金融市场与机构 Jeff Madura 22

22ThriftOperationsChapterObjectivesDescribethekeysourcesandusesoffundsforsavingsinstitutionsEvaluatetheexposureofsavingsinstitutionstovarioustypesofriskEstimatethevaluationofasavingsinstitutionDescribethesavingsandloancrisisanditsresolutionBackgroundonSavingsInstitutionsSavingsinstitutionshavefederalorstatechartersMutualownershipmeanstheinstitutionisownedbyitsdepositorsMutual-to-stockconversionsarepopularCharacteristicsofstockownershipManager/ownershavegreaterpotentialtobenefitOpportunitytoincreasecapitalMoresusceptibletounfriendlytakeoversBackgroundonSavingsInstitutionsSavingsbankshavecharacteristicssimilartoS&LsMutualandstockownershipStateorfederalcharterKeydifferencesbetweenS&LsandsavingsbanksisthatsavingsbanksAreconcentratedinthenortheasternU.S.HavetraditionallyhadmorediverseassetinvestmentsSourcesofFundsDeposits caninclude:PassbooksavingsCertificatesofdepositConsumerJumboMoneymarketaccountsSourcesofFundsBorrowedfundsareanaddedsourceoffundsSourcesofborrowedfundsincludeFederalfundsTheFederalReserve’sdiscountwindowRepurchaseagreementsLong-termsourcesMortgage-backedsecuritiesSubordinateddebenturesSourcesofFundsCapitaliscomposedofretainedearningsandfundsfromissuingstockIfearningsarestrong,capitalincreasesviaretainedearningsRegulatorssetminimumcapitalstandardsCapitalisasourceoffundsServestoabsorbloanandsecuritylossesProvidesbasetoleveragedepositsServestomaintainconfidenceininstitutionSourcesofFundsMortgage-backedsecuritiesareissuedbylargerinstitutionstoobtainfundsOtherinstitutions/investorspurchasemortgage-backedsecuritiesThriftearnsoriginationfeeandmaycontinuetoservicethemortgagesPrepaymentrisksexistifmortgagesarerepaidorpriortotheirmaturityProvidesliquidityforthriftforreinvestmentinmortgagesUsesofFundsCashandduefromaccountsSatisfiesreserverequirementsforcheckingservices--enforcedbytheFederalReserveMeetsliquidityneedsifcustomersdecidetowithdrawfundsCorrespondentaccountsarecashbalancesatotherinstitutionsmaintainedinreturnforvariousservicesDuefromaccountsassistinthecheckclearingprocessUsesofFundsMortgagesaretheprimaryassetofsavingsinstitutionsCharacteristicsofmortgagesatsavingsinstitutionsLong-termmaturities—15and30yearmaturitiesCanbeprepaidbyborrowersMostareforhomesormultifamilydwellingsStandardizedcontractsthatcanbesoldinthesecondarymarketCreditriskandinterestrateriskassumedwithmortgagesUsesofFundsMortgaged-backedsecuritiesmaybepurchasedReceivesinterestandprincipalfrompoolofmortgagesRisksinclude:CreditriskPriceriskPrepaymentrisk–especiallywheninterestratesfallProvidesdiversifiedincomesourcefromborrowersoutsidemarketareaUsesofFundsOthersecuritiesincludeU.S.Treasury,agency,andcorporatebondsSavingsbanksholdagreaterproportionofsecuritiesascomparedtosavingsandloansPastinvestmentsinjunkbondsorhigh-riskbondscreatedproblemsthatledtoaregulatoryresponseStatesimposedlimitsAdditionalinvestmentinjunkbondsprohibitedin1989legislationUsesofFundsConsumerandcommercialloansareofincreasingimportanceontheassetsideofthebalancesheetLegislationin1980and1982expandedguidelinesforfederallychartedS&LsManystate-charteredS&LsgainedaddedassetpowersUsesofFundsMakingcorporateandconsumerloansandreducingtheconcentrationofmortgageloansaffectsoverallriskInterestrateriskisreducedCreditriskincreasesOtherusesoffundsReverseRepurchaseagreements—securitiespurchasedunderagreementtoresellFederalfundssoldRegulationofSavingsInstitutionsRegulatorsassesssavingsinstitutionsusingcriteriasimilartothoseusedtoevaluatecommercialbanksCapitaladequacyAssetcompositionManagementEarningsLiquidityRegulatorsconducton-siteexaminationsRegulationofSavingsInstitutionsDeregulationofservicesallowedinstitutionsmoreflexibilitytodiversifytheirinvestmentsandservicesFlexibilitycanoffercustomerstheadvantageofone-stopshoppingSuddenderegulationcausedsuddeninvestmentsthatlatercontributedtolossesExposuretoRiskLiquidityriskexistsbecauseinstitutionsuseshort-termliabilitiestofundlonger-termassetsIfdepositsarenotsufficient,institutionsobtainfundsfromfinancialmarketsourcesforshort-termRepurchaseagreementsFederalfundsSellmarketableassetsinexchangeforcashU.S.TreasurysecuritiesMortgagesExposuretoRiskCreditordefaultriskConventionalmortgagesarenotinsuredlikeFederalHousingAuthorityandVeteransAdministrationloansTomanagetherisksavingsinstitutionsPrivatemortgageinsurancePerformcreditanalysisGeographicallydiversifytheirloansExposuretoRiskInterestrateriskCommonlymeasuredbythegapordifferencebetweenrate-sensitiveassetsandliabilitiesGapmeasurementdependsonthecriteriausedtoclassifyassetsandliabilitiesInstitutionsmaycalculatedurationandusethisasanalternativemeasureofriskRegulatorsmonitorinterestrateriskassumedbysavingsinstitutionsExhibit22.5AverageDurationofAssetsVersusLiabilitiesaaTime0.0DecMarchJuneSeptDecMarchJuneSeptDecMarch1.01.52.02.52000199919982001AssetsLiabilitiesManagementofInterestRateRiskAdjustable-ratemortgages(ARM)haveratestiedtomarket-determinedratesandareadjustedonaperiodicbasisusingtheformulastatedintheARMcontractReducestheriskfromrisingratesbutalsoreducesthefavorableimpactfromdecliningratesBorrowersareexposedtointerestrateriskbecausetheirpaymentcanchangewithvaryingratesManagementofInterestRateRiskInterestratefuturescontractsAstandardizedcontractallowingtheinstitutiontobuyorsellaspecifiedamountofaspecifiedinstrumentforaspecifiedpriceataspecifiedfuturepointintimeNegativelyGAPedthriftmightsellT-bondfuturestohedgeagainstrisingratesInterestrateswapsAswapisanagreementbetweentwopartiestoexchangeonesetofinterestratepaymentsforanotherThriftsoftenswapfixedinterestincomeforvariable-rateincometooffsetnegativeGAPedpositionValuationofSavingsInstitutionsValueofasavingsinstitutiondependsonitsexpectedcashflowsandrequiredrateofreturnV=f[E(CF),k]

