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1、Asset Liability Management 资产负债管理资产负债管理A summary of common challenges, best practices, and a summary of the changing landscape of Asset/Liability Management对挑战、最佳实践和日新月异的资产负债管理的概述Scot A. SoeteberOctober 2002SunGard Asia PacificScot A. Soeteber, DirectorBancWare Solutions GroupAsset/Liability Managem
2、ent资产负债管理资产负债管理real-time 实时实时end-to-end 端到端到端端one-to-one 一对一对一一for the eWorld 适用于适用于e世界世界Presentation Outline 纲要纲要nA/LM Background 资产负债管理的定义What is A/LM? 风险管理History of A/LM 监管环境Regulatory Environment 资产负债管理流程nA/LM Methodologies 资产负债管理的工具Gap 缺口Duration Analysis 持有期分析Simulation 模拟nA/LM Reporting 报表Re
3、gulatory Reporting 监管报表Position Reporting 头寸报表Risk Analysis 风险分析Strategic Analysis 策略分析Product Development 产品发展策略Presentation Outline (cont) 纲要纲要nA/LM Challenges 挑战 Data Issues 数据 Embedded Optionality 嵌入式选择权 Non-contractual maturity accounts 非合同满期帐户nA/LM Process 资产负债管理流程nFunds Transfer Pricing 资金转移定
4、价 资金转移定价要素 Examples FTP报表样本 and Drawbacks FTP的优点和弊端nSummary and Questions 总结和问题G/L SystemThe BancWare Solution（BancWare解决方案）ALCO报表报表- ALCO Reports风险测量风险测量- Risk Measurement监管报告监管报告-Regulatory Reporting赢利分析赢利分析Proforma Profitability AnalysisExecutive Level View into Data & Models for Decision Support
5、 & Reporting-高层直接在报表看到对高层直接在报表看到对决策支持的数据和模式决策支持的数据和模式价值分析和总回报分析价值分析和总回报分析Valuation & Total Return Analysis具体计划具体计划ComprehensivePlanningBancWare ViewpointTMAdvanced Analytics, Complex Scenario Modeling, & Risk Management高级分析、复杂情高级分析、复杂情景建模和风险管理景建模和风险管理资产负债管理资产负债管理Asset/LiabilityManagement预算及预测预算及预测Bu
6、dgeting & ForecastingBancWare ConvergenceTMCore Solutions for Forecasting & Simulation为预测和仿真模为预测和仿真模拟提供核心解决方案拟提供核心解决方案ALM来源来源ALM Feed损益和报表来源损益和报表来源Profitability & Reporting Feed资金转移定资金转移定价引擎价引擎Financial Database of Record金融聚集生成金融聚集生成Financial Pool GeneratorBancWare InsightTMData Transformation, Mana
7、gement, & Historical Analysis-数据数据转换及历史趋势分析转换及历史趋势分析Existing Data Warehouse现有数据库现有数据库Source Accounting System帐务系统帐务系统Deposits & Investment存款和投资存款和投资系统系统G/L System总帐系统总帐系统Internal Bank Subsystems内部银行系统内部银行系统Presentation Outline 纲要纲要nA/LM Background 资产负债管理的定义What is A/LM? 风险管理History of A/LM 监管环境Regul
8、atory Environment 资产负债管理流程nA/LM Methodologies 资产负债管理的工具Gap 缺口Duration Analysis 持有期分析Simulation 模拟nA/LM Reporting 报表Regulatory Reporting 监管报表Position Reporting 头寸报表Risk Analysis 风险分析Strategic Analysis 策略分析Product Development 产品发展策略Proactive Balance Sheet Management主动式资产负债管理主动式资产负债管理 lA/LM is strategi
9、c forward planning lA/LM 是一项策略的前瞻计划管理是一项策略的前瞻计划管理lA/LM is a coordinated approach to the Management of: A/LM是一种协调式管理：是一种协调式管理： Loans 贷款- Deposits 存款 Investments 投资- Borrowings 借款 Liquidity 流动性- Long-term Debts 长期债务 Fixed Assets 固定资产- Capital/Reserves 资本/现金储备lA/LM is a critical management process desi
10、gned to achieve the banks desired objectives within prudent risk limits A/LM是一种为银行在一定风险限度内达到所期望的目标所设计的管理模式是一种为银行在一定风险限度内达到所期望的目标所设计的管理模式Proactive Balance Sheet Management主动式资产负债管理主动式资产负债管理How is the banks balance sheet performing ? 资产负债管理表现如何？“. while our net interest income remains satisfactory, I
