Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Use of Fund
Cash
BI current account
Earning Assets:
Bank’s Deposit
Securities
Placement
LOAN
Fixed Asset
BANK as Financial Intermediary
Laporan Keuangan
Source of Fund
Demand Deposit
Saving Deposit
Time Deposit
Equity
Assign.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Use of Fund
Interest ?
Cost of Fund
Maturity ?
Liquidity
Matched ?
Sources of Fund
Asset and Liability
Management
the set of actions and procedures
designed to control the bank’s
risks and financial position
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Estimating liquidity needs
• Sources and Uses of Funds Method:
– Calculate future changes over time in loans and deposits from past
experience and future expectations.
– Example of estimation:
Month
Estimated
Loans
Estimated
Change
Deposits Loans
Estimated
Change Liquidity
Deposits Needs
Dec
1000
1200
-----
-----
-----
Jan
1200
1000
200
(200)
400
Feb
1600
1200
400
200
200
March
1500
1600
(100)
400
(500)
Assign.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Estimating liquidity needs
• Structure-of-Deposits Method:
– Example of estimation:
Probability of
Amount Held Withdrawal in Expected
(in millions)
Next 3 Months Withdrawals
Short-term (unstable):
Demand deposits
Other transactions accounts
$2
$10
.90
.60
$ 1.8
$ 6.0
Medium-term:
Small time and
savings deposits
$50
.30
$15.0
$10
.20
$ 2.0
$24.8
Long-term (stable):
Large time deposits
Expected deposit withdrawals
Gap Analysis
Assign.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Estimating liquidity needs
• Funding and market liquidity needs
– Funding-liquidity risk refers to maintaining sufficient
cash to meet investment needs.
– Market-liquidity risk is related to market disruptions
that can temporarily widen bid-ask spreads and make it
difficult to close out open positions in derivatives,
securities, etc. without sustaining losses.
• General definition of liquidity:
Amount of liquidity needed relative to ability to
meet liquidity demands.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Asset liquidity
• Role of asset liquidity
– Liquid assets are an alternative source of funds.
– A reserve to protect the bank from financial market loss
of confidence that could threaten safety and soundness.
Primary reserves -- vault cash and cash held on deposit at the
Federal Reserve district bank.
Secondary reserves -- money market instruments held by the
bank under no formal regulatory requirements.
Assign.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Asset liquidity
• Primary reserves
– Lagged reserve requirements
Calculate daily average balances of transactions deposits during a
14-day period (computation period).
Calculate average daily vault cash in the next 14-day period.
Skip 3 days.
Maintain reserve balances at the Federal Reserve during a
subsequent 14-day period (maintenance period). Thus, 17
days between end of computation period and beginning of
maintenance period.
LRR lowers management costs and improves the quality of
information on required balances.
Assign.
Manajemen Dana Bank
Estimat. liquidity
Intro.
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Asset liquidity
• Managing the money position (minimize cash holdings which
generally means to meet reserve requirements).
CALCULATING RESERVE REQUIREMENTS FOR COMMERCIAL BANKS
Type of Deposit
and Deposit Interval
Average Dollar
Amount (in
millions) in
Computation Period
Net transactions accounts
a
$0 - $45.6 million
Over $46.5 million
Nonpersonal time deposits
Eurocurrency liabilities
Total reserves required
Less vault cash
Federal Reserve District Bank
a
$46.5
20.2
25.0
5.0
Average Dollar
Percentage Reserves Required
Reserve (in millions) in
a
Requirement
Maintenance Period
3%
10%
0%
0%
a
$1.248
2.020
0
0
$3.268
(0.418)
$2.850
The first $4.9 million of transactions accounts are exempt from reserve
requirements. This cutoff and the 3% reserve requirement cutoff are amended by
the Federal Reserve System from time to time. For an update, see
http://www.frbchi.org/banker/regulatory_update/
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Asset management
• Secondary reserves
– T-bills, Federal agency securities, repurchase
agreements (RPs or Repos), bankers’ acceptances,
negotiable certificates of deposit (CDs), federal funds,
and commercial paper.
– Aggressive liquidity approach
Yield curve relationships can be used to buy longer-term or shortterm securities (e.g., 30-day 2-year securities).
– Securitization of loans (asset-backed financing)
Loans are converted to securities with greater liquidity.
Credit risk is reduced.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Asset/Liability management
Asset/liability committee (ALCO)
In general, a short-run management tool: Construct a sources and uses of funds
statement. NIMs are controlled by this management:
Example:
$100 million 5-year fixed-rate loans at 8% = $8 million interest
$90 million 30-day time deposits at 4% = $3.6 million interest
$10 million equity
Net interest income = $4.4 million
Net interest margin (NIM) = ($8 - $3.6)/$100 = 4.4%
If interest rates rise 2%, deposit costs will rise in next year but not loan
interest. Now, NIM = ($8 - $5.4)/$100 = 2.6%.
Thus, NIM depends on interest rates, the dollar amount of funds, and the
earning mix (rate x dollar amount)
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Liability management
• Purchase the funds needed to meet loan demands and
deposit withdrawals.
– Correspondent balances of smaller banks with larger banks.
