thiết kế hệ thống định giá chuyển vốn tại ngân hàng thương mại

va dong bQde thi truang bat dQng san phat trien lanh mc;mh,phu h<;1p vdi thong I~ quoc te va IQtrlnh hQi nh$p kinh te. ThLi'ba, hoan thi~n cac CC1che chfnh sach tai chfnh trong th! truang bat dQngsan, bbi no tac dQngtn!c tiep Wi hi~u qua cua ho~t dQngkinh doanhbat dQngsan, cOngnhuquyet d!nh Ilja chQndautu cuacac chu the trong xa hQi. Ban hanh Lu$t thue su dl:mgdat tren CC1sb Lu$t Thue su dl:mgdat nong nghi~p va Phap I~nh ve thue nha dat theo hUdng xac d!nh thue tren CC1sb di~n Uch,gia dat va thue suat. ThLi'tu; tiep tl,JCban hanhva sua doi bo sung mQtso van ban cho phu h<;1p,Cl,Jthe la: - Ngh! dinh ve xu ph~t vi ph~m hanh chfnhtrong kinh doanh bao hiemnhamxuIynhG'ngbieuhi~ntieu cljc trongho~tdQngkinhdoanhbao hiem gay thi~t h~i den quyen va l<;1i fch chfnh dang cua nguai tham gia bao hiem, lam anh hubngden uy Un va dQ an toan cua th! truang bao hiem. - Nghi d!nh ve to'chuc va ho~t dQngcua to chucbaohiemtUC1ngho. - Quy d!nh ve cung cap d!ch vl,J qua biengidi,qui d!nhve cacchi tieu giam sat ho~t dQngcac DNBH, qui dinh lien quan den quy dau tu cua DNBH. - Mb rQngchfnh sach pMt trien th! truang co phieu,trai phieu nham da d~ng hoa danh ml,Jcdau tu, thu hut cac nha dau tu trong va ngoai nudctham gia thi truang. - Cacchfnhsachmdican phaithe hi~n Slj tlj do va mb cua th! truang bao hiem theo hUdnghQinh$p, bao dam slj c~nhtranh tren cac ITnhvljc, nganh nghe. Muon the, chfnh sach cua NhanudcS8phaithljChi~ntheo hUdng khuyen khfch phat trien Yiu CHiNH W£ ~ ~ @Xtxs;TIm thuC1ngm~i bao hiem va xoa bao hiem bat bUQcnham t~o CC1hQicho mQi doanh nghi~p tham gia th! truang; tien hanh xoa bo bao hiem chuyen nganh va hUdngcac cong ty bao hiem dU<;1cquyen tham gia kinh doanh tong h<;1pcac ITnhvljc bao hiem. Ngoai ra, de t~o dieu ki~n cho cac doanh nghi~p ho~t dQng kinh doanh tren th! truang bao hiem, nha nudc can can phai thljC hi~n chfnh sach thue binh d~nggiG'acac doanh nghi~p trong nudc va cac doanh nghi~pnudc ngoai. ThLi'nam, moi DNBHcan xay dljng cho minh chien IU<;1cdau tu thich h<;1pgan vdi chien IU<;1ckinh doanh, d~c bi~t trong khau thiet ke, phat trien san pham nhamnang cao hi~u qua dau tu kinh doanh. M~t kMc, khuyen khich cac DNBH da d~ng hoa danh ml,Jcdau tu va bao dam can doi giG'anhu cauthanhtoan trudc mat va hi~uqua lau dai tf tf '" tf ,,,,9 tf TtIIETKEtIETtIONCDINtICIACliUYEN-VON . . TAI NGANHANGTHu'dNGMAI . . C hU de dinh gia chuyenvan (viettatla FTP) la m(Jttrang nhiJngvan de gay tranhcai nhieunhattranghO<;itdQngqUEmIy taisanco,taisanNg(ALM)giiJacac nganhangIantrenthegiai. dMyva uc, h~ thong dinh gia chuyenvan khOpkyh<;indllgc xemnhllmQtdieu ki~nlienquyetchosl! quantri thanh congdoi vai mQtto chUctai chfnh Ian. I. TONGQUANvEFTP FTP la mQt h~ thong do luang nQi Vi~t "ung * bQdU<;1csu dl,Jngde danhgia tac dQngtai chinhcuanguonvanvasu dl,Jngvan cua mQtnganhang.Cac ket qua cua h~ thong FTPco the dU<;1Cdung de danh gia kha nang sinhlai cuacac dC1nvi kinhdoanh, cacsanpham,cackhachhangvade baov~'<;1inhu$nkhoinhieulo~iruiro phatsinhtrongquatrinhlamtrung giantaichfnhcuanganhang. TYI~thunh$ptUlairang(viettat la NIM,dU<;1ctfnhtheocongt,,\ucthu nh(1pttl/ai rong/tongtai san Co sinh loi) la yeuto donggopdC1nIeIdnnhat VaGkhanangsinhlaicuanganhang. £)e nam vG'nghC1nve NIM cua mQt ngan hang thl can phai do luang chi so ho~tdQngnay t~i cap dC1nvi kinh doanh. Vi~c thljc hi~n FTP giup dC1n gian hoa qua trinh do luang NIM t?i cap dC1nv!kinh doanh. MQth~ thong FTPt~i capdQsanphamS8tfnhtoan slj dong gap VaGNIM cua tltng san phamva sau do cQngI?iS8tfnhdU<;1c .Tp.Ha NQi T~ em NCANIiANc - sO11NAM'2005 61 TAl CHINH w£~~~TIm sl,f dong.g6p cua don vi so hG'u nhiingsan phamd6. M(>th~ thong FTP chinh xac se chia nho NIM thanh nhiing thanh to sau: chenh I~chtai sanC6, cMnh I~chtai san N<;JvachenhI~chruiroli'iisuat.Can cu vao sl,fchia nho NIM nhu'tren, ngi'mhangse c6 cacthongtin chu yeudedinhgiacacsanpham,phi'm bocacnguonIl,fCva hieuro honve cacnguongocsinhIOicuaminh. M(>th~thongFTPchuanse101?i