建设银行资金

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1、建设银行资金管理建设银行资金管理Bank Funds Management4Primary objective of the financial manager of any private sector firm is to create shareholder wealth by increasing the market value of the firm4This entails making decisions in four specific areas of management:4Working capital decisions4Capital budgeting decis

2、ions4Financing&capital structure decisions4Dividend distribution decisions2Bank Funds ManagementTypes of Financial Decisions Corporate Financial Mgmt4Working capital decisions 4Capital budgeting decisions4Financing&capital structure decisions4Dividend distribution decisionsBank Financial Mgmt 4Liqui

3、dity and interest rate decisions4Credit and cost management decisions4Funding and capital account management decisions4Capital account management decisions3Bank Funds ManagementBankCo Versus MakeCoBalance SheetBankCoCash4%Deposits92%Securities12%Subordinated debt:debentures2%Loans80%Preferred Shareh

4、olders equity2%Equipment,land&premises4%Common Shareholders equity4%Total Assets100%Total Liabilities100%Balance SheetMakeCoCash0%Accounts Payable10%Securities2%Debt:Short term15%Inventories15%Debt:Medium term15%Accounts Receivable20%Bonds:Long term20%Equipment,land&premises63%Common Shareholders eq

5、uity40%Total Assets100%Total Liabilities100%4Bank Funds ManagementComparing BankCo&MakeCo Balance Sheets4BankCos liquidity is relatively high(16%)compared to MakeCos(2%).4BankCos assets are mostly loans(80%);MakeCos assets are mostly equipment,land and premises(63%).4BankCo has total debts equal to

6、94%of its assets.MakeCos total debt equals 60%of its assets.4BankCos common shareholders equity equals 4%of assets;MakeCos equity equals 40%of assets.5Bank Funds ManagementIncome Statements of BankCo&MakeCo(%of Total Assets)BankCoMakeCoInterest Income10%Sales100%-Interest Expense(7%)-Cost of Goods S

7、old(60%)Net interest income 3%Gross Margin 40%+Other income 1%Total income 4%-Interest expense(5%)-Provision loan losses(1%)3%35%-Non-interest expense(2%)-Non-interest expense(25%)Net income before tax 1%Net income before tax 10%-Income tax(.4%)-Income tax(4%)Net income .6%Net income 6%6Bank Funds M

8、anagementComparing BankCo&MakeCo Income Statements4BankCos income is 4%of total assets;MakeCos gross margin is 40%.4BankCo makes 25%of its income from fees&commissions;MakeCo has no similar income item.4BankCo shows a provision for loan losses;MakeCos(much smaller)credit risk is due to its A/R4BankC

9、os operations are human capital intensive(salaries make up about 2/3 of total non-interest expense);MakeCos operations are capital intensive(high depreciation expense).4BankCos ROA is.6%;MakeCos ROA is 6%.4Conclusion:banking is a high volume,low margin business7Bank Funds ManagementDupont Financial

10、AnalysisROE=ROA x LeverageWhere:ROE=Net Income/Common shareholders equityROA=Net Income/Total AssetsLeverage=Total Assets/Common shareholders equityBankCoMakeCoROA.6%6%Leverage25 times2.5 timesROE15%15%8Bank Funds ManagementUnderstanding DupontROE =(ROA)x(Leverage)ROA=Operational RiskTotal income or

11、 non-interest expense fluctuates in responseto economic conditions&thereby impacts net incomeLeverage=Financial RiskIncreasing leverage increases potential return but also increases financial riskROE=Total RiskChanges in operational&financial risk combine to influence total risk of accounting return

12、s to shareholders.9Bank Funds ManagementFive CriticalManagement Variables4Liquidity management4Interest rate risk management4Capital account management4Cost(Productivity)management4Credit risk management4All impact on Profitability10Bank Funds ManagementThe Banks Financial ObjectiveObjective:Maximiz

13、e shareholders wealthHow:Maximize the PV of earnings distributed to bank shareholders11Bank Funds ManagementThe Banks Financial Objective4To maximize shareholder wealth,the bank must:4stabilize&increase after-tax income4achieve a competitive rate of return on its assets4achieve a competitive rate of

