BankManagement銀行管理復(fù)習(xí)

1、BANK MANAGEMENTChapter 1Fundamental Forces of Change in BankingP2.The Glass-Steagall Act which created three separate industries: commercial banking, investment banking, and insurance.The Bank Holding Actdetermined activities closely related to banking and limited the scope ofactivities a company co

2、uld engage in if it owned a bank.The McFadden Act limited the geographic market of banking by allowingindividual states todetermine the extent to which a bank could branch intra- or inter-state.As a result of these acts, the United States developed aunique banking system which had alarge number of s

3、maller banks; limited in the scope of products and services offered; and limited in the geographic areas covered by banks.P4.The Glass-Steagall Act and Bank Holding Act effectively restricted the activities of a bank to those closely related to banking as defined by Federal Reserve.This structural c

4、hange is frequently attributed to deregulation of the financial services industry. Deregulation was a natural response to increased competition between depository institutions and nondepository financial firms, and between the same type of competitors across world markets.Gramm-Leach-Billey Act, als

5、o known as Financial Modernization Act, which made it possible for banks to create a financial holding company which could offer investment banking , insurance, and other once disallowed products and services.P5.Five fundamental forces have transformed the financial services market:Deregulation/re-r

6、egulationFinancial innovationSecuritizationGlobalizationAdvances in technology.The latter factors actually represent responses to deregulation and re-regulation.P8-p9.Commercial paperUnpledged, short-term, based on credit.High quality corporate borrowers have always had the option to issue commercia

7、l paper.Junk bondsAdvantages: access to larger amount of funds, longer-term financing, and fewer restrictive covenants.It s suitable for medium-sized companies representing lower-quality borrowers.P20. SecuritizationSecuritization is the process of converting assets into marketable securities.It ena

8、bles banks to move assets off-balance sheet and increase fee income.It increases competition for standardized products such as: mortgages and other credit- scored loans.Eventually lowers the prices paid by consumers by increasing the supply and liquidity of these products.P22.The objectives behind s

9、ecuritization include the following:Free capital for other usesImprove ROE via servicing incomeDiversify credit riskObtain new sources of liquidityReduce interest rate riskChapter 2 Analyzing Bank PerformanceP35.Accounting for securitiesAt purchase, must designate the objective behind buying investm

10、ent securities as either:held-to-maturity securities are recorded on the balance sheet at amortized cost.trading account securities are actively bought and sold, so the bank marks the securities to market (reports them at current market value) on the balance sheet and reports unrealized gains and lo

11、sses on the income statement.available-for-sale, all other investment securities, are recorded at market value on the balance sheet with a correspondin g change to stockholders equityas unrealized gains and losses onsecurities holdings.P36,37Demand deposits are transactions accounts that pay no inte

12、rest.NOWs, ATS accounts:pay interest set by each bank without federal restrictions. NOWs areavailable only to noncommercial customers.Brokered deposits typically refers to jumbo CDs that a bank obtains through a brokerage house that markets the CDs to its customers.Core deposits are stable deposits

13、that are not highly interest rate-sensitive.Core deposits include: demand deposits, NOW accounts, MMDAs, and small time deposits.Volatile liabilities or net non-core liabilitiesinclude: jumbo CDs (over 100,000), deposits inwithforeign offices, federal funds purchased, repurchase agreements, and othe

14、r borrowings maturities less than one year.P39,42Nll=ll-IEBurde n=OE-OIEFF=OE/(NII+OI)NI=NII-Burden-PLL+SG -TII: i nterest in come, IE: in terest expe nse, NII: net in terest in come, OI: nonin terest in come,OE: nonin terest expe nse, EFF: efficie ncy ratio, PLL: provisi ons for loa n losses,SG: se

15、curities losses, T: taxesIn terest in come is the sum of in terest and fees ear ned on all of a ban ks assets, i nclud ing :Loa ns, Deposits held at other in stitutio ns, Muni cipal and taxable securities, i nvestme nt and trading account securities, rental receipts from lease financing.In terest ex

16、pe nse is the sum of in terest paid on all in terest-beari ng liabilities, i nclud ing:tran sacti ons acco unts (NOWs, ATS and MMDA), time and sav ings deposits, short-term non core liabilities, and Ion g-term debt.Nonin terest in come: trust or fiduciary in come, fees and deposit service charges, t

