"Banking Laws and Regulations" 3. Bank Management - 2. Asset and Liability Management of Commercial Banks

Chapter 3 Assets and Liabilities Management of Commercial Banks

Section 1 Overview of Asset Liability Management

Test point 1: Objects of asset and liability management★★

For commercial banks, the object of traditional asset and liability management is the bank's balance sheet.

The connotation of traditional asset and liability management is: based on external situation changes and development strategy requirements, with capital constraints as the core and asset and liability portfolio management as the basic tool, the total amount, structure and combination of assets, liabilities and equity in the balance sheet Configuration enables comprehensive, dynamic and forward-looking planning, regulation and control of the entire process.

Under the new socio-economic environment, new financial market environment and new global regulatory requirements, the objects and connotations of asset and liability management of commercial banks have also continued to expand, showing a trend of "on and off-balance sheet, domestic and foreign currencies, groupization " .

Test Point 2 Objectives of Asset Liability Management★

overall goal	The overall goal of commercial bank asset and liability management is to maximize the bank's value while bearing reasonable gap and liquidity risks .
short term goals	According to the capital market valuation theory, the market value of commercial banks mainly depends on three factors: the bank's net cash flow, the time to obtain cash flow, and the risks related to cash flow. In the short term, the main variable affecting a bank's value is net cash flow. Currently, the banking industry usually uses the ratio of net interest income to the average balance of interest-earning assets, that is, net interest rate of return, as the core indicator to measure the efficiency of short-term assets and liabilities .
	The short-term goals of asset liability management can be summarized as: Comply with the current economic situation, market changes and changes in regulatory requirements, adhere to a stable and prudent risk preference, focus on improving the level of net interest rate of return (NIM) and return on equity (ROE), coordinate the management of assets and liabilities on and off the balance sheet, and ensure scale , balanced and coordinated development of risks and benefits.
Long-term goals	The operation and management of commercial banks should consider the relationship between the time value of funds, risks and returns, and achieve the fundamental goal of maximizing company value on the basis of effective risk control . Return on Economic Capital (RAROC) quantifies the expected risk losses in the future as current costs, measures the risk-adjusted rate of return, considers providing capital reserves for unexpected losses, and measures the efficiency of capital use, so that bank income and Risk-taking linkage has become a new risk-based value creation capability evaluation indicator commonly used by modern commercial banks.
	The long-term goals are summarized as follows: starting from the overall strategy of the bank, establishing an asset and liability management system that meets the requirements of modern commercial banks, strengthening capital constraints, improving risk control levels, strengthening business operation guidance and regulation capabilities, and overall planning and control of the total amount and structure of assets and liabilities, Promote the coordination and unity of liquidity, security and efficiency, maximize the return on economic capital RAROC, and continue to increase shareholder value returns.

Test point 3 Principles of asset and liability management★

1. Strategic orientation principle
2. Capital constraint principle
3. Comprehensive balance principle
Asset and liability management must adhere to the principle of balancing "volume, cost and profit" and taking into account "short-term, medium-term and long-term"
4. Value return principle

Test point 4: The components of asset and liability management★★★

capital management	The scope of capital management of commercial banks generally includes three aspects: regulatory capital management, economic capital management and book capital management . The content of capital management of commercial banks mainly includes management activities such as capital planning, raising, allocation, monitoring, evaluation and application, establishing capital management framework and mechanisms, formulating capital planning and annual plans, determining capital management tools and processes, and implementing capital allocation and Assessment, etc.
Asset and Liability Portfolio Management	Asset-liability portfolio management is the active management of a bank's balance sheet, that is, on the basis of satisfying the coordination and balance of risks, benefits, and liquidity, it seeks to continuously improve the level of income by optimizing the portfolio configuration structure of the balance sheet. Asset-liability portfolio management includes three parts: asset portfolio management, liability portfolio management and asset-liability matching management.
Asset Liability Plan Management	Asset-liability planning is an important means of asset-liability management, which mainly includes total asset-liability plan and structural plan. Usually, commercial banks mainly determine the total asset and liability plan based on the total capital of the bank and the level of capital adequacy ratio.   Asset and liability structure plans mainly include capital plans, credit plans, investment plans, interbank and financial institution financing plans , deposit plans and asset and liability maturity control plans, etc.
Pricing management	Pricing management is a core content of commercial bank operation and management, which directly affects the bank's operating profits. Pricing management is divided into external product pricing and internal fund transfer pricing management
Bank account interest rate risk management	Banking account interest rate risk refers to the risk of losses in the overall income and economic value of the bank account due to adverse changes in interest rate levels, term structures and other factors.   Commercial banks usually formulate policies and procedures for bank account interest rate risk management based on the bank account interest rate risk management limits reviewed by the senior management risk management committee and approved by the authorized approver, regularly assess the level and management status of bank account interest rate risk, and determine management Policies, methods and technologies, monitoring and control, information systems, information disclosure and other management contents. As interest rate liberalization advances, interest rate volatility will continue to increase, and the management of bank account interest rate risk will also become more difficult.
money management	Fund management is the unified management of all sources and uses of funds in commercial banks. It is an important means to optimize the allocation of funds, guide the rational flow of funds, and promote the coordination and unification of liquidity, security and efficiency of fund operations.   The core of fund management is to build an internal fund transfer pricing mechanism and a full fund management system , and establish two lines of revenue and expenditure, with the head office as the center, bottom-up centralized funds and top-down allocation of funds, full pricing, and centralized control. , a modern commercial bank treasury system that monitors and controls the bank's capital flow in real time.
Liquidity risk management	流动性状况反映商业银行从宏观到微观所有层面的运营状况及市场声誉， 良好的流动性状 况是商业银行安全稳健运营的基础。 流动性风险管理的内容主 要包括建立科学完善的管理机制， 对流动性风险实施有效地识 别、 计量、 预警、 监控和报告， 确保银行在正常经营环境或压力状态下， 能及时满足资 产、 负债 及表外业务引发的流动性需求和履行对外支付义务， 有效平衡资金的效益性和 安 全性， 加强附属机构流动性风险管理和监测， 有效防范整体流动性风险。
投融资业务管理	投融资和票据转贴现业务是商业银行一项重要的、 不可或缺的资产业务， 不仅具有盈利功 能， 还具有资金调控蓄水池和信贷规模调节器的作用。   投融资 和票据转贴现业务管理要坚持科学规划、 统一管理、 集约经营、 综合发展的原则， 构建符合现代商业银行要求的投融资和票据转贴现业务管理体制和经营机 制 ， 实现对银行 投融资和票据转贴现业务的制度规范、 流程合规、 价格引导、 授权管理、 计划管理和实时 监督控制。
汇率风险管理	随着人民币汇率市场化形成机制的逐步完善， 人民币汇率双向浮动区间将进一步扩大， 汇率风 险管理面临的挑战也阵益加大。