– Risks
Interest rate increases reduce interest rate margins.
Capital losses on securities and other assets can occur as interest rates
increase.
Loss of public confidence would prevent the bank from rolling over
purchased funds.
Increased borrowing causes financial risk to increase (i.e., variability of
earnings per share).
Capital market risk can occur when interest rates are low and investors
shift funds from deposits to higher earning capital assets in the
financial marketplace.
Assign.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Funds management of liquidity
• Compare the total liquidity needs to total liquidity sources.
– Liquidity ratios
Loans/deposits
Loans/nondeposit liabilities
U.S. government securities/nondeposit liabilities
U.S. government securities/large denomination time deposits
Liquid assets and liabilities in period t/estimated liquidity needs in period t
(i.e., liquidity relative to needs)
– Optimum bank liquidity
Balance risks and returns … high enough liquidity to meet unexpected
needs but not so high to incur high opportunity costs of near-cash assets.
Uncertainty in forecasted needs and sources affects optimum also.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Funds management of liquidity
• Regulatory view of bank liquidity
– Adequacy of bank liquidity (not least cost or optimum
liquidity strategy).
The availability of assets readily convertible into cash
The structure and volatility of deposits
The reliance on interest-sensitive funds
The ability to sustain any level of borrowings over the business
cycle
The bank’s formal and informal commitments for future lending
The ability to adjust rates on loans when rates on interestsensitive sources of funds fluctuate
The examiner-analyst
Assign.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Dollar gap
– RSA($) - RSL($) (or dollars of rate sensitive assets minus dollars
of rate sensitive liabilities -- normally, less than one-year
maturity).
– To compare 2 or more banks, or make track a bank over time, use
the:
Relative gap ratio = Gap$/Total Assets
or
Interest rate sensitivity ratio = RSA$/$RSL$.
– Positive dollar gap occurs when RSA$>RSL$. If interest rates
rise (fall), bank NIMs or profit will rise (fall). The reverse
happens in the case of a negative dollar gap where RSA$<RSL$.
A zero dollar gap would protect bank profits from changes in
interest rates.
Assign.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Dollar gap
• Gap, interest rates, and profitability:
– The change in the dollar amount of net interest income (NII) is:
NII = RSA$( i) - RSL$( i) = GAP$( i)
Example: Assume that interest rates rise from 8% to 10%.
NII = $55 million (0.02) - $35 million (0.02) = $20 million (0.02)
= $400,000 expected change in NII
• Defensive versus aggressive asset/liability management:
– Defensively guard against changes in NII (e.g., near zero gap).
– Aggressively seek to increase NII in conjunction with interest rate
forecasts (e.g., positive or negative gaps).
– Many times some gaps are driven by market demands (e.g., borrowers
want long-term loans and depositors want short-term maturities.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Duration Gap
• While GAP$ can adjust NIM for changes in interest
rates, it does not consider effects of such changes on
asset, liability, and equity values.
DGAP (duration gap) = DA - W DL, where DA is the average
duration of assets, DL is the average duration of liabilities, and
W is the ratio of total liabilities to total assets. DGAP can be
positive, negative, or zero.
The change in net worth or equity value (or E) here is
different from the market value of a bank’s stock (which is
based on future expectations of dividends). This new value is
based on changes in the market values of assets and liabilities
on the bank’s balance sheet.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Duration Gap
Gap Analysis
Assign.
EXAMPLE: Balance Sheet Duration
Assets
$ Duration (yrs)
Cash
100
0
Business loans 400
1.25
Mortgage loans 500
$1,000
Funds mgt. of liq.
7.0
4.0
Liabilities
$
Duration (yrs)
CD, 1 year
600
1.0
CD, 5 year
300
5.0
Total liabilities $900
2.33
Equity
100
$1,000
DGAP = 4.0 - (.9)(2.33) = 1.90 years
Suppose interest rates increase from 11% to 12%. Now,
% E = (-1.90)(1/1.11) = -1.7%.
$ E = -1.7% x total assets = 1.7% x $1000 = -$17.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
Duration Gap
•Defensive and aggressive duration gap management:
–If you think interest rates will decrease in the future, a positive duration gap
is desirable -- as rates decline, asset values will increase more than liability
values increase (a positive equity effect).
–If you predict an increase in interest rates, a negative duration gap is
desirable -- as rates rise, asset values will decline less than the decline in
liability values (a positive equity effect).
–Of course, zero gap protects equity from the valuation effects of interest rate
changes -- defensive management.
–Aggressive management adjusts duration gap in anticipation of interest rate
movements.
Manajemen Dana Bank
Intro.
Estimat. liquidity
Asset liquidity
A/L management
Funds mgt. of liq.
Gap Analysis
Assign.
TUGAS
•
•
•
•
•
Buat kelompok dengan jumlah anggota 2-3 orang
Membawa contoh laporan keuangan lengkap sebuah bank
Buatlah analisis laporan keuangan, khusus mengenai
likuiditas.
Hasilnya dipresentasikan dan didiskusikan pada
pertemuan ke-3
Hasil analisis selengkapnya disajikan dalam bentuk paper
yang dikumpulkan paling lambat sebelum mata kuliah ini