Ngân hàng tín dụng - Chương 4: Quản trị Tài sản – Nguồn vốn của Ngân hàng (ALM)

Chương 4Quản trị Tài sản – Nguồn vốn của Ngân hàng (ALM)Required Readings: Peter S.Rose, Chương 6, 7, 81Nội dung chươngMục đích của quản trị ALMRủi ro lãi suất tác động đến kinh doanh ngân hàngRủi ro lãi suất: GAP và sự nhạy cảm thu nhậpỨng dụng Duration trong quản trị RRLS2Asset-Liability Management Mục đích của Quản trị ALM?3Lãi suất hoàn vốn Yield to Maturity (YTM)4Bank Discount Rate (DR)Trong đó: FV equals Face Value5Conversion of DR into YTMYTM equivalent yield =(100 – purchase price)/Purchase Price * (365/days to maturity)6ExampleGiả 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?7ExampleDR = (100 – 96)/100 * 360/90 = 0.16Equivalent YTM = (100 – 96)/96 *365/90 = 0.1690Actual YTM = PV = -96, FV = 100, N = 90/365, I = ?I = 18%8Interest Rate RiskBanks 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) targetingEarnings Sensitivity AnalysisEarnings sensitivity analysis extends GAP analysis by focusing on changes in bank earnings due to changes in interest rates and balance sheet composition9Thu nhập từ lãi ròng (NII) và Thu nhập từ lãi cận biên (NIM) NII: Net interest income10Interest Rate RiskPrice RiskWhen Interest Rates Rise, the Market Value of the Bond or Asset FallsReinvestment RiskWhen Interest Rates Fall, the Coupon Payments on the Bond are Reinvested at Lower Rates11Interest 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.12Interest 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.13Rate 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.RSAtRate Sensitive AssetsThose assets that will mature or reprice in a given time period (t)RSLtRate Sensitive LiabilitiesThose 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 cash14What Determines Rate Sensitivity? An asset or liability is considered rate sensitivity if during the time interval:It maturesIt represents and interim, or partial, principal paymentIt can be repricedThe interest rate applied to the outstanding principal changes contractually during the intervalThe outstanding principal can be repriced when some base rate of index changes and management expects the base rate / index to change during the interval15Example on RSAs/RSLsAssets Liabilities 1. Short term consumer loans (1 year maturity)50Equity Capital (Fixed)202. Long term consumer loans (2 year maturity)25Demand deposits403.Three-month Treasury Bills30Passbook savings304. Six-month Treasury Notes35Three month CDs405. Three year Treasury Bonds70Three month Banker acceptances206. 10 year, fixed rate mortgages20Six month CP607. 30 year, floating rate mortgages(rate adjusted every nine months)40 One year time deposits20Two year time deposits40 270 270Within 1 year, Determine the RSAs =? RSLs = ? How’s about NRS for assets and liabilities?16Interest rate GAP/ Dollar GAP/ Funding GAP/ Maturity GAP)GAP = RSAs – RSLsCummulative GAP (CGAP): measures the difference between RSA and RSL over a more extended period17Example on Interest sensitive GAPDays Assets maturing or Repricing withinLiabilitiesmaturing or Repricing withinIncrementalGapCummulativeGap1 day2030-10-102-30 days3040-10-2031-90 days7085-15-3591-180 days907020-15181-365403010-51 year -5 years10550 260260  18ExampleA 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?19ExampleTraditional Static GAP AnalysisWhat is the bank’s 1-year GAP with the auto loan?RSA1yr = $0RSL1yr = $10,000GAP1yr = $0 - $10,000 = -$10,000The bank’s one year funding GAP is -10,000If interest rates rise (fall) in 1 year, the bank’s margin will fall (rise)20Other Gap MeasurementsRelative Interest-Sensitive GapInterest Sensitivity Ratio21Asset-Sensitive Bank Has:Positive Dollar Interest-Sensitive GapPositive Relative Interest-Sensitive GapInterest Sensitivity Ratio Greater Than One22Liability Sensitive Bank Has:Negative Dollar Interest-Sensitive GapNegative Relative Interest-Sensitive GapInterest Sensitivity Ratio Less Than One23Factors Affecting Net Interest IncomeChanges in the level of interest ratesChanges in the composition of assets and liabilitiesChanges in the volume of earning assets and interest-bearing liabilities outstandingChanges in the relationship between the yields on earning assets and rates paid on interest-bearing liabilities24ExampleConsider the following balance sheet:25Examine the impact of the following changesA 1% increase in the level of all short-term rates?A 1% decrease in the spread between assets yields and interest costs such that the rate on RSAs increases to 8.5% and the rate on RSLs increase to 5.5%?A proportionate doubling in size of the bank? 261% increase in short-term ratesWith a negative GAP, more liabilities than assets reprice higher; hence NII and NIM fall271% decrease in the spreadNII and NIM fall (rise) with a decrease (increase) in the spread. Why the larger change?28Proportionate doubling in sizeNII and GAP double, but NIM stays the same. What has happened to risk?29RSAs increase to $540 while fixed-rate assets decrease to $310 and RSLs decrease to $560 while fixed-rate liabilities increase to $260Although the bank’s GAP (and hence risk) is lower, NII is also lower. 30Changes in Portfolio Composition and RiskTo reduce risk, a bank with a negative GAP would try to increase RSAs (variable rate loans or shorter maturities on loans and investments) and decrease RSLs (issue relatively more longer-term CDs and fewer fed funds purchased) Changes in portfolio composition also raise or lower interest income and expense based on the type of change31Summary of GAP and the Change in NII32Exercise on IS GAP, NIIAssetsLiabilities and EquitiesRate sensitive 200 (12%)Non rate sensitive 400 (11%)Non earning 100Total 700Rate sensitive 300 (6%)Non rate sensitive 300 (5%)Equity 100Total 700Q: Determining the GAP? Net interest income? Net interest margin? How much will net interest income change if interest rates fall by 2%?What changes in portfolio composition would you recommend to management if you expected interest rates to increase?33Three problems with IS GAP Time HorizonMarket value effectsFocus on Net interest income34Duration GAP analysisWhat is Duration and its measurement?Networth of the bank (NW)Duration GAP and hedging interest rate risk with durationWeaknesses of duration GAP35Duration and its measurementA loan with annual interest payment @10% for 5 years, the loan principal is $1000. What is the Duration of the loan if the current market price is $1000? How is the loan price vary if the interest rates increase by 1%?36Net Worth of the bank37Duration GAPDuration GAP = Duration of asset portfolio – Duration of bank liabilities The bank tries to manage duration gap approaching zeroPositive duration gapNegative duration gap38Weaknesses of duration GAP?39