2/10/2025

Chapter 3

Liquidity and Reserves Management:

Strategies and Policies
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11-2

Liquidity Thanh khoản

Tiền mặt sẵn có Lượng tiền có được với chi phí hợp lí
• The Availability of Cash in the Amount and
at the Time Needed at a Reasonable Cost
chi phí hợp lí
quy mô và tính biến động nhu cầu TM
• The size and volatility of cash requirements
affect the liquidity position of the bank ả/h đến vị thế thanh khoản của NH
▫ Examples of transaction that affect the bank’s
cash balance and liquidity position: Deposits
and withdrawals; loan disbursements and
loan payments giải ngân khoản vay và thanh toán
khoản vay
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11-3

Supplies of Liquid Funds  NH nhận tiền

• Incoming Customer Deposits
• Tiền gửi khách hàng
bán các dịch vụ ko phải là tiền gửi
• Revenues from the Sale of Nondeposit Services
• Thu từ các dịch vụ

• Customer Loan Repayments

• Thu lãi vay

• Sales of Bank Assets

• Thu từ các tài sản sinh lời của NH

• Borrowings from the Money Market

• Vay mượn từ thị trường tiền tệ
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11-4

Demands for Liquidity NH chi ra

• Customer Deposit Withdrawals
• Khách hàng rút tiền gửi

• Repayment of Nondeposit Borrowings

• Chi trả các khoản vay mượn khác

• Operating Expenses and Taxes

• Chi hoạt động và thuế

• Payment of Stockholder Dividends

• Chi cổ tức cho các cổ đông
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11-5

vay thế chấp

hạn mức tín dụng

chuyển khoản để thanh toán

NH cấp khoản vay và tiền gửi vào tài khoản KH

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KH chi tiêu toàn bộ số tiền vay = cách viết Séc

11-6

Vị thế thanh khoản ròng của 1 công ty tài chính

A Financial Firm’s Net Liquidity Position
L = Supplies of Liquid Funds
- Demands for Liquidity
* L > 0  Net Liquidity Position : Surplus
A liquidity surplus occurs when the supply for liquidity
exceeds the demand for liquidity

* L < 0  Net Liquidity Position : Deficit thâm hụt

A liquidity deficit occurs when the demand for liquidity
exceeds its demand.

L = 0  Net Liquidity Position : Balance

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11-7

For example:
Suppose that a bank faces the following cash inflows and outflows
during the coming week:

Cash flow VND million

Customer loan repayment cash inflows S 130,000
Operating Expenses Cash outflows  D 92,000
S: 130+10+750+47+25
Sales of bank assets S 10,000
= 962
Deposit Withdrawals D 73,000 D: 92+73+405+38+129
New Loan Requests D 405,000 = 737
New deposits S 750,000
L = S - D = 962-737
= 225 (Surplus)
Repayment of Previous Borrowings D 38,000
Money-market borrowings S 47,000
Dividend to Stockholders D 129,000
Non-deposit service fees S 25,000
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What is this bank’s
Bank Management projected
and Financial Services, 7/e net liquidity position
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11-8

Exercise 1:
Suppose that a bank faces the following cash inflows and outflows
during the coming week: D=541
a) deposit withdrawals are expected to total $33 million; D33 S=866
b) customer loan repayments are expected to amount to $108
million; S108 Surplus: 325
c) Operating expenses demanding cash payment will probably
approach $51 million; D51
d) Acceptable new loan requests should reach $294 million; D294
e) Sales of bank assets are projected to be $18 million; S18
f) New deposits should total $670 million; S670
g) Borrowings from the money market are expected to be about $43
million; S43
h) Nondeposit service fees should amount to $27 million; S27
i) Previous bank borrowings totaling $23 million are scheduled to be
repaid; and D23
j) A dividend payment to bank stockholders of $140 million is
scheduled. D140
What is this bank’s projected net liquidity position for the coming
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11-9

Why Banks and Their Competitors Face Significant Liquidity

Problems
sự mất cân bằng
• Imbalances Between Maturity Dates of Their Assets and Liabilities
Ex: Loan 3 months, Deposit 12 months
• High Proportion of Liabilities (especially demand deposits and
money market borrowings) Subject to Immediate Repayment
Ex: Tiền gửi và vay mượn phải trả ngay, trong khi thu hồi khoản vay
không lập tức được.
• Sensitivity to Changes in Interest Rates
▫ May affect customer demand for deposits ảnh hưởng đến nhu cầu tiền gửi của KH
Vtrò
▫ May affect customer demand for loans ảnh hưởng đến nhu cầu vay vốn của KH
trung
tâm • Central Role in the Payment Process, Reputation and Public
Confidence in the System. danh tiếng
niềm tin của công chúng
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11-10

Strategies for Liquidity Managers

1. Think about what is a liquid asset?
2. Identify strategies for liquidity management.
• Asset Liquidity Management or Asset
Conversion Strategy quản trị thanh khoản: để dành chuyển khoản, vàng để đó ko xài

3 chiến lược • Borrowed Liquidity or Liability Management

Strategy Mượn từ nguồn khác, sử dụng hết đc tài sản

• Balanced Liquidity Strategy để 1 chút TS 1 chút đi mượn

Tìm hiểu lợi ích và bất lợi của 3 chiến lược trên
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11-11

