米什金货币金融学(商学院版)第9章课件教学文案.ppt

,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Copyright 2010 Pearson Addison-Wesley.All rights reserved.,10-,*,米什金货币金融学(商学院版)第9章课件,9.1.1 Liabilities,1.Checkable deposit,Bank accounts that allow the owner to write checks to third parties.,Includes:,-Demand deposit,-NOW accounts:,-MMDAs:similar to money market mutual funds and not subject to reserve requirements,Once are the most important source of bank funds,but the share has shrunk over time.,Usually the lowest-cost source of bank fund.,2.Nontransaction Deposit,Primary source of bank funds.,Owners cannot write checks,but the interest rates are usually higher.,Two types:,-Savings accounts,-Time deposit:have a fixed maturity length.,3.Borrowings,More and more important.,4.Bank Capital,The difference between total assets and liabilities.(8%),Raised by selling new stock or from retained earnings.,Is a cushion against a drop in the value of its assets.,9.1.2 Assets,1.Reserves,Reserves=Vault cash+Deposits in an account at the central bank(required reserves+excess reserves),No interest payment.,Banks hold reserves for two reasons:,1)Reserve requirement,2)Reserves are the most liquid and can be used to meet its obligations when funds are withdrawn.,中国的历次调整,Cash items in process of collection,Suppose a check written on an account at another bank is deposited in your bank and the funds for this check have not yet been received from the other bank.,3.Deposits at other banks,Many small banks hold deposits in larger banks in exchange for a variety of services.,All of the above three are referred to as,cash items,.Importance shrinking over time.,4.Securities,An important income-earning asset.(23%),Made up entirely of debt instruments.,5.Loan,Banks make their profits primarily by issuing loans.(66%),Typically less liquid and have a higher probability of default than other assets.,5.Other assets,The physical capital owned by the banks.,浦发银行,2011,年资产负债表,资产,现金及存放中央银行款项,366,957,099,000,14%,存放同业和其它金融机构款项,267,876,482,000,10%,拆出资金,111,415,298,000,4%,买入返售金融资产,281,509,782,000,10%,发放贷款及垫款,1,302,323,950,000,49%,可供出售金融资产,147,929,131,000,6%,持有至到期投资,158,535,453,000,6%,负债,同业和其它金融机构存放款项,440,908,269,000,16%,拆入资金,66,970,025,000,2%,吸收存款,1,851,055,121,000,69%,负债合计,2,535,150,909,000,94%,所有者权益合计,149,542,780,000,6%,9.2 Basic Banking,Asset transformation,Selling liabilities with one set of characteristics and using the proceeds to buy assets with a different set of characteristics.,“Borrows short and lends long.”,T-account Analysis:,Deposit of$100 cash into First National Bank,AssetsLiabilities,Vault Cash+$100Checkable Deposits+$100(=Reserves),Deposit of$100 check into First National Bank,AssetsLiabilities,Cash items in processCheckable Deposits+$100,of collection +$100,First National BankSecond National Bank,AssetsLiabilitiesAssetsLiabilities,CheckableCheckable,ReservesDepositsReservesDeposits+$100+$100$100$100,Conclusion:,When bank receives deposits,reserves,by equal amount;when bank loses deposits,reserves,by equal amount,Basic Banking:Making a Profit,First National Bank,First National Bank,Assets,Liabilities,Assets,Liabilities,Required reserves,+$100,Checkable deposits,+$100,Required reserves,+$100,Checkable deposits,+$100,Excess reserves,+$90,Loans,+$90,9.3 General Principles of Bank Management,1.Liquidity Management,2.Asset Management,Managing Credit Risk,Managing Interest-rate Risk,3.Liability Management,4.Capital Adequacy Management,9.3.1 Liquidity Management,Reserve requirement=10%,Excess reserves=$10 million,Assets Liabilities,Reserves$20 millionDeposits$100 million,Loans$80 millionBank Capital$10 million,Securities$10 million,Deposit outflow of$10 million,Assets Liabilities,Reserves$10 millionDeposits$90 million,Loans$80 millionBank Capital$10 million,Securities$10 million,With 10%reserve requirement,bank still has excess reserves of$1 million:no changes needed in balance sheet,Liquidity Management,No excess reserves,Assets Liabilities,Reserves$10 millionDeposits$100 million,Loans$90 millionBank Capital$10 million,Securities$10 million,Deposit outflow of$10 million,Assets Liabilities,Reserves$0 millionDeposits$90 million,Loans$90 millionBank Capital$10 million,Securities$10 million,Liquidity Management,1.Borrow from other banks or corporations,Assets Liabilities,Reserves$9 millionDeposits$90 million,Loans$90 millionBorrowings$9 million,Securities$10 millionBank Capital$10 million,2.Sell Securities,Assets Liabilities,Reserves$9 millionDeposits$90 million,Loans$90 millionBank Capital$10 million,Securities$1 million,Liquidity Management,3.Borrow from Fed,Assets Liabilities,Securities$10 millionBank Capital$10 million,Reserves$9 millionDeposits$90 million,Loans$90 millionDiscount Loans$9 million,4.Call in or sell off loans,Assets Liabilities,Reserves$9 millionDeposits$90 million,Loans$81 millionBank Capital$10 million,Securities$10 million,Conclusion:,excess reserves are insurance against above 4 costs from deposit