17、rad ing reve nues, other foreig n tran sacti ons and other nonin terest in come.Nonin terest expe nseis composed primarily of:Personnel expe nse: salaries and fringe ben efits paid to bank employees,Occupancy expense : rent and depreciation on equipment and premises, andOther operat ing expe nses: u

18、tilities and deposit in sura nee premiums.P45Bank Performa nee ModelReturns to；ROENI/nINCOMEInterestVolumeFees and Serv ChargeInterestComposition (mix)VolumeNon Interest 厶Return to the BankROA = NIU TAEXPENSESDegree of Lsvsrage | EMl /(TArtE)Trust!OtherRatesalaries and Benefits | ；Occupancy 丨1 Other

19、P46-P48Return on equity (ROE = NI / T E)ROE is composed of two parts:Return on Assets (ROA = NI / TA ); Equity Multiplier ( EM = TA / TE ),ROE=ROA X EMNI=Total revenue(TR) Total operating expense (EXP)TaxesROA=NI/aTA = TR/aTA EXP/aTA Taxes/aTAP48,49Rate effects suggest that the interest cost per lia

20、bility,which indicates the average cost offinancing assets, may differ between banks.Composition (mix) effects suggest that the mix of liabilities may differ.Volume effects recognize that a bank may pay more or less in interest expense simply because it operates with different amount of interest-bea

21、ring debt and equity and, thus, pays interest on a different amount of liabilities.P50,51Earnings base (EB) = Average earning assets / aTAEarning assets include all assets that generate explicit interest income plus lease receipts. It can be measured most easily by subtracting all nonearning assets,

22、 such as noninterest cash and due from banks, acceptances, premises, and other assets, from total assets.Net interest margin : NIM = NII / earning assets (EA)Spread = (int inc / EA) - (int exp / int bear. Liab.)Burden ratio = (Noninterest exp. - Noninterest income) / aTAEfficiency ratio=Non int. Exp

23、. / (Net int. Inc. + Non int. Inc.)P52The Federal Reserve Board has identified six types of risk:Credit riskLiquidity riskMarket riskOperational riskCapital or solvency riskLegal riskReputational riskP55Past-due loans represents loans for which contracted interest and principle payments have not bee

24、n made but are still accruing interest. Past due are often separated into 30-89 days past due and 90 days and over past due date.Nonperforming loansis loans that are more than 90 days past due.Nonaccrual loans are those not currently accruing interest. These loans are currently-or have been habitual

25、ly-past due, or have other problems, which have placed then in nonaccrual status.Total noncurrent loansare the sum of these two types of loans.Restructured loans are loans for which the lender has modified the required payments on principal or interest. The lender may have lengthened maturity and /

26、or renegotiated the interest rate.Classified loans are general category of loans in which have regulators have forced management to set aside reserves for clearly recognized losses.P72Camels ratingsC= capital adequacyA= asset qualityM= management qualityE= earningsL= liquidityS= sensitivity to marke

27、t riskChapter 3Managing Noninterest Income and Noninterest ExpenseP89Key ratios:Burden = nonint. exp. nonint. inc.,Net overhead expense = burden / total assets,Efficiency ratio = nonint. Exp.(net int. inc. + nonint. inc.)Operating risk ratios:Operating risk ratio = (Noninterest expense Fee income)/N

28、et interest marginSome analysts focus on a bank s operating risk ratio in order to differentiate performance attributable to cost controls versus fee generation.The lower is the operating risk ratio,the better is the bank s operating perform.Bec anceus itgenerates proportionately more of its revenue

29、s from fees, which are more stable and thus more valuable.Productivity ratios indicate how efficientlybanks are using their employees relative to capitalassets.Two commonly cited ratios are:Assets per full time employee = Average assets / Number of full-time employeesAverage personnel expense = Pers

30、onal expense / Number of full-time employeesThe more productive bank typically has fewer employees per dollar of assets held and often controls personnel expense per employee better.The second ratio is often high for high performance banks because they operate with fewer people but pay them more.Com

