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

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 ass

Chương 4

Quản trị Tài sản – Nguồn

vốn của Ngân hàng (ALM)

Required Readings: Peter S.Rose, Chương 6, 7, 8

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

Asset-Liability Management

Mục đích của Quản trị ALM?

Lãi suất hoàn vốn Yield to Maturity (YTM)

CF Price

Market

Bank Discount Rate (DR)

Maturity to

Days

#

360

* FV

Price Purchase

Conversion of DR into YTM

 YTM equivalent yield =

 (100 – purchase price)/Purchase Price * (365/days

to maturity)

 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?

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

Thu nhập từ lãi ròng (NII) và Thu nhập

từ lãi cận biên (NIM)

exp as

Interestincome Interest enses NIM

Interest Rate Risk

 When Interest Rates Rise, the Market

Value of the Bond or Asset Falls

 When Interest Rates Fall, the Coupon

Payments on the Bond are Reinvested at Lower Rates

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.

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

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

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

Example on RSAs/RSLs

1 Short term consumer loans (1 year

maturity) 50 Equity Capital (Fixed) 20

2 Long term consumer loans (2 year

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 40 One year time deposits 20

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

Example on Interest sensitive GAP

Days Assets maturing or Repricing

within

Liabilities maturing

or Repricing

within

Increme

ntal Gap

Cummul

ative Gap

 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?

 Traditional Static GAP Analysis

 What is the bank’s 1-year GAP with the auto

Other Gap Measurements

Relative Interest- Sensitive Gap Bank Size

Gap IS

Dollar

=

Interest Sensitivity Ratio Interest Sensitive Liabilitie s

Assets Sensitive

Interest

=

Asset-Sensitive Bank Has:

 Interest Sensitivity Ratio Greater Than

One

Liability Sensitive Bank Has:

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

 Consider the following balance sheet:

Examine the impact of the following changes

 A 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?

1% increase in short-term rates

With a negative GAP, more liabilities than assets reprice

1% decrease in the spread

NII and NIM fall (rise) with a

Proportionate doubling in size

NII and GAP double, but NIM stays the same

What has happened to risk?

RSAs increase to $540 while fixed-rate assets decrease to

$310 and RSLs decrease to $560 while fixed-rate

liabilities increase to $260

Changes in Portfolio Composition and Risk

 To 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 change

Summary of GAP and the Change

in NII

Exercise on IS GAP, NII

Total 700

Q: 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?

Three problems with IS GAP

 Time Horizon

 Market value effects

 Focus on Net interest income

Duration GAP analysis

 What is Duration and its measurement?

 Networth of the bank (NW)

 Duration GAP and hedging interest rate risk

with duration

 Weaknesses of duration GAP

Duration and its measurement

1

1

* (1 )

(1 )

n

t t

n

t t

ExpectedCF t

YTM D

How is the loan price vary if the interest rates increase by 1%?

Net Worth of the bank

NW = − A L

∆ = ∆ − ∆

 The bank tries to

manage duration gap

Totalmarketvalueofallassets

=

= ∑

Weaknesses of duration GAP?