第二节 资产负债管理的工具和策略
 

考点1 资产负债管理的工具★★

缺口管理	缺口管理又称为利率敏感性缺口管理法， 是利率风险管理的重要工具。 具体是指根据对于未来利率变动趋势和收益率曲线形状的预期， 改变资产和负债的缺口。 简而言之， 当预期利率会上升时， 增 加缺口； 反之亦然。
久期管理	久期指某项金融资产（或负债） 在未来时间内产生的收益现金流的加权平均时间， 权数为各期收益 现金流的现值在资产市场价值中所占的权重。 久期用于衡量资产负债价值对于利率水平变化的敏感 度的一项指标， 可表示为利率变动1%时， 导致资产负债净值变动的百分比。 在商业银行资产负债管理过程中， 利用久期管理可以采用以下两种方法： 一是风险免疫管理策略， 其核心思想是通过资产久期和负债久期的匹配， 实现利率风险和再投资风 险的相互抵消， 进而锁定整体收益率； 二是久期缺口风险管理策略。
内部资金转移定价	商业银行内部资金中心与业务经营单位按照一定规则全额有偿转移资金， 达到核算业务资 金成本或收益等目的的一种内部经营管理模式。   利用FTP核算资金收益或成本时， 对负债而言是收益， 对资产而言是成本。 实施FTP的目 的之一， 就是要核算清楚负债带来多少收益， 资产占用了多少成本。 其作用主要在于以下两个方面： 一是公平绩效考核。 二是剥离利率风险。
经济资本	在商业银行资产负债管理中， 经济资本作为一项要工具， 主要用于绩效考核和风险定价两个方面。 经济资本应用的总体目标是通过建立有效的经济资本应用体系， 将以经济资本为基础的风险收益匹配的理念贯彻落实到各项经营管理活动中， 通过对风险总量和结构进行调控， 促进全行资源的优化配置， 提高经济资本回报。
资产证券化	证券化是指银行发现资产负债表中资产的额外价值并将其从资产负债表中全部移除， 以便为信贷 业务腾挪空间的过程。 证券化其主要优点是可以通过出售资产节约或减低资本费用， 还可以给发行银行带来额外的收 入。

收益率曲线： 一般有四种典型形状
水平收益率曲线	基本呈一条水平线， 表示长期利率与短期利率相等；
正向收益率曲线向上倾斜	表示长期利率高于短期利率；
反转收益率曲线向下倾斜	表示长期利率低于短期利率；
驼峰收益率曲线	表示期限相对较短的债券， 利率与期限呈正向相关， 期限较长的债券， 利率与期限呈反向相关。

考点2 资产负债管理的策略★★★

表内资产负债匹配	表内资产负债匹配是资产负债综合管理的核心策略。 商业银行执行该策略， 使资 产与负债达到规模对称、 结构对称、 期限对称， 实现安全性、 流动性和盈利性的统 一。
表外工具规避表内风险	利用衍生金融工具为主的表外工具规避表内风险， 是对表内资产负债综合管理的重 要补充。 一方面， 其利用利率、 汇率衍生工具来对冲市场风险； 另一方面， 其利用信用违约互换（CDS） 等信用衍生工具来对冲信用风险。
利用证券化剥离表内风险	风险管理视角， 资产证券化中， 商业银行将相关信贷资产从表内剥离， 也实现对相应信用风险的剥离， 流量经营视角， 资产证券化盘活存量信贷资产， 从表内和表外 两方向扩大信用投放覆盖面， 提高表内外资产周转率和收益率。