米貨幣銀行學課件

1、Chapter 9Banking and the Management of Financial Institutions2The Balance Sheet of Commercial Banks Balance Sheet IdentityTotal Bank Assets = Total Bank Liabilities + Bank Capital 3The Bank Balance Sheet4Web Page Board of Governors5The Balance Sheet of Commercial Banks Assets: Uses of Funds Cash Ite

2、ms1. reserves 2. cash items in process of collection 3. vault cash Securitiessecondary reserves Loans6The Balance Sheet of Commercial Banks 7The Balance Sheet of Commercial Banks Liabilities: Sources of FundsCheckable DepositsNon-transactions DepositsBorrowings1. discount loans 2. federal funds mark

3、et. 8The Balance Sheet of Commercial Banks 9國有商業(yè)銀行資產(chǎn)負債表（2003年底余額）單位：億元 總資產(chǎn) 156400.1 總負債 156400.1 國外資產(chǎn) 8386.2 對非金融機構(gòu)負債 127119.8 儲備資產(chǎn) 13507.5 活期存款 37797.0 準備金存款 12673.4 定期存款 10038.1 庫存現(xiàn)金 834.1 儲蓄存款 66850.4 央行債券 2548.8 其他存款 3475.4 對政府債權(quán) 9013.1 外幣存款 8958.8 對非金融機構(gòu)債權(quán) 96400.8 對中央銀行負債 2610.7 對特定存款機構(gòu)債權(quán) 5358.

4、9 對特定存款機構(gòu)負債 197.6 對其他金融機構(gòu)債權(quán) 11377.4 對其他金融機構(gòu)負債 5769.1 其他資產(chǎn) 9807.4 #計入廣義貨幣的存款 1244.1 國外負債 1985.5 債券 0.4 實收資本 6672.4 其他負債 12044.6 10Bank OperationT-account Analysis:Deposit of $100 cash into First National BankAssetsLiabilitiesVault Cash + $100 Checkable Deposits + $100(=Reserves)Deposit of $100 check

5、into First National BankAssetsLiabilitiesCash items in process Checkable Deposits + $100of collection + $100First National BankSecond National BankAssets LiabilitiesAssets LiabilitiesReserves DepositsReserves Deposits+ $100 + $100 $100 $100Conclusion: When bank receives deposits, reserves by equal a

6、mount; when bank loses deposits, reserves by equal amount11Principles of Bank Management1. Liquidity Management2. Asset ManagementManaging Credit RiskManaging Interest-rate Risk3. Liability Management4. Capital Adequacy Management12Principles of Bank ManagementLiquidity ManagementReserve requirement

7、 = 10%, Excess reserves = $10 millionAssets LiabilitiesReserves$20 millionDeposits$100 millionLoans$80 millionBank Capital$ 10 millionSecurities$10 millionDeposit outflow of $10 millionAssets LiabilitiesReserves$10 millionDeposits$ 90 millionLoans$80 millionBank Capital$ 10 millionSecurities$10 mill

8、ionWith 10% reserve requirement, bank still has excess reserves of $1 million: no changes needed in balance sheet13 Liquidity ManagementNo excess reservesAssets LiabilitiesReserves$10 millionDeposits$100 millionLoans$90 millionBank Capital$ 10 millionSecurities$10 millionDeposit outflow of $ 10 mill

9、ionAssets LiabilitiesReserves$ 0 millionDeposits$ 90 millionLoans$90 millionBank Capital$ 10 millionSecurities$10 million14Liquidity Management1. Borrow from other banks or corporationsAssets LiabilitiesReserves$ 9 millionDeposits$ 90 millionLoans$90 millionBorrowings$ 9 millionSecurities$10 million

10、Bank Capital$ 10 million2. Sell SecuritiesAssets LiabilitiesReserves$ 9 millionDeposits$ 90 millionLoans$90 millionBank Capital$ 10 millionSecurities$ 1 million15Liquidity Management3. Borrow from FedAssets LiabilitiesSecurities$10 millionBank Capital $ 10 millionReserves$ 9 millionDeposits $ 90 mil

11、lionLoans$90 millionDiscount Loans $ 9 million4. Call in or sell off loansAssets LiabilitiesReserves$ 9 millionDeposits $ 90 millionLoans$81 millionBank Capital $ 10 millionSecurities$10 millionConclusion: excess reserves are insurance against above 4 costs from deposit outflows16Asset and Liability

12、 ManagementAsset Management1.Get borrowers with low default risk, paying high interest rates2.Buy securities with high return, low risk3.Diversify4.Manage liquidityLiability Management1.Important since 1960s2.Banks no longer primarily depend on deposits3.When see loan opportunities, borrow or issue

13、CDs(certificates of deposit) to acquire funds17Capital Adequacy Management1.Bank capital is a cushion that helps prevent bank failure2.Higher is bank capital, lower is return on equityROA = Net Profits/AssetsROE = Net Profits/Equity CapitalEM = Assets/Equity CapitalROE = ROA EMCapital , EM , ROE 3.T

14、radeoff between safety (high capital) and ROE4.Banks also hold capital to meet capital requirements5.Managing Capital:A. Sell or retire stockB. Change dividends to change retained earningsC. Change asset growth1819Managing Credit RiskSolving Asymmetric Information Problems:1.Screening2.Monitoring an

15、d Enforcement of Restrictive Covenants3.Specialize in Lending4.Establish Long-Term Customer Relationships5.Loan Commitment Arrangements6.Collateral and Compensating Balances7.Credit Rationing20Managing Interest Rate RiskFirst National BankAssets LiabilitiesRate-sensitive assets$20 mRate-sensitive li

16、abilities $50 mVariable-rate loans Variable-rate CDsShort-term securities MMDAsFixed-rate assets$80 mFixed-rate liabilities$50 mReservesCheckable depositsLong-term bondsSavings depositsLong-term securitiesLong-term CDsEquity capital21Managing Interest-Rate RiskGap AnalysisGAP= rate-sensitive assets

17、rate-sensitive liabilities= $20 $50 = $30 millionWhen i 5%:1. e on assets = + $1 million(= 5% $20m)2.Costs of liabilities = +$2.5 million(= 5% $50m)3.Profits = $1m $2.5m = $1.5m= 5% ($20m $50m) = 5% (GAP)Profits = i GAP222324Duration AnalysisDuration Analysis% value (% pointi) (DUR)Example: i 5%, du

18、ration of bank assets = 3 years, duration of liabilities = 2 years; % assets = 5% 3 = 15% % liabilities = 5% 2 = 10%If total assets = $100 million and total liabilities = $90 million, then the market value of assets $15 million, liabilities$9 million, and banks net worth by $6 millionStrategies to M

19、anage Interest rate Risk1.Rearrange balance-sheet2.Interest-rate swap3.Hedge with financial futures25Off-Balance-Sheet Activities1.Loan sales2.Fee e fromA. Foreign exchange trades for customersB. Servicing mortgage-backed securitiesC. Guarantees of debtD. Backup lines of credit3.Trading ActivitiesA.

20、 Financial futuresB. Financial optionsC. Foreign exchangeD. Swaps26Risk ManagementPrincipal-Agent ProblemTraders have incentives to take big risksRisk Management Controls 1. Separation of front and back rooms 2. Value-at-risk modeling 3. Stress testingRegulators encouraging banks to pay more attention to risk management27Financial InnovationInnovation is result of search for profitsResponse to Changes in DemandMajor