bo rui ro li'ii suat khoi don vi kinh doanhva t$p trung rui ro nay t1?i trungtamFTP.Vi~c101?ibo rui ro li'ii suat nay cho phepdo Iu'ongchinh xachi~uquah01?td(>ngthl,fCSl,fcua cacchinhanh.Cacchinhanhc6the c6 kha nangkiemsoat nhiingd~c diemdinhgial1?icuacac sanpham vaxaydl,fngcacchinhsachdinhgia sanphamdedapl1?inhiingthaydoi li'ii suatthi tru'ong.Nhu'nghQkhong c6 kha nang kiem soat doi v(ji moi tru'dngli'ii suat thl,fCsl,fva do d6 NIM cua hQphai du'<;Jcdo Iu'dngv(ji dieu ki~n 101?ibo thanh to rui ro li'ii suat cua NIM. II- MOlQUANH~GlfrAFTPvAALM Giang nhu'hau het cac h~ thong ALM, FTP Xlt Iy nhiing khac bi~t (khongan kh(jphaychenhI~ch)giiia cac tai san C6 va tai san N9 ve gia trL ky h1?n.thai diem dinh gia l1?i(Ia sl,f thay doi li'ii suat cua tai san N<;J hO$ctai san C6),tinh chac chan cua dong tien va cac dieu ki~n khoi t1?O giao d!ch ma dl,favao d6 van du'<;Jc cung cap va Sltdl;jng.TrongkhiALM Xlt Iy cac chenh I~ch cua toan b(> bang can doi. FTP t~p trung vao nhiing cMnh I~chn(>ib(>giiia cac chi nhanh hay giiia cac dong san pt>3m rieng bj~t.ALM ph~i i11~nrui ro tong the va cac COh(>isinh Idi cua bang can doi, trong khi m(>th~ thong FTP du'9cxay dl,fngtot co the phan bo 19i nhu$nva cacrui ro kemtheochocac chi nhanhkhojt1?Ogiaodich. Sl,fh01?t .d(>ngsong hanh cua hai h~ thong nay cungcapcac thongtin giatr! cho cac nhaquantri ngan hang. III- cAePHU'ONGPHApFTPTHONGD~NG 1. Mot nhom - mot Iii , , ', , . suat duy nhat Trong phu'ong phap nay, cac khoan van du'<;Jct$p h<;Jpvai nhau thanhm(>tnh6mduy nhat,chi c6 m(>t li'ii suat du'<;Jcap dl;jngde tra li'ii cho tat ca cac dOnvi cungcap van va de tinh li'iicho tat ca cac don vi Sltdl:mg van. Li'ii suat nay co the la chi phi binh quan gia quyen cua cac nguon van, li'ii suat cho vay qua dem giiia cac ngan hang, li'ii suat cho vay doi v(ji khachhangtot nhat hO$cm(>tso li'ii suat khactrenthi tru'ongvan. Uu diem cua phu'ongphapnay la de hieuvade thl,fChi~n.Nhu'ngnoco rat nhieu nhu'<;Jcdiem, d$Cbi~t la no khong tinh den cac d$c diem ve ky h1?nho~c rui ro tiem an. Phuong phap nay gia d!nh dIng tat ca cac nguon van deu co tam quan trQng nhu' nhau doi vai ngan hang. Hon niia, vi$c Il,fachQnli'ii suat chuyen van lam sai I~ch cac ket qua do Iu'dngsl,fdongg6p19inhu$n:li'iisuat chuyen van dl,favao chi phi van se lam tang muc d(>dong gop cua don vi Sltdl:mgvan rang; li'ii suat chuyen van dl,favaoIaisuatdaura cua ngan hangselam tangphandonggop cua don vi cung cap van rang. 2. Hai nhom - hai Iii sdt Phu'ongphap nay Slt d~ng hai nhom tai san va hai li'ii suat FTP tu'ongling, theodo cac nguonvan du'9ccung cap(cac tai san N<;J) du'<;Jc t$p h9Pvao m(>tnhom va nhom nay c6 m(>tli'ii suatFTPdu'<;Jctinhtoan dl,fatren li'ii suat dau ra. Cac nguon van du'<;JcSlt d~ng (cac tai san Co) du'<;Jct~p h9Pvao nhomthu haivaco m(>tli'ii suat FTPcan cu vao li'ii suat dau vao cua ngan hang. Phu'ong phap nay 101?ibodu'<;Jcnhiing yeu diem cua phu'ongphap m(>tnhom- m(>tli'ii suat va t1?Ora nen tang cho vi~c xac dinh kha nang sinh IOicua san pham; lam tang tinh minh b1?ch ve gia tri dong gop cua don vi cung cap van va don V!Sltd~ngvan. M(>tyeu diem cua phu'ongphap nay la no phanbo kep tong thu nh$p tU li'ii rang cua ngan hang. De khac phl;jcyeu diem nay,ngu'dita chia tat ca ket qua d6ng gop 19inhu$n lam hai hO$cSltd~ngm(>tli'iisuatchuyen van nam giiia li'iisuat dau vao va li'ii suat dau ra. M(>tyeu diem niia la phu'ongphap nay khong cong nh$n rang ky h1?ncua van anh hu'ongden gia tri dong g6p cua chung. Trong phu'ongphap nay, van ngan h1?nva van dai h1?nco li'ii suat chuyen van nhu' nhau. Ca 2 phu'ongphap tren deu khOngxet den nhiing khac bi$t dl,favao ky h1?nvan. 3. Can doi titng tai san co vOititng tai sanNf! M~cdichcua phu'ongphapnayla lamchotltngtai sanN<;J khapvai tUngtai san Covai m(>tgia tri, kyh1?n va d~c diem rui ro giong nhau. Tuy nhien, vi$c ap d~ng phu'ong phap nay trenthl,fCte gan nhu'la khongthe thl,fChi~ndu'<;JC,va do do nochi mang tinh Iy thuyet hay hQcthu$t ma thai. Qua thl,fCla co m(>tso