1 1 Topic 3 Asset Liability Management (ALM) Required Readings Peter S Rose, Chương 6, 7, 8 Gs Nguyễn Văn Tiến, Chương 9 2 Nội dung Ý nghĩa của Quản trị theo mô hình ALM Ảnh hưởng của rủi ro lãi s.
Topic Asset-Liability Management (ALM) Required Readings: Peter S.Rose, Chương 6, 7, Gs Nguyễn Văn Tiến, Chương Nội dung Ý nghĩa Quản trị theo mơ hình ALM Ảnh hưởng rủi ro lãi suất thu nhập ngân hàng Rủi ro lãi suất: Mơ hình Khe hở nhạy cảm lãi suất áp dụng khe hở nhạy cảm lãi suất để lượng hóa tác động rủi ro lãi suất đến thu nhập ngân hàng Ứng dụng mơ hình Thời lượng quản trị ALM Quản trị Tài sản Nguồn vốn (ALM) Khái niệm Ý nghĩa Xu hướng Lãi suất hoàn vốn -Yield to Maturity (YTM) n CFt t t =1 (1 + YTM) Market Price = ∑ Lãi suất chiết khấu ngân hàng (DR) DR = FV - Purchase Price 360 * FV # Days to Maturity Trong đó: FV equals Face Value Conversion of DR into YTM YTM equivalent yield = (100 – purchase price)/Purchase Price * (365/days to maturity) Example Suppose, a 100$ security is now sold on the market at price of $96 with days to maturity of 90 days What’s DR, the YTM equivalent yield? 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% Thu nhập từ lãi ròng (NII) Thu nhập từ lãi cận biên (NIM) NII: Net interest income NIM = Interestincome − Interest exp enses Totalearningassets Rủi ro lãi suất Rủi ro giá tài sản Khi lãi suất tăng lên, làm cho giá trị thị trường tài sản trái phiếu giảm Rủi ro tái đầu tư Khi lãi suất giảm, tiền lãi từ trái phiếu coupon, khoản cho vay trả trước tái đầu tư với mức lãi suất thấp 10 Rủi ro lãi suất: Rủi ro tái đầu tư Nếu lãi suất thay đổi, ngân hàng phải tái đầu tư dòng tiền từ tài sản nguồn vốn cần tái tài trợ (huy động tiếp) chịu mức lãi suất thay đổi tương lai Với điều kiện khác không đổi, tăng lên lãi suất, làm tăng thêm thu nhập cho ngân hàng đồng thời làm tăng chi phí ngân hàng Phân tích khe hở nhạy cảm lãi suất theo trạng thái tĩnh quan tâm đến ảnh hưởng thay đổi lãi suất đến thu nhập ròng ngân hàng 11 Rủi ro lãi suất: Rủi ro giá Nếu lãi suất thay đổi, thị giá tài sản nguồn vốn thay đổi Thời lượng dài thi mức độ ảnh hưởng thị giá tài sản nguồn vốn biến động lãi suất lớn Thời lượng GAP xem xét ảnh hưởng thay đổi lãi suất đến giá trị thị trường vốn chủ sở hữu 12 Các mơ hình lượng hóa rủi ro Mơ hình kì hạn đến hạn (The maturity model) Mơ hình tái định giá (The repricing model) Mơ hình thời lượng (The duration model) 13 Mơ hình tái định giá Ngân hàng quan tâm: Phân tích GAP Thu nhập từ lãi ròng Giá trị thị trường vốn chủ sở hữu Là cách tiếp cận theo đo lường rủi ro ảnh hưởng đến mục tiêu thu nhập từ lãi rịng Phân tích độ nhạy thu nhập Các cách tiếp cận thông qua phân tích khe hở nhạy cảm ảnh hưởng đến thu nhập ngân hàng thay đổi lãi suất cấu trúc bảng cân đối kế toán 14 Tài sản/ Nguồn vốn nhạy cảm không nhạy cảm với lãi suất (RSA/RSL vs 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 Rate Sensitive Liabilities Those assets that will mature or reprice in a given time period (t) RSLt 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 15 Example on RSAs/RSLs Assets Liabilities Short term consumer loans (1 year maturity) 50 Equity Capital (Fixed) 20 Long term consumer loans (2 year maturity) 25 Demand deposits 40 3.Three-month Treasury Bills 30 Passbook savings 30 Six-month Treasury Notes 35 Three month CDs 40 Three year Treasury Bonds 70 10 year, fixed rate mortgages 20 Six month CP Three month Banker acceptances 20 60 One year time deposits 30 year, floating rate mortgages (rate adjusted every nine months) 20 40 Two year time deposits 40 270 270 16 Within year, Determine the RSAs =? RSLs = ? How’s about NRS for assets and liabilities? 