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 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) Bank Discount Rate (DR) Trong đó: FV equals Face Value Conversion of DR into YTM YTM equivalent yield = (100 – purchase price)/Purchase Price * (365/days to maturity) 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? 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% 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) NII: Net interest income 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 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 the same time horizon. E.g; Vault cash 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 Within 1 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 Example on Interest sensitive GAP 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%. What is the bank’s one year gap? 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 1 year, the bank’s margin will fall (rise) Other Gap Measurements Relative Interest-Sensitive Gap Interest Sensitivity Ratio Asset-Sensitive Bank Has: Positive Dollar Interest-Sensitive Gap Positive Relative Interest-Sensitive Gap Interest Sensitivity Ratio Greater Than One Liability Sensitive Bank Has: Negative Dollar Interest-Sensitive Gap Negative Relative Interest-Sensitive Gap Interest Sensitivity Ratio Less Than One 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 interest-bearing liabilities Example 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 higher; hence NII and NIM fall 1% decrease in the spread NII and NIM fall (rise) with a decrease (increase) in the spread. Why the larger change? 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 Although the bank’s GAP (and hence risk) is lower, NII is also lower. 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 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 A 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%? Net Worth of the bank 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 Weaknesses of duration GAP?