nganhangap d~ng phu'ongphap nay m(>tcach co Il,fachQn,vi d~ nhu'm9t khoan van vay tUngan hang trung u'ongco the du'9Ccan doi v(ji m9t khoanvay ho~c m9t dl,fan vay c~ the. Nhu'ngnhiing co h9i hay tinh huang nhu' v$y thu'dngla rat h1?ncheva luan luonco nhiing tai san N<;J.Co khong khap nhau vi day la m9t d~c tru'ng cua h01?td9ng kinh doanh ngan hang. 4. Da nhom - da Iii sdt Day la phienban mo r9ng cua .,phu'ongphapm9t nh6m- m9t lai 62 T~ CIIiNcANIIhNG- &6 11NAM'lOO5 suatchuyenvan.Ve co blm, moi ben cua bang can doi dli<;JCchia thanh cac nh6mtai sanC6 va tai sanN<;J cancuvaocactieuchi nhli kyh<;ln, Iai suat, rui ro hay mQt so yeu to khac. U3isuat chuyen van cua tUng nh6m dli<;JCcan cu vao ky h<;lnva li3i suat hi$n hanh cua nh6md6. Nhiing nh6m c6 ky h<;lndai c6 li3i suat chuyenvan dai h<;ln;nhiing nh6mc6 ky h<;lnngan c6 lai suat chuyen van ngan hi~m. So Ili<;Jngva ban chat cua nhiing nh6m nay phai phan anh nhiing d~c diem kyh<;lncua bang can doi cua moi ngan hang. Li3isuatchuyenvan cua tUng nh6m the hi$n li3isuat thi trliang hi$n hanh doi voi ky h<;lncua nh6m d6. Bdi vi cac lai suat chuyen vandlfavaoli3i suatthitrliang,giatri d6ng g6p xac d!nh dli<;JCphan anh tfnh c<;lnhtranh cua qua trinh trung gian tai chinh. Nhiing nguon van dli<;JCcungcapvoi li3i suat thap hOn lai suat thi trliang hi$nhanhdli<;JCghi nh$n c6 gia tr! d6ng g6p Ion hon. Nhiing nguon van dli<;JCsa dl:mgvoi lai suat cao hOnlai suat th!trliang c6 gia tr! d6ng g6p Ion hon. C6 hai cach de xac d!nh lai suat chuyen van trong phliong phap nay. Cach thtJnhE/t/a sa dl:mglai suat th! trliang hi$n hanh. CachthtJhai /asa dl,lnglai suatth!trliang dangdli<;JCap dl,lngt<;lithai diem khdit<;!ogiao dich. Nhli<;JCdiemcuavi$c sa dl,lngli3isuat thi trliang hi$n hanh la ngan hang khOngthe danh gia cac quyet d!nh dli<;JCdlia ra t<;lithai diem d!nh gia giao dich ban dau. De danh gia cac quyet djnh d!nh gia doi voi cac giao dich dli<;JCkhdi tl?Otrong cac thai ky trlioc. gia tr! d6ng g6p phai dli<;JC danh gia can cu tren lai suat hi$n hanht<;lithai diem khClit<;lOgiao d!ch. De khac phl,lcnhli<;Jcdiem nay. cac nh6m tai slm trong qua khu voi ky hl?nkhacnhaudli<;JCt<;lorava gan co d!nh voi lai suat chuyen van dli<;JC tfnh toan dlfa tren lai suat th! trliang hi$nhanht<;lithaidiemkhClit<;lOtrong qua khu. Nhiing giao d!chdli<;1Ckhdi t<;lOt<;lithaidiemmQtnh6mmoit<;lOra se dli<;1Cgan voi lai suat chuyenvan cua nh6m d6 cho den luc dao h<;ln. Cac thay doi sau d6 cua lai suat th! trliang se khong lam thay doi gia tr! d6ng g6p. 5. Khap ky h~n Phliong phap khop ky h<;lnla phliongphaptientiennhatde kiem soatvaco I$prui ro lai suatvoi kha nangsinhlaicuasanphamva vi$C apdl,lngphliongphapnaycothela phuc t<;lPnhatso voi cac phliong phap kh,k Tliong tlf nhli phliong phapda nh6m,phliongphapkhopky h<;lnganli3isuatchuyenvanvoitUng nguonvanvagiaod!chsadl,lngvan t<;lithai diem khdi t<;lO.Ky h<;ln d day khongphailathaigiandaoh<;lncua tai sanmalathaigiantfnhdenngay tai sand6d!nhgia1<;Ii. Phliong phap khop kyh<;lndanh giacacquyetdinhd!nhgiabandau va mucd6ngg6pl<;Jinhu$nhi$nt<;li. T<;Iithai diem khdi t<;lO,mQtli3isuat . chuyenvancuamQtky hl?nnhatdinh dli<;JCtfnhcho moi nguonvanva giao dich sadl,lngvancancu trencacd~c diem dang tien cua tai san hay tai khoanva muc lai suatth!trliang hi$n hanh. Bdi vi lai suat chuyen van the hi$n mQt "Ilfa ch9n dlfa tren th! trliang", gia tr! d6ng g6p rang cua tat ca cac nguon van dli<;JCcung cap hay sa dl,lngdli<;1Cxac dinh dlfa tren cac li3isuat c<;lnhtranh t<;lithai diem d!nhgiagiao dich haytai khoan.Cac lai suat chuyen van dlfa theo kyh<;ln dli<;JClay tCtmQtdliang cong dinh gia ma thliang dli<;1Cchiet xuat tU cac dliang li3i suat trai phieu Kho b<;lc, dliang li3i suat cho vay .Iien ngan hang, ho~c dliang li3isuat hoan doi lien ngan hang. Doi khi li3i suat Till CHiNH ravJ~ ., ,,4. W£~~~ULS chuyen van lay tU dliang cong nay dli<;1Cdieu chinh theo mQt so d~c diem riengc6 cua nguonvan. Neu lai suat cua giao d!ch thay doi trlioc khi dao h<;ln,li3i suat chuyen van