outflows,Bank Run of Northern Rock,Northern Rock was best known for becoming the first bank in 150 years to suffer a bank run after having had to approach the Bank of England for a loan facility,to replace money market funding,during the credit crisis in 2007.Having failed to find a commercial buyer for the business,it was taken into public ownership in 2008,and was then bought by Virgin Money in 2012.,9.3.2 Asset Management:,Three Goals,1.Seek the highest possible returns on loans and securities,2.Reduce risk,3.Have adequate liquidity,Asset Management:Four Tools,1.Find borrowers who will pay high interest rates and have low possibility of defaulting,2.Purchase securities with high returns and low risk,3.Lower risk by diversifying,4.Balance need for liquidity against increased returns from less liquid assets,9.3.3 Liability Management,1.Important since 1960s,2.Banks no longer primarily depend on deposits,3.When see loan opportunities,borrow or issue CDs to acquire funds,9.3.4 Capital Adequacy Management,1.,Bank capital is a cushion that helps prevent bank failure.,2.Higher is bank capital,lower is return on equity,ROA,=Net Profits/Assets,ROE,=Net Profits/Equity Capital,EM,=Assets/Equity Capital,ROE,=,ROA,EM,Capital,EM,ROE,3.Tradeoff between safety(high capital)and,ROE,4.Banks also hold capital to meet capital requirements,5.Managing Capital:,A.Issue or buy back stocks,B.Change dividends to change retained earnings,C.Change asset growth,Capital Adequacy Management:Preventing Bank Failure,High Bank Capital,Low Bank Capital,Assets,Liabilities,Assets,Liabilities,Reserves,$10M,Deposits,$90M,Reserves,$10M,Deposits,$96M,Loans,$90M,Bank Capital,$10M,Loans,$90M,Bank Capital,$4M,High Bank Capital,Low Bank Capital,Assets,Liabilities,Assets,Liabilities,Reserves,$10M,Deposits,$90M,Reserves,$10M,Deposits,$96M,Loans,$85M,Bank Capital,$5M,Loans,$85M,Bank Capital,-$1M,9.4 Managing Credit Risk,Solving Asymmetric Information Problems,9.4.1.Screening and Monitoring,Screening,Specialize in Lending,Monitoring and Enforcement of Restrictive Covenants,9.4.2Establish Long-Term Customer Relationships,9.4.3Loan Commitment,A banks commitment to provide a firm with loans up to a given amount at an interest rate that is tied to some market interest rate.,9.4.4Collateral and Compensating Balances,Compensating Balances:A firm receiving a loan must keep a required minimum amount of funds in a checking account at the bank.Help increase the likelihood that a loan will be paid off.,9.4.5Credit Rationing,Refusing to make loans even though borrowers are willing to pay the stated interest rate or even a higher rate.,Two forms,1.Refuse to make a loan even if the borrower is willing to pay a higher interest rate.,2.Make a loan but restricts the size to less than the borrower would like.,9.5 Managing Interest Rate Risk,First National Bank,Assets,Liabilities,Rate-sensitive assets,$20M,Rate-sensitive liabilities,$50M,Variable-rate and short-term loans,Variable-rate CDs,Short-term securities,Money market deposit accounts,Fixed-rate assets,$80M,Fixed-rate liabilities,$50M,Reserves,Checkable deposits,Long-term loans,Savings deposits,Long-term securities,Long-term CDs,Equity capital,If a bank has more rate-sensitive liabilities than assets,a rise in interest rate will reduce bank profits and a decline in interest rates will raise bank profits.,Managing Interest-Rate Risk,Gap Analysis,GAP,=rate-sensitive assets rate-sensitive liabilities,=$20$50=$30 million,When,i,5%:,1.Income on assets=+$1 million,(=5%,$20m),2.Costs of liabilities=+$2.5 million,(=5%,$50m),3.,Profits=$1m$2.5m=$1.5m,=5%,($20m$50m)=5%,(,GAP,),Profits=,i,GAP,Duration Analysis,%,value,(%point,i,),(,DUR,),Example:,i,5%,duration of bank assets=3 years,duration of liabilities=2 years;,%,assets=5%,3=15%,%,liabilities=5%,2=10%,If total assets=$100 million and total liabilities=$90 million,then assets,$15 million,liabilities,$9 million,and banks net worth,by$6 million,Strategies to Manage Interest-rate Risk,1.Rearrange balance-sheet,2.Interest-rate swap,3.Hedge with financial futures,9.6 Off-Balance-Sheet Activities,OBS activities involve trading financial instruments and generating income from fees and loan sales,activities that affect bank profits but do not appear on bank balance sheets.,Loan sales,a contract that sells all or part of the cash stream from a specific loan and thereby removes the loan from the banks balance sheet.,2.Generation of Fee Income,A.Foreign exchange trades for customers,B.Servicing mortgage-backed securities,C.Guarantees of debt,D.Backup lines of credit,3.Trading Activities,A.Financial futures,B.Financial options,C.Foreign exchange,D.Swaps,Risk Management,Principal-Agent Problem,Traders have incentives to take big risks,Risk Management Controls,1.Separation of front and back rooms,2.Value-at-risk modeling,3.Stress testing,Regulators encouraging banks to pay more attention to risk 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