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1、Copyright 2010 Pearson Addison-Wesley. All rights reserved.Chapter 9Banking and the Management of Financial InstitutionsCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-2我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.1 The Bank Balance SheetCopyright 2010 Pearson
2、Addison-Wesley. All rights reserved.10-3我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.1.1 Liabilities1. Checkable depositBank accounts that allow the owner to write checks to third parties.Includes :-Demand deposit-NOW accounts:-MMDAs: similar to money market mutual funds and
3、 not subject to reserve requirementsOnce are the most important source of bank funds, but the share has shrunk over time.Usually the lowest-cost source of bank fund.Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-4我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物 2.
4、Nontransaction Deposit Primary source of bank funds. Owners cannot write checks, but the interest rates are usually higher. Two types: -Savings accounts -Time deposit: have a fixed maturity length. 3. Borrowings More and more important.Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-5我
5、吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物 4. Bank Capital The difference between total assets and liabilities.(8%) Raised by selling new stock or from retained earnings. Is a cushion against a drop in the value of its assets.Copyright 2010 Pearson Addison-Wesley. All rights
6、 reserved.10-6我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.1.2 Assets 1. Reserves Reserves = Vault cash + Deposits in an account at the central bank ( required reserves + excess reserves) No interest payment. Banks hold reserves for two reasons: 1) Reserve requirement 2) Res
7、erves are the most liquid and can be used to meet its obligations when funds are withdrawn. 中国的历次调整中国的历次调整http:/ 2010 Pearson Addison-Wesley. All rights reserved.10-7我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物 2. Cash items in process of collection Suppose a check written on
8、 an account at another bank is deposited in your bank and the funds for this check have not yet been received from the other bank. 3. Deposits at other banks Many small banks hold deposits in larger banks in exchange for a variety of services. All of the above three are referred to as cash items. Im
9、portance shrinking over time.Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-8我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物 4.Securities An important income-earning asset.(23%) Made up entirely of debt instruments. 5. Loan Banks make their profits primarily by is
10、suing loans. (66%) Typically less liquid and have a higher probability of default than other assets. 5. Other assets The physical capital owned by the banks.Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-9我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物浦发银行浦发银行2011
11、年资产负债表年资产负债表资产资产现金及存放中央银行款项366,957,099,00014%存放同业和其它金融机构款项267,876,482,00010%拆出资金111,415,298,0004%买入返售金融资产281,509,782,00010%发放贷款及垫款1,302,323,950,00049%可供出售金融资产147,929,131,0006%持有至到期投资158,535,453,0006%负债负债 同业和其它金融机构存放款项440,908,269,00016%拆入资金66,970,025,0002%吸收存款1,851,055,121,00069%负债合计2,535,150,909,000
12、94%所有者权益合计149,542,780,0006%Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-10我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.2 Basic Banking Asset transformation Selling liabilities with one set of characteristics and using the proceeds to buy assets with a differ
13、ent set of characteristics. “Borrows short and lends long.”Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-11我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物T-account Analysis:Deposit of $100 cash into First National BankAssetsLiabilitiesVault Cash + $100Checkable D
14、eposits + $100(=Reserves)Deposit of $100 check into First National BankAssetsLiabilitiesCash items in processCheckable Deposits + $100of collection + $100First National BankSecond National BankAssetsLiabilitiesAssetsLiabilitiesCheckableCheckableReservesDepositsReservesDeposits+ $100+ $100 $100 $100C
15、onclusion: When bank receives deposits, reserves by equal amount; when bank loses deposits, reserves by equal amountCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-12我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Basic Banking: Making a ProfitFirst National BankFir
16、st National BankAssetsLiabilitiesAssetsLiabilitiesRequired reserves+$100Checkable deposits+$100Required reserves+$100Checkable deposits+$100Excess reserves+$90Loans+$90Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-13我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物