cOng dli<;JCtfnh l<;Ii de phananh.muc li3i suat moi cua giao d!ch d6. Muc d6ng g6p l<;1inhu$n cua moi tai san C6 dli<;JCcan cu tren muc chenh I$ch giiia li3isuat cua tai san d6 va li3isuat chuyenvan cua ky h<;ln tliong dliong tren dliang cong d!nh gia. Mucd6ngg6p naydli<;JCxac dinh bat ke tai san d6 dli<;JCcap van nhli the nao.tren thlfC te va van khong thay doi trong suot kyh<;lncua tai slm d6. Tliong tlf, muc d6ng g6p l<;Ji nhu$n cua cac tai san N<;1dli<;1Ccan cu tren chenh I$ch giiia li3isuat cua chungvoi dliang congd!nhgia va bat ke nhiing nguon van d6 dli<;JChuy dQngnhli the nao. IV- NHflNGvANDEC(JBANTRONGVI~C TRIENKHAIH~THONGFTP 1.Thuoodo rUi ro Ruiro dli<;1Cdo lliangtheo dQbien thien cua thu nh$p rang hay dQbien thien cua gia tri thi trliang cua danh ml,lctai san? ThlfCte cho thay cac gioi h<;lnrui ro doi voi thu nh$p rang va cac gioi h<;lnrui ro doi voi gia tr!th! trliang cua tai san deu dli<;1CSltdl,lng trong quanIyrui rotongthecua ngan hang va quan Iy danh ml,lccua HQi dong quan Iy tai san Nq,C6 (ALCO). Doi voi so sachke toan cua h$thong FTP va cac hO<;ltdQng kinh doanh, giao d!ch chUng khoan cua ngan hang,sa dl,lngcacgioih<;lnrui ro gan voi th! trliang la mQt chuan mlf~ .thongnhat.T<;IicapdQdOnvi kinh doanhhaychi nhanh,cac thliocdo ruirodoivoithunh~prangdlfatren phliongphaph<;lchtoanquakhula chuanmlfc ma cac nganhangap dl,lng. T~ CIIiNcANIIANc -sO 11NXM20Cfj 6:1 Tnl CHiNH w£~~~TIm 2.Cae gim h~n rU.i ro Cancutrenthudcdo rui ro thich hc;1P,nganhangnenxacdinhcacgidi h~nruiro nhuthenao?Ve gidih~n rui ro toi da doi vdi ca nganhang, nganhangkhongduc;1Cchapnh~nrui ro Idndenmucmalamthi$th~iden cac co dong.Tongmuc rui ro cua nganhangphaiduc;1cxacdjnh0 muc manganhangS8khongbaogidvUc;1t rangoaikhuvl/Cantoancuaruirolai suat.Dieunayc6nghia113nganhang phaixacd!nhcacgidjh~nruirotheo m9tcachmadambaorang: - Gia tr! th! trudngcua von chu so hltu (bang gia tri th! trudng cua tai san C6 trU'digia tr! th! trudngcua tai san Nc;1)khOngbao gid c6 the b! am doi vdi bat cu muc lai suat nao, ho~c - Dang tien hang nam (ma thu nh~p rang 113d~i di$n) S8khong bao gidbi amdoivdibatcu muclaisuat nao. C6 nhieu cong Cl,lkhac nhau duc;1cdungde d~tduc;1CnhCtngml,lc tieunay.Cacphudngphaptfnhtoan d(>nh~ycuagiatr!thitrudngcuavon chu so hltu va phudngphapgia tr! ch!urui ro (VaR)duc;1cSltdl,lngde IUc;1ngh6a lo~i gidi h~n rui ro thu nhat. Mo phong thu nh~p rang thudngduc;1cdungde xac d!nhlo~i gidih~nthuhai. Xac ainhgiai h?n rui ra aoi vai cacadnvikinhdoanh Trongm(>tnganhang,cac gidi h~n rui ro phai duc;1cxacd!nhm(>t cach nhat quande phananh kinh nghi$mva cap b~c cua ngudic6 trach nhi$m.Dudi day la m(>tso nguyentaccanban: - NgudiquanIytrungtamFTPva ngudikinhdoanhtrensangiaodich phaic6cacgidih~nruironhunhau neu hQc6 ky nangva kinhnghi$m giongnhau. - Hauhet trongcac nganhang Idn,q'uymorui rothudngratIdn,do d6cacgidih~nruirophaiduc;1cphan bo m(>tcachro rangchocacnha quanIycapcao. - Cacgidjh~nruirodoivditrung tam FTPphaidu Idn de cho phep thl/Chi$ncacgiaod!chphangngU'a ruiroo 3. L11a ehQn Iii sdt FTP va so dtt FTP 3.1-La;suatFTP Nhin bengoaithi FTPc6ve nhu ratddngianboiVIvi$ctfnhtoanchi co2 biensotheocongthucsau: Muc tai FTP allc;Jchllong ho~c phaitra= LEjisu{itFTPx Sodll FTP Tuynhien,vi$cthietI~pcacchinh sachvathl/chi$nFTPtrenthl/Cte la rat phuct~p. Cac ngan hang thudng II/a chQnlai suat FTP theo ba budc sau: Bwc 1: LI/a chQnme)talldng tai suat FTPCdban: DUdnglaisuatnay phan anh m(>tlo~t nhCtngphudngan khathi detiep c~nvdjcac nguonvon ho~c phudngan Sltdl,lngvon doi vdi lo~i hinh ngan hang ho~c san pham ngan hang.Vi dl,l,nhCtngngan hang toan cau c6 the II/a chQnm(>tchi so laisuat liennganhang(USOR)boivi hQgiao d!ch nhieu trong th! trudng nay. Cac ngan hang Idn trang khu vl/c cOngco the II/a chQnchi so lai suat naydoi vdj m(>tso congCl,lnhat d!nh maduc;1cgan vdi cac chi so lai suat lien ngan hang (vi dl,l nhu trai phieu Kho b~c My). Cac ngan hang khacc6 the II/achQnlai suat cho yay qua dem gilia cac ngan hang ho~c ket hc;1Pgilia lai suat lien ngan