31、munity banks also typically examine two additional ratios, because loans typically represent the largest asset holding, it is meaningful to calculate a loans-per-employee ratio as an indicator of loan productivity.Since loans are often as the largest asset held, community banks examine:Loans per ful

32、l time employee = Average loans / Number of full-time employeesA ratio of net income per employee generally indicates the productivity and profitability of a bank s workforce:Net income per employee = Net income / Number of full-time employeesp96Strategies to manage noninterest expenseFour different

33、 strategies are:expense reduction,increase operating efficiency,changing product pricingpursuing contribution growth whereby noninterest revenues rise by more than noninterest expense.expense reduction:Many banks begin cost management efforts by identifying excessive expenses and eliminating them.Gi

34、ven that noninterest expenses consist primarily of personnel, occupancy, and data processing costs, these are the areas where cuts are initially made.increase operating efficiencies:Another strategy is to increase operating efficiency in providing products and services.This can be achieved in one of

35、 three ways:reducing costs but maintaining the existing level of products and services,increasing the level of output but maintaining the level of current expenses, orimproving work flow.All these approaches fall under the label of increasing productivity because they involve delivering products at

36、lower unit costs.revenue enhancement:This strategy involves changing the pricing of specific products but maintaining a sufficiently high volume of business so that total revenues increase.It is closely linked to the concept of price elasticity.Here, management wants to identify products or services

37、 that exhibit price inelastic demand. contribution growth:With this strategy, management allocates resources to best improve overall long-term profitability.Increases in expenses are acceptable, but they must coincide with greater anticipatedincreases in associated revenues.An example might be in ve

38、st ing in new computer systems and tech no logy to provide bettercustomer service at reduced unit costs once volume is sufficie ntly large.In esse nee, expe nses are cut in the long run but not in the n ear future.Chapter 4 Man agi ng In terest Rate Risk: GAP and Ear nings Sen sitivityP104Traditi on

39、al static GAP an alysis,basic steps to static gap an alysisMan ageme nt develops an in terest rate forecastMan ageme n t selects a series of“ time buckets ” (in tervals) for determ ining whe n assets andliabilities are rate-se nsitiveGroup assets and liabilities into time buckets according to when t

40、hey mature or re-priceManagement forecasts NII given the interest rate environmentGAP=RSAs-RSLsP107What determ ines rate sen sitivity?In general, an asset or liability is normally classified as rate-sensitive with a time frame if:1 .It maturesIt represents and interim, or partial, principal paymentT

41、he interest rate applied to outstanding principal changes contractually during the intervalThe outstanding principal can be repriced when some base rate of index changes and man ageme nt expects the base rate / in dex to cha nge duri ng the in tervalP109GAPesin terest in comChange ine in terest expe

42、 nseChange inin terest in comeChange inChange in netpositivefffpositiveJJJJn egativef JVffn egativeJJVJJZerofffnonezeroJ LJ=JnoneGAP Summaryin terest raNII = (GAP) x ( iexp.)NII= the expected cha nge in net in terest in come over a period of time from some base amount(GAP)= cumulative GAP over the i

43、nterval through the end of the period of time,( iexp.=) the expected perma nent cha nge in the level of in terest ratesP116Adva ntages / disadva ntages of GAPThe primary advantage of GAP analysis is its simplicity.The primary weakness is that it ignores the time value of money.GAP further ignores th

44、e impact of embedded options.For this reas on, most banks con duct ear nings sen sitivity an alysis, or pro forma an alysis, to project earnings and the variation in earnings under different interest rate environments.P127Steps that banks can take to reduce in terest rate risk in the con text of eff

45、ective GAP man ageme nt:Calculate periodic GAPs over short time intervals.Match fund repriceable assets with similar repriceable liabilities so that periodic GAPs approach zero.Match fund Iong-term assets with noninterest-bearing liabilities.Use off-balanee sheet transactions, such as interest rate

46、swaps and financial futures, to hedge.assets and liabilitiesP128List below are obvious ways to adjust the effective rate sen sitivity of a bankon bala nee sheet.! t I!41-JR -，_ fi/ Buy Ion ger-term securities.宅! ReduceassetLen gthe n the maturities of loa ns.I-r sensitivity1Move from floati ng-rate

