商業(yè)銀行管理Chap0課件11

1、Chapter ElevenLiquidity and Reserves Management: Strategies and PoliciesChapter ElevenLiquidity and ReKey TopicsSources of Demand for and Supply of Liquidity Why Financial Firms Have Liquidity Problems Liquidity Management Strategies Estimating Liquidity Needs The Impact of Market Discipline Legal R

2、eserves and Money ManagementKey TopicsSources of Demand foIntroductionOne of the most important tasks the management of any financial institution faces is ensuring adequate liquidity at all timesA financial firm is considered to be “l(fā)iquid” if it has ready access to immediately spendable funds at re

3、asonable cost at precisely the time those funds are neededThis suggests that a liquid financial firm either hasThe right amount of immediately spendable funds on hand when they are requiredThey can raise liquid funds in timely fashion by borrowing or selling assetsLack of adequate liquidity can be o

4、ne of the first signs that a financial institution is in troubleA financial firm can be closed if it cannot raise sufficient liquidity even though, technically, it may still be solventIntroductionOne of the most imThe Demand for and Supply of LiquidityDemands for LiquidityCustomer deposit withdrawal

5、sCredit requests from quality loan customersRepayment of nondeposit borrowingsOperating expenses and taxesPayment of stockholder dividendsSupplies of Liquid FundsIncoming customer depositsRevenues from the sale of nondeposit servicesCustomer loan repaymentsSales of bank assets Borrowings from the mo

6、ney marketThe Demand for and Supply of LThe Demand for and Supply of Liquidity (continued)These various sources of liquidity demand and supply come together to determine each financial firms net liquidity position at any moment in timeThat net liquidity position (L) at time t isLiquidity Deficit is

7、Lt 0The Demand for and Supply of LThe Demand for and Supply of Liquidity (continued) The essence of liquidity management problems for financial institutionsRarely are demands for liquidity equal to the supply of liquidity at any particular moment in timeThe financial firm must continually deal with

8、either a liquidity deficit or a liquidity surplus. There is a trade-off between liquidity and profitabilityThe more resources are tied up in readiness to meet demands for liquidity, the lower is that financial firms expected profitability (other factors held constant)The Demand for and Supply of LWh

9、y Financial Firms Often Face Significant Liquidity ProblemsImbalances between maturity dates of their assets and liabilitiesHigh proportion of liabilities (especially demand deposits and money market borrowings) are subject to immediate repaymentSensitivity to changes in interest ratesMay affect cus

10、tomer demand for depositsMay affect customer demand for loansCentral role in the payment process, reputation and public confidence in the systemWhy Financial Firms Often FaceStrategies for Liquidity ManagersThink about what is a liquid asset?Liquid assets have a ready market, stable price and are re

11、versibleIdentify strategies for liquidity managementAsset Liquidity Management or Asset Conversion StrategyThis strategy calls for storing liquidity in the form of liquid assets (T-bills, fed funds loans, CDs, etc.) and selling them when liquidity is neededBorrowed Liquidity or Liability Management

12、StrategyThis strategy calls for the bank to purchase or borrow from the money market to cover all of its liquidity needsBalanced Liquidity StrategyThe combined use of liquid asset holdings (Asset Management) and borrowed liquidity (Liability Management) to meet liquidity needsStrategies for Liquidit

13、y ManagStrategies for Liquidity Managers (continued)Guidelines for Liquidity ManagersKeep track of all fund-using and fund-raising departmentsKnow in advance withdrawals by the biggest credit or deposit customersPriorities and objectives for liquidity management should be clearLiquidity needs must b

14、e evaluated on a continuing basisStrategies for Liquidity ManagEstimating Liquidity NeedsSources and Uses of Funds ApproachStructure of Funds ApproachLiquidity Indicator ApproachThe Ultimate Standard for Assessing Liquidity Needs: Signals from the MarketplaceEstimating Liquidity NeedsSourEstimating

15、Liquidity Needs (continued)Sources and Uses of Funds ApproachLoans and deposits must be forecast for a given liquidity planning periodThe estimated change in loans and deposits must be calculated for the same planning periodThe liquidity manager must estimate the banks net liquid funds by comparing

16、the estimated change in loans to the estimated change in depositsEstimating Liquidity Needs (coEstimating Liquidity Needs (continued)Sources and Uses of Funds ApproachEstimating Liquidity Needs (coEstimating Liquidity Needs (continued)Sources and Uses of Funds ApproachEstimating Liquidity Needs (coE

17、stimating Liquidity Needs (continued)Sources and Uses of Funds ApproachEstimating Liquidity Needs (coEstimating Liquidity Needs (continued)Structure of Funds ApproachA Banks Deposits and Other Sources of Funds Divided Into Categories. For Example:Hot Money Liabilities (volatile liabilities)Vulnerabl

18、e FundsStable Funds (core deposits or core liabilities) Liquidity Manager Set Aside Liquid Funds According to Some Operating RuleEstimating Liquidity Needs (coEstimating Liquidity Needs (continued)Structure of Funds ApproachFor example, the manager may decide to set upA 95 percent liquid reserve beh

19、ind all hot money funds (less any required legal reserves held behind hot money deposits)30 percent in liquid reserves for vulnerable deposit and nondeposit liabilities15 percent or less in liquid reserves for stable (core) funds sourcesEstimating Liquidity Needs (coEstimating Liquidity Needs (conti