11、anticipate that our . while our net interest income remains satisfactory, I anticipate that our margins will come under increasing pressure over the next two yearsmargins will come under increasing pressure over the next two years”“我们的净利息收入令人满意，但我仍然期望我们的盈利在未来两年内不会有更大的压力我们的净利息收入令人满意，但我仍然期望我们的盈利在未来两年内
12、不会有更大的压力” How much risk is in the banks balance sheet ? 银行的资产负债表中的风险多大？“. the total loan portfolio of 6.87 billion will decrease in value by 520 million . the total loan portfolio of 6.87 billion will decrease in value by 520 million (7.57%) if interest rates rise by 1%(7.57%) if interest rates rise
13、 by 1%” “如果利率上升如果利率上升1%1%的话，总的的话，总的68.768.7亿的信贷资产组合会损失亿的信贷资产组合会损失5 5亿亿2 2千万（千万（7.57%7.57%）”What the banks income will be over the next 2 years ?银行未来两年的收入将会怎样？What effect a 2% rise/fall in interest rates will have on that income?如果利率升降2%的话，银行的收入会是怎样的？Which products are profitable at the bank? 哪种产品在银行
14、里赢利？Will those products continue to be profitable if the yield curve becomes steeper/flatter?如果利率曲线变化，哪种产品仍会赢利？Proactive Balance Sheet Management主动式资产负债管理主动式资产负债管理 lFinancial Objectives 金融目标 Short Term: Net Income 短期目标：净收入 Long Term: Market Value of Capital 长期目标：市值lBalance Sheet Objectives 资产负债表目标 B
15、alance Sheet Growth Targets 资产负债表增长目标 Capital Growth and Dividends 资本增长和股息 Markets Served - Market Ignored 应服务的市场应忽略的市场 Product Offerings and Pricing 产品品种推广和定价 Desired Image of the Bank 期望的银行形象 Asset/Liability Management Becomes a Balancing Act of All Financial Risks Assumed to Achieve the Banks Obj
16、ectives within Board-Approved Risk Limits资产负债管理是一种综合平衡管理。这种管理是在董事会批准的风险度内达到银行营业目标的平衡。 Presentation Outline 纲要纲要nA/LM Background 资产负债管理的定义What is A/LM? 风险管理History of A/LM 监管环境Regulatory Environment 资产负债管理流程nA/LM Methodologies 资产负债管理的工具Gap 缺口Duration Analysis 持有期分析Simulation 模拟nA/LM Reporting 报表Regul
17、atory Reporting 监管报表Position Reporting 头寸报表Risk Analysis 风险分析Strategic Analysis 策略分析Product Development 产品发展策略A/LM History 资产负债管理的历资产负债管理的历史史n1970s Treasury management more than A/L management 更多的是资金管理，而不是资产负债管理 Treasury/Dealer Responsibility - No Centralised Risk Management 管理的主要责任在资金交易 - 没有集中的风险管理
18、 Little or No Competition for Financial Institutions 金融机构之间的竞争很少或基本没有 Risk Management Process,=GAP & Stable Deposit Base 风险管理流程=缺口和稳定的存款基础n1980 - 90s Globalisation & Bank Centralisation/Focus of Risk Management 全球化和银行集权化/关注风险管理 Income Simulation, Economic Value of Equity, VaR/Total Return 收入模拟，权益的经济
19、价值，VaR/总收入 Increasing Competition for Financial Institutions 金融机构之间的竞争更加激烈 CRM 客户关系管理A/LM History 资产负债管理的历资产负债管理的历史史n2000s - Total Competition in Financial Markets - Consolidations 金融市场的全面竞争 - 兼并与重组 A/LM Risk Focus on Behaviour Risk Analysis Not Client/Product Contractual Dates - Optionality Account
20、ing 资产负债管理对风险的关注更集中在行为风险分析，而不是着重在客户产品/合同日期等 - 也就是会计选择性 Enterprise-wide Risk Mgmt - Both ALM (Forecasting) & Trading Models (Complex Instrument Cashflows) 全机构整体的风险管理- 资产负债管理（预测）和交易模型（复杂的金融工具现金流量） Total Return FAS 133 Risk Accounting/Measurement 总收益 FAS133风险会计/计量 “Disintegration” of Traditional Financ