hang vdi lai suatth!trudnghoandoi de xay dlfng dUdngchi so lai suat FTP Cd ban. DUdngchi so lai suat nay cOng c6theduc;1Ccoinhum(>tdudngcong laisuat mathehi~nmoiquanh~gilia cac lai suat va cac ky h~n. Bwc 2: DiI~u chlnh alldng fai suat FTP cd ban: - Dieu chlnh rui ra tin dl,mg cua ngan hang: Doi khi ngan hang khong the yay von t~i muc gia trung binh tren thi trudng do rui ro cua ngan hang tang len. Neu muon yay thi nganhangphaitrathemm(>tmucphi buruiro,do do phaidieu chinhtang dUdngcong lai suat FTP. - Dieu chlnh chenh f~ch gia ai vay!cho vay von trang ne)ibe) ngan hang: Ngan hang thudng dieu chinh mucchenhI$chnay doi vdi dudnglai suat FTP Cdban nham t~o ra khoan thu nh~p cong khai cho trung tam FTP do da "lam moi gidi" gilia cac ddn V! cung cap von va ddn vi Slt dl,lngyon. - DMu chlnh phi quyen chQn: Duc;1cap dl,lngnhamphananh chi phicua vi$c cap cho khachhangm(>t II/achQnhayquyenduc;1ctra nc;1ho~c rut tien gUitrudc h~n ma khong mat phi. Ganm(>tmucphi quyenchQnVdi m(>tsan pham khi san pham nay duc;1ckhoit~o (vidl,l,tfnhm(>tmucphi nho cho tat ca cac san pham de bu dap cho nhCtngsan phamma S8thl/C sl/ bi hoan tra ho~c rut trudc h~n) ho~c khi tfnh phi quyenchQndoi vdi tllng san pham b! hoan tra/rut trudc h~n.Tuy nhien,rat nhieu ngan hang dieu chinh phi quyen chQn0 cap d(> san phamho~c danh ml,lcsan pham thayvidoi vdi tllng san phamriengre de dam bao tfnh chinh xac tuY$tdoi cua FTPva dap ltng cac yeu cau Xlt Iy dli li$u. Bwc 3: LI/achQn fai suat FTP ttl alldng cong tai suat FTP aac;Jcaieu chlnh. DUdng lai suat nay bao gom nhieu muc lai suat khac nhau tUdng tUdngltng vdi nhieulo~iky h~n.Vi$c II/a chQn lai suat FTP dai hoi phai xem xet rat nhieu nhCtngdiem khac nhau trEmdUdnglai suat FTP nay. \ ~hi~o m(>ttrudnghc;1Pngo~i1$113cac 64 T~ emNCANIIANc - sOU NAM2005 san pham/congCl,]chi co m(>tdong tien phat sinh t<i1ithdi di§m dao h<i1n cua chung.Di§m nam tren dVdnglai suat FTP ma tVdng U'ngvai ky h<i1n cua san pham do chinh la muc lai suat dungd~ tinh lai FTP. Trvdng h<;jppho bien nhvngphuc t<i1Phemla xac dinh lai suat FTP cho nhiing san pham ma co cac dong tien goc d!nhky,vi dl,]nhvcac khoan tin dl,]ngtra gap hang thang. Co m(>t so phVdng phap xac dinh lai suat FTP cho 10<i1isan pham nay: - Ph/Jdng phap binh qUEm gian oan: Tinh binh quan cac di~m nam tren dVdnglai suat FTP chinh tvang ung vai khoan tien thu dV<;jc(ho~c giai ngan)cua dongtiengoc tua san pham. Phvdng phap nay kha ddn gian nhvng co th~ hiiu ich trong m(>t so trvdng h<;jp;cho ket quakha chinh xac doi vai cac san pham co so dv nho. doanh so cao va ky h<i1nngan. PhVClngphap nay la m(>txuat phat di~m tot trong thdi ky tri~n khai FTP. - Ph/Jang phap ni'1a ky hqn: PhvClngphap nay ap dl,]nglai suat tVClngU'ngvai di~m nam tren dVdng conglai suat FTPmat<i1ido 1/2sodv goc dV<;jchoantra. 3.2- 56' dLfFTP SaukhidailIachQndV<;jclai suat FTP thich h<;jp.van de chinh sach tiE~ptheo la Il,fachQn so dv ma lai suat do 58dV<;jcap dl,]ngd~ tinh toan lai FTPdV<;jchvongho~cphaitra. Co bon van de chinhsachthenchot anh hvong den quyetdinh Il,fachQnso dv FTP: a) Mac 09 chi tiet cua so d/J.Co hai II/a ch<;m: Thu nhat.cac nhomsodv: Co th~ la m(>tnhom duy nhat ho~c nhieu nhom. can cu vao cac d~c di~m chungcuacac congcl,],san pham,vi dl,]nhv ngay dao h<i1n,phvClngthuc thanh toan, 109isan pham. PhvClng phap m(>tnhom so dv duy nhat coi tat ca cac san pham la giong nhau, khong tinh den 10<i1isan pham hay d~c di~m dinh gia l<i1i(day chinh la phvClngphap m(>tnhom - m(>tlai suat da neu a phan tren). Do do, phvClngphap nay co th~ cho nhiing ketqua ratsaiI~chva gannhv khong bao gid dV<;jcsa dl,]ngkhi ngan hang co th~ sa dl,]ngcac phvClngphaptinh toan phuct<i1Pnhvng chinh xac hCln. PhvClngphap da nhom so dV phan nhom cac san pham. cong cl,] theo cacd~cdi~mnhv 10<i1isanpham va ngay dao h<i1n.Tat ca cac so dv trong m(>tnhom nhat d!nh dV<;jcap dl,]ngm(>tlai suat FTPcho vay ho~c di vay giongnhau.Cac san pham.cO va mai dV<;jcap dl,]nglai suat FTP giong nhau, do do co th~ t<i10ra cac bien d(>ngtrong