Chapter10LiquidityandReserveManagementStrategiesandPolicies銀行的流動性和準備金管理LiquidityandReserveManagementStrategiesandPolicies

流動性和準備金管理§1.LiquidityManagement流動性管理1、DemandsforandSuppliesofLiquidity流動性的供求2、StrategiesforLiquidityManagement流動性管理的策略§2.EstimatingaBank’sLiquidityNeeds計算銀行的流動性需求§3.法定準備金和貨幣頭寸管理§1.LiquidityManagement

流動性管理TheAvailabilityofCashintheAmountandattheTimeNeededataReasonableCost銀行在需要資金時，可用合理的成本獲取足夠的資金來源ABank’sNetLiquidityPosition(Lt)

銀行凈流動性頭寸=SuppliesofLiquidity流動性供給－

DemandsforLiquidity流動性需求1、DemandsforandSuppliesofLiquidity

流動性的供求SuppliesofLiquidFunds

流動資金的供給IncomingCustomerDeposits吸收客戶存款RevenuesfromtheSaleofNondepositServices提供非存款服務(wù)獲取的收益CustomerLoanRepayments客戶貸款的償還SalesofBankAssets銀行資產(chǎn)的出售BorrowingsfromtheMoneyMarket從貨幣市場借款DemandsforBankLiquidity

銀行流動性需求CustomerDepositWithdrawals存款人提款CreditRequestsfromQualityLoanCustomers向合格的客戶提供貸款RepaymentofNondepositBorrowings借款的償還OperatingExpensesandTaxes營業(yè)費用和交稅PaymentofStockholderDividends向股東支付紅利Lt>0Supplies>DemandsliquiditysurplusLt<0

Supplies<DemandsLiquiditydeficitDemandsforandSuppliesofLiquidity2、StrategiesforLiquidityManagement

流動性管理的策略AssetliquidityManagementStrategy資產(chǎn)流動性管理的策略—orAssetConversionStrategy資產(chǎn)轉(zhuǎn)換策略BorrowedLiquidityManagementStrategy借入流動性管理的策略orLiabilityManagementStrategy負債流動性管理的策略BalancedLiquidityManagementStrategy資產(chǎn)負債流動性管理—orAssetandLiabilityManagementStrategyAssetLiquidityManagement

資產(chǎn)流動性管理CallsforStoringLiquidityintheFormofLiquidAssetsandSellingThemWhenLiquidityisNeeded要求銀行保持足夠的流動性資產(chǎn)，在需要資金時將資產(chǎn)出售，以滿足流動性需求LiquidAsset

流動性資產(chǎn)HaveaReadyMarket必須有一個市場HaveaReasonablyStablePrice必須有合理穩(wěn)定的價格Reversible可轉(zhuǎn)換BorrowedLiquidityManagement

負債流動性管理CallsfortheBanktoPurchaseorBorrowfromtheMoneyMarketToCoverAllofItsLiquidityNeeds銀行可從貨幣市場借入資金，以滿足流動性需求SourcesofBorrowedFunds

借入資金的來源FederalFundsPurchased聯(lián)邦基金借款RepurchaseAgreement(Repos)再回購協(xié)議IssuingLargeCDs(﹥$100,000)發(fā)行大額可轉(zhuǎn)讓定期存單IssuingEurocurrencyDeposits發(fā)行歐洲貨幣存款BorrowingReservesfromtheFed從聯(lián)邦儲備銀行借入準備金B(yǎng)alancedLiquidityManagementStrategy

資產(chǎn)負債流動性管理CombinedUseofAssetLiquidityManagementandLiabilityLiquidityManagementtoMeetaBank’sLiquidityNeeds把資產(chǎn)流動性管理和負債流動性管理結(jié)合起來使用，以滿足銀行的流動性需求§2.EstimatingaBank’sLiquidityNeeds