21、ial Institution business models 传统金融机构“分权化”的业务模型Presentation Outline 纲要纲要nA/LM Background 资产负债管理的定义What is A/LM? 风险管理History of A/LM 监管环境Regulatory Environment 资产负债管理流程nA/LM Methodologies 资产负债管理的工具Gap 缺口Duration Analysis 持有期分析Simulation 模拟nA/LM Reporting 报表Regulatory Reporting 监管报表Position Reporting
22、 头寸报表Risk Analysis 风险分析Strategic Analysis 策略分析Product Development 产品发展策略Principles for Interest Rate Risk Management (1997)Basel Capital Accord 1988 巴塞尔资本协议巴塞尔资本协议（1988）Internal Auditn Check quantity of risk exposuren Check quality of risk managementExternal AuditnSupervisors check risk exposure and
23、 risk management process.Board of Directors; Policies; Monitoring & Control; Follow up批准策略，控制风险管理流程General Management; Strategies; Limits; Resources 制定政策、程序与风险限额、提供有效资源Risk Management Unit; Qualified and Technical Personnel; Risk Committee; Independent Area设计和管理风险计量，政策监督与控制，将风险敞口向董事会和高级管理层汇报。预测新产品或新
24、政策的潜在影响Basel Capital Accord 2001 (Basel II)巴塞尔资本协议巴塞尔资本协议 2001 2001版（版（Basel II）nWill replace the 1988 Accord (Basel I) 将取代19881988协议nCurrently being reviewed: Earliest implementation by 2005 目前正对该文件进行审议，预计最早20052005年实施nPlan is to keep average capital at same level; well managed banks will require l
25、ess, worse managed banks more. 对资本金的计划与现行同，管理良好的银行资本金需求将减少，反之，则增多。nAffects mostly credit and operational risk units, but has some effects on Interest Rate Risk. 将主要对银行的信贷和操作风险部门产生影响，对利率风险也将产生一定的影响nThree pillar fundamentals of risk management: 下列为风险管理的三个支柱型要素Pillar IMinimum Capital requirements最低资本金要
26、求Pillar IISupervisory review监管角度Pillar IIIMarket Discipline市场纪律Basel II Interest Rate Risk 巴塞尔协议巴塞尔协议ll - ll - 利率风利率风险险nAccord has some impact on interest rate risk management: 协议对利率风险管理有一定冲击 Capital requirement for interest rate risk in trading book. 对交易帐的利率风险有资本金要求 Requires regulators to check str
27、ess scenarios: 要求监管部门进行压力检测 200Bps shocks in countries with stable currencies (e.g. G10 countries) 对拥有稳定货币的国家（G-10）要求200基点震动 Shocks equivalent to historical 1st and 99th Percentile, based on one year (240 days) of observations. Inclusion of options in required risk measurements: Duration equivalent
28、representation of options. 包括需要做风险计量的选择权：与持有期相关的选择权 May lead to faster integration of all risk management disciplines: Credit, Market, Operational, and Interest Rate. 可能会加快各种风险管理措施如信用、市场、操作和利率等的集成的步伐nOn average, the new accord bestows more power and responsibility on local banking supervision. 总体而言，
29、新巴塞尔协议赋予地方银行监管机构更大的监管权利Presentation Outline 纲要纲要nA/LM Background 资产负债管理的定义What is A/LM? 风险管理History of A/LM 监管环境Regulatory Environment 资产负债管理流程nA/LM Methodologies 资产负债管理的工具Gap 缺口Duration Analysis 持有期分析Simulation 模拟nA/LM Reporting 报表Regulatory Reporting 监管报表Position Reporting 头寸报表Risk Analysis 风险分析St
30、rategic Analysis 策略分析Product Development 产品发展策略Gap Reports 缺口报告缺口报告nWhy talk about Gap Reports? 为何谈论缺口报告Cons 缺陷 Pros 优点nGap is old 缺口过时了nEverybody knows and “understands” it 人人都知道并“理解”它nNot very exact 不很准确nStatic 静态nDiscredited and not important 缺少信用度，次要性nGreat summary view of main rate exposure 对主要
