米什金货币金融学(商学院版)第9章课件

Chapter9Bankingand

theManagementofFinancialInstitutionsChapter9Bankingand

theMan9.1TheBankBalanceSheet9.1TheBankBalanceSheet9.1.1Liabilities

1.CheckabledepositBankaccountsthatallowtheownertowritecheckstothirdparties.Includes:--Demanddeposit--NOWaccounts:--MMDAs:similartomoneymarketmutualfundsandnotsubjecttoreserverequirementsOncearethemostimportantsourceofbankfunds,butthesharehasshrunkovertime.Usuallythelowest-costsourceofbankfund.9.1.1Liabilities

1.Checkable2.NontransactionDepositPrimarysourceofbankfunds.Ownerscannotwritechecks,buttheinterestratesareusuallyhigher.Twotypes:--Savingsaccounts--Timedeposit:haveafixedmaturitylength.3.BorrowingsMoreandmoreimportant.2.NontransactionDeposit4.BankCapitalThedifferencebetweentotalassetsandliabilities.(8%)Raisedbysellingnewstockorfromretainedearnings.Isacushionagainstadropinthevalueofitsassets.4.BankCapital9.1.2Assets1.ReservesReserves=Vaultcash+Depositsinanaccountatthecentralbank(requiredreserves+excessreserves)Nointerestpayment.Banksholdreservesfortworeasons:1)Reserverequirement2)Reservesarethemostliquidandcanbeusedtomeetitsobligationswhenfundsarewithdrawn.中国的历次调整/focus/zhbj2_2012/9.1.2Assets1.Reserves2.CashitemsinprocessofcollectionSupposeacheckwrittenonanaccountatanotherbankisdepositedinyourbankandthefundsforthischeckhavenotyetbeenreceivedfromtheotherbank.3.DepositsatotherbanksManysmallbanksholddepositsinlargerbanksinexchangeforavarietyofservices.Alloftheabovethreearereferredtoascashitems.Importanceshrinkingovertime.2.Cashitemsinprocessofco4.SecuritiesAnimportantincome-earningasset.(23%)Madeupentirelyofdebtinstruments.5.LoanBanksmaketheirprofitsprimarilybyissuingloans.(66%)Typicallylessliquidandhaveahigherprobabilityofdefaultthanotherassets.5.OtherassetsThephysicalcapitalownedbythebanks.4.Securities浦发银行2011年资产负债表资产现金及存放中央银行款项366,957,099,00014%存放同业和其它金融机构款项267,876,482,00010%拆出资金111,415,298,0004%买入返售金融资产281,509,782,00010%发放贷款及垫款1,302,323,950,00049%可供出售金融资产147,929,131,0006%持有至到期投资158,535,453,0006%负债

同业和其它金融机构存放款项440,908,269,00016%拆入资金66,970,025,0002%吸收存款1,851,055,121,00069%负债合计2,535,150,909,00094%所有者权益合计149,542,780,0006%浦发银行2011年资产负债表资产现金及存放中央银行款项3669.2BasicBankingAssettransformationSellingliabilitieswithonesetofcharacteristicsandusingtheproceedstobuyassetswithadifferentsetofcharacteristics.“Borrowsshortandlendslong.”9.2BasicBankingAssettransfoT-accountAnalysis:Depositof$100cashintoFirstNationalBankAssets LiabilitiesVaultCash+$100 CheckableDeposits+$100

(=Reserves)Depositof$100checkintoFirstNationalBankAssets LiabilitiesCashitemsinprocess CheckableDeposits+$100ofcollection+$100FirstNationalBank SecondNationalBankAssets Liabilities Assets Liabilities Checkable CheckableReserves Deposits Reserves Deposits

+$100 +$100 –$100 –$100Conclusion:Whenbankreceivesdeposits,reservesbyequalamount;whenbanklosesdeposits,reservesbyequalamountT-accountAnalysis:BasicBanking:MakingaProfitFirstNationalBankFirstNationalBankAssetsLiabilitiesAssetsLiabilitiesRequiredreserves+$100Checkabledeposits+$100Requiredreserves+$100Checkabledeposits+$100Excessreserves+$90Loans+$90BasicBanking:MakingaProfit9.3GeneralPrinciplesofBankManagement1.LiquidityManagement2.AssetManagementManagingCreditRiskManagingInterest-rateRisk3.LiabilityManagement4.CapitalAdequacyManagement9.3GeneralPrinciplesofBank9.3.1LiquidityManagementReserverequirement=10%,Excessreserves=$10millionAssets LiabilitiesReserves $20million Deposits $100millionLoans $80million BankCapital $10millionSecurities$10millionDepositoutflowof$10millionAssets LiabilitiesReserves $10million Deposits $90millionLoans $80million BankCapital $10millionSecurities$10millionWith10%reserverequirement,bankstillhasexcessreservesof$1million:nochangesneededinbalancesheet9.3.1LiquidityManagementReseLiquidityManagementNoexcessreservesAssets LiabilitiesReserves $10million Deposits $100millionLoans $90million BankCapital $10millionSecurities $10millionDepositoutflowof$10millionAssets LiabilitiesReserves $0million Deposits $90millionLoans $90million BankCapital $10millionSecurities $10millionLiquidityManagementNoexcessLiquidityManagement1.BorrowfromotherbanksorcorporationsAssets LiabilitiesReserves $9million Deposits $90millionLoans $90million Borrowings $9millionSecurities $10million BankCapital $10million2.SellSecuritiesAssets LiabilitiesReserves $9million Deposits $90millionLoans $90million BankCapital $10millionSecurities $1millionLiquidityManagement1.BorrowLiquidityManagement3.BorrowfromFedAssets LiabilitiesSecurities $10million BankCapital $10millionReserves $9million Deposits $90millionLoans $90million DiscountLoans $9million4.CallinorselloffloansAssets LiabilitiesReserves $9million Deposits $90millionLoans $81million BankCapital $10millionSecurities $10millionConclusion:excessreservesareinsuranceagainstabove4costsfromdepositoutflowsLiquidityManagement3.BorrowBankRunofNorthernRockNorthernRockwasbestknownforbecomingthefirstbankin150yearstosufferabankrunafterhavinghadtoapproachtheBankofEnglandforaloanfacility,toreplacemoneymarketfunding,duringthecreditcrisisin2007.Havingfailedtofindacommercialbuyerforthebusiness,itwastakenintopublicownershipin2008,andwasthenboughtbyVirginMoneyin2012.BankRunofNorthernRockNort9.3.2AssetManagement:ThreeGoals1.Seekthehighestpossiblereturnsonloansandsecurities2.Reducerisk3.Haveadequateliquidity9.3.2AssetManagement:ThreeGAssetManagement:FourTools1.Findborrowerswhowillpayhigh