20、nued)Structure of Funds ApproachCombining both loan and deposit liquidity requirements, this institutions total liquidity requirement would beEstimating Liquidity Needs (coEstimating Liquidity Needs (continued)Structure of Funds ApproachMany financial firms like to calculate their expected liquidity

21、 requirement, based on the probabilities they assign to different possible outcomes Estimating Liquidity Needs (coEstimating Liquidity Needs (continued)Liquidity Indicator ApproachCash position indicatorLiquid securities indicatorNet federal funds and repurchase agreements positionCapacity ratioPled

22、ged securities ratioHot money ratioDeposit brokerage indexCore deposit ratioDeposit composition ratio Loan commitments ratioEstimating Liquidity Needs (coEstimating Liquidity Needs (continued)The Ultimate Standard for Assessing Liquidity Needs: Signals from the MarketplaceLiquidity managers should c

23、losely monitor the following market signals:Public confidenceStock price behavior Risk premiums on CDs and other borrowings Loss sales of assets Meeting commitments to credit customersBorrowings from the central bankEstimating Liquidity Needs (coLegal Reserves and Money Position Management Legal Res

24、ervesThose assets that law and central bank regulation say must be held during a particular time periodThe current system of accounting for legal reserves is called lagged reserve accounting (LRA)The daily average amount of deposits and other reservable liabilities are computed using information gat

25、hered over a two-week period stretching from a Tuesday through a Monday two weeks laterThis interval of time is known as the reserve computation periodThe daily average amount of vault cash each depository institution holds is also figured over the same two-week computation periodLegal Reserves and

26、Money PositEXHIBIT 111 Federal Reserve Rules for Calculating a Weekly Reporting Depository Institutions Required Legal ReservesEXHIBIT 111 Federal Reserve RLegal Reserves and Money Position Management (continued)Legal ReservesOnly two kinds of assets can be used for this purposeCash in the vaultDepo

27、sits held in a reserve account with the regional FedThe reserve requirement in 2010 was 3 percent of the end-of-the-day daily average amount held over a two-week period, from $10.7 million up to $58.8 millionThe first $10.7 million have zero legal reservesThe $58.8 million figure is known as the res

28、erve tranche and changes every year based on deposit growthTransaction deposits over $58.8 million held by the same depository institution carried a 10 percent legal reserve requirementThis annual legal reserve adjustment is designed to offset inflationLegal Reserves and Money PositLegal Reserves an

29、d Money Position Management (continued)Calculating Required Reserves The largest depository institutions must hold the largest percentage of legal reservesEach reservable liability item is multiplied by the stipulated reserve requirement percentage to derive each depositorys total legal reserve requ

30、irementLegal Reserves and Money PositLegal Reserves and Money Position Management (continued)Calculating Required Reserves The largest depository institutions must hold the largest percentage of legal reservesEach reservable liability item is multiplied by the stipulated reserve requirement percenta

31、ge to derive each depositorys total legal reserve requirementLegal Reserves and Money PositLegal Reserves and Money Position Management (continued)Clearing Balances In addition to holding a legal reserve account at the central bank, many depository institutions also hold a clearing balance with the

32、Fed to cover any checks or other debit items drawn against themFor example, suppose a bank had a clearing balance averaging $1 million during a particular two-week maintenance period and the Federal funds interest rate over this same period averaged 5.50 percentThen it would earn a Federal Reserve c

33、redit ofAssuming a 360-day year for ease of computation, this bank could apply up to $2,138.89 to offset any fees charged to the bank for its use of Federal Reserve servicesLegal Reserves and Money PositLegal Reserves and Money Position Management (continued)Factors Influencing the Money PositionLeg

34、al Reserves and Money PositLegal Reserves and Money Position Management (continued)Sweep Accounts Volume of legal reserves held at the Fed has declined in recent years largely due to sweep accountsA contractual account between a bank and a customer that permits the bank to move funds out of a custom

35、ers checking account overnight in order to generate higher returns for the customer and lower reserve requirements for the bankRetail SweepBusiness SweepThe sweeps market is likely to change in form and importance due to the recent passage of the Dodd-Frank Wall Street Reform and Consumer Protection

36、 Act of 2009Legal Reserves and Money PositLegal Reserves and Money Position Management (continued)Other Factors to Influence Legal ReservesUse of Fed Funds MarketThe cheapest sourceBut very volatileManagers rely on the Fed funds target rate (the most volatile on the settlement date)Other OptionsSell

37、 liquid securitiesDraw upon excess correspondent balancesEnter into repurchase agreements for temporary borrowingsSell new time depositsBorrow in the Eurocurrency marketLegal Reserves and Money PositEXHIBIT 112 Movements in the Effective Federal Funds Rate, Its Target (the Intended Federal Funds) Ra

38、te, and the Discount (Primary Credit) Rate for Depository Institutions Seeking Credit from the Federal Reserve BanksEXHIBIT 112 Movements in the Factors in Choosing among the Different Sources of ReservesIn choosing which source of reserves to draw upon to cover a legal reserve deficit, managers mus

39、t carefully consider several aspects of their institutions need for liquid funds:Immediacy of needDuration of needAccess to the market for liquid fundsRelative costs and risks of alternative sources of fundsThe interest rate outlookOutlook for central bank monetary policyRules and regulations applic

40、able to a liquidity sourceFactors in Choosing among the Central Bank Reserve Requirements around the GlobeNot all central banks impose legal reserve requirements on the depository institutions they regulateFor example, the Bank of England has not established official reserve requirements for its banksThere is a trend among central banks around the globe to eliminate, suspend, or at least make less use