31、利率敞口的重要归纳nEasy to explain (e.g. - the board) 易于解释nMany ways of improving the original concept 多种途径改善原有理念nRequired by supervisors, about to become even more important. 监管者要求，作用将日臻重要Gap Reports 缺口报告缺口报告nThe difference between assets and liabilities that either mature or reset their interest rate withi
32、n a pre-defined time band. 到期或在事先确定的时间段内重新设定利率的资产与负债的差别nPossible to see a net interest income and a net portfolio value effect on different Gap reports. 通过不同的缺口报告可以看到净利息收入和对净投资组合价值的影响 1 YearTotalVariable Loans200500000700Fixed Loans10026036067012602650Assets30076036067012603350Demand Deposits2021502
33、2545001027CDs802103505008802020Liabilities2823605759508803047Gap18400-215-280380303Cumulative Gap18418203-77303Gap Shortcomings 缺口缺口 - - 缺缺陷陷nAll positions within a given time band are assumed to mature or reprice simultaneously. Sensible time bands need to be defined. 在一特定时段内的所有位置都被同时设定为到期和再定价 - 敏感
34、时段需要被明确nDifferences in spread between interest rates, yield curve twists, and other non-linear movements not captured satisfactorily. 获取利差的差别、收益曲线扭曲、其他非线性运动的能力不令人满意nChanges in the timing of cash flows due to changes in interest rates are generally ignored option value is not completely captured. 由于利
35、率变化而造成的现金流量时间的变化一般都被忽略 - 没有全部获取选择权价值nNon-interest revenue and expense generally ignored. 非利息收入和费用通常被忽略Gap Summary 缺口缺口 - - 总结总结nVery comprehensive risk measure 综合的风险计量Allows manager to measure Income and Value sensitivity. 可使经理计量收入和价值敏感度nEasy to understand 易于理解nSome important shortcomings 主要缺陷Option
36、s 选择权Time band selection 时段选择Simplification 简单化nMay become more important as regulatory agencies increase their reporting requirement. 由于监管部门增加的监管报告的要求，将会更加重要Basel II gives specific guidelines as to what supervisors should require banks to deliver. 巴塞尔II对监管部门对银行的报告的要求有明确规定Presentation Outline 纲要纲要nA
37、/LM Background 资产负债管理的定义What is A/LM? 风险管理History of A/LM 监管环境Regulatory Environment 资产负债管理流程nA/LM Methodologies 资产负债管理的工具Gap 缺口Duration Analysis 持有期分析Simulation 模拟nA/LM Reporting 报表Regulatory Reporting 监管报表Position Reporting 头寸报表Risk Analysis 风险分析Strategic Analysis 策略分析Product Development 产品发展策略Dur
38、ation Analysis 持有期分析持有期分析nDuration is used as a measure of the variability of the economic value of all assets and liabilities. 持有期是被用来计量所有资产和负债经济价值变化情况的nIt is the weighted average time to repayment of all present-valued cash flows received from an instrument. 它是从一项金融工具获得的所有现值的现金流量的加权平均偿付时间nDuration
39、 can be used in conjunction with Gap reports as mentioned before, or by itself to calculate a duration of equity. 如前所述，持有期可与缺口报告一起使用，或以其独自计算权益的持有期限nDuration is different from the trading-book delta in that it is always (almost) exclusively based on the sensitivity to changes in the discount rate, ra
40、ther than changes in the underlying index. 持有期与交易帐的Delta不同，在交易帐中，它经常是体现在基于贴现率的对变化的敏感度，而不是在基本指数Sample Duration Report 持有期报告的样持有期报告的样板板BancWare BancorpBostonEconomic ValueBalance- 100 PBBase+ 100 PBDurationAssetsMortgages6,0676,3106,1285,9452.98Commercial Loans1,3521,3631,3451,3271.34Lines of Credit1,