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 extended period ∆NII i = (GAPi )∆Ri = ( RSAi − RSLi )∆Ri ∆NII i = (CGAP )∆Ri 17 Example on Interest sensitive GAP Days Assets maturing or Repricing within Liabilities maturing or Repricing within Increme ntal Gap Cummul ative Gap day 20 30 -10 -10 2-30 days 30 40 -10 -20 31-90 days 70 85 -15 -35 91-180 days 90 70 20 -15 181-365 40 30 10 -5 10 5 260 260 year -5 years 18 Example 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% year Car Loan Year CD 8.50% 4.50% 4.00% What is the bank’s one year gap? 19 Example Traditional Static GAP Analysis What is the bank’s 1-year 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 year, the bank’s margin will fall (rise) 20 Other Gap Measurements Relative Dollar IS Gap Interest= Bank Size Sensitive Gap Interest Sensitivity Ratio = InterestSensitiveAssets InterestSensitiveLiabilities 21 Asset-Sensitive Bank Has: Positive Dollar Interest-Sensitive Gap Positive Relative Interest-Sensitive Gap Interest Sensitivity Ratio Greater Than One 22 Liability Sensitive Bank Has: Negative Dollar Interest-Sensitive Gap Negative Relative Interest-Sensitive Gap Interest Sensitivity Ratio Less Than One 23 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 interestbearing liabilities 24 Example Consider the following balance sheet: Ex pe cte d Ba la nce She e t for Hypothe tica l Ba nk Asse ts Yie ld Lia bilitie s Cost Ra te se nsitive $ 500 8.0% $ 600 4.0% Fix e d te $ 350 11.0% $ 220 6.0% Non e a rning $ 150 $ 100 $ 920 Equity $ 80 Tota l $ 1,000 $ 1,000 NII = (0.08 x 500 + 0.11 x 350) - (0.04 x 600 + 0.06 x 220) NII = 78.5 - 37.2 = 41.3 NIM = 41.3 / 850 = 4.86% GAP = 500 - 600 = -100 25 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? 26 1% increase in short-term rates Ex pe cte d Ba la nce S he e t for Hypothe tica l Ba nk Asse ts Yie ld Lia bilitie s Cost $ 500 9.0% $ 600 5.0% $ 350 11.0% $ 220 6.0% $ 150 $ 100 $ 920 Equity $ 80 Tota l $ 1,000 $ 1,000 Ra te se nsitive Fix e d te Non e a rning NII = (0.09 x 500 + 0.11 x 350) - (0.05 x 600 + 0.06 x 220) NII = 83.5 - 43.2 = 40.3 NIM = 40.3 / 850 = 4.74% With a negative GAP, GAP = 500 - 600 = -100 more liabilities than assets reprice higher; hence NII and NIM fall 27 1% decrease in the spread Ex pe cte d Ba la nce S he e t for Hypothe tica l Ba nk Asse ts Yie ld Lia bilitie s Cost $ 500 8.5% $ 600 5.5% $ 350 11.0% $ 220 6.0% $ 150 $ 100 $ 920 Equity $ 80 Tota l $ 1,000 $ 1,000 Ra te se nsitive Fix e d te Non e a rning NII = (0.085 x 500 + 0.11 x 350) - (0.055 x 600 + 0.06 x 220) NII = 81 - 46.2 = 34.8 NII and NIM fall (rise) with a NIM = 34.8 / 850 = 4.09% decrease (increase) in the GAP = 500 - 600 = -100 spread Why the larger change? 