47、loa ns to term loa ns.:In1Buy short-term securities.=i In creaseassetiShorte n loa n maturities.| sensitivity* Make more loa ns on a floati ng-rate basis.|FrL:ReduceliabilityII -Pay premiums to attract Ion ger-term deposit in strume nts.Isen sitivityfJ B J 111Issue Ion g-term subord in ated debt.Z 8

48、2、或4EEk EC亠_+-一一二二二0 0：七 Mb -也圧 eH ，-，i g - bfI In creaseiliability *Pay premiums to attract short-term deposit in strume nts.r:sensitivityi更an hb- faBorrow more via non-core purchased liabilities.: MLj J J H 3 1m i e BU 1 1 T UuK 1 4 J MMi 1 * i 逐 1 r a 1 - - B J 丑 1 I ? B -t r BD-* vl 1 i-Chapter

49、5 Managing Interest Rate Risk: Duration GAP and Market Value of EquityP140(DGAP) = DA -MVL / MV A) DLMVE = -DGAP y / (1+y) MV AP141DGAP SummaryDGAPChange in in terest ratesChange in market valueassetsliabilitiesequitypositiveJJTJpositiveJffTfn egativeJVJTJn egativeJfVfTfzerofJ=JTnonezeroJf=fTnoneP14

50、2Exhibit 5.4P144Embedded opti ons sharply in flue nee the estimated volatility in MVEPrepayments that exceed (fall short of) that expected will shorten (lengthen) duration.A bond being called will shorten duration.A deposit that is withdrawn early will shorten duration. A deposit that is not withdra

51、wnas expected will le ngthe n durati on.P147Earning sen sitivity an alysis versus MVE sen sitivity an alysisGAP and earnings sen sitivity an alysis focus on the pote ntial volatility of net in terest in come over disti net time in tervals. Net in terest in come is calculated in book value terms, not

52、 market values. A bank man ages the effects of volatile in terest rates within each time period separately.In contrast, the duration and MVE sensitivity approach focuses on the potential variability of a bank s market value of equity. Duration gap is a single measure that summarizes the cumulative i

53、mpact of in terest rate cha nges on a bank s total portfolio. Thus, the bank continu ously man ages total firm rate risk accord ing to this one nu mber. Because the models have differe nt objectives, they address differe nt issues.Stre ngths and weak nesses: DGAP and MVE sen sitivity an alysisDGAP r

54、ecognizes the time value of each cash flow, avoiding the difficulty with time buckets.Cash flows that arise after one year are included in duration calculations, but often ignoredin GAP calculatio ns.Duration measures are also additive so the bank can match total assets with total liabilities rather

55、 tha n match in dividual acco un ts.Durati on an alysis takes a Ion ger-term viewpo int and provides man agers with greater flexibility in adjusting rate sensitivity because they can use a wide range of instruments to balance value sensitivity.Duration and MVE sensitivity analysiss weaknesses:It s d

56、ifficult to compute duration accurately.To be correct duration analysis requires that each future cash flow be discounted by a distinct discount rate reflecting the expected future rate at the time the cash flow arises.A bank must continuously monitor and adjust the duration of its portfolio.It s di

57、fficult to estimate the duration on assets and liabilities that do not earn or pay interest.Chapter 7 The Effective Use of CapitalP178The Basle agreementIn 1986, U.S. bank regulators proposed that U.S. banks be required to maintain capital that reflects the riskiness of bank assets.By 1988, the prop

58、osal had grown to include risk-based capital standards for banks in 12 industrialized nations according to the terms of the Basle Agreement.Regulations were fully in place by the end of 1992.Terms of the Basle Agreement varied, primarily in terms of what constitutes capital, but there are common ele

59、ments.Minimum capital requirement is linked to its credit risk as determined by the composition of assets.Stockholders equity is deemed to be the most critical type of capital.Minimum capital requirement increased to 8% for total capital.Capital requirements were approximately standardized between c

60、ountries to Level the playing field.Perpetual preferred stock has no set maturity date.Subordinated debt refers to bonds where the claims of bondholders are paid only after insured and uninsured depositors are paid in the case of a bank failure.P180 計算風(fēng)險加權(quán)資產(chǎn)P183What constitutes bank capital?Accordin