計算銀行的流動性需求1、SourcesandUsesofFundsApproach資金來源和運用法2、StructureofFundsApproach資金結(jié)構(gòu)法3、UsingProbabilitytoDecideLiquidityRequirement概率法4、LiquidityIndicatorApproach流動性指標法

1、SourcesandUsesofFundsApproach

資金來源和運用法

Liquiditygap=sources(LS)－uses(LU)deposits↑deposits↓loans↓loans↑Liquiditygap>0,liquiditysurplus<0,liquiditydeficit1、SourcesandUsesofFundsApproach資金來源和運用法—KeySteps關(guān)鍵步驟ForecastLoansandDepositsforPlanningPeriod預(yù)測計劃期存貸款Componentsoffuturedepositsandloans：Trend，SeasonalandCyclical未來存貸款的構(gòu)成：趨勢、季節(jié)和周期EstimateChangesinLoansandDepositsfortheSamePeriod計算同一時期存貸款的變化Changesindepositsisfunctionof[personalincome,retailsales,Ms,inflationrate]存款變化是個人收入、零售額、貨幣供應(yīng)量和通貨膨脹率的函數(shù)Changesinloansisfunctionof[growthineconomyorbusinesssales,corporationearnings,Ms,inflationrate]貸款變化是經(jīng)濟增長或企業(yè)銷售、公司盈利、貨幣供應(yīng)量和通貨膨脹率的函數(shù)EstimateNetLiquidityposition計算凈流動性頭寸流動性缺口=存款變化－貸款變化2、StructureofFundsApproach

資金結(jié)構(gòu)法KeyStepsABank’sSourcesofFundsDividedInto3Categories銀行資金來源有三類‘HotMoney’(very

sensitiveliabilities)游資（利率敏感性極強）VulnerableFunds(25or30%)脆弱性資金StableFunds(coredepositsorliabilities)穩(wěn)定性資金SetAsideLiquidFundsAccordingtoOperatingRule按照規(guī)定留出流動性資金Estimatethedifferencebetweenactualandpotentialloansandstoreliquidity（100%）計算現(xiàn)有貸款和潛在貸款的差額，留出100%的流動性資金Calculatetotalliquidityrequirement計算總的流動性需要量

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

客戶關(guān)系理論Managementshouldstrivetomeetallgoodloansthatwalkinthedoorinordertobuildlastingcustomerrelationships銀行管理者必須滿足所有合格申請人的貸款請求，已建立持久的客戶關(guān)系3、LiquidityIndicatorApproach

流動性指標法

Estimateliquidityneedsbasedonexperienceandindustryaverages①CashPosition=Cashanddepositsduefromotherbank/totalassets↑↑↓②LiquidSecurity=T-securities/totalassets↑↑↓③NetFederalFundsPosition=（FFsold－FFpurchased）/totalassets↑↑↓④CapacityRatio=Netloansandleases/totalassets↑↓↑⑤PledgingSecuritiesRatio=PledgingSecurities/totalSecurities↑↓↑3、LiquidityIndicatorApproach流動性指標法

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

LegalReserve法定準備金Depositsheldinareserveaccountatthecentralbank存在中央銀行的準備金存款§3.MoneyPositionManagement貨幣頭寸管理LegalReserveCalculation法定準備金的計算ReserveComputationPeriod準備金的計算期TimeperiodoverwhichabankcalculatesitslegalreserverequirementReserveMaintenancePeriod準備金的持有期ThetimeperiodofoverwhichabankmustholdtherequiredamountoflegalreservesthatthelawdemandsCalculatingandMaintainingRequireLegalReserves計算和持有法定準備金

TWThFSSuMTWThFSSuMTWThFSSuMTWThFSSuMTW

ReserveComputationPeriodReserveMaintenancePeriod

CalculatingRequireLegalReserves

TotalRequireLegalReserves法定準備金總額

=Reserverequirementontransactiondeposits交易性存款RR×Dailyaverageamountofnettransactiondepos