41、5711,6211,6101,5990.67Other Assets1,7911,7771,7551,7341.23Total Assets10,78111,07110,83810,6052.15LiabilitiesCertificated of Deposit5,1555,0815,0004,9191.62Current Accounts2,1342,1262,1232,1210.13Medium and Lond Term Obligations6506636496362.03Other Liabilities3773763743720.41Total Liabilities8,3168
42、,2458,1478,0491.21Total Equity:2,4652,8252,6912,5565.00 Sensibilidad Patrimonio:Sensitivity of Equity:135(135)Loss to value of equity if rates go up by 100 BpsDuration Calculation: Process 期限计算：流程期限计算：流程Rate ForecastsCurrent Yield CurvesImplied Forward RatesTerm Structure ModelsBehavior (cash flow)
43、ModelingOption & Prepayment ModelsDraw-down ModelsCash Flow Generationand present valuationData aggregationAnalysis, and reportingCurrent Position DataContractual Info on allTransactionsSubjectiveObjectivePros and Cons of Duration持有期的优点和缺持有期的优点和缺点点Advantages:Long term view: Value of all cash flows u
44、ntil maturity. 长期角度看：直至满期的所有现金流量值Aligned with shareholder interests. 与股东利益相一致Current accounting moving towards more emphasis on market-value balance sheets (IAS 39, FASB 133)往来帐趋向与将重点放在市值资产负债表（IAS39，FASB 133）Disadvantages:Analysis is static and cannot incorporate banks reactions to certain events. 分
45、析是静态的，不能纳入银行对部分事件的反应Treatment of options and non-maturity instruments almost as unclear as in Gap report. 对选择和非满期工具跟缺口报告一样不清晰More data and compute intensive 数据和计算量大Derivative measures effect small changes in rate, not the large changes required by BIS. 衍生品种的计量只能影响利率的小的变化，而不是如国际清算银行要求的大的变化Presentatio
46、n Outline 纲要纲要nA/LM Background 资产负债管理的定义What is A/LM? 风险管理History of A/LM 监管环境Regulatory Environment 资产负债管理流程nA/LM Methodologies 资产负债管理的工具Gap 缺口Duration Analysis 持有期分析Simulation 模拟nA/LM Reporting 报表Regulatory Reporting 监管报表Position Reporting 头寸报表Risk Analysis 风险分析Strategic Analysis 策略分析Product Devel
47、opment 产品发展策略Income Simulation 收入模拟收入模拟nTake current positions and project balances into the future, using: 将当前的位置和项目余额作为未来，使用如下：Future rate assumptions 未来利率假设Contractual instrument characteristics 合同金融工具特征Customer behavior assumptions 客户行为假设nAdd new volumes to existing business to get a complete sn
48、apshot of the banks business in the future. 对现有的业务加量，从而得出银行未来业务的情形nPerform what-if analyses with different rate and business scenarios. 对不同利率和银行业务进行预测分析nThis is one of the BIS preferred methodologies because of its ability to model Interest and non-interest income in a dynamic environment. 这是国际清算银行愿
49、意采用的方法，因它可在动态环境中模拟利息和非利息收入Income Simulation: Process 收入模拟收入模拟 - - 流程流程Rate ForecastsCurrent Yield CurvesImplied Forward RatesScenario AssumptionsBehavior ModelingOptions, Commitments,Prepayment ModelsDraw-down ModelsCF andNew Volume Generationand Income Calc.Data aggregationAnalysis, and reportingCu
50、rrent Position DataContractual Info on allTransactionsLedger and RulesAccounting RulesBalance Sheet AggregationNew BusinessRates, volumes, Maturities, andbehavior of new biz.SubjectiveObjectiveIncome Simulation: Sample Report 收入模拟：报告样板收入模拟：报告样板Boston31-Dec-01No Change in Rates+ 200 Pb- 200 Pb1/02 -