14、 return on its equity4This implies that the bank must develop&market an attractive portfolio of financial products and services.12Bank Funds ManagementTo Compete Effectively.4The bank must develop an attractive portfolio of products&services:BorrowerBankLenderAttractive portfolio of liabilitiesAttra

15、ctive portfolio of assets13Bank Funds ManagementThe Profit Planning ProcessObjectivesScreen the EnvironmentChoosing4Profit max.Internal EnvironmentOrganizational-strengths-values-weaknesses-beliefs4Create External EnvironmentEconomic choicesshareholder-profit opportunities-specific marketsvalue-comp

16、etitive threats-specific products&services4Specific financialgoals14Bank Funds ManagementExternal Forces of Change4Technology risk-investments must be made today in a rapidly evolving world4Regulatory risk-strategic choices have to be made without full knowledge of future regulatory changes4Interest

17、 Rate Risk-the market value of the banks assets&liabilities are driven by market interest rates,over which they have no control4Competition-deregulation is allowing all firms to compete in all markets4Capital-capital requirements are driven by both national and international regulatory changes.Now h

18、ave to hold capital against both credit and market risk.What about interest rate risk,liquidity risk,etc?15Bank Funds ManagementRisks&ProfitsExpected Bank ProfitsFinancial LeverageInterest Rate RiskSolvency RiskCredit RiskPosition RiskForeign Currency RiskOverhead RiskRegulatory RiskTechnology RiskO

19、perational RiskLiquidity RiskInflation Risk16Bank Funds ManagementAsset/Liability Management4All major banks today have an Asset/Liability Committee(ALCO)4Asset/liability management is concerned with strategic balance sheet management involving all market risks4Credit policy committee deals with iss

20、ues involving credit risk4Market risks may involve:4interest rate risk4foreign exchange risk4commodity price risk4stock market risk17Bank Funds ManagementObjectives of ALM4Objectives:4“Exposure by choice,not by chance”4“Clean bet,not a confused bet”4“Bet with your head,not over your head”4Objective

21、of ALM is not to eliminate risk but to manage it4ALM is primarily concerned with the strategic positioning of the Balance Sheet4ALM involves the linkage between the Asset side of the Balance Sheet with the Liability side of the Balance Sheet18Bank Funds ManagementObjectives of ALM4Main objective of

22、ALM is to control the volatility of Net Interest Income and Net Economic Value4Controlling NII a short term objective;controlling NEV a long term objective4Analogy with driving a car:4NII volatility-watching the car ahead 4NEV volatility-effective trip planning19Bank Funds ManagementGrowing Importan

23、ce of ALMThere are several reasons for the growing importance of ALM4Financial volatility4Explosion of new financial products4Regulatory initiatives4Heightened awareness of senior management 20Bank Funds ManagementFinancial Volatility4Volatility leads to greater uncertainty with respect to:4profitab

24、ility4portfolio values4solvency21Bank Funds ManagementVolatility:Interest Rate Risk4Eight dimensions of interest rate risk4rate level risk4volatility risk4prepayment risk4basis risk4yield curve risk4interest differential between currencies4real interest rate risk4event risk22Bank Funds ManagementNew

25、 Product Innovation4More than 1,000 new financial products introduced in the last two decades4Can broadly classify into:4OTC4swaps,FRAs,caps,floors,collars,swaptions,captions4Exchange traded4futures&options on interest rates,currencies,stocks,commodities&indexes4Concepts of“bundling”&“unbundling”4bu

26、ndling-mutual funds4unbundling-stripped bonds4Imitation lag time is becoming shorter23Bank Funds ManagementRegulatory Initiatives4Regulatory agencies are forcing banks to adopt more sophisticated ALM techniques:4OSFI(Canada)-as of January 1,1998 must set aside capital for“Value at Risk”4BIS-proposal

27、s for Market Risk Management4Bank of England-capital adequacy directive effective January 1,199624Bank Funds ManagementThree Phases of Risk Management4Phase I-beginning in the mid-70s,advent of highly volatile global financial environment4Phase II-beginning in the early 1980s,explosive growth in new financial products4Phase III-beginning in early 1990s,increased emphasis on ALM.“Do we know the risks we are taking?”25Bank Funds Management