商银8-manage liquidity legal reserve risk2

这是一篇关于商银8-manage liquidity legal reserve risk2的思维导图，negative gap when interest rates rise, while call options can be used to offset a positive gap when interest rates fall. 8-* 8-* 8-* Speculation vs. Hedging With financi...

8-manage liquidity & legal reserves Ⅱ

• liquid asset management
  • minimum liquid asset reserve requirement
    • 原因
      • lessen the risk of run on the bank
      • strengthen the monetary policy 加强货币政策的效果
        • have multiplier effect
          • past:法定准备金高时，银行上交的钱多，拿来贷款的钱少， 利润少，会形成恶性循环
          • after minimize:更多的钱去贷款，产生更多利润
      • taxation implication
        • 相当于政府indirect way to raise additional "tax"
      • 由earning consideration& liquidity regulation决定
        • many country:can use cash & liquid government security (eg. UK and Australia)
        • US bank: cash-based
• legal reserves (cash reserves) of US
  • 种类
    • cash in vault 库存现金
    • deposit held in a reserve account with the regional Fed 放在美联储的存款
    • 都是cash
  • 规定
    • 2010
    • 2016
  • 相关概念
    • transaction account 交易账户
      • 概念: deposit permits holder to make withdrawal (such as demand deposit& NOW account for bank)
        • 短期持有，旨在日后获利及规避其他项目风险 而持有的头寸
      • 计算： net transaction account balance = transaction account - (cash item in process of collection) - (demand balance due from US depository institution)
  • 计算： calculate & maintain required legal reserve
    • reserve computation period 准备金计算期
      •  第1周的周二——第2周的周一
      • 计算：daily average of net transaction account & vault cash
        • 
        • 注意：周五的数值会被计算三次 (因为周末不上班，按周五的来算)
      • 降低法定准备金的措施 (为了更多收益)
        • weekend game
          • send part of deposit out of the country on Friday
          • bring them back on the following Monday
        • sweep account
          • 周五将存款账户转移到利率更高的储蓄账户上 周一再转回来(顾客也很满意，因为利息增加了)
    • reserve maintenance period 准备金持有期 (action to cater federal fund's demand)
      •  第5周的周四——第6周的周三（实际上应该算作第7周了） 在准备金计算期结束后的17天之后
      • 使用系统： lagged reserve accounting(LRA) 滞后准备金会计系统
        • 相比于只有两天滞后的CRA，LRA有充足的时间来完成 如果滞后期不够长，为保险起见，银行最后会持有更多无用的现金储备， 不利于更高的收益
      • 计算
        • daily target balance for deposit = daily reserve required - vault cash
        • zero cumulative reserve difict: 要求储备值*天数=各天储备值之和
• bank run 挤兑
  • underlying reason (for abnormal deposit drain存款外流)
    • concern about a DI's solvency(偿付能力)
    • contagion effect(传染效果) 对所有银行业都失去信心
  • cause of bank run
    • demand deposit contract 活期存款合同的特征所决定的： first come,first served
  • dealing: regulatory machanism 监管机制
    • deposit insurance (FDIC)
      • guarantee program offering deposit holders varying degrees of insurance-type protection
        • moral hazard
          • encourage bank to increase their risk 人们对自己的存款更有信心，银行就更肆无忌惮 可能把投资者的钱拿去投资高风险资产
          • dimnish depositors'incentive to monitor and discipline bank
    • discount window: offer three lending program
      • primary credit
      • secondary credit
      • seasonal credit program