Bài giảng Chương 4: Quản trị tài sản – nguồn vốn của ngân hàng (ALM)

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Bài giảng "Quản trị tài sản – nguồn vốn của ngân hàng (ALM)" trình bày một số nội dung sau: 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. Mời các bạn cùng tham khảo.

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Nội dung Text: Bài giảng Chương 4: Quản trị tài sản – nguồn vốn của ngân hàng (ALM)

Chương 4 Quản trị Tài sản – Nguồn vốn của Ngân hàng (ALM) Required Readings: Peter S.Rose, Chương 6, 7, 8 1
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 2
AssetLiability Management Mục đích của Quản trị ALM? 3
Lãi suất hoàn vốn Yield to Maturity (YTM) n CFt Market Price t t 1 (1 YTM) 4
Bank Discount Rate (DR) FV Purchase Price 360 DR * FV # Days to Maturity Trong đó: FV equals Face Value 5
Conversion of DR into YTM  YTM equivalent yield =  (100 – purchase price)/Purchase Price * (365/days to maturity) 6
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? 7
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% 8
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 9
Thu nhập từ lãi ròng (NII) và Thu nhập từ lãi cận biên (NIM) NII: Net interest income Interestincome − Interest exp enses NIM = Totalearningassets 10
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 11
Interest Rate Risk: Reinvestment Rate Risk  If interest rates change, the bank will have to reinvest the cash flows from assets or refinance rolledover 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. 12
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. 13
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.  RSAt  Rate Sensitive Assets  Those assets that will mature or reprice in a given time period (t)  RSLt  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 14
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 15
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.Threemonth Treasury Bills 30 Passbook savings 30 4. Sixmonth Treasury Notes 35 Three month CDs 40 Three month Banker 5. Three year Treasury Bonds 70 acceptances 20 6. 10 year, fixed rate mortgages 20 Six month CP 60 One year time deposits 20 7. 30 year, floating rate mortgages 40 (rate adjusted every nine months) Two year time deposits 40 270 270 Within 1 year, Determine the RSAs =? RSLs = ? How’s about NRS for assets and liabilities? 16
Interest rate GAP/ Dollar GAP/ Funding GAP/ Maturity GAP)  GAP = RSAs – RSLs ∆NII i = (GAPi )∆Ri = ( RSAi − RSLi )∆Ri  Cummulative GAP (CGAP): measures the difference between RSA ∆NII i = (CGAP )∆Ri and RSL over a more extended period 17
Example on Interest sensitive GAP Liabilities Assets maturing maturing Increme Cummul Days or Repricing or Repricing ntal ative within within Gap Gap 1 day 20 30 10 10 230 days 30 40 10 20 3190 days 70 85 15 35 91180 days 90 70 20 15 181365 40 30 10 5 1 year 5 years 10 5 5 0 260 260 18
Example  A bank makes a $10,000 fouryear car loan to a customer at fixed rate of 8.5%. The bank initially funds the car loan with a oneyear $10,000 CD at a cost of 4.5%. The bank’s initial spread is 4%. 4 year Car Loan 8.50% 1 Year CD 4.50% 4.00%  What is the bank’s one year gap? 19
Example  Traditional Static GAP Analysis  What is the bank’s 1year GAP with the auto loan?  RSA1yr = $0  RSL1yr = $10,000  GAP1yr = $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) 20