interestratesandhavelowpossibility

ofdefaulting2.Purchasesecuritieswithhighreturnsandlowrisk3.Lowerriskbydiversifying4.BalanceneedforliquidityagainstincreasedreturnsfromlessliquidassetsAssetManagement:FourTools1.9.3.3LiabilityManagement1. Importantsince1960s2. Banksnolongerprimarilydependondeposits3. Whenseeloanopportunities,borroworissueCDstoacquirefunds9.3.3LiabilityManagement1. I9.3.4CapitalAdequacyManagement1. Bankcapitalisacushionthathelpspreventbankfailure.2. Higherisbankcapital,lowerisreturnonequity

ROA=NetProfits/Assets

ROE=NetProfits/EquityCapital

EM=Assets/EquityCapital

ROE=ROA

EM Capital,EM

,ROE

3. Tradeoffbetweensafety(highcapital)andROE9.3.4CapitalAdequacyManagem4. Banksalsoholdcapitaltomeetcapitalrequirements5. ManagingCapital: A.Issueorbuybackstocks B.Changedividendstochangeretainedearnings C.Changeassetgrowth4. BanksalsoholdcapitaltoCapitalAdequacyManagement:PreventingBankFailureHighBankCapitalLowBankCapitalAssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDeposits$96MLoans$90MBankCapital$10MLoans$90MBankCapital$4MHighBankCapitalLowBankCapitalAssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDeposits$96MLoans$85MBankCapital$5MLoans$85MBankCapital-$1MCapitalAdequacyManagement:P9.4ManagingCreditRiskSolvingAsymmetricInformationProblems9.4.1. ScreeningandMonitoringScreeningSpecializeinLendingMonitoringandEnforcementofRestrictiveCovenants9.4.2 EstablishLong-TermCustomerRelationships9.4ManagingCreditRiskSolvin9.4.3 LoanCommitmentAbank’scommitmenttoprovideafirmwithloansuptoagivenamountataninterestratethatistiedtosomemarketinterestrate.9.4.4 CollateralandCompensatingBalancesCompensatingBalances:Afirmreceivingaloanmustkeeparequiredminimumamountoffundsinacheckingaccountatthebank.Helpincreasethelikelihoodthataloanwillbepaidoff.9.4.3 LoanCommitment9.4.5 CreditRationingRefusingtomakeloanseventhoughborrowersarewillingtopaythestatedinterestrateorevenahigherrate.Twoforms1.Refusetomakealoaneveniftheborroweriswillingtopayahigherinterestrate.2.Makealoanbutrestrictsthesizetolessthantheborrowerwouldlike.9.4.5 CreditRationing9.5ManagingInterestRateRiskFirstNationalBankAssetsLiabilitiesRate-sensitiveassets$20MRate-sensitiveliabilities$50MVariable-rateandshort-termloansVariable-rateCDsShort-termsecuritiesMoneymarketdepositaccountsFixed-rateassets$80MFixed-rateliabilities$50MReservesCheckabledepositsLong-termloansSavingsdepositsLong-termsecuritiesLong-termCDsEquitycapital9.5ManagingInterestRateRisIfabankhasmorerate-sensitiveliabilitiesthanassets,ariseininterestratewillreducebankprofitsandadeclineininterestrateswillraisebankprofits.Ifabankhasmorerate-sensitManagingInterest-RateRiskGapAnalysisGAP =rate-sensitiveassets–rate-sensitiveliabilities =$20–$50=–$30millionWheni

5%:1. Incomeonassets=+$1million (=5%$20m)2. Costsofliabilities=+$2.5million (=5%$50m)3. Profits=$1m–$2.5m=–$1.5m =5%($20m–$50m)=5%(GAP)

Profits=i

GAP

ManagingInterest-RateRiskGap

DurationAnalysis %value–(%pointi)(DUR)Example:

i

5%,durationofbankassets=3years,durationofliabilities=2years; %assets=–5%3=–15% %liabilities=–5%2=–10%Iftotalassets=$100millionandtotalliabilities=$90million,thenassets$15million,liabilities$9million,andbank’snetworthby