V

=Changeinvalueoftheinstitution

k=ChangeinrequiredrateorreturnWhere:

E(CF)=Changeinexpectedcashflows+Exhibit22.6FrameworkforValuingaSavingsInstitutionEconomicGrowthExpectedCashFlowstoBeGeneratedbytheCommercialBankRequiredReturnbyInvestorsWhoInvestintheCommercialBankInflationMoneySupplyBudgetDeficitRisk-FreeInterestRateRiskPremiumontheCommercialBankValueoftheCommercialBankAbilitiesoftheSavingsInstitution’sManagersIndustryConditions(suchasRegulations,Technology,andCompetition)ValuationofSavingsInstitutionsFactorsthataffectcashflowsE(CF)

=ExpectedcashflowRf=RiskfreeinterestrateINDUS=PrevailingindustryconditionsWhere:E(CF)=f(ECON,Rf,INDUS,MANAB)ECON

=EconomicgrowthMANAB=Theabilityoftheinstitution’smanagement++?ValuationofaSavingsInstitutionInvestorsrequiredrateofreturn

k

=f(Rf,RP)++Rf=RiskfreeinterestrateWhere:RP

=RiskpremiumValuationofaSavingsInstitutionChangeintherisk-freerate

Rf=f(INF,ECON,MS,DEF)INF

=InflationaryexpectationsRf=RiskfreeinterestrateMS=MoneysupplyECON

=EconomicgrowthWhere:DEF

=Budgetdeficit+++ValuationofaSavingsInstitutionChangeintheriskpremiumINDUS=PrevailingindustryconditionsfortheinstitutionWhere:ECON

=EconomicgrowthMANAB=Theabilityoftheinstitution’smanagementRP

=Riskpremium

RP=f(ECON,INDUS,MANAB)?PerformanceofSavingsInstitutionsPerformanceTrendsLowernetinterestmargins—earningassetyieldsdeclinedfasterthaninterestexpenseNoninterestincomeimprovementDecliningloanlossprovisionsLowernoninterestexpenseNetearnings(ROA)improvingExhibit22.9IncomeStatementPerTotalAssetsforSavingsInstitutions199619982000InterestIncome7.02%6.53%6.67%–Totalinterestexpense4.103.854.14=Netinterestincome2.922.682.53–Loanlossprovision.24.16.16+Noninterestincome.73.84.90–Noninterestexpense2.502.162.03=Earningsbeforetax.911.201.24SavingsandLoanCrisisDuringthe1980smanyS&LsfailedReasonsforfailureLossesonloansandsecuritiesLoanlossesrelatedtocommercialrealestateJunkbondlossesFraudasillustratedbyawidevarietyofexamplesLackofliquiditySavingsandLoanCrisisProvisionsoftheFIRREANewregulationsdesignedtosolvethecrisisBailoutbillcontainednumerousprovisionsResolutionTrust