第三章 商业银行负债管理(对外经济贸易大学 何自云)

第三章商业银行负债管理对外经济贸易大学金融学院何自云Chapter2ManagingLiabilitiesTheCompositionofBankLiabilitiesCharacteristicsofSmallDenominationLiabilitiesCharacteristicsofLargeDenominationLiabilitiesFundingCostsandBankingRisk储蓄管理规定人民币银行结算账户管理办法美国存款保险制度及其启示

(FederalDepositInsurance)CompositionofBankLiabilitiesDifferenttypesofliabilitiesInterest-bearingandnon-interest-bearingTransactionaccounts:LowexplicitinterestratesHighnon-interestprocessingcostsOtheraccounts:LimitedcheckwritingcapabilitiesHigherratesLiabilitieswithlong-termfixedmaturitiesHighestinterestratesLowestnon-interesttransactionPriorto1960Banksreliedonstandardizeddemandandsavingsdepositsastheirprimarysourceoffunds.Gov’tdeterminedallowableinterestrates,andallbankspaidthemaximum.Bankscompeteforfundsonlybydifferentiatingthequalityofserviceandpayingimplicitinterest.Primarystrategy:officeandbranches.From1961on1961:Citibank,CDMarketratefellbelowtheceiling.Othermarketrateinstrumentsemerged.Today,virtuallyallbankliabilitiesarefreeofregulatoryrestrictionsonallowablerates,maturities,andminimumdenominations.Bankscanofferanydepositproduct.Pricecompetitionisthedominantconsideration.ProblemscreatedbythefreedomCustomershavebecomemuchmorerateconscious:interestelastic.Customersprefershorter-termdepositsstrongly:lowerinterestraterisk.LiabilitiesbecomemoreratesensitivePricingassetsbecomesmoredifficultSmalldenominationliabilitiesUnder$100,000(v.s.multiplesof$1million)NormallyheldbyindividualinvestorsNotactivelytradeinthesecondarymarket.TransactionsaccountsDemanddepositsInterest-checkingNegotiableordersofwithdrawal,NOWsAutomatictransfersfromsavings,ATSMoneymarketdepositaccounts,MMDABanksdifferentiatebetweendepositsinthenumberofcheckspermitted,minimumdenominationrequired,andtheinterestpaid.ServicechargesFormanyyearsbankspricedcheck-handlingservicesbelowcost,becausebankspaidbelow-marketratesonmostdeposits.Thislowinterestsubsidyimplicitlycoveredthelosses:20%customerssubsidize80%.Becausebanksnowpaymarketratesondeposits,theywantallcustomerstopayatleastwhattheservicescost.Manybankshaveunbundledservicesandpriceeachseparately.LargedenominationliabilitiesFundspurchasedinthemoneymarkets.Denominatedin$1millionmultiples.Becausecustomersmovetheirinvestmentsonthebasisofsmallratedifferentials,thesefundsarelabeled“hotmoney”,volatileliabilities,orshort-termnoncorefunding.JumboCDs(CDsover$100,000)

FederalFundsPurchased