muc l<;jinhu~n hang thang. Tuy nhien, phVdngphap nay rat hiiu ich doi vai nhiing san pham khong co ky h<i1nho~cngay dinh gia l<i1i,vi dl,] nhv tai khoan tiet ki~m khong ky h<i1n.tai khoan tien glti thanh toan va cho vay bang the tin dl,]ng. Thu hai, cac san pham ddn Ie: Cac khoan tien gw/tien vay cua nhiing khach hang Ian ho~c Chinh phu ma co th~ anh hvang m~nhden kha nang sinh Idi cua ngan hang dV<;jcap dl:mg nhiing lai suat FTP rieng. b) Cap von cho so d/Jrang hay cho tong so d/J?Phvdng phap cap von cho so dv rong can cu tren m(>t I~p lu~n la m(>tchi nhanh cua m(>t ngan hangphai'W 10van" cho minh, neu thCtavan thi "ban"cho trung tam FTP; neu thieu van thl "mua" van tLt trung tam FTF>.NgV<;jcl<i1i,phvClng phapcap vanchotongsodv gia d!nh rang cac chi nhanh "ban" tat ca so van huy d(>ngdV<;jccho trung tam FTP va dV<;jChvang lai FTP cho vay va "mua" tat ca so van can co d~ h09t d(>ngtLttrung tam FTP va phai tra lai FTP di vay. Phvdng p~ cap =~~~L@ vontrentongsodv la chinhxacva hiiu ich hdn va dV<;jcdungthvdng xuyennhatVIno phananhm(>tth~c te cuacacnganhangla cactaisan N<;j vataisanCorathiemkhicandoi vai nhau.PhVdngphapcapvantren so dv ronglakhongchinhxacvi no giadinhrangcactai sanCocandoi vaicactaisan N<;j cocungkyh~n(rat khoxayratrenthl,fCte);khoapdl,]ng d cap d(>san phamchi tiet va cho vi~cphantichkhanangsinhIdicua khachhang. c) Cap von tr{m so d/J trang thang:Phvdngphapnayrathiiu ich doivainhiingnganhangcocacsan phamcosodvIanvalaisuatthanoL Trongthangnaodo, m(>tsanpham dinhgia I~it~ora Cdh(>ithaydoi lai suatap dl,]ngchokhachhangva lai suatFTP.Sl,fdinhgi$I~inaythvdng bat nguontLtsl,fthaydoim(>tchiso lai suat ben ngoaima lai suatcua sanphamdV<;jcganvao.vidl,]nhvsl,f thay doi lai suat cho vay doi vai khachhangtotnhat.Khilaisuatcho vaydoivaikhachh~ngtot nhatthay doi, nganhangcan phai phanbi~t dV<;jcso dv n<;jtrvacva saukhilai- suatthaydoLChenhI~chl<;jinhu~n cothela dangkegiiia phvdngphap cap van tren so dv trongthangva phvdngphaptinh so dv FTP cuoi thang. Neu phVdngphapcap van trensodvtrongthangkhongdV<;jcsa dl,]ng,gia tr! cua san phamse b! danhgiasaiI~ch.Mucd(>saiI~chse con Ian hdn neu tong so dv cuoi thangdV<;jcsa dl,]ngthayvi sadl,]ng sodv blnhquan. d) Capvontr{mso d/JOl1c;Jcchia nhO:Dayco Iela phvdngphapdung nhatvem~tIythuyetvachfnhxacve m~ttoanhQCdetinhlaiFTPphaitra ho~c dV<;jchvang.Tuy nhien.day thvdngla phVdngphapkhoapdl,]ng nhatva khogiai thichvai banI~nh d<i1ongan hang.Phvdngphapnay tach (haychianho)so dv goc cua T~ ClIi NCM tiANc - &5 11NAM2(Xjj 65 TAl cHiNH w£~~~1J1j m(>tsan pham thanh cac dong tien v.i:coi mai dong tien la m(>tsan pham rleng re dLf<;1Ccap von b muc lai suat FTP t<;lithai diem ma dong tien do phat sinh. :f(/. Khicap von thi!Csi! cho nhCtngso dLf (dong tien) rieng re nay, m(>tlai suat FTP cua m(>tthang nhat dinh se dLf<;1Cap dl;mgcho so dLfcua thang do. Trong thang 1, co 12 "khoan vay" rieng re, trang thang 2 co 11 khoan vay, trang thang 3 co 10 khoan vay, ap dyng phLfC1ngphap tach so dLfse lam cho thu. nMp rang W lai se kh6ngondinhvicac laisuat FTPcua cac thang la khacnhau va so tien goc thanh toan tang len. De khik phyc nhLf<;1cdiem nay, cac ngan hang can ap dyng hai bien the cua phLfC1ng phap nayla: - Tfnh trLfaclai suat FTP bang cach lay so dLfgoc binh quan trang ea ky h<;lncua khoan tin dyng chia cho chi phivon. - Hangthangap dl,mglaisuat nay doi vai so dLfn<;1goc de tinh chi phi cap von moithang. Dieunay se t<;lO ra mQtmuc thu nh$p rang W lai 6n d!nh trang suot ky h<;lncua khoan vay. 4. Quan Iy h~ thong FTP nhu'mQtdanh m~e rieng re Nen tach rieng so sach ke toan FTP hay g(>p no VaG 10<;li"tat ca cac rui ra khac" ma chLfa dLf<;1Cgiao cho m(>t dcm vi Cl,Jthe quan Iy ngo<;litru ALCO? Rat nhieu ngan hang co thai d(>khong nhat quan trang n(>ib(>doi vai FTP. Hau het cac ngan hang Ian deu yeu c3U cac nhan vien tin dl,Jng phai ap dl,Jng chi phi von trong thai gian thi!C dLf<;1Cniem yet cho cac khoan tin dl,Jng Ian co lai suat co dinh ma VLf<;1tqua gidi h<;lnnao do, VI dl,J nhLf 1 tri$u