Upravljanje aktivnom i pasivom

Božidar Gojković

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Ključne teme

• Upravaljnje aktivom, pasivom i sredstvima • Tržišne stope i rizik kamatnih stopa• Svrha kamatnog hedžinga• Upravljanje disptaritetima osetljivim na

kamatu• Upravljanje trajanjem dispariteta• Ograničenja hedžing tehnika

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Strategije upravljanja aktivnom i pasivom

Svrha upravljanja aktivom i pasivom je kontrola osetljivosti bankarskih sredstava na promene tržišnih kamatnih stopa i ograničavanje gubitaka u neto prihodima i kapitalu

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Istorijski osvrt na upravljanje aktivom i pasivom• Strategija upravljanja aktivom (kontrola i odabir aktive, bez kontrole nad pasivom)

• Strategija upravljanja pasivom (kontrola strukture pasive promenama kamatnih stopa i drugih uslova)

• Strategija upravljanja sredstvima (kombinacija prethodne dve strategije)

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Rizik kamatne stope

• Rizik cene▫ Kada kamatne stope rastu, trzišna

vrednost Obveznica i zajmova sa fiksnom kamatnom stopom pada

• Rizik reinvestiranja▫ Kada kamatne stope padaju, sredstva koja

pristizu (po osnovu prikupljenih kamata ili otplaćenih zajmova) reinvestiraju se po nizim kamatama, pri tome ostvarujući manje prihode od ocekivanih.

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Rizik kamatne stope: Jedan od najvećih izazova

• Sile koje odredjuju kamatne stope▫ Kamatne stope određuje finansijsko tržište▫ Imaju tendenciju da dostignu nivo na kojem

se izjednacava ponuda i tražnja

• Određivanje kamatnih stopa▫ Prinos do dospeća YTM▫ Eskontna stopa banke

• Components of Interest Rates

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Yield to Maturity (YTM)

∑= +

=n

1tt

t

YTM) (1CF PriceMarket

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Eskontna stopa banke (discount rate -DR)

Maturity toDays #360*

FVPrice Purchase- FV DR =

Where: FV equals Face Value of a Security, such as Treasury Bills

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Komponente kamatnih stopa

Function of:• Bezrizična kamatna stopa(T-bills

rate+stopa inflacije)• Premije rizika▫ Rizik neizvršenja - Default Risk▫ Rizik inflacije▫ Rizik likvidnosti▫ Rizik opoziva▫ Rizik ročnosti

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Krivulje prinosa• Grafički prikaz varijacije prinosa u odnosu

na ročnost• Kreirana na bazi trezorskih zapisa kako bi

se izbegli uticaji premije za rizik• Nagib krivulje prinosa▫ Pozitivni– Dugoročne kamatne stope su više u

odnosu na kratkoročne▫ Negativni – kratkoročne kamatne stope su vise u

odnosu na dugoročne▫ Nulti – Nivo kratkoročnih i dugoročnih kamatnih

stopa su isti• Menadžeri bolje reaguju na pozitivni nagib-

povoljno utiče na rentabilnost

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Pokrice neto kamate - Net Interest Margin

Assets Earnings TotalExpensesInterest - IncomeInterest NIM =

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Cilj hedžinga kamatnih stopa

Jedan od najvažnijih ciljeva hedžiranja kamatnih stopa je izolacija banaka i dr. fin institucija od štetnih efekata koje fluktuacija kamatnih stopa ima na prihode

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Quick Quiz• What forces cause interest rates to change? • What makes it so difficult to correctly forecast

interest rate changes?• What is the yield curve, and why is it important

to know about its shape and slope?• What is the goal of hedging?• First National Bank of Bannerville has posted interest

revenues of $63 million and interest costs from all of its borrowings of $42 million. If this bank possesses $700 million in total earning assets, what is First National’s net interest margin? Suppose the bank’s interest revenues and interest costs double, while its earning assets increase by 50%. What will happen to its net interest margin?

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Upravljanje disparitetom osetljivim na kamatu

Disparitet osetljiv na kamatu

Aktiva osetljiva na kamatu –Pasiva osetljiva na kamatu=

Relative Interest-

Sensitive Gap aktiva UkupnaGap ISDollar =

Koeficijent osetljivosti na kamatu

sLiabilitie SensitiveInterest Assets SensitiveInterest =

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Primeri aktive i pasive osetljive na kamatu

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Finansijska kompanija osetljiva na aktivu ima:• Pozitivni Dollar IS GAP

• Pozitivni Relativni IS GAP

• Koeficijent osetljivosti na kamatu je veci od jedan

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Finansijske kompanija osetljiva na pasivu ima:• Negativan Dollar IS Gap

• Negativni Relativni IS Gap

• Koeficijent osetljivosti na kamatu je manji od jedan

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Computer-Based Techniques and Maturity Buckets

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Pozicije dispariteta i efekat promene kamatnih stopa na Finansijske kompanije

• Fin.komp. osetljive na aktivu▫ Kamatne stope NIM

▫ Kamatne stope NIM Falls

• Fin.komp osetljive na pasivu▫ Kamatne stope NIM

▫ Kamatne stope NIM

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Nulti disparitet osetljiv na kamatu