SecurityRepurchaseAgreementsFundingcostsandbankingriskBanksfacetwofundamentalproblemsinmanagingtheirliabilitiesUncertaintyoverwhatratestheymustpaytoretainandattractfunds.Uncertaintyoverthelikelihoodthatcustomerswillwithdrawtheirmoneyregardlessofrates.Thebasicfearisthattheywillbevulnerabletoaliquiditycrisisarisingfromunanticipateddepositwithdrawals.RatesregulationandliquidityWhendepositsrateswereregulatedandbankspaidthemaximumratesallowed,depositswererelativelystableandliquiditywaslessaproblem.Interestratederegulationandbankcompetitionhavesinceincreaseddepositors’rateawarenesssothatmanyindividualsandfirmsmovefundstoinstitutionspayingthehighestrates.Customerloyaltyiscloselytiedtodepositsizeandthequalityofbankservice.Moreloyal:small;betterservice;bundledservice.FundingCostsandBankingRiskFundingSourcesandInterestRateRiskFundingSourcesandLiquidityRiskFundingSourcesandCreditRiskFundingSourcesandBankSafetyFundingsources&rateriskDuringthe1980s,mostbanksexperiencedashiftincompositionofliabilitiesawayfromdemanddepositsintointerest-bearingtimedepositsandotherborrowedfunds.TheremovalofRegulationQinterestrateceilingAvolatileinterestrateenvironmentThedevelopmentofnewdepositandmoneymarketproducts.Thecumulativeeffectwastoincreasetheinterestsensitivityoffundingoperations.Fundingsources&rateriskDepositorsandinvestorsprefershort-terminstruments.Banks’response:Paypremiumstoinducethemlengthenmaturitiesandassumeinterestraterisk;orRepriceliabilitiesmorefrequently.Thesechangesaffectabank’sinterestrateriskpositiontotheextentthattheydonotadjusttheirassetratesensitivity.Fundingsources&rateriskWaystomangeinterestrateriskAcquiremorerate-sensitiveassets:Priceallloansonafloating-ratebasis;Buybondswithshorter-maturitiesAggressivelycompeteforretailcoredeposits.Fundingsources&liquidityriskLiquidityriskassociatedwithabank’sdepositbaseisafunctionofmanyfactors:Thenumberofdepositors;Averagesizeofaccounts;Locationofthedepositor;Specificmaturityofeachaccount;RatecharacteristicsofeachaccountThesefeaturesarecustomer-driven,andbankscannotdictatethetermsofdepositcontracts.Customersarebecomingmorerate-sensitive.Itisincreasinglydifficulttoestablishlong-termcustomerrelationshipsthatwithstandratedifferentials,aproblemcompoundedinvirtuallyeverybankingmarketthathasatleastonefirmthatpayspremiumratesatallmaturities.Whatcanbanksdo?MonitorpotentialdepositoutflowsPeriodicallycontactlargedepositorsUnderstandtheinterestelasticityofcustomerdemands,anddevelopwaystochangeit:PackagingdepositproductswithotherservicesorprivilegesDevelopingpersonalrelationshipswithdepositorsAttractcoredepositsBuildaliquiditybufferSmallbanks:promoteservicesLargebanks:borrowmorefundsthantheyneedFundingsources&creditriskChangesinthecompositionandcostofbankfundscanindirectlyaffectabank’screditriskbyforcingittoreduceassetquality.Banksmakeriskierloansathigherpromisedyields.Thiseffectisgreatestatsmallbankswithlimitedopportunitiestosupplementearningsinotherways.Fundingsources&banksafetyChangesinthecompositionandcostofbankfundshaveclearlyloweredtraditionalearnings.Thisdecreaseslowscapitalgrowthandincreasesleverageratio.Borrowingcostswillultimatelyincreaseunlessnon-interestincomeoffsetsthisdeclineorbanksobtainnewexternalcapital.Banksafetyhasthusdeclinedintheaggregate.储蓄管理条例:自1993年3月1日起施行第三条：“任何单位和个人不得将公款以个人名义转为储蓄存款。”第五条：“储蓄机构办理储蓄业务，必须遵循‘存款自愿，取款自由，存款有息，为储户保密’的原则。”第十三条：“储蓄机构应当按照规定时间营业，不得擅自停业或者缩短营业时间。”第十四条：“储蓄机构应当保证储蓄存款本金和利息的支付，不得违反规定拒绝支付储蓄存款本金和利息。”第十五条：“储蓄机构不得使用不正当手段吸收储蓄存款。”储蓄种类第16条储蓄机构可以办理下列人民币储蓄业务：活期储蓄存款整存整取定期储蓄存款零存整取定期储蓄存款存本取息定期储蓄存款整存零取定期储蓄存款定活两便储蓄存款Savingsdeposits(inwesterncountries):Payinterest,typicallyatbelow-marketinterestratesDonothaveaspecificmaturityUsuallycanbewithdrawnupondemand储蓄存款利率和计息第二十二条：“储蓄存款利率由中国人民银行拟订，经国务院批准后公布，或者由国务院授权中国人民银行制定、公布。”第二十三条：“储蓄机构必须挂牌公告储蓄存款利率，不得擅自变动。”第二十四条：“未到期的定期储蓄存款，全部提前支取的，按支取日挂牌公告的活期储蓄存款利率计付利息；部分提前支取的，提前支取的部分按支取日挂牌公告的活期储蓄存款利率计付利息，其余部分到期时按存单开户日挂牌公告的定期储蓄存款利率计付利息。”储蓄存款利率和计息（续）第二十五条：“逾期支取的定期储蓄存款，其超过原定存期的部分，除约定自动转存的外，按支取日挂牌公告的活期储蓄存款利率计付利息。”第二十七条：“活期储蓄存款在存入期间遇有利率调整，按结息日挂牌公告的活期储蓄存款利率计付利息。全部支取活期储蓄存款，按清户日挂牌公告的活期储蓄存款利率计付利息。”银行保密责任第三十二条：“储蓄机构及其工作人员对储户的储蓄情况负有保密责任。储蓄机构不代任何单位和个人查询、冻结或者划拨储蓄存款，国家法律、行政法规另有规定的除外。”人民币银行结算账户管理办法中国人民银行发布，自2003年9月1日起施行。第三条：“银行结算账户按存款人分为单位银行结算账户和个人银行结算账户。”单位银行结算账户：存款人以单位名称开立个人银行结算账户：存款人凭个人身份证件以自然人名称开立第7条：“存款人可以自主选择银行开立银行结算账户。除国家法律、行政法规和国务院规定外，任何单位和个人不得强令存款人到指定银行开立银行结算账户。”单位银行结算账户：种类第11条：“基本存款账户是存款人因办理日常转账结算和现金收付需要开立的银行结算账户。”第12条：“一般存款账户是存款人因借款或其他结算需要，在基本存款账户开户银行以外的银行营业机构开立的银行结算账户。”第13条：“专用存款账户是存款人按照法律、行政法规和规章，对其特定用途资金进行专项管理和使用而开立的银行结算账户。”第14条：“临时存款账户是存款人因临时需要并在规定期限内使用而开立的银行结算账户。”单位银行结算账户：管理规定第4条：“单位银行结算账户的存款人只能在银行开立一个基本存款账户。”第33条：“基本存款账户是存款人的主办账户。存款人日常经营活动的资金收付及其工资、奖金和现金的支取，应通过该账户办理。”第34条：“一般存款账户可以办理现金缴存，但不得办理现金支取。”第6条：“存款人开立基本存款账户、临时存款账户和预算单位开立专用存款账户实行核准制度，经中国人民银行核准后由开户银行核发开户登记证。但存款人因注册验资需要开立的临时存款账户除外。”个人银行结算账户第15条：“个人银行结算账户是自然人因投资、消费、结算等而开立的可办理支付结算业务的存款账户。”第43条：“储蓄账户仅限于办理现金存取业务，不得办理转账结算。”存款保险：概念为了保护中小存款人的利益，维护金融体系的安全与稳定，吸收存款的机构定期按照一定的比例向存款保险机构交纳保费，以便在非常之时，由存款保险机构负责按照一定比例赔付存款人，并对有问题机构进行处置的制度。联邦存款保险公司（FDIC）美国是世界上最早建立存款保险制度的国家。1933年7月FDIC正式成立独立的联邦政府机构，直接向美国国会负责1934年建立联邦储蓄信贷保险公司（FSLIC）1987年资不抵债，1989年解散（破产倒闭）FDIC的三大职能存款保险职能：首要职能银行监管职能：直接监管了5616家非美联储成员的州注册银行和储蓄信贷机构处置倒闭存款机构的职能美国法律规定，FDIC是所有倒闭联邦银行和联邦储蓄信贷协会的清算管理人，目前大部分州也任命FDIC为倒闭州银行的清算管理人。保险基金基金来源：银行和