USD, de cho phep phong ngua rui ra cho giao dich do trong th0i gian thi!c. Dong thai, m(>tso ngan hang khong tach rieng danh 66 ml,Jc FTP vdi m(>tnha quan Iy Cl,Jthe, co nghTa la hang ngay cac khoan tin dl,Jng lai suat co dinh se dLf<;1Ct<;lOra ma khong dLf<;1Cphong ngua rui ra lai suat vi quy mo cua giao dich do la dLfdigiai h<;ln1 tri$u USD.NhLfng tong gia tri cua nhCtngkhoan cho vay nha nay '<;IithLfangIdnhemgiatri cua nhCtngkhoan cho vay doanh nghi$p ma vLf<;1tqua gidi h<;ln1 tri$uUSD. V$y thi t<;lisac l<;Iiyeu cau phai can doi ch~t che nguon- Slt dl,Jngnguon doi vai m(>tso giao dich nhLfngI<;Ii khong bat bu(>cd6i vdi cac giao dich khac? Toan b(> rui ra lai suat phai dLf<;1C giam sat va phong ngua kip thai, th$m chi doi vdi ca nhCtnggiao dich nha. De dam bao tinh lien tl,JCcua qua trinh giam sat nay, trung tam FTP phai dLf<;1Cquan IynhLfsau: - Xac dinh ro rang ngLfaiquan Iy FTP. - Phongngua ruira chotrungtam nay phaila trach nhi$mchu yeu cua ngLfainay. - Trungtam nay phai dLf<;1Cphong ngua tren CC1so gan v6j thi trLfang chu khong phai di!a VaGmo phang thu nh$p lai rang. - Rui ro phai dLf<;1Cdo ILfanghang ngay va bao cao hang ngaycho nha quan Iycap cao thfch h<;1p. - Trongmai cu(>ch9P cua minh, ALCO phaixemxetruira cua trung tam FTP. - Phai xac dinh cac gi6i h<;lnrui ro bang con so chfnh thuc cho trung tam FTP. - Sat cu si! vi ph<;lmnhCtnggi6i h<;lnrui ra nay phai dLf<;1Cbao cao bang van ban cho ALCOva nhCtng bi$n phap khac phl,Jcnhanh phai dLf<;1Cthi!C hi$n. - NhCtngngLf0ikhong tuan thu cac , gi6i h<;lnrui ro phai bi ky lu$t. 5. Cae m~e tieu eUa trung tam FTP Trung tam FTP kh6ng nen dLf<;1C Slt dl,JngnhLfm(>ttrung tam sinh lai de tranh nhCtngna Ii!c chong cheo. Nha quan Iy FTP gan nhLf luon bj giam doc cua cac dC1nvi kinh doanh nhin v6i con mat nghi nga. NhCtng ngLfaidi vay von W trung tam nay thi cam thay rang lai suat la qua cao va nhCtngngLf0icho trung tam nay vay von thi eam thay lai suat la qua thap. Neu trung tam nay chap nh~n rui ro lai suat cao nham kiem lai, bat cu khoanla hay lainao deu se lamtang si! nghi nga cua cac dC1nvi kinh doanh. Neu trung tam co lai, dC1nvi kinh doanh se cam thay h9 da b! "tLfdCdO<;lt"bbi vi$c dinh gia cac giao dich v6i trung tam FTP. Neu bi la, ngLfaiquan Iytrung tam FTP se b!coi la kem caL Do do, de dam bao uy tin cua h$ thong FTP,ngan hang can xac dinh gi6i h<;lnrui ro b muc vua phai doi vdi trung tam FTP va ml,Jc tieu cua trung tam nay la phi l<;1i nhu~n. 6. Riii ro tin d~g Rui ra tin dl,Jng phai dLf<;1Cquan Iy t<;lidC1nvi ra quyet dinh cho vay. Neu dC1nvi ra quyet d!nh la chi nhanh thi rui ro tin dl,Jngva lai cho vay phai nam b cap chi nhanh. Neu cac quyet d!nh tin dyng dLf<;1Ct$p trung hoa thi laicho vay binh quan phai dLf<;1Cphan cho dC1nvi ra quyet d!nh va dC1nvi nay phai chiu t6n that tin dl,Jngthi!cte nhLfm(>tkhoan chi phi. 7. Chitng khoan ~u tu' Ap dl,Jngmuc lai suat chuyen von nao cho cac chung khoan dau tLfva dC1nvi nao se giCtcac chung khoan nay? Cac chUng khoan dLf<;1CgiCtcho ba ml,Jcdfch: lam m(>tnguon sinh Idi trong mua ban chUng khoan, dung de thay the cho cac khoan tin dl,Jng ~~O<;lt d(>ngcho vay khong co li3i T~ CIIi NCM IIANC-sO11 NAM2005 w~~~~~ nhl1nghuyd(mgvonthivanc6laiva la m(>t nguon dtf trii cac tai si'mC6 long de cung cap von thanh khoi'm khi vi$c tang von huy d(>ngg~p kh6 khan. Trong vai tro thu nhat, cac chUngkhoan chi dLf<;1Csu dl;mgtren san giaodich va san giao dich c6 trach nhi$m quan Iy nhling chUng khoand6. Tronghai vai tra tiep theo, ALCa chiu trach nhi$mcuoicungva cac chung khoandU'<;1cquan Iy trong danh ml,]c cua ALCa. Cac chUng khoanphaithudU'<;1claisuatthtfccua chung. Cac tai san N<;1se dU'<;1cc(>ng them m(>tchi phi c6ng khai khactuy thu(>cvao chien 1U'<;1ccua ALca doi voi rui ro t6ng the cua nganhang.Do d6, chung ta kh6ng can phai giai quyet van de kh6 khan la nen ap dl,]nglai suat trai phieu Kho b9Chay chi phi von cua ngan hang cho cac chung khoan Kho b9C. 8. RUi ro tra nrJ va rUt ti~n giti truoo h2!on Aisechiuruironayvatfnhphibu