• Dollar IS Gap je Nula• Relativni IS Gap je Nula• Koeficijent osetljivosti na kamatu je Jedan▫ Kada se kamatne stope menjaju u bilo kom

pravcu- NIM je zaštićena i neće se menjati

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Vazne odluke koje se tiču dispariteta osetljivosti

• Rukovodstvo mora da izabere period tokom kojeg če se upravljati NIM

• Rukovodstvo mora da izaberi ciljni nivo NIM• Za povećanje NIM menadžment mora da:▫ Tačno predvidi kretanje kamatnih stopa▫ Izvrsi preraspodelu sredstava aktive i pasive

radi učvršćivanja veze izmedju prihoda i rashoda po kamati

• Rukovodstvo mora da utvrdi dolarski obim aktive i pasive osetljive na kamatu

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Faktori koji utiču na NIM:

• Promene u nivou kamatnih stopa, navise ili naniže

• Promene u odnosu između prihoda od aktive i troškova od pasive

• Promene obima aktive i pasive osetljive na kamatu

• Promene u sastavu aktive i pasive

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Kumulativni disparitet

Ukupna razlika u dolarskom iznosu, između aktive i pasive, za koje može ponovo da se formira cena tokom određenog vremenskog perioda.

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Ofanzivno upravljanje disparitetom osetljivim na kamatu

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Probelemu u upravljanju disparitetom osetljivim na kamatu• Kamatne stope za pasivu sklone su bržoj

promeni nego kamatne stope za aktivu

• Promene u kamatnim stopama vezanim za aktivu i pasivu ne desavaju se uvek istim tempom kao promene kamate na otvorenom tržištu

• Trenutak u kome dolazi do promene kamatnih stopa za aktivu i pasivu nije jednostavno utvrditi

• IS Gap ne uvazava posledice koje promenljive kamatne stope mogu imati na pozije vlasnika

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Quick Quiz• Commerce National Bank reports interest-sensitive assets of

$870 million and interest-sensitive liabilities of $625 million during the coming month. Is the bank asset sensitive or liability sensitive? What is likely to happen to the bank’s net interest margin if interest rates rise? If they fall?

• People’s Savings Bank , a thrift institutions, has a cumulative gap for the coming year of +$135 million, and interest rates are expected to fall by two and a half percentage points. Calculate the expected change in net interest income that this thrift institution might experience. What will occur in net interest income if interest rates rise by one and a quarter percentage points?

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Upravljanje trajanjem dispariteta

Trajanje je vrednosta i vremenska mera dospeća koja podrazumeva vremenski aspekt svih priliva gotovine od prihodovane aktive, kao i svih doliva gotovine vezanih za pasivu

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Koncept trajanja

Priceor ValueMarket Current

YTM) (1CF *t

YTM) (1CF

YTM) (1CF *t

D

n

1tt

t

n

1tt

t

n

1tt

t ∑

∑

∑=

=

=+

=

+

+=

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Trajanje je mera prosečnog vremena koje jepotrebno sya naplatu sredstava uloženih u jednu investiciju

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Osetljivost promene cene

i) (1i * D-

PP

+∆

≈∆

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Procentulna promena u tržišnoj ceni aktive ili pasive je priblizno jednaka vremenu trajanja odnosne promene u kamatnim stopama vezanim za tu određenu aktivu ili pasivu

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Konveksnost-Izloženost

• Odnos izmedju promene u ceni o HoV i promene u prihodu ili kamatnoj stopi HoV ima drugačiji termin u finansijskom smislu u odnosu na trajanje.

• Rizik cene je veci kod nižih kamatnih stopa u odnosu na vise kamatne stope

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Trajanje dolarske aktive u godinama

Where:

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Trajanje dolarske pasive u godinama

Where:

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Trajanje dispariteta uskladjenim sa leveridžom

pasiva Ukupnaaktiva Ukupna * D - D D LA=

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Promena neto vrednosti Banke

+∆

+∆

=∆ L * i) (1

i * D- - A * i) (1

i * D- NW LA

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Uticaj promenljivih kamatnih stopa na neto vrednost banke

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Akcije menadžmenta

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Oraničenja u upravljanju trajanjem dispariteta• Pronalaženje aktive i pasive sa približno istog

trajanja je komplikovan zadatak• Neka aktiva i pasiva moze imati model

novcanih tokova koji nije dobro definisan (tekući i štedni računi)

• Plaćanja unapred koju vrše klijenti ugrožavaju očekivane tokove gotovine od zajmova

• Neizvršenje obaveze klijenata po osnovu kredita utiče na isplanirane novčane tokove

• Konveksnost moze izazivati probleme (kratkoročne kamatne stope vs duročne kamatne stope)

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Quick Quiz• What is duration? How is a financial

institution’s duration gap determined?• What are the advantages of using duration as

opposed to interest-sensitive gap analysis?• Suppose that a thrift institution has an average

asset duration of 2.5 years and an average liability duration of 3.0 years. If the thrift holds total assets of $560 million and total liabilities of $467 million, does it have a significant leverage-adjusted duration gap? If interest rates rise, what will happen to the value of its net worth?

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