Bank Management, 5th edition. Timothy W. Koch and S. Scott MacDonald Copyright © 2003 by South-Western, a division of Thomson Learning 流动性风险管理 Chapter 11

The relationship between cash and liquidity requirements The amount of cash held is heavily influenced by the bank’s liquidity requirements. Vault cash is held to meet reserve requirements and transactions purposes 需要注意的是流动性与盈利能力之间存在冲突。

The link between liquidity and banking risks and returns Liquidity needs arise from net deposit outflows, as balances held with Federal Reserve Banks or correspondent banks decline. Most withdrawals are predictable because they are either contractually based or follow well-defined patterns. Still, some outflows are totally unexpected.

A common definition of liquidity emphasizes the ease of converting an asset to cash with minimum loss. For a financial institution that regularly borrows in the financial markets, liquidity takes on the added dimension of the ability to borrow funds at minimum cost or even the ability to issue stock. It explicitly recognizes that such firms can access cash by selling assets, by new borrowing, and by new stock issues. Bank liquidity thus refers to a bank’s capacity to acquire immediately available funds at a reasonable price.

Cash versus liquid assets Banks own four types of cash assets: vault cash, demand deposit balances at Federal Reserve Banks, demand deposit balances at private financial institutions, and cash items in the process of collection (CIPC). Cash assets do not earn any interest, and represents a substantial opportunity cost for banks. Banks attempt to minimize the amount of cash assets held and hold only those required by law or for operational needs.

Why do banks hold cash assets? Banks supply coin and currency to meet customers' regular transactions needs. Regulatory agencies mandate legal reserve requirements that can only be met by holding qualifying cash assets. Banks serve as a clearinghouse for the nation's check payment system. Banks use cash balances to purchase services from correspondent banks.

Liquid assets A liquid asset is one that can be easily and quickly converted into cash with minimum loss. Contrary to popular notion "cash assets" do not generally satisfy a bank's liquidity needs. If, for example, the bank experiences an unexpected drain on(消耗) vault cash, the bank must immediately replace the cash or it would have less vault cash than required for legal or operational needs.

现金资产与流动资产的关系 只有当现金资产超过了法定或最低水平后，现金资产才能成为流动资产，才能用于流动负债的清偿； 银行的流动性实际上指的是一种快捷低成本获得现金的能力。银行流动性来源有三个方面：变卖资产，借新债，发行新股。

Cash assets are liquid assets only to the extent that a bank holds more than the minimum required. Liquid assets are generally considered to be: cash and due from banks in excess of requirements, federal funds sold and reverse repurchase agreements, short-term Treasury and agency obligations, high quality short-term corporate and municipal securities, and some government-guaranteed loans that can be readily sold.

Reserve balances at the Federal Reserve Bank Banks hold deposits at the Federal Reserve in part because the Federal Reserve imposes legal reserve requirements and deposit balances qualify as legal reserves. Banks also hold deposits to help process deposit inflows and outflows caused by check clearings, maturing time deposits and securities, wire transfers, and other transactions. Deposit flows are the link between a bank’s cash position and its liquidity requirements.

Required reserves and monetary policy The purpose of required reserves is to enable the Federal Reserve to control the nation’s money supply. There are basically three distinct monetary policy tools: open market operations, changes in the discount rate, and changes in the required reserve ratio.

Required reserves Legal reserves = vault cash and deposits at the Federal Reserve Bank. What determines required reserves? RR = rdd x DD + rtd x TD actually today, rtd = 0 Why are required reserves so important? Recall that money (M1) is: M1 = Cashnon bank public + DD and DD = Reserves / rdd --> the money multiplier.

