Chap10 银行的流动性和准备金管理

Chapter10LiquidityandReserveManagementStrategiesandPolicies银行的流动性和准备金管理LiquidityandReserveManagementStrategiesandPolicies

流动性和准备金管理§1.LiquidityManagement流动性管理1、DemandsforandSuppliesofLiquidity流动性的供求2、StrategiesforLiquidityManagement流动性管理的策略§2.EstimatingaBank’sLiquidityNeeds计算银行的流动性需求§3.法定准备金和货币头寸管理§1.LiquidityManagement

流动性管理TheAvailabilityofCashintheAmountandattheTimeNeededataReasonableCost银行在需要资金时，可用合理的成本获取足够的资金来源ABank’sNetLiquidityPosition(Lt)

银行净流动性头寸=SuppliesofLiquidity流动性供给－

DemandsforLiquidity流动性需求1、DemandsforandSuppliesofLiquidity

流动性的供求SuppliesofLiquidFunds

流动资金的供给IncomingCustomerDeposits吸收客户存款RevenuesfromtheSaleofNondepositServices提供非存款服务获取的收益CustomerLoanRepayments客户贷款的偿还SalesofBankAssets银行资产的出售BorrowingsfromtheMoneyMarket从货币市场借款DemandsforBankLiquidity

银行流动性需求CustomerDepositWithdrawals存款人提款CreditRequestsfromQualityLoanCustomers向合格的客户提供贷款RepaymentofNondepositBorrowings借款的偿还OperatingExpensesandTaxes营业费用和交税PaymentofStockholderDividends向股东支付红利Lt>0Supplies>DemandsliquiditysurplusLt<0

Supplies<DemandsLiquiditydeficitDemandsforandSuppliesofLiquidity2、StrategiesforLiquidityManagement

流动性管理的策略AssetliquidityManagementStrategy资产流动性管理的策略—orAssetConversionStrategy资产转换策略BorrowedLiquidityManagementStrategy借入流动性管理的策略orLiabilityManagementStrategy负债流动性管理的策略BalancedLiquidityManagementStrategy资产负债流动性管理—orAssetandLiabilityManagementStrategyAssetLiquidityManagement

资产流动性管理CallsforStoringLiquidityintheFormofLiquidAssetsandSellingThemWhenLiquidityisNeeded要求银行保持足够的流动性资产，在需要资金时将资产出售，以满足流动性需求LiquidAsset

流动性资产HaveaReadyMarket必须有一个市场HaveaReasonablyStablePrice必须有合理稳定的价格Reversible可转换BorrowedLiquidityManagement

负债流动性管理CallsfortheBanktoPurchaseorBorrowfromtheMoneyMarketToCoverAllofItsLiquidityNeeds银行可从货币市场借入资金，以满足流动性需求SourcesofBorrowedFunds

借入资金的来源FederalFundsPurchased联邦基金借款RepurchaseAgreement(Repos)再回购协议IssuingLargeCDs(﹥$100,000)发行大额可转让定期存单IssuingEurocurrencyDeposits发行欧洲货币存款BorrowingReservesfromtheFed从联邦储备银行借入准备金BalancedLiquidityManagementStrategy

资产负债流动性管理CombinedUseofAssetLiquidityManagementandLiabilityLiquidityManagementtoMeetaBank’sLiquidityNeeds把资产流动性管理和负债流动性管理结合起来使用，以满足银行的流动性需求§2.EstimatingaBank’sLiquidityNeeds

计算银行的流动性需求1、SourcesandUsesofFundsApproach资金来源和运用法2、StructureofFundsApproach资金结构法3、UsingProbabilitytoDecideLiquidityRequirement概率法4、LiquidityIndicatorApproach流动性指标法

1、SourcesandUsesofFundsApproach

资金来源和运用法

Liquiditygap=sources(LS)－uses(LU)deposits↑deposits↓loans↓loans↑Liquiditygap>0,liquiditysurplus<0,liquiditydeficit1、SourcesandUsesofFundsApproach资金来源和运用法—KeySteps关键步骤ForecastLoansandDepositsforPlanningPeriod预测计划期存贷款Componentsoffuturedepositsandloans：Trend，SeasonalandCyclical未来存贷款的构成：趋势、季节和周期EstimateChangesinLoansandDepositsfortheSamePeriod计算同一时期存贷款的变化Changesindepositsisfunctionof[personalincome,retailsales,Ms,inflationrate]存款变化是个人收入、零售额、货币供应量和通货膨胀率的函数Changesinloansisfunctionof[growthineconomyorbusinesssales,corporationearnings,Ms,inflationrate]贷款变化是经济增长或企业销售、公司盈利、货币供应量和通货膨胀率的函数EstimateNetLiquidityposition计算净流动性头寸流动性缺口=存款变化－贷款变化2、StructureofFundsApproach