Asset Liquidity Management

đòi hỏi phải lưu trữ
This Strategy Calls for Storing Liquidity in the Form
of Liquid Assets (T-bills, fed funds loans, CDs, etc.)
and Selling Them When Liquidity is Needed

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11-12

Characteristics of a liquid asset

• Must Have a Ready Market So it Can Be
Converted to Cash Quickly phải có sẵn thị trường để
có thể chuyển đổi TM nhanh chóng

• Must Have a Reasonably Stable Price

phải có mức giá ổn định hợp lí
• Must Be Reversible So an Investor Can
Recover Original Investment with Little
Risk
phải có thể đảo ngược để nhà đầu tư có thể thu hồi vốn đầu tư ban đầu
với ít rủi ro
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11-13

Options for Storing Liquidity

tín phiếu kho bạc
• Treasury Bills • Municipal Bonds and
• Fed Funds Sold to Notes
Other Banks • Federal Agency
• Purchasing Securities Securities
for Resale (Repos) bán lại • Negotiable Certificates
• Deposits with of Deposits chứng chỉ tiền gửi có thể chuyển nhượng
Correspondent Banks • Eurocurrency Loans
đại lí tiền tệ châu Âu

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11-14

ko phải là miễn phí

Asset Liquidity Asset Liquidity Management is Not và bao gồm chi phí
= (I) + (II) + (III) + (IV)
Costless and Include Opportunity Cost: cơ hội
• Loss of Future Earnings on Assets That Must
Be Sold mất thu nhập trong tương lai do phải bán tài sản
• Transaction Costs (Commissions) on Assets
That Must Be Sold phí giao dịch/ phí hoa hồng
• Potential Capital Losses If Interest Rates are
Rising Mất vốn tiềm năng nếu lãi suất tăng
• May Weaken Appearance of Balance Sheet Bảng cân đối kế toán yếu đi
• Liquid Assets Generally Have Low Returns
LN thấp, khả năng sinh lời kém
Liquid >< Profit: Trade - off
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11-15

Borrowed Liquidity (Liability) Management

This Strategy Calls for the Bank to

Purchase or Borrow from the Money
Market To Cover All of Its Liquidity
Needs Trang trải hoặc lo cho nhu cầu thanh khoản của mình
Nhược điểm: bị động và chịu lãi suất cao
passive and subject to high interest rates

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11-16

Sources of Borrowed Funds

• Federal Funds Purchased
• Selling Securities for Repurchase (Repos)
• Issuing Large CDs (Greater than $100,000)
• Issuing Eurocurrency Deposits
• Securing Advance from the Federal Home
Loan Bank Ứng trước
• Borrowing Reserves from the Discount
Window of the Federal Reserve

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Dấu hiệu của vấn đề thanh khoản:
+ Nhu cầu rút tiền của ng gửi tiền gia tăng
+ Thị giá CP của NH liên tục giảm
+ Áp dụng lãi suất huy động cao hơn thị trường Asset liquidity chỉ phù hợp với NH small size
+ Bán lỗ TS Borrowed liquidity phù hợp với NH lớn
+ Ko thực hiện đc nghĩa 11-17
vụ 1 cách đầy đủ và
đúng hẹn đối với các
hoạt động tín dụng đã Borrowed Liquidity (Liability) Management
ký kết
+ Vay NHTW/ NHNN
Advantages Disadvantages

• Borrow Only When There • Highest Expected Return

is a Need for Funds But Carries the Highest
• Volume and Composition Risk Due to Volatility of
of the Investment Interest Rates and Possible
Portfolio Can Remain Rapid Changes in Credit
Unchanged Availability
• The Institution Can • Borrowing Cost is Always
Control Interest Rates in Uncertain-> Uncertain
Order to Borrow Funds Earnings
(raise offer rates when • Borrowing Needs Can Be
needs requisite amounts Interpreted as a Signal of
Signs of liquidity problems:
Bankof funds)
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+ Increased demand for depositors to withdraw money
+ Continuous decrease in the market price of bank shares Nhu cầu vay có thể đc hiểu là tín hiệu khó khăn tài
+ Applying higher interest rates than the market chính
+ Selling assets at a loss
+ Failure to fully and timely fulfill obligations
for signed credit activities
+ Borrowing from the Central Bank/State Bank
11-18

Balanced Liquidity Management Strategy

The Combined Use of Liquid Asset

Holdings (Asset Management) and
Borrowed Liquidity (Liability
Management) to Meet Liquidity
Needs

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11-19

Guidelines for Liquidity Managers

Hướng dẫn
theo dõi tất cả các
• They Should Keep Track of All Fund- phòng ban sử dụng vào
Using and Fund-Raising Departments gây quỹ

biết trc các khoản rút • They Should Know in Advance

tiền của KH có tín Withdrawals by the Biggest Credit or
dụng/ tiền gửi lớn nhất
Deposit Customers
• Their Priorities and Objectives for ưu tiên và mục tiêu phải
Liquidity Management Should be Clear
rõ ràng

• Liquidity Needs Must be Evaluated on a

Continuing Basis
phải đc đánh giá liên tục
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11-20

Methods for Estimating Liquidity Needs

• Sources and Uses of Funds Approach

Phương pháp tiếp cận nguồn và sử dụng nguồn
• Structure of Funds Approach
Phương pháp tiếp cận cấu trúc quