BankManagement銀行管理復習

1、BANKMANAGEMENTChapter1FundamentalForcesofChangeinBankingP2.TheGlass-SteagallActwhichcreatedthreeseparateindustries:commercialbanking,investmentbanking,andinsurance.TheBankHoldingActdeterminedactivitiescloselyrelatedtobankingandlimitedthescopeofactivitiesacompanycouldengageinifitownedabank.TheMcFadde

2、nActlimitedthegeographicmarketofbankingbyallowingindividualstatestodeterminetheextenttowhichabankcouldbranchintra-orinter-state.Asaresultoftheseacts,theUnitedStatesdevelopedauniquebankingsystemwhichhadalargenumberofsmallerbanks;limitedinthescopeofproductsandservicesoffered;andlimitedinthegeographica

3、reascoveredbybanks.P4.TheGlass-SteagallActandBankHoldingActeffectivelyrestrictedtheactivitiesofabanktothosecloselyrelatedtobankingasdefinedbyFederalReserve.Thisstructuralchangeisfrequentlyattributedtoderegulationofthefinancialservicesindustry.Deregulationwasanaturalresponsetoincreasedcompetitionbetw

4、eendepositoryinstitutionsandnondepositoryfinancialfirms,andbetweenthesametypeofcompetitorsacrossworldmarkets.Gramm-Leach-BilleyAct,alsoknownasFinancialModernizationAct,whichmadeitpossibleforbankstocreateafinancialholdingcompanywhichcouldofferinvestmentbanking,insurance,andotheroncedisallowedproducts

5、andservices.P5.Fivefundamentalforceshavetransformedthefinancialservicesmarket:1. Deregulation/re-regulation2. Financialinnovation3. Securitization4. Globalization5. Advancesintechnology.Thelatterfactorsactuallyrepresentresponsestoderegulationandre-regulation.P8-p9.CommercialpaperUnpledged,short-term

6、,basedoncredit.Highqualitycorporateborrowershavealwayshadtheoptiontoissuecommercialpaper.JunkbondsAdvantages:accesstolargeramountoffunds,longer-termfinancing,andfewerrestrictivecovenants.It'ssuitableformedium-sizedcompaniesrepresentinglower-qualityborrowers.P20.SecuritizationSecuritizationisthep

7、rocessofconvertingassetsintomarketablesecurities.1. Itenablesbankstomoveassetsoff-balancesheetandincreasefeeincome.2. Itincreasescompetitionforstandardizedproductssuchas:mortgagesandothercredit-scoredloans.3. Eventuallylowersthepricespaidbyconsumersbyincreasingthesupplyandliquidityoftheseproducts.P2

8、2.Theobjectivesbehindsecuritizationincludethefollowing:1. Freecapitalforotheruses2. ImproveROEviaservicingincome3. Diversifycreditrisk4. ObtainnewsourcesofliquidityReduceinterestrateriskChapter2AnalyzingBankPerformanceP35.AccountingforsecuritiesAtpurchase,mustdesignatetheobjectivebehindbuyinginvestm

9、entsecuritiesaseither:1. held-to-maturitysecuritiesarerecordedonthebalancesheetatamortizedcost.2. tradingaccountsecuritiesareactivelyboughtandsold,sothebankmarksthesecuritiestomarket(reportsthematcurrentmarketvalue)onthebalancesheetandreportsunrealizedgainsandlossesontheincomestatement.available-for

10、-sale,allotherinvestmentsecurities,arerecordedatmarketvalueonthebalancesheetwithacorrespondingchangetostockholdersequity'asunrealizedgainsandlossesonsecuritiesholdings.P36,37Demanddepositsaretransactionsaccountsthatpaynointerest.NOWs,ATSaccounts:payinterestsetbyeachbankwithoutfederalrestrictions

11、.NOWsareavailableonlytononcommercialcustomers.BrokereddepositstypicallyreferstojumboCDsthatabankobtainsthroughabrokeragehousethatmarketstheCDstoitscustomers.Coredepositsarestabledepositsthatarenothighlyinterestrate-sensitive.Coredepositsinclude:demanddeposits,NOWaccounts,MMDAs,andsmalltimedeposits.V

12、olatileliabilitiesornetnon-coreliabilitiesinclude:jumboCDs(over100,000),depositsinwithforeignoffices,federalfundspurchased,repurchaseagreements,andotherborrowingsmaturitieslessthanoneyear.P39,42Nll=ll-IEBurden=OE-OIEFF=OE/(NII+OI)NI=NII-Burden-PLL+SG-TII:interestincome,IE:interestexpense,NII:netinte