17、9.3 General Principles of Bank Management1. Liquidity Management2. Asset ManagementManaging Credit RiskManaging Interest-rate Risk3. Liability Management4. Capital Adequacy ManagementCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-14我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜
18、测没有错：表里边有一个活的生物9.3.1 Liquidity ManagementReserve requirement = 10%, Excess reserves = $10 millionAssets LiabilitiesReserves $20 millionDeposits$100 millionLoans$80 millionBank Capital $ 10 millionSecurities $10 millionDeposit outflow of $10 millionAssets LiabilitiesReserves $10 millionDeposits$ 90 m
19、illionLoans$80 millionBank Capital $ 10 millionSecurities $10 millionWith 10% reserve requirement, bank still has excess reserves of $1 million: no changes needed in balance sheetCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-15我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错
20、：表里边有一个活的生物 Liquidity ManagementNo excess reservesAssets LiabilitiesReserves$10 millionDeposits$100 millionLoans $90 millionBank Capital $ 10 millionSecurities$10 millionDeposit outflow of $ 10 millionAssets LiabilitiesReserves$ 0 millionDeposits$ 90 millionLoans $90 millionBank Capital $ 10 million
21、Securities$10 millionCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-16我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Liquidity Management1. Borrow from other banks or corporationsAssets LiabilitiesReserves$ 9 millionDeposits$ 90 millionLoans $90 millionBorrowings$
22、 9 millionSecurities$10 millionBank Capital $ 10 million2. Sell SecuritiesAssets LiabilitiesReserves$ 9 millionDeposits$ 90 millionLoans $90 millionBank Capital $ 10 millionSecurities$ 1 millionCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-17我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我
23、也感到愉快，证实我的猜测没有错：表里边有一个活的生物Liquidity Management3. Borrow from FedAssets LiabilitiesSecurities$10 millionBank Capital$ 10 millionReserves $ 9 millionDeposits$ 90 millionLoans$90 millionDiscount Loans $ 9 million4. Call in or sell off loansAssets LiabilitiesReserves $ 9 millionDeposits$ 90 millionLoans
24、$81 millionBank Capital$ 10 millionSecurities$10 millionConclusion: excess reserves are insurance against above 4 costs from deposit outflowsCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-18我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Bank Run of Northern Rock N
25、orthern Rock was best known for becoming the first bank in 150 years to suffer a bank run after having had to approach the Bank of England for a loan facility, to replace money market funding, during the credit crisis in 2007. Having failed to find a commercial buyer for the business, it was taken i
26、nto public ownership in 2008, and was then bought by Virgin Money in 2012.Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-19我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.3.2 Asset Management: Three Goals 1. Seek the highest possible returns on loans and securiti
27、es 2. Reduce risk 3. Have adequate liquidityCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-20我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Asset Management: Four Tools 1.Find borrowers who will pay high interest rates and have low possibility of defaulting 2. Pur
28、chase securities with high returns and low risk 3. Lower risk by diversifying 4. Balance need for liquidity against increased returns from less liquid assetsCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-21我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.3.3 Liabi
29、lity Management1.Important since 1960s2.Banks no longer primarily depend on deposits3.When see loan opportunities, borrow or issue CDs to acquire fundsCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-22我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.3.4 Capital Ade
30、quacy Management1.Bank capital is a cushion that helps prevent bank failure.2.Higher is bank capital, lower is return on equityROA = Net Profits/AssetsROE = Net Profits/Equity CapitalEM = Assets/Equity CapitalROE = ROA EMCapital , EM , ROE 3.Tradeoff between safety (high capital) and ROECopyright 20
31、10 Pearson Addison-Wesley. All rights reserved.10-23我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物4.Banks also hold capital to meet capital requirements5.Managing Capital:A. Issue or buy back stocksB. Change dividends to change retained earningsC. Change asset growthCopyright 2
32、010 Pearson Addison-Wesley. All rights reserved.10-24我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Capital Adequacy Management: Preventing Bank FailureHigh Bank CapitalLow Bank CapitalAssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDeposits$96MLoans$90MBan
33、k Capital$10MLoans$90MBank Capital$4MHigh Bank CapitalLow Bank CapitalAssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDeposits$96MLoans$85MBank Capital$5MLoans$85MBank Capital-$1MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-25我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世
34、界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.4 Managing Credit RiskSolving Asymmetric Information Problems9.4.1.Screening and MonitoringScreeningSpecialize in Lending Monitoring and Enforcement of Restrictive Covenants9.4.2Establish Long-Term Customer RelationshipsCopyright 2010 Pearson Addison-Wesley. All ri
35、ghts reserved.10-26我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.4.3Loan Commitment A banks commitment to provide a firm with loans up to a given amount at an interest rate that is tied to some market interest rate.9.4.4Collateral and Compensating BalancesCompensating Balance
36、s: A firm receiving a loan must keep a required minimum amount of funds in a checking account at the bank. Help increase the likelihood that a loan will be paid off.Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-27我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.4
37、.5Credit RationingRefusing to make loans even though borrowers are willing to pay the stated interest rate or even a higher rate.Two forms 1. Refuse to make a loan even if the borrower is willing to pay a higher interest rate. 2. Make a loan but restricts the size to less than the borrower would lik
38、e. Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-28我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.5 Managing Interest Rate RiskFirst National BankAssetsLiabilitiesRate-sensitive assets$20M Rate-sensitive liabilities$50MVariable-rate and short-term loansVariable
39、-rate CDsShort-term securitiesMoney market deposit accountsFixed-rate assets$80M Fixed-rate liabilities$50MReservesCheckable depositsLong-term loansSavings depositsLong-term securitiesLong-term CDsEquity capitalCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-29我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它
40、放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物 If a bank has more rate-sensitive liabilities than assets , a rise in interest rate will reduce bank profits and a decline in interest rates will raise bank profits.Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-30我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在
41、这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Managing Interest-Rate RiskGap AnalysisGAP = rate-sensitive assets rate-sensitive liabilities= $20 $50 = $30 millionWhen i 5%:1.Income on assets = + $1 million(= 5% $20m)2.Costs of liabilities = +$2.5 million(= 5% $50m)3. Profits = $1m $2.5m = $1.5m= 5% ($20m
42、 $50m) = 5% (GAP) Profits = i GAPCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-31我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物 Duration Analysis% value (% point i) (DUR)Example: i 5%, duration of bank assets = 3 years, duration of liabilities = 2 years; % asset
43、s = 5% 3 = 15% liabilities = 5% 2 = 10%If total assets = $100 million and total liabilities = $90 million, then assets $15 million, liabilities $9 million, and banks net worth by $6 millionStrategies to Manage Interest-rate Risk1.Rearrange balance-sheet2.Interest-rate swap3.Hedge with financial futu
44、resCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-32我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物9.6 Off-Balance-Sheet ActivitiesOBS activities involve trading financial instruments and generating income from fees and loan sales, activities that affect bank prof
45、its but do not appear on bank balance sheets.Loan sales a contract that sells all or part of the cash stream from a specific loan and thereby removes the loan from the banks balance sheet.Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-33我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，
46、证实我的猜测没有错：表里边有一个活的生物2. Generation of Fee Income A. Foreign exchange trades for customersB. Servicing mortgage-backed securitiesC. Guarantees of debtD. Backup lines of credit3.Trading ActivitiesA. Financial futuresB. Financial optionsC. Foreign exchangeD. SwapsCopyright 2010 Pearson Addison-Wesley. A
47、ll rights reserved.10-34我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Risk ManagementPrincipal-Agent ProblemTraders have incentives to take big risksRisk Management Controls1. Separation of front and back rooms2. Value-at-risk modeling3. Stress testingRegulators encouraging banks to pay more attention to risk management