商银7-manage liquidity legal reserve1

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7-manage liquidity & legal reserveⅠ

• determine net liquidity position
  • demand for liquidity/ use of fund
    • customer deposit withdrawal 存款提取
    • credit request from quality loan customer 贷款需求
    • two most pressing demands
    • repayment of nondeposit borrowing 偿还非存款借贷 (比如同业拆借、向中央银行的再借款)
    • operating expense & tax
    • payment of stockholder dividends 发放股利
  • supply of liquid fund
    • incoming customer deposit 客户存款
    • customer loan repayment 偿还贷款
    • sales of bank asset (eg. bank sell $500 of T-Bill)
    • two most pressing supply
    • revenue from the sale of nondeposit service
    • borrowing from money market
  • net liquidity position(L)
    • Lt = supply of L - demand for L (deposit-loan)
      • L<0,liquidity deficit
      • L>0,liquidity surplus
• cause of liquidity risk
  • liquidity risk exposure
    • high
      • depository institution
      • loss of confidence in bank-to-bank lending 对同业拆借信心的丧失
    • moderate
      • life insurance company
    • low
      • mutual/hedge/pension fund, property-casualty insurance(财产灾害)
  • cause
    • asset side
      • risk from OBS loan commitment(贷款承诺) & other credit lines(信用额度)
        • 贷款承诺： 规定在有效期内，银行要按照约定的金额、利率等，随时准备满足客户借款需求 客户向银行支付承诺金额一定比例的费用。
    • liability side
      • depositor decide to cash their financial claim
        • if too severe,tend to be run off
  • problem with quick asset sales
    • high cost for turning illiquid asset into cash
    • low sales price(the worst,fire-sale甩卖)
  • solution
    • DI need to predict net deposit drain(净存款流出)
• managing stratrgy
  • asset liquidity 也被称为stored liquidity management (储存流动性管理)
    • 思路： 储备liquid asset,再sell it when liquidity is needed
      • 
    • 主要工具： liquid asset
      • 生存地点： active market (无论交易额多少，市场上永远有买卖)
      • 种类： T-bill,T-note,T-bond,federal fund,cash,reverse repurchase agrement...
      • 特点： low risk-return trade off
    • 缺点
      • decrease asset size 用掉了现金
      • hold excess low return and opportunity cost 低回报/失去得到高回报的机会
  • liability liquidity also,purchased liquidity management
    • 思路：purchase or borrow from financial market to cover all its liquidity needs 靠借钱来增加流动性
      • 
    • 种类: federal fund market/repo agreement market issue additional fixed-maturity certificate of deposit/note/bond
    • 缺点
      • borrowed fund is at higher rate 需要花更多的钱去借
      • borrowed fund not necessarily protected 借入的资金得不到保护
    • 优点：maintain overall balance sheet size 不改变资产负债表的总数目
  • balanced liquidity
    • combined use of liquid asset & borrowed liquidity
• estimate liquidity need
  • source & use of fund approach
    • 1. loan & deposit must be forecast(预算值)
      • 
      • a trend component
        • can be predicted over a longer time horizon (eg.growth rate over last ten year)
      • a seasonal component
        • can be predictable or unpredictable (eg. christmas period)
          • 由于large borrower&depositor的影响
      • cyclical(周期性的) component
        • difficult to predict
          • vary with business cycle
      • immediate obligation component
      • contingent component
      • 情况更复杂的时候考虑
    • 2. estimated change must be calculated(转变量)
    • 3. estimate net liquid fund by compare the estimate change
      • 
    • estimated net liquidity fund = estimated change in deposit - estimated cahnge in loans
  • structure of fund approach
    • 1. divide into three category (based on probability of being withdrawn)
      • hot money
        • 很大程度会全部被提现
      • vulnerable money
        • 有部分会被取走
      • stable money
        • 很小一部分会被取走
        • refer as core deposit(demand deposit)
    • 2. 计算
      • liability liquidity reserve = x1%*(H-legal reserve hold) + x2%*(V-legal) + x3%*(S-legal)
        • 1. x1,x2,x3的储备比例会在题中给出 2. legal 为对应钱的数量*reserve rate
      • total liquidity requirement = liability requirement + loan liquidity requirement
        • 100% of potential new loan requirement 为了建立持久的顾客关系，银行需要meet all good loans
        • loan liquidity requirement = 1*(potential loan outstanding-actual loan outstanding) 也就是纳入新增加的贷款
  • probability estimation approach
    • base on the probability they assign to different possible outcome
      • expected liquidity requirement= probability of A*(estimated surplus/deficit in A)+ probability of B*(estimated surplus/deficit in B)+ probability of C*(estimated surplus/deficit in C)+ ...
        • 
  • liquidity indicator approach
    • 衡量流动性需求based on experience & industry average(行业平均)
      • stored liquidity indicator
        • 经济繁荣时下降，衰退时上升 (因为繁荣时，贷款需求会增加)
          • cash position indicator
            • cash and deposit due/total asset
              • 指标越高，说明银行更需要去持有现金
          • liquid security indicator
            • US government security/total asset
              • 指标越高，说明银行流动性越强
      • purchased liquidity indicator
        • 经济繁荣时上升，衰退时下降
          • deposit brokerage index
            • brokered deposit(经纪公司存款)/total deposit
              • 越大越差
              • 因为brokered deposit are highly interest rate sensitive & may quickly withdrawn
          • core deposit ratio
            • core deposit/total asset
              • 越小越差
          • deposit composition ratio 存款结构比率
            • demand deposit/time deposit
              • 越大越差
      • 两个大类指标
      • hot money ratio
        • money market asset/volatile liability
          • 越小越差
            • 这里及下面的“差”是指流动性风险越高
      • net federal funds indicator(同业之间)
        • (fed fund sold(A) - fed fund purchased(L))/total asset
          • 指标上升，说明银行流动性变强
  • signal from market
    • public confidence
    • stock price behavior
      • 股票流动性好，股票成交更活跃，相应的股价可能会升高 （因为流动性好是一个好的表现）
    • risk premium on CD & other borrowing
      • is the bank pay higher interest rate than other bank of similar size?
    • loss sales of asset
      • has the bank been forced to sell asset in a hurry?
    • meet commitment to customer
      • 银行敢下所有的贷款承诺吗
    • borrow from the Central Bank
      • 如果一个银行老是找“最后借款人”借钱，那说明他走投无路了