13、restincome,OI:noninterestincome,OE:noninterestexpense,EFF:efficiencyratio,PLL:provisionsforloanlosses,SG:securitieslosses,T:taxesInterestincomeisthesumofinterestandfeesearnedonallofabank'sassets,including:Loans,Depositsheldatotherinstitutions,Municipalandtaxablesecurities,investmentandtradingacc

14、ountsecurities,rentalreceiptsfromleasefinancing.Interestexpenseisthesumofinterestpaidonallinterest-bearingliabilities,including:transactionsaccounts(NOWs,ATSandMMDA),timeandsavingsdeposits,short-termnoncoreliabilities,andIong-termdebt.Noninterestincome:trustorfiduciaryincome,feesanddepositservicecha

15、rges,tradingrevenues,otherforeigntransactionsandothernoninterestincome.Noninterestexpenseiscomposedprimarilyof:1. Personnelexpense:salariesandfringebenefitspaidtobankemployees,2. Occupancyexpense:rentanddepreciationonequipmentandpremises,and3. Otheroperatingexpenses:utilitiesanddepositinsuraneepremi

16、ums.P45BankPerformaneeModelReturnsto；ROENI/nINCOMEInterestVolumeFeesandServChargeInterestComposition(mix)VolumeNonInterest厶ReturntotheBankROA=NIUTAEXPENSESDegreeofLsvsrage|EMl/(TArtE)Trust!OtherRatesalariesandBenefits|；Occupancy丨1OtherP46-P48Returnonequity(ROE=NI/TE)ROEiscomposedoftwoparts:ReturnonA

17、ssets(ROA=NI/TA);EquityMultiplier(EM=TA/TE),ROE=ROAXEMNI=Totalrevenue(TR)Totaloperatingexpense(EXP)TaxesROA=NI/aTA=TR/aTAEXP/aTATaxes/aTAP48,49Rateeffectssuggestthattheinterestcostperliability,whichindicatestheaveragecostoffinancingassets,maydifferbetweenbanks.Composition(mix)effectssuggestthatthemi

18、xofliabilitiesmaydiffer.Volumeeffectsrecognizethatabankmaypaymoreorlessininterestexpensesimplybecauseitoperateswithdifferentamountofinterest-bearingdebtandequityand,thus,paysinterestonadifferentamountofliabilities.P50,51Earningsbase(EB)=Averageearningassets/aTAEarningassetsincludeallassetsthatgenera

19、teexplicitinterestincomeplusleasereceipts.Itcanbemeasuredmosteasilybysubtractingallnonearningassets,suchasnoninterestcashandduefrombanks,acceptances,premises,andotherassets,fromtotalassets.Netinterestmargin:NIM=NII/earningassets(EA)Spread=(intinc/EA)-(intexp/intbear.Liab.)Burdenratio=(Noninterestexp

20、.-Noninterestincome)/aTAEfficiencyratio=Nonint.Exp./(Netint.Inc.+Nonint.Inc.)P52TheFederalReserveBoardhasidentifiedsixtypesofrisk:1. Creditrisk2. Liquidityrisk3. Marketrisk4. Operationalrisk5. Capitalorsolvencyrisk6. LegalriskReputationalriskP55Past-dueloansrepresentsloansforwhichcontractedinteresta

21、ndprinciplepaymentshavenotbeenmadebutarestillaccruinginterest.Pastdueareoftenseparatedinto30-89dayspastdueand90daysandoverpastduedate.Nonperformingloansisloansthataremorethan90dayspastdue.Nonaccrualloansarethosenotcurrentlyaccruinginterest.Theseloansarecurrently-orhavebeenhabitually-pastdue,orhaveot

22、herproblems,whichhaveplacedtheninnonaccrualstatus.Totalnoncurrentloansarethesumofthesetwotypesofloans.Restructuredloansareloansforwhichthelenderhasmodifiedtherequiredpaymentsonprincipalorinterest.Thelendermayhavelengthenedmaturityand/orrenegotiatedtheinterestrate.Classifiedloansaregeneralcategoryofl

23、oansinwhichhaveregulatorshaveforcedmanagementtosetasidereservesforclearlyrecognizedlosses.P72CamelsratingsC=capitaladequacyA=assetqualityM=managementqualityE=earningsL=liquidityS=sensitivitytomarketriskChapter3ManagingNoninterestIncomeandNoninterestExpenseP89Keyratios:Burden=nonint.exp.nonint.inc.,N

24、etoverheadexpense=burden/totalassets,Efficiencyratio=nonint.Exp.(netint.inc.+nonint.inc.)Operatingriskratios:Operatingriskratio=(NoninterestexpenseFeeincome)/NetinterestmarginSomeanalystsfocusonabank'soperatingriskratioinordertodifferentiateperformanceattributabletocostcontrolsversusfeegeneratio

25、n.Theloweristheoperatingriskratio,thebetteristhebank'soperatingperform.Becanceusitgeneratesproportionatelymoreofitsrevenuesfromfees,whicharemorestableandthusmorevaluable.Productivityratiosindicatehowefficientlybanksareusingtheiremployeesrelativetocapitalassets.Twocommonlycitedratiosare:1. Assets

26、perfulltimeemployee=Averageassets/Numberoffull-timeemployees2. Averagepersonnelexpense=Personalexpense/Numberoffull-timeemployeesThemoreproductivebanktypicallyhasfeweremployeesperdollarofassetsheldandoftencontrolspersonnelexpenseperemployeebetter.Thesecondratioisoftenhighforhighperformancebanksbecau

27、setheyoperatewithfewerpeoplebutpaythemmore.Communitybanksalsotypicallyexaminetwoadditionalratios,becauseloanstypicallyrepresentthelargestassetholding,itismeaningfultocalculatealoans-per-employeeratioasanindicatorofloanproductivity.Sinceloansareoftenasthelargestassetheld,communitybanksexamine:Loanspe

28、rfulltimeemployee=Averageloans/Numberoffull-timeemployeesAratioofnetincomeperemployeegenerallyindicatestheproductivityandprofitabilityofabank'sworkforce:Netincomeperemployee=Netincome/Numberoffull-timeemployeesp96StrategiestomanagenoninterestexpenseFourdifferentstrategiesare:1. expensereduction,

29、increaseoperatingefficiency,changingproductpricing2. pursuingcontributiongrowthwherebynoninterestrevenuesrisebymorethannoninterestexpense.expensereduction:Manybanksbegincostmanagementeffortsbyidentifyingexcessiveexpensesandeliminatingthem.Giventhatnoninterestexpensesconsistprimarilyofpersonnel,occup

30、ancy,anddataprocessingcosts,thesearetheareaswherecutsareinitiallymade.increaseoperatingefficiencies:Anotherstrategyistoincreaseoperatingefficiencyinprovidingproductsandservices.Thiscanbeachievedinoneofthreeways:1. reducingcostsbutmaintainingtheexistinglevelofproductsandservices,increasingthelevelofo

31、utputbutmaintainingthelevelofcurrentexpenses,orimprovingworkflow.Alltheseapproachesfallunderthelabelofincreasingproductivitybecausetheyinvolvedeliveringproductsatlowerunitcosts.revenueenhancement:Thisstrategyinvolveschangingthepricingofspecificproductsbutmaintainingasufficientlyhighvolumeofbusinesss

32、othattotalrevenuesincrease.Itiscloselylinkedtotheconceptofpriceelasticity.Here,managementwantstoidentifyproductsorservicesthatexhibitpriceinelasticdemand.contributiongrowth:Withthisstrategy,managementallocatesresourcestobestimproveoveralllong-termprofitability.Increasesinexpensesareacceptable,butthe

33、ymustcoincidewithgreateranticipatedincreasesinassociatedrevenues.Anexamplemightbeinvestinginnewcomputersystemsandtechnologytoprovidebettercustomerserviceatreducedunitcostsoncevolumeissufficientlylarge.Inessenee,expensesarecutinthelongrunbutnotinthenearfuture.Chapter4ManagingInterestRateRisk:GAPandEa

34、rningsSensitivityP104TraditionalstaticGAPanalysis,basicstepstostaticgapanalysisManagementdevelopsaninterestrateforecastManagementselectsaseriesof“timebuckets”(intervals)fordeterminingwhenassetsandliabilitiesarerate-sensitiveGroupassetsandliabilitiesintotime"buckets"accordingtowhentheymatur

35、eorre-priceManagementforecastsNIIgiventheinterestrateenvironmentGAP=RSAs-RSLsP107Whatdeterminesratesensitivity?Ingeneral,anassetorliabilityisnormallyclassifiedasrate-sensitivewithatimeframeif:2. 1.ItmaturesItrepresentsandinterim,orpartial,principalpaymentTheinterestrateappliedtooutstandingprincipalc

