1、第六章 商業銀行現金資產管理1第六章 商業銀行現金資產管理Cash assets, liquid assets and liquidityBank liquidity needs and sourcesLiquidity planning and strategiesLiquidity, profitability and risk現金資產的構成、作用、特點2Cash Assets and LiquidityTransactions that reduce cash holdings normally force a bank to replenish cash assets by issui

2、ng new debt or selling assets.Transactions that increase cash holdings provide new investable funds.Banks own four types of cash assetsVault cashDemand deposit balances at FRBDemand deposit balances at private financial institutionsCash items in the process of collection (CIPC)3Why do banks hold cas

3、h assets?To satisfy four objectives:Supply coin and currencyMandated legal reserve requirementsClearingPurchase services from correspondent banksSubstantial opportunity costInterest that could be earned on an alternative investment4Liquid assetsLiquid asset: asset which can be easily and quickly con

4、verted into cash with minimum loss.Types of liquid assetsCash and due from banks in excess of requirementsFederal funds sold and reverse repurchase agreementsShort-term Treasury and agency obligationsHigh-quality short-term corporate and municipal securitiesSome government-guaranteed loans that can

5、be readily sold. 5Liquidity needLoan DemandUnused commercial credit lines outstandingConsumer credit available on bank issued cardsBusiness activity and growth in the banks trade areaThe aggressiveness of the banks loan officer call programs Deposit LossesThe composition of liabilitiesInsured versus

6、 uninsured depositsDeposit ownership Large deposits held by any single entitySeasonal or cyclical patterns in depositsThe sensitivity of deposits to changes in the level of interest rates.6Banks LiquidityFirms can acquire liquidity in three distinct ways: Selling assetsNew borrowingsNew stock issues

7、流動性來源：客戶存款、服務收入、客戶償還貸款、銷售銀行資產、從貨幣市場借款In general, bank liquidity refers to a banks capacity to acquire immediately available funds at a reasonable price. 7Liquidity planningPublic confidence is essentialObjectives of cash managementHold as few cash assets as possible without creating transactions pro

8、blemsPlanning Estimate liquidity needs accuratelyStructure their banks portfolio to meet the anticipated needs8Liquidity strategiesHistorically, liquidity management focused on assets and was closely tied to lending policies.Commercial loan theoryShiftability theoryAnticipated income theoryLiability

9、 management theory 9Liquidity, Profitability & RiskThere is a short-run trade-off between liquidity and profitability.The more liquid a bank is, the lower are its ROE and ROA, all other things being equal.Both asset and liability liquidity contribute to this relationship.Long-term earnings will exce

10、ed peer banks earnings, as will bank capital and overall liquidity. Banks that experience liquidity problems: can often trace the source to either credit risks or interest rate risk.10Normal sequence of eventsThe bank assumes substantial riskThe bank reports reduced earningsThe media publicizes the difficultiesThe bank must pay higher rates to attract and keep fundsBank earnings decline furtherReduced interest marginsNonaccruing loansSell assets at fire sale pricesObtain temporary financing fro