28 Proportionate doubling in size Ex pe cte d Ba la nce Asse ts Ra te se nsitive $ 1,000 Fix e d te $ 700 Non e a rning $ 300 Tota l $ 2,000 S he e t for Hypothe tica l Ba nk Yie ld Lia bilitie s Cost 8.0% $ 1,200 4.0% 11.0% $ 440 6.0% $ 200 $ 1,840 Equity $ 160 $ 2,000 NII = (0.08 x 1000 + 0.11 x 700) - (0.04 x 1200 + 0.06 x 440) NII = 157 - 74.4 = 82.6 NII and GAP double, but NIM = 82.6 / 1700 = 4.86% GAP = 1000 - 1200 = -200 stays the same NIM What has happened to risk? 29 RSAs increase to $540 while fixed-rate assets decrease to $310 and RSLs decrease to $560 while fixed-rate liabilities increase to $260 Ex pe cte d Ba la nce She e t for Hypothe tica l Ba nk Asse ts Yie ld Lia bilitie s Cost Ra te se nsitive $ 540 8.0% $ 560 4.0% Fix e d te $ 310 11.0% $ 260 6.0% Non e a rning $ 150 $ 100 $ 920 Equity $ 80 Tota l $ 1,000 $ 1,000 NII = (0.08 x 540 + 0.11 x 310) - (0.04 x 560 + 0.06 x 260) NII = 77.3 - 38 = 39.3 Although the bank’s GAP NIM = 39.3 / 850 = 4.62% (and hence risk) is lower, 30 GAP = 540 - 560 = -20 NII is also lower 10 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 31 Summary of GAP and the Change in NII GAP Summary Change in Interest Income Increase > Decrease > Positive Positive Change in Interest Income Increase Decrease Negative Negative Increase Decrease Increase Decrease < < Increase Decrease Decrease Increase Zero Zero Increase Decrease Increase Decrease = = Increase Decrease None None GAP Change in Interest Expense Increase Decrease Change in Net Interest Income Increase Decrease 32 Exercise on IS GAP, NII Assets Rate sensitive Non rate sensitive Non earning Total Liabilities and Equities 200 (12%) 400 (11%) 100 700 Rate sensitive 300 (6%) Non rate sensitive 300 (5%) Equity 100 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? 33 11 Three problems with IS GAP Time Horizon Market value effects Focus on Net interest income 34 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 35 Duration and its measurement n D = ∆ P P E x p e c te d C F * t (1 + Y T M ) t n E x p e c te d C F ∑t = (1 + Y T M ) t ∑ t =1 = − D ∆ i x + i A loan with annual interest payment @10% for 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%? 36 12 Net Worth of the bank NW = A − L ∆NW = ∆A − ∆L 37 Duration GAP Duration GAP = Duration of asset portfolio – Duration of bank liabilities The bank tries to manage duration gap approaching zero Positive duration gap Negative duration gap n ∑Durationofeachassetxmarketvalue AssetportfolioDuration = i=1 Totalmarketvalueofallassets 38 13 ... 560 4.0% Fix e d te $ 31 0 11.0% $ 260 6. 0% Non e a rning $ 150 $ 100 $ 920 Equity $ 80 Tota l $ 1,000 $ 1,000 NII = (0.08 x 540 + 0.11 x 31 0) - (0.04 x 560 + 0. 06 x 260 ) NII = 77 .3 - 38 = 39 .3. .. Increme ntal Gap Cummul ative Gap day 20 30 -10 -10 2 -30 days 30 40 -10 -20 31 -90 days 70 85 -15 -35 91-180 days 90 70 20 -15 181 - 36 5 40 30 10 -5 10 5 260 260 year -5 years 18 Example A bank makes... at price of $ 96 with days to maturity of 90 days What’s DR, the YTM equivalent yield? Example DR = (100 – 96) /100 * 36 0/90 = 0. 16 Equivalent YTM = (100 – 96) / 96 * 36 5/90 = 0. 169 0 Actual YTM