1、 A modern commercial bank assets and liability management Commercial bank asset and liability management, and practice on their point of view, have gone from a separate asset management and liability management to the process of integrated management of assets and liabilities, the latter adapted to

2、the modern commercial banks with new external environment and internal changes, to become At present the major Western commercial banks have generally adopted an effective management mechanism. Commercial bank asset management theory and Of this century, 60 years ago, due to funding sources of relat

3、ively fixed and narrow (mostly absorbed by demand deposits), relatively simple business financial needs, combined with well-developed degree of limitation on the market, bank management to focus primarily on assets, namely through the right asset structure appropriate arrangements to meet the bank s

4、afety, liquidity and profitability requirements. It is produced from bank management objectives, namely to maximize profits and assets of the liquidity of mutual contradiction. Basically, the assets of commercial banks can be divided into four categories: cash assets, securities assets, loans and fi

5、xed assets. Banks asset management refers primarily to the first three of these asset management, specifically including: liquidity management, reserve management, investment management and loan management. Commercial banks, asset management methods are: 1. Capital concentration method. Sources of f

6、unds by banks a variety of many new, there are demand deposits, time deposits, savings deposits, own capital, the source of these funds themselves have different characteristics. Funds focused on law regardless of these features, but will all the money together, then banks are investing in different

7、 assets, loans need to put up, as long as this configuration meet the banks overall management of the goal line. This approach requires banks to first determine its liquidity and profitability targets, and then the funds allocation to best meet this objective, the assets go up. As the liquidity and

8、profitability are mutually contradictory, liquid assets (such as the first preparation) with low income or no income (such as cash), so configure the funds should be prioritized. Priority according to a certain proportion to the first preparation, the second preparation, loans, securities investment

9、s. In the land, buildings and other fixed assets investments are usually considered separately. Bank capital management objectives, it is necessary to liquidity, profitability and safety of organic combination of the three, although all three at the same time it is very difficult to achieve. 2. Asse

10、t Allocation Act. Also known as money transfer method that the liquidity of a bank the amount of funds required for its access to relevant sources of funding. Funds focused on France too much emphasis on the management of liquidity of assets, but did not distinguish between demand deposits, savings

11、deposits, time deposits and capital funding sources for different the different requirements of mobility, such defects cause a great loss of profits of commercial banks. Since the 60s, savings deposits and time deposits growing faster than demand deposits, while the former two requirements on the fl

12、ow is lower than the latter. Thus, the asset allocation method was used to fill the gap. Asset Allocation Act tries to speed the flow of funding sources or the turnover and the different statutory reserve requirements, to distinguish between different sources of funding. For example, savings deposit

13、s than demand deposits, time deposits have a higher flow rate or turnover rate, to pay more in statutory reserves. Therefore, per unit of demand deposits, the ratio should be greater on the first, second reserve, while on the loans or the proportion of long-term bonds will have to smaller. The concr

14、ete application of this approach, often a bank set up a number of “liquidity - the profit center for” to the allocation it received a variety of funds, therefore, there may be “demand deposits, bank”, “Capital Bank”, etc. exist in the commercial banks are. Once established, these centers, management

15、 of each center received the allocation of funds to develop the policy. Such as demand deposits Center should be the center to absorb a larger proportion of funds on the first preparation, then, the remaining large amount of funds a large number of funds are mainly invested in short-term government

16、securities as a second preparation, the relatively small part of the place loans, but is mainly focused on short-term commercial loans. The main advantage of asset allocation method is to reduce the liquid assets, the remaining allocation of funds to loans and investment, which increased profits. Pr

17、ofit improvement was due to the elimination of regular savings deposits and capital accounts of the excess liquidity obtained. 3. Linear programming method. Linear programming starting from 70 years for bank asset management, primarily through the establishment of a linear programming model to solve

18、 the banks asset allocation. In using this method, in general, three steps: the first step: the establishment of the objective function. Commercial banks usually profit as the goal of the model, and then the rate of return of assets to choose a different portfolio of assets in order to achieve the m

19、aximum profit targets. The objective of introducing the dependent variable P, to choose from a variety of assets are X1 (in cash), X2 (short-term government securities), X3 (long-term securities), X4 (short-term loans), X5 (long-term loans), X6 (consumption loan), then the objective function is: P =

20、 aX1 bX2 cX3 dX4 eX5 fX6, where: a, b, c, d, e, f, respectively, a variety of asset returns. Step two: add constraints. In the establishment of the objective function based on the following additional constraints, mainly (1) policies and regulations of the constraints; (2) liquidity constraints; (3)

21、 security constraints; (4) other constraints, such as a bank charter on provides loan demand, and so the uncertainties. Step Three: Solving the specific value of various assets. Under the premise of the most profitable, according to a variety of assets, constraints on the specific constraints can be

22、 identified a group of the best portfolio of assets. Kufa with the overall funding, asset allocation method than the linear programming method has many advantages, it is the most commercial banks use the method. If it could be the bank to identify specific business objectives, to compare the results

23、 of the decision-making and in accordance with changes in the constraints to mobilize the allocation of funds, so that liquidity management has become more of. Commercial bank liabilities, management theory and methods Liability management of commercial banks emerged in the early 60s, it refers to c

24、ommercial banks to borrow money the way to keep the bank liquidity, thereby increasing the assets, increase the banks earnings. Before the advent of the liability management, as long as the bank loan market expansion, and its mobility have a certain guarantee. This is not necessary to maintain a lar

25、ge number of highly liquid assets, they should be put into high-margin loans or investments. When necessary, banks and lending by borrowing to support the expansion of the scale. 50-60 years, the emergence of large negotiable certificates of deposit, bank the intensity of competition and interest ra

26、te changes in the tightly controlled and so constitutes a liability management objective conditions occur. Liability management of commercial banks are generally two main types: A class of Qualified Borrowings on short-term deposits to make up for extraction, so that an increase in the liability sid

27、e of a cut, just unwind. The second category is a Qualified Borrowings to pay for the increase in borrowing requirements, so that liabilities and assets have increased, but due to the expansion of liability to expand the profitability of assets, thus bringing additional profits. However, this approa

28、ch there are two risks: One is the cost of the risk of Qualified Borrowings shall release the interest rate must be less than the interest rate that banks can profit; the other is available on the Qualified Borrowings by the amount of money when the market demand is greater than the supply, the Qual

29、ified Borrowings that is easy to obtain, especially poor when the individual banks. Liability management, positive sense, is: First, to maintain bank liquidity found a new way, by relying solely on passive absorption of deposits in debt, developed into a proactive foreign borrowing liability method,

30、 in the liquidity management of a single variable assets adjusted to combine both assets and liabilities. Second, to expand the size of bank assets, increasing loans to create the conditions for running. Now, as can be proactive liability management, we can according to the needs of asset loans, eve

31、n if no deposits does not matter, can be large on a regular basis through the issuance of certificates of deposit and organize a variety of loans to be guaranteed. Liability management, but also has shortcomings: the first is to raise the cost of the bank. In the U.S., the implementation of debt man

32、agement is primarily through the issuance of large negotiable certificates of deposit, to the central bank discount window borrowing, the Fed funds market borrowers, under repurchase agreements, borrowings and to the Euro-dollar market borrowing, etc. Borrow money through these means are required to

33、 pay higher than normal interest rate for deposits, and such liabilities will inevitably lead to an increase in the cost of bank debt increase. Second, to increase the operational risks of commercial banks. If the general tightening of funds on the market will enhance the liquidity risk, so banks ar

34、e in trouble, or even close down the risks. Meanwhile, the debt must encourage banks to increase the cost of assets invested in a higher effective lending and investment, resulting in credit risk and liquidity risk increases. Third, the liability management easy to make banks do not pay attention to

35、 supplement their own capital and equity sources of funds by banks declining proportion of the total. Bank liability management approach are: 1. Reserve position in the liability management. Is used to increase short-term liabilities to the bank planned to provide liquidity management of funds, whic

36、h buy funds to supplement the banks liquidity needs. For example, in the United States, reserve position in the liability management tool for the purchase of the main period of the day the Fed funds, or use of repurchase agreements. Thus, when a banks reserves as deposits, withdrawals or increased r

37、eceipts of assets that have invested the time being insufficient to purchase the Fed funds to supplement; and when there is a temporary surplus reserve on the Fed funds sold. From this point, this debt management methods to improve efficiency in the use of funds, but also slow down the banking syste

38、m due to a sudden reduction in reserves of the shock caused by nature. But never take this short-term borrowing as long-term source of funding, because once these banks is a management problem and is known to the public, they can not be in the Fed funds market to borrow to fund a result, bankruptcy.

39、 2. Loan liability management positions. This method first purchased by different interest rates to obtain funds to expand bank loans; secondly, by increasing the average duration of bank liabilities to reduce the variability of deposits, thereby reducing the bank debt of uncertainty. Large banks to

40、 issue negotiable certificates of deposit is the use of such management practices. Loan liability management position can be seen to be composed of two parts: one part of the project, this part is a planned arrangement of banks, an increase of debt, to borrow a profit; second part of flexible respon

41、se, which is the bank manager officers for the external interference on the assets and liabilities offset the adverse impact of the balance method using code. Commercial banks, asset-liability management theory and method of a Asset-liability management of commercial banks arising from the mid-70s.