Sweep accounts Under the Federal Reserve’s Regulation D, checkable deposit accounts such as demand deposits, ATS, NOW, and other checkable deposit (OCD) accounts have a 10% reserve requirement, but money market deposit accounts (MMDAs) are considered personal saving deposits and have a zero required reserve requirement ratio（只要能够认定为个人的，就可以免交法定存款准备金。）. Sweep accounts are accounts that enable depository institutions to shift funds from OCDs, which are reservable, to MMDAs or other accounts, which are not reservable.（免交）

Meeting legal reserve requirements Required reserves can be met over a two-week period. Reserves must be held to a fraction of its base liabilities. There are three elements of required reserves: the dollar magnitude of base liabilities, the required reserve fraction, and the dollar magnitude of qualifying cash assets.

Reserve requirement percentages for depository institutions 法定存款准备金是一个经常变动的宏观调控变量。

Lagged reserve accounting Under the current lagged reserve accounting (LRA) procedure: banks must maintain reserves on a daily average basis-for a 14-day period (reserve maintenance period) beginning on the third Thursday following the computation period（每14天检查一次）. The amount of required reserves is determined by the magnitude of daily average reservable liabilities over a base computation period that that begins about four and one-half weeks before the maintenance period begins（按照此前的4个半星期的平均应交法定存款准备金的负债计算。）.

Satisfying reserve requirements Both vault cash and Fed deposit balances qualify as reserves, but the timing varies. Daily average balances determine the amount of vault cash that qualifies over the two-week computation period that ends three days prior to the maintenance period.

Lagged reserve accounting Lagged Computation Period Vault Cash Computation Period Reserve Maintenance Period

Report of reservable liabilities and offsetting asset balances

Report of reservable liabilities and offsetting asset balances (continued)

Managing float …during any single day, more than $100 million in checks drawn on U.S. commercial banks is waiting to be processed. Individuals, businesses, and governments deposit the checks but cannot use the proceeds until banks give their approval, typically in several days. Checks in process of collection, called float, are a source of both income and expense to banks.（主要看收付是否属于同一家银行，或收支结果）

The payment system Payments between banks can be made either by check or electronically. Checks drawn against transactions accounts are presented to the customer’s bank for payment and ultimately “cleared” by reducing the bank’s deposit balance at the Federal Reserve or a correspondent bank. Payments made electronically directly and immediately alter balances held at Federal Reserve Banks.

Example of the check-clearing process

Correspondent banking services Correspondent banking is the system of interbank relationships in which one bank sells services to other financial institutions. The most common services are: Check collection, wire transfer and coin supply, Loan participation assistance, Data processing services, Portfolio analysis and investment advice, Federal funds trading, Securities safekeeping, Arrangement of purchase or sale of securities, Investment banking services.

The development of liquidity strategies Historically, liquidity management focused on assets and was closely tied to lending policies. Under the commercial loan theory prior to 1930, banks were encouraged to make only short-term, self-liquidating loans.

The development of liquidity strategies …Shiftability theory represented the next extension by recognizing that any liquid asset could be used to meet deposit withdrawals. In particular, a bank could satisfy its liquidity requirements if it held loans and securities that could be sold in the secondary market prior to maturing.

The development of liquidity strategies …Anticipated income theory, which suggested that liquidity requirements and thus loan payments should be tied to a borrower’s expected income. Around 1950 the focus shifted to the anticipated income theory Banks were still encouraged to invest in marketable instruments but now structured loans so that the timing of principal and interest payments matched the borrower’s ability to repay from income.（银行现金收支的时间匹配）

The development of liquidity strategies …Liability management theory, banks can satisfy liquidity needs by borrowing in the money and capital markets.（依赖金融市场借贷非常重要） More recently, banks have focused on liabilities. When they need immediately available funds, they can simply borrow via federal funds purchased, RPs, jumbo CDs, commercial paper, and Eurodollars.

The development of liquidity strategies (continued) Today, banks use both assets and liabilities to meet liquidity needs. Available liquidity sources are identified and compared to expected needs by a bank’s asset and liability management committee (ALCO，资产负债管理).