dap nhlingrui ro naynhU'the nao? Cauhoidongiannayanchuam(>t van de vo cung phuc t9P. Tren Iy thuyet.c6 hai cachde thu phi bu dap rui ro thanh toan trU'och9n cua m(>t tai san C6 va rut tien trU'och9n cua m(>ttai san N<;1: - D!nh gia chuyenvon tai san C6 hay tai san N<;1voi nguonvon voi gia d!nh rang kh6ng c6 rui ro n6i tren va sau d6 thu phi ph9t gan voi lai suat thi trU'dngkhi phat sinh giao dich tra n<;1ho~c rut tien trU'och9n. - Tang (giam) lai suat FTP de phan gia tri cua quyen thanh toan (rut tien) trU'och9n va 109ibo giao dich dinh gia chuyen von ma khOng thu phi ph9t khi tai san N<;1ho~ctai san C6 d6 kh6ngcan namtren bang can doi cua don vi kinh doanh. Ve Iy thuyet thi ca hai phU'ong phap deu chap nh~n dU'<;1Cnhl1ng19i khacnhautrenthtfcte.PhU'ongphap thu nhat (thu phi sau) la kh6 thtfc hi$nvitrongthdikylai suatgiamse c6 m(>tkhoi1U'<;1ngIoncackhoantra n<;1trU'och9n. So tien ph9tdoi voi nhlingkhoannayc6theIondenmuc ma lam thamhl,]tthu nh~plai rang cuadonV!kinhdoanh.H~uquacua so tien ph9tIon nay la rat nghiem tr9ng:cac donvi kinhdoanhkh6ng hieumayvevandenayvadod6h9 se nghingduy tfn cuaca h$ thong FTP.Nhieunganhangda g~pphai vande nayva dod6 h$ thongFTP phai(i) ghi nh~nquyench9nva (ii) kh6ngthuphiph9ttran<;1hayruttien trU'och9n doi voi cac don vi kinh doanhma thay vao d6 la dU'am(>t mucphiquyench9nvaotrongcaclai suatFTPapdl:mgchonhlingtaisan ch!u109iruiroquyench9nnay(nhU' da neu trong bU'O'c 2 -dieu chinh phi quyen chQndoi vai duang li!iisuat FTP). 9. V6n chu all him Vonchusohiiu la thu(>cso hiiu cuaca nganhang.Thayvi dinhgia chuyenvonvonchuso hiiu, nhling tai sanC6dU'<;1Ctai tr<;1baivonttf co (maco the dU'<;1cquanIy bai trung tam FTP)can phai dU'<;1cd!nh gia chuyenvon de xac d!nhdU'<;1Ckha nangsinhloi cuatrungtamnay.Vi nhling tai san C6 dU'<;1Cdau tU'bai von ttf c6 thi sinh Idi nhl1ngvon ttf co thi kh6ngsinhIdi nen m(>tso nganhang phanb6 so tien lai nay cuatrungtam FTPchocac donvi kinh doanhnham khuyenkhich cac ket qua h09td(>ng a nhiing demvi nay,vi dl,]nhU'so tai khoan moi gia tang, phat hanh them the tfn dl,lng,the ATM D6i khi, de xac d!nh tfnh kha thi cua h09t d(>ng kinh doanh ngan hang hay xem xet cac phU'ongan dau tU'von ttf co vao h09t d(>ngkhac khong phai la ngan hang, ngan hang c6 the d!nh gia chuyenvonvonchusohiiu. '- - 10. NrJ qua h2!0n Theo phU'ongphap khop ky h9n, khi m(>tkhoan tfn dl,]ngtra thanh n<;1 qua h9n ngan hang se kh6ng thay d6i lai suat FTPdoivoi khoan n<;1nay tn! khi laisuat cua khoann<;1naythay d6i (khoan n<;1dinh gia 19i). 11. Ti~n gtd khong ky h2!on De dinh gia chuyen von tien glti kh6ng ky h9n, hau het cac ngan hangbat dau voivi$c U'octinhky h9n trung binh cua tien glti kh6ng ky h9n (ky h9n trung binh do ILfongd(>nh9y cua m(>ttai san tai chinh voi sl! thay d6i 1% cua lai suat, dU'<;1ctfnh bang binh quan gia quyen cua gia tri hi$n t9i cua tat ca cac dongtien). Sau do, ngan hang tien hanh phan tich sl! giam sut cua tien glti kh6ng ky h9n. H9 t90 ra cac nh6m ky h9n va phan bo nhling tai khoan tien glti nay vao nhling nh6mky h9ndotheo ngayma tai khoan. Khi khach hang dong tai khoan ho~c kh6ng h09t d(>ngtrong m(>tkhoangthdi gian nhatdinh,ngan hang se cho giam so dU'cua cac nhomky h9n tLfongUng.M(>tphU'ong phap khac la tach so dU'tien glti thanhtien glti cot loi va kh6ngcot loi, gan lai suat FTPdai h9n cho tien glti cot 16iva lai suat FTP ngan h9n cho phan khOngcot loi. TomI~i, cac ngan hang can phai no Il!c VU'<;1tqua nhling kh6 khan, phuc t9P trong vi$c thiet I~p thanh cong h$thongFTP,hon niia la duytri tfnh kien dinh de VLf<;1tqua tat ca cac van de mauthuan nhau. Voi m(>th$ thongALM dl!a vao dinh gia chuyen von, cac ngan hang c6 the cung co h$ thong quan Iy tai chinh hi$n t9i (cac h$ thong va quy trinh) de phl,lC vI,]cho phantfchcac chien 1U'<;1ch09t d(>ngva xac dinh giai phap toi W, tang cU'dngnh~n thuc ve rui ro lai suat trong n9i b9 ngan hang, cung cap thOngtin tot honde phattrien va giam sat vi$c dinh gia cac san pham nh9yC'8mvoi lai suat T~ CI1iNCAN IIANc - ro 11 NAM '2005 67