42、This theory holds that: alone asset management, liability management is difficult to rely solely on the formation of commercial banks, safety, liquidity and profitability of the balance, only on the basis of financial circumstances change, the structure of assets and liabilities through a common str

43、uctural adjustment in order to achieve the Bank management objectives and requirements. Asset-liability management goal is to shareholders, financial control and other conditions, constraints, so that banks maximize the spread (and thus earn the most), its volatility (risk) the smallest, that is, to

44、 maintain a high level of interest rate stability. To achieve this goal, the bank managers to take two kinds of means: First, the forecast changes in interest rates actively adjust the banks balance sheet structure, namely the difference between the use of interest rate sensitivity management law; s

45、econd is to use the financial market interest rate risk transfer tools, such as the duration of administration law, financial futures, options, interest rate swap and other hedging instruments, as the difference between the Management Act to add. Commercial bank asset-liability management of bank op

46、erations a major change in the way, its commercial banking, financial and economic operations produced a far-reaching effects. In terms of commercial banks themselves, it increases the banks ability to withstand external economic shocks. Asset-liability management and use modern management methods a

47、nd technical means, from the assets and liabilities of the overall coordination of assets and liabilities of the contradictions, and resolve the contradictions surrounding the key factors - interest rates, established a set of defense system, forming a “safe net “, allowing banks to adjust the struc

48、ture of assets and liabilities has great flexibility and adaptability, thereby increasing the banks against the risks. asset-liability management help to reduce the bank “by the short-put long” contradiction. Liberalization of interest rates caused by increased funding costs, forcing commercial bank

49、s to reduce risk, to give up sex aggressive lending and investment strategies, and take a more cautious attitude towards lending and investment. On the national economy is concerned, to provide customers with an increasingly diverse financial instruments, services and financing, by raising lending r

50、ates in order to maintain a reasonable deposit and loan spreads, which to some extent, be able to ease inflationary pressures. Asset-liability management, there are some shortcomings, mainly in: asset-liability management to promote a more intense competition, increasing the number of bank failures.

51、 is not conducive to monetary oversight body to monitor the banks. Deregulation, technological advances led to the emergence of new financial instruments, making banking increasingly diverse, complex. In particular, the rapid balance-sheet business, making determination of the currency risk oversigh

52、t bodies face more difficulties. All this increases the difficulty of the management of monetary oversight bodies, increased management costs. commercial bank deposit interest rates caused by the liberalization of lending interest rates, so that the investment costs, impede the overall rise. Commerc

53、ial bank asset-liability management are: 1. Asset-liability spreads Management Act. It is mainly spread from the banks and the interest rate factor, and thus for banks to implement asset-liability management, reduce risk, improve profitability and create the conditions. Spreads also known as net int

54、erest income, the bank the difference between interest income and interest expenses. Spreads, there are two representations: the number of absolute and relative interest rate spreads (the spread rate). Absolute spreads can help the banks valuation of net interest income could offset the other expens

55、es, the estimated profitability of banks; spread rate of spread for the bank estimated that the changes and development trends, is also used to compare the inter-bank business. Spread is the main source of bank profits, while the interest rate sensitivity, or volatility, then constitute the banks ri

56、sk, spreads and changes in the size of the decision of the banks risk, spreads and changes in the size of the decision of the banks total the risk of an earnings. Spread by the internal and external factors and constraints of the combined effect of internal factors include the structure of bank asse

57、ts and liabilities, loan quality and maturity to absorb the cost of deposits and Qualified Borrowings and repayment period, and so on. External factors refer to general economic conditions, market interest rates, regional and national financial institutions in the state of competition and so on. Wes

58、tern banks spread the use of the “difference analysis” (ie, interest rates were analyzed, the total assets and liabilities and their combined impact on the spread of the method) analysis of interest rate, the total assets and liabilities and combinations thereof, the impact on bank spreads. A specif

59、ic analysis, we must first assume that two of the factors remain unchanged, to change the third factor, and then observe the third factor on the impact spreads, and so on. In addition, the interest rate cycle is a cyclical effect on the spread generated. Bank of yield management is the cyclical natu

60、re of the interest rate changes according to constantly adjust the debt structure of the wind assets, thereby maximizing spread, and remained relatively stable. 2. The difference between assets and liabilities management law. Refers to the bank managers predicted according to changes in interest rat