Liquidity versus profitability There is a short-run trade-off between liquidity and profitability. The more liquid a bank is, the lower its return on equity and return on assets, all other things being equal. Both asset and liability liquidity contribute to this relationship. Asset liquidity is influenced by the composition and maturity of funds. In terms of liability liquidity, banks with the best asset quality and highest equity capital have greater access to purchased funds. They also pay lower interest rates and generally report lower returns in the short run.

Liquidity risk, credit risk, and interest rate risk Liquidity management is a day-to-day responsibility. Liquidity risk, for a poorly managed bank, closely follows credit and interest rate risk. Banks that experience large deposit outflows can often trace the source to either credit problems or earnings declines from interest rate gambles that backfired. Few banks can replace lost deposits independently if an outright run on the bank occurs. 流动性风险实际上是银行破产事件的直接导火索。

Factors affecting certain liquidity needs: New Loan Demand Unused commercial credit lines outstanding Consumer credit available on bank-issued cards Business activity and growth in the bank’s trade area The aggressiveness of the bank’s loan officer call programs（所以一个银行的盲目快速扩张易发生流动性问题） Potential deposit losses(流失) The composition of liabilities（尤其是短期负债和核心存款） Insured versus uninsured deposits Deposit ownership between: money fund traders, trust fund traders, public institutions, commercial banks, corporations, individuals,etc Large deposits held by any single entity Seasonal or cyclical patterns in deposits The sensitivity of deposits to changes in the level of interest rates

Traditional measures of liquidity asset liquidity measures Asset liquidity …the ease of converting an asset to cash with a minimum loss. The most liquid assets mature near term and are highly marketable. Liquidity measures are normally expressed in percentage terms as a fraction of total assets.

Highly liquid assets include: Cash and due from banks in excess of required holdings and due from banks-interest bearing, typically with short maturities Federal funds sold and reverse RPs. U.S. Treasury securities maturing within 1 year U.S. agency obligations maturing within 1 year Corporate obligations maturing within 1 year and rated Baa and above Municipal securities maturing within one year and rated Baa and above Loans that can be readily sold and/or securitized 要么容易转让，要么期限很短

Pledging requirements（担保要求） Not all of a bank’s securities can be easily sold. Like their credit customers, banks are required to pledge collateral against certain types of borrowings. U.S. Treasuries or municipals normally constitute the least-cost collateral and, if pledged against debt, cannot be sold until the bank removes the claim or substitutes other collateral. 当接受担保时，最好是流动性强的担保品。

Loans Many banks and bank analysts monitor loan-to-deposit ratios as a general measure of liquidity. Loans are presumably the least liquid of assets, while deposits are the primary sources of funds. A high ratio indicates illiquidity because a bank is fully extended relative to its stable funding.

The loan-to-deposit ratio is not as meaningful a measure of liquidity as it first appears. Two banks with identical deposits and loan-to-deposit ratios may have substantially different liquidity if one bank has highly marketable loans while the other has risky, long-term loans. An aggregate loan figure similarly ignores the timing of cash flows from interest and principal payments. The same is true for a bank’s deposit base. Some deposits, such as long-term nonnegotiable time deposits, are more stable than others, so there is less risk of withdrawal.

Aggregate ratios thus ignore the difference in composition of both assets and liabilities, along with their cash-flow characteristics. In summary, the best measures of asset liquidity identifies the dollar amounts of unpledged liquid assets as a fraction of total assets. The greater the fraction, the greater the ability to sell assets to meet cash needs. 所以如果想要采用资产负债比例管理，必须对存贷款的未来现金流进行优化，否则无法采用这个比率进行流动性管理。

Liability liquidity measures Liability liquidity …the ease with which a bank can issue new debt to acquire clearing balances at reasonable costs. Measures typically reflect a bank’s asset quality, capital base, and composition of outstanding deposits and other liabilities. 负债流动性与资产流动性完全不同，这点要特别注意。

Liability liquidity measures The following ratios are commonly cited: Total equity to total assets Risk assets to total assets Loan losses to net loans Reserve for loan losses to net loans The percentage composition of deposits Total deposits to total liabilities Core deposits to total assets Federal funds purchased and RPs to total liabilities Commercial paper and other short-term borrowings to total liabilities.