资金结构法KeyStepsABank’sSourcesofFundsDividedInto3Categories银行资金来源有三类‘HotMoney’(very

sensitiveliabilities)游资（利率敏感性极强）VulnerableFunds(25or30%)脆弱性资金StableFunds(coredepositsorliabilities)稳定性资金SetAsideLiquidFundsAccordingtoOperatingRule按照规定留出流动性资金Estimatethedifferencebetweenactualandpotentialloansandstoreliquidity（100%）计算现有贷款和潜在贷款的差额，留出100%的流动性资金Calculatetotalliquidityrequirement计算总的流动性需要量

SetAsideLiquidFundsAccordingtoOperating‘HotMoney’(95%)VulnerableFunds(30%)StableFunds（15%）

Calculatetotalliquidityrequirement

Totalliquidityrequirementforabank=Depositandnondepositliabilityliquidityrequirement+Assetliquidityrequirement=0.95×（HotMoney－legalreservesheld)+0.3×（VulnerableFunds

－legalreservesheld)+0.15×（StableFunds

－legalreservesheld)+1×（potentialloans－actualloans)（Exhibit11—4）3、UsingProbabilitytoDecideLiquidityRequirementTheworstpossibleliquidityposition(Deficit)Depositgrowth<ExpectationLoangrowth>ExpectationThebestpossibleliquidityposition(Surplus)Depositgrowth>ExpectationLoangrowth<ExpectationUsingProbabilitytoDecideLiquidityRequirementExpectedLiquidityRequirementwithhighestProbability=ProbabilityofASurplusorDeficitofA+ProbabilityofBSurplusorDeficitofB+……………=0.15$60mil.+0.6$10mil.+0.25(－$20mil.)=$10mil.CustomerRelationshipDoctrine

客户关系理论Managementshouldstrivetomeetallgoodloansthatwalkinthedoorinordertobuildlastingcustomerrelationships银行管理者必须满足所有合格申请人的贷款请求，已建立持久的客户关系3、LiquidityIndicatorApproach

流动性指标法

Estimateliquidityneedsbasedonexperienceandindustryaverages①CashPosition=Cashanddepositsduefromotherbank/totalassets↑↑↓②LiquidSecurity=T-securities/totalassets↑↑↓③NetFederalFundsPosition=（FFsold－FFpurchased）/totalassets↑↑↓④CapacityRatio=Netloansandleases/totalassets↑↓↑⑤PledgingSecuritiesRatio=PledgingSecurities/totalSecurities↑↓↑3、LiquidityIndicatorApproach流动性指标法

⑥HotMoneyRatio=Moneymarketassets/moneymarketliabilities↑↑↓⑦Short-termInvestmentstoSensitiveLiabilitiesRatio=S-Investments/S-Liabilities↑↑↓⑧DepositBrokerageIndex=Brokereddeposits/totaldeposits↑↓⑨CoreDepositRatio=CoreDeposits/totalassets↑↓⑩DepositCompositionRatio=Demanddeposits/timedeposits↑↑

LegalReserve法定准备金Depositsheldinareserveaccountatthecentralbank存在中央银行的准备金存款§3.MoneyPositionManagement货币头寸管理LegalReserveCalculation法定准备金的计算ReserveComputationPeriod准备金的计算期TimeperiodoverwhichabankcalculatesitslegalreserverequirementReserveMaintenancePeriod准备金的持有期ThetimeperiodofoverwhichabankmustholdtherequiredamountoflegalreservesthatthelawdemandsCalculatingandMaintainingRequireLegalReserves计算和持有法定准备金

TWThFSSuMTWThFSSuMTWThFSSuMTWThFSSuMTW

ReserveComputationPeriodReserveMaintenancePeriod

CalculatingRequireLegalReserves

TotalRequireLegalReserves法定准备金总额

=Reserverequirementontransactiondeposits交易性存款RR×Dailyaverageamountofnettransactiondepos