPlanPeriodicPensionCosts-l/SIFRSU.S.GAAPCurrentservicecost=PVof养老金CurrentservicecostC、,A亦石宣=PVof+Pastservicecost+Interestexpense=PBObegRd-Netint.income/+Netint.exp.*=(PlanAssetsbpp-PBobeg)XRd-Expectedretur

7、nonPlanAssets=PIanAssetsbegE(R)PPC+Pastservicecostamortization*lfFundedStatus0,Netinterestincome;IfFundedStatusoCIUlSmP三LU-2sMo-llLlSPCC5OOOUo-SuedJowElsmpPUeS-SA-BUVVBLOShare-basedCompensationStockoptions-CalloptiouGrantdateVestingdate*I02-AUedEOOSOUaInSU-UeN-ACHSJOO*6-Z-EUE三0IIoBoddvSl山WVof=UBqBza

8、-buvd(Sl-SodP)Bn-(SUBo-odSleSSE-EFUBUy)SIss-SlUaUJlEanCToB-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

9、.0I1.00Totalscore10.5816.00ConvenedtoCAMELSrating(scoredividedby6)1.752.00Rating1:bestpractices;rating5:poorestpracticesThefinalratingscoreisnotasimplearithmeticmean,itshouldbeweightedbyexaminersjudgment.TheCAMELSApproachRisk-weightedassetsCapitaladequacyAssetsqualityTier1capitalTotalcapitalTier2cap

10、hal贷款坏账计提充足性CommEquityTier1CapitalOtherTier1CapitalManagementcapabilitiesHighquality(unbiased,sustainable)特点AdequadeEamingsNetinterestincomefiK：ServiceincomeTradingincome1.iquiditypositionCLCRaLNSFRn1流M4强SensitivitytomarketriskVaRTheCAMELSApproachCapitaladequacyRisk-weightedassets(RWAs)AssetsAmountW

11、eightsRisk-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-weig

12、htedassetsCommonstock,Retainedearnings,AOCI,Otheradj.=6%ofrisk-weightedassetsNoncumulativepreferredstocks=8%ofrisk-weightedassetsTiertwoSubordinated,minimumfive-yearmaturity.TheCAMELSApproach1.iquidityPositionRatiosExplanationLiquidity Coverage Ratio(LCR)Measureshort-termliquidity3昧篇留itycassetstothe

13、a把流fpfovidedbythefundingsources.FundingRatio星w用斗(NSFR)逋叶一一%1.iquidity-monitoringmetricsdiscussedtheconcentrationoffundingandcontractualmaturitymismatch.AnalyzeaninsurancecompanyTypesP&CL&HBusinessprofileProtectagainstlossorProvidebenefitupondeathdamagetoproperty&asavingsvehicleContractdurationShortt

14、ermLongtermVariabilityofClaimsaremorevariableClaimsaremorepredictableclaimsand“lumpier”InvestmentSteadyreturn&lowriskSeekhigherreturnsusingreturnsassets,avoidinglowriskerinvestmentsliquidityinvestments1.iquidityHighdegreeofliquidityLessimportantCapitalizationHighercapitalrequirementsLowercapitalrequ

15、irementsAnalyzeaninsurancecompanyEarningscharacteristicsLoss and loss adjustment expense ratio Underwriting expense ratio Combined ratioMeasurequalityofunderwritingactivities.Thelowertheratiothehigherquality.1.ossexpense+Lossadj.expenseNetpremiumsearnedMeasuretheefficiencyofacquiringandmanagingunder

16、writingbusiness.Thelowertheratiothehigherefficiency.UnderwritingexpenseNetpremiumswrittenMeasuretheoverallefficiencyofunderwritingoperation.+-1.78Altman,smodel:Z-Score1.81,33.IndicatorsofearningsqualitySustainableearningsMeanReversion4.IndicatorsandEvaluateofCashFlowQuality5.IndicatorsofBalanceSheet

17、QualityReading19:IntegrationofFinancialStatementAnalysisTechniques1.EarningssourcesandperformanceEquityMethodAdjustment-DuPontequationCapitalallocationdecisions2.EarningsqualityBalancesheetapproachCashflowstatementapproach3.Cashflowanalysis4.Marketvaluedecomposition5.Off-Balance-SheetFinancing(OBS)-

18、LeasecapitalizationEarningsqualityBalancesheetapproachAccruals68=NOAENoNOAbegAccrualsratios=(NOAENONoAb(NOAENitNoAbe2Netoperatingasset(NOA)isthedifferencebetweenoperatingassetsandoperatingliabilitiesNOA=(Totalassets-Cash-Marketablesecurities)-(Totalliabilities-Totaldebt)CashflowstatementapproachAccr

19、uaIscp=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-Bala

20、nce-SheetFinancing(OBS)LeaseCapitalizationAdjustmentsl/S(OperatingLease)AdjustmentsAdj.AmountSG&A-Depreciationexp.-Additionaldepreciationexp.=(PVoffutureoperatingcashflows-residualvalue)/leaseterm-Operatingrentalexp.+Operatingrentalexp.OperatingIncomeAdjustedoperatingincome-Interestexp.-Interestcostduetoleasecapitalization=LeasePayableRbeg.dEBTAdjustedEBTS-SA-BUVx6114OdH-Bupu一。1