36、hangescontractuallyduringtheintervalTheoutstandingprincipalcanberepricedwhensomebaserateofindexchangesandmanagementexpectsthebaserate/indextochangeduringtheintervalP109GAPesinterestincomChangeineinterestexpenseChangeininterestincomeChangeinChangeinnetpositivef>ffpositiveJJ>JJnegativefJVffnegat

37、iveJJVJJZerofffnonezeroJLJ=Jnone1. GAPSummaryinterestraNII=(GAP)x(iexp.)NII=theexpectedchangeinnetinterestincomeoveraperiodoftimefromsomebaseamount(GAP)=cumulativeGAPovertheintervalthroughtheendoftheperiodoftime,(iexp.=)theexpectedpermanentchangeinthelevelofinterestratesP116Advantages/disadvantageso

38、fGAPTheprimaryadvantageofGAPanalysisisitssimplicity.2. Theprimaryweaknessisthatitignoresthetimevalueofmoney.3. GAPfurtherignorestheimpactofembeddedoptions.4. Forthisreason,mostbanksconductearningssensitivityanalysis,orproformaanalysis,toprojectearningsandthevariationinearningsunderdifferentinterestr

39、ateenvironments.P127StepsthatbankscantaketoreduceinterestrateriskinthecontextofeffectiveGAPmanagement:1. CalculateperiodicGAPsovershorttimeintervals.2. MatchfundrepriceableassetswithsimilarrepriceableliabilitiessothatperiodicGAPsapproachzero.3. MatchfundIong-termassetswithnoninterest-bearingliabilit

40、ies.4. Useoff-balaneesheettransactions,suchasinterestrateswapsandfinancialfutures,tohedge.'assetsandliabilitiesP128Listbelowareobviouswaystoadjusttheeffectiveratesensitivityofabankonbalaneesheet.!tI!41-J"R-"，_'fi/BuyIonger-termsecurities.宅!ReduceassetLengthenthematuritiesofloans.I-

41、rsensitivity1Movefromfloating-rateloanstotermloans.:In1Buyshort-termsecurities.=iIncreaseassetiShortenloanmaturities.|sensitivity*Makemoreloansonafloating-ratebasis.|FrL:ReduceliabilityII-PaypremiumstoattractIonger-termdepositinstruments.IsensitivityfJBJ111IssueIong-termsubordinateddebt.Z82、或4EEkEC亠

42、_+-一一二二二00：七>Mb-也圧eH，-，ig-bfI£Increaseiliability*Paypremiumstoattractshort-termdepositinstruments.r:sensitivityi更±an»hb-faBorrowmorevianon-corepurchasedliabilities.:MLjJJH31m«ieBU11TUuK«14JMMi1*i«逐1r»a1-««B«J丑1I«?B-trBD-*vl1'i-Chapter5Man

43、agingInterestRateRisk:DurationGAPandMarketValueofEquityP140(DGAP)=DA-MVL/MVA)DLMVE=-DGAPy/(1+y)MVAP141DGAPSummaryDGAPChangeininterestratesChangeinmarketvalueassetsliabilitiesequitypositiveJ>JTJpositiveJf>fTfnegativeJVJTJnegativeJfVfTfzerofJ=JTnonezeroJf=fTnoneP142Exhibit5.4P144Embeddedoptionss

44、harplyinflueneetheestimatedvolatilityinMVE1. Prepaymentsthatexceed(fallshortof)thatexpectedwillshorten(lengthen)duration.2. Abondbeingcalledwillshortenduration.3. Adepositthatiswithdrawnearlywillshortenduration.Adepositthatisnotwithdrawnasexpectedwilllengthenduration.P147Earningsensitivityanalysisve

45、rsusMVEsensitivityanalysisGAPandearningssensitivityanalysisfocusonthepotentialvolatilityofnetinterestincomeoverdistinettimeintervals.Netinterestincomeiscalculatedinbookvalueterms,notmarketvalues.Abankmanagestheeffectsofvolatileinterestrateswithineachtimeperiodseparately.Incontrast,thedurationandMVEs

46、ensitivityapproachfocusesonthepotentialvariabilityofabank'smarketvalueofequity.Durationgapisasinglemeasurethatsummarizesthecumulativeimpactofinterestratechangesonabank'stotalportfolio.Thus,thebankcontinuouslymanagestotalfirmrateriskaccordingtothisonenumber.Becausethemodelshavedifferentobject

47、ives,theyaddressdifferentissues.Strengthsandweaknesses:DGAPandMVEsensitivityanalysis1. DGAPrecognizesthetimevalueofeachcashflow,avoidingthedifficultywithtimebuckets.2. Cashflowsthatariseafteroneyearareincludedindurationcalculations,butoftenignoredinGAPcalculations.3. Durationmeasuresarealsoadditives

48、othebankcanmatchtotalassetswithtotalliabilitiesratherthanmatchindividualaccounts.4. DurationanalysistakesaIonger-termviewpointandprovidesmanagerswithgreaterflexibilityinadjustingratesensitivitybecausetheycanuseawiderangeofinstrumentstobalancevaluesensitivity.DurationandMVEsensitivityanalysis'swe

49、aknesses:1. It'sdifficulttocomputedurationaccurately.2. Tobecorrectdurationanalysisrequiresthateachfuturecashflowbediscountedbyadistinctdiscountratereflectingtheexpectedfuturerateatthetimethecashflowarises.3. Abankmustcontinuouslymonitorandadjustthedurationofitsportfolio.4. It'sdifficulttoes

50、timatethedurationonassetsandliabilitiesthatdonotearnorpayinterest.Chapter7TheEffectiveUseofCapitalP178TheBasleagreementIn1986,U.S.bankregulatorsproposedthatU.S.banksberequiredtomaintaincapitalthatreflectstheriskinessofbankassets.By1988,theproposalhadgrowntoincluderisk-basedcapitalstandardsforbanksin

51、12industrializednationsaccordingtothetermsoftheBasleAgreement.Regulationswerefullyinplacebytheendof1992.TermsoftheBasleAgreementvaried,primarilyintermsofwhatconstitutescapital,buttherearecommonelements.1. Minimumcapitalrequirementislinkedtoitscreditriskasdeterminedbythecompositionofassets.2. Stockho

52、lders'equityisdeemedtobethemostcriticaltypeofcapital.3. Minimumcapitalrequirementincreasedto8%fortotalcapital.4. Capitalrequirementswereapproximatelystandardizedbetweencountriesto'Leveltheplayingfield.'Perpetualpreferredstockhasnosetmaturitydate.Subordinateddebtreferstobondswheretheclaim

53、sofbondholdersarepaidonlyafterinsuredanduninsureddepositorsarepaidinthecaseofabankfailure.P180計算風險加權資產(chǎn)P183Whatconstitutesbankcapital?Accordingtoaccountingdefinition,capitalornetworthequalsthecumulativevalueofassetsminusthecumulativevalueofliabilities,andrepresentsownershipinterestinafirm.P186Tier1or

54、corecapitalconsistsof:1. commonequity,2. qualifyingperpetualpreferredstock,and3. minorityinterestinconsolidatedsubsidiaries,lessintangibleassetssuchasgoodwill.Tier2capitalorsupplementarycapital:1. allowanceforloanlossreservesupto1.25percentofrisk-weightedassets,2. preferredstock,and3. mandatoryconve

55、rtibledebt.Leveragecapitalratios:Tier1capitaldividedbytotalassetsnetofgoodwillanddisallowedintangibleassetsanddeferredtaxassets.Thiscapitalrequirementwasimplementedtopreventbanksfromoperatingwithlittleornocapital,eventhoughrisk-basedstandardsmightallowit.P192ThenewBASELcapitalaccord(BASELII)andopera

56、tionalriskTheeventsofSeptember11,2001tragicallydemonstratedtheneedforbankstoprotectthemselvesagainstoperationalrisktotheirsystemsandpeople.Startingin2005,regulatorswillbegincalculatingbankcapitalaccordingtotherecentlyadoptedBaselIIAccordforcapitaladequacy.1. ThenewfocusofBaselIIisoperationalrisk.2.

57、Thefocusisontheoptimumuseofcapitalinthetechnologyandbusinessprocessoperationsareasofafinancialinstitution.TheBaselCommitteedefinesoperationalriskas“theriskoflossresultingfrominadequateorfailedinternalprocesses,people,andsystems,orfromexternalevents.P192-195Functionsofbankcapital1. Providesacushionforfirmstoabsorblossesandremainsolvent.2. Providesreadyaccesstofinancialmarkets,guardsagainstliquidityproblems.3. Constrainsgrowthandlimitsrisk-taking:DTA/TA=DEQ/EQP195Uncertaintyregardingthelinkbetweencapitalandliquidityproblemsandbankfai