Measuring core deposits Deposit Amount (Millions of Dollars) 2001 2002 Total Deposits Core Deposits Volatile Deposits = Total Deposits = 2000 1999 1998 1997 1996 1995 1994 1993 1992 Time

A bank’s ability to borrow at reasonable rates of interest is closely linked to the market’s perception of asset quality. Banks with high quality assets and a large capital base can issue more debt at relatively low rates. Banks with stable deposits generally have the same widespread access to borrowed funds at relatively low rates（这是一个重要结论）. Those that rely heavily on purchased funds, in contrast, must pay higher rates and experience greater volatility in the composition and average cost of liabilities. For this reason, most banks today compete aggressively for retail core deposits.

Liquidity planning（） Banks actively engage in liquidity planning at two levels. （计算流动性需求） The first relates to managing the required reserve position. The second stage involves forecasting net funds needs derived, seasonal or cyclical phenomena and overall bank growth.

Liquidity planning: Monthly intervals The second stage of liquidity planning involves projecting funds needs over the coming year and beyond, if necessary. Projections are separated into three categories: base trend（正常情况下）, short-term seasonal（季节性情况）, and cyclical values（周期性情况，主要指在经济周期的不同阶段）. Management can supplement this analysis by including projected changes in purchased funds and in investments with specific loan and deposit flows.

Forecasts of trend, seasonal, and cyclical components of deposits and loans Loan forecast

Monthly liquidity needs（通常月是安排流动性的常见时间间隔） The bank’s monthly liquidity needs are estimated as the forecasted change in loans plus required reserves minus the forecast change in deposits: Liquidity needs = Forecasted Dloans + Drequired reserves - forecasted Ddeposits

Estimates of liquidity needs

Liquidity GAP measures Management can supplement this information with projected changes in purchased funds and investments with specific loan and deposit flows. The bank can calculate a liquidity GAP by classifying potential uses and sources of funds into separate time frames according to their cash flow characteristics. The Liquidity GAP for each time interval equals the dollar value of uses of funds minus the dollar value of sources of funds.

Liquidity gap estimates (millions of dollars)

Potential funding sources (millions of dollars)

Considerations in selecting liquidity sources The previous analysis focuses on estimating the dollar magnitude of liquidity needs. Implicit in the discussion is the assumption that the bank has adequate liquidity sources. Banks with options in meeting liquidity needs evaluate the characteristics of various sources to minimize costs. 总是选择代价最低的流动性来源。

The following factors should be considered when evaluating Asset sales: Brokerage fees（这个交易成本可能很高） Securities gains or losses Foregone interest income Any increase or decrease in taxes Any increase or decrease in interest receipts

The following factors should be considered when evaluating New borrowings: Brokerage fees Required reserves FDIC insurance premiums Servicing or promotion costs（偿债成本） Interest expense. The costs should be evaluated in present value terms because interest income and expense may arise over time. The choice of one source over another often involves an implicit interest rate forecast.

中国工商银行流动性管理目标 建立科学完善的流动性风险管理机制 对流动性风险实施流程化管理 及时满足全行业务发展对流动性的需求 平衡资金的安全与效益。

中国工商银行流动性管理措施 对流动性实施集中管理，将资金集中到一级分行进行全额集中配置管理 通过内部资金转移定价机制引导分行调整资产负债期限、品种结构。

中国工商银行流动性管理的其他措施 应用一系列流动性参数每日监控本行流动性头寸，并按季向资产负债管理委员会汇报； 通过持续监控及调整本行的现金、存放央行和其他银行的现金以及其他生息资产的金额和结构，确保满足本行未来的流动性需求； 监控流动性比率以符合法规及内部要求，并采用压力测试以评估本行的流动性需求； 建立流动性风险预警系统和流动性应急计划。

中国工商银行2008年流动性缺口分析（简要）

中国工商银行2008年流动性缺口分析（详细）