Tài liệu Quản trị tài sản, nguồn vốn của ngân hàng doc

1
Chương 4
Quản trị Tài sản – Nguồn
vốn của Ngân hàng (ALM)
Required Readings: Peter S.Rose, Chương 6, 7, 8
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Nội dung chương

Mục đích của quản trị ALM

Rủi ro lãi suất tác động đến kinh doanh ngân
hàng

Rủi ro lãi suất: GAP và sự nhạy cảm thu nhập

Ứng dụng Duration trong quản trị RRLS
3
Asset-Liability Management
Mục đích của Quản trị ALM?
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Lãi suất hoàn vốn
Yield to Maturity (YTM)
∑
=
+
=
n
1t
t
t
YTM) (1

CF
PriceMarket
5
Bank Discount Rate (DR)
Maturity toDays #
360
*
FV
Price Purchase- FV
DR
=
Trong đó: FV equals Face Value
6
Conversion of DR into YTM

YTM equivalent yield =

(100 – purchase price)/Purchase Price * (365/days
to maturity)
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Example

Giả sử giá của một chứng khoán có mệnh giá
100$ đang được bán trên thị trường là $96 và
sẽ đáo hạn trong 90 ngày.

Tính DR, the YTM equivalent yield?
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Example


DR = (100 – 96)/100 * 360/90 = 0.16

Equivalent YTM = (100 – 96)/96 *365/90 =
0.1690

Actual YTM =

PV = -96, FV = 100, N = 90/365, I = ?

I = 18%
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Interest Rate Risk

Banks typically focus on either:

Net interest income or

The market value of stockholders' equity

GAP Analysis

A static measure of risk that is commonly associated with
net interest income (margin) targeting

Earnings Sensitivity Analysis

Earnings sensitivity analysis extends GAP analysis by
focusing on changes in bank earnings due to changes in
interest rates and balance sheet composition
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Thu nhập từ lãi ròng (NII) và Thu nhập
từ lãi cận biên (NIM)
exp
as
Interestincome Interest enses
NIM
Totalearning sets
−
=
NII: Net interest income
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Interest Rate Risk

Price Risk

When Interest Rates Rise, the Market
Value of the Bond or Asset Falls

Reinvestment Risk

When Interest Rates Fall, the Coupon
Payments on the Bond are Reinvested at
Lower Rates
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Interest Rate Risk:
Reinvestment Rate Risk

If interest rates change, the bank will have to
reinvest the cash flows from assets or refinance
rolled-over liabilities at a different interest rate in

the future.

An increase in rates, ceteris paribus, increases a bank’s
interest income but also increases the bank’s interest
expense.

Static GAP Analysis considers the impact of
changing rates on the bank’s net interest income.
13
Interest Rate Risk:
Price Risk

If interest rates change, the market values of
assets and liabilities also change.

The longer is duration, the larger is the change in
value for a given change in interest rates.

Duration GAP considers the impact of
changing rates on the market value of equity.
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Rate sensitive Asset/Liabilities (RSAs
vs RSLs) and Non rate sensitive (NRS)

RSAs/ RSLs are assets or liabilities whose interest return or
cost vary with interest rate movements over the same time
horizon. E.g; short term securities.

RSA
t


Rate Sensitive Assets

Those assets that will mature or reprice in a given time period (t)

RSL
t

Rate Sensitive Liabilities

Those liabilities that will mature or reprice in a given time period (t)

Non rate sensitive (NRS) are assets or liabilities whose
interest return or cost vary with interest rate movements over
the same time horizon. E.g; Vault cash
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What Determines Rate Sensitivity?

An asset or liability is considered rate sensitivity if
during the time interval:

It matures

It represents and interim, or partial, principal payment

It can be repriced

The interest rate applied to the outstanding principal changes
contractually during the interval


The outstanding principal can be repriced when some base rate
of index changes and management expects the base rate / index
to change during the interval
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Example on RSAs/RSLs
Assets Liabilities
1. Short term consumer loans (1 year
maturity) 50 Equity Capital (Fixed) 20
2. Long term consumer loans (2 year
maturity) 25 Demand deposits 40
3.Three-month Treasury Bills 30 Passbook savings 30
4. Six-month Treasury Notes 35 Three month CDs 40
5. Three year Treasury Bonds 70
Three month Banker
acceptances 20
6. 10 year, fixed rate mortgages 20 Six month CP 60
7. 30 year, floating rate mortgages
(rate adjusted every nine months)
40

One year time deposits 20
Two year time deposits 40
270 270
Within 1 year, Determine the RSAs =? RSLs = ? How’s about NRS for assets and liabilities?
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Interest rate GAP/ Dollar GAP/
Funding GAP/ Maturity GAP)

GAP = RSAs – RSLs


Cummulative GAP
(CGAP): measures the
difference between RSA
and RSL over a more
extended period
( ) ( )
i i i i i i
NII GAP R RSA RSL R
∆ = ∆ = − ∆
( )
i i
NII CGAP R∆ = ∆
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Example on Interest sensitive GAP
Days

Assets maturing
or Repricing
within
Liabilities
maturing
or Repricing
within
Increme
ntal
Gap
Cummul
ative
Gap
1 day 20 30 -10 -10

2-30 days 30 40 -10 -20
31-90 days 70 85 -15 -35
91-180 days 90 70 20 -15
181-365 40 30 10 -5
1 year -5
years 10 5 5 0
260 260
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Example

A bank makes a $10,000 four-year car loan to a
customer at fixed rate of 8.5%. The bank initially funds
the car loan with a one-year $10,000 CD at a cost of
4.5%. The bank’s initial spread is 4%.

What is the bank’s one year gap?
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Example

Traditional Static GAP Analysis

What is the bank’s 1-year GAP with the auto
loan?

RSA
1yr
= $0

RSL
1yr

= $10,000

GAP
1yr
= $0 - $10,000 = -$10,000

The bank’s one year funding GAP is -10,000

If interest rates rise (fall) in 1 year, the bank’s margin will
fall (rise)
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Other Gap Measurements
Relative
Interest-
Sensitive Gap
SizeBank
Gap ISDollar

=
Interest
Sensitivity
Ratio
sLiabilitie SensitiveInterest
Assets SensitiveInterest

=
22
Asset-Sensitive Bank Has:

Positive Dollar Interest-Sensitive Gap


Positive Relative Interest-Sensitive Gap

Interest Sensitivity Ratio Greater Than
One
23
Liability Sensitive Bank Has:

Negative Dollar Interest-Sensitive Gap

Negative Relative Interest-Sensitive Gap

Interest Sensitivity Ratio Less Than One
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Factors Affecting Net Interest
Income

Changes in the level of interest rates

Changes in the composition of assets and
liabilities

Changes in the volume of earning assets and
interest-bearing liabilities outstanding

Changes in the relationship between the
yields on earning assets and rates paid on
interest-bearing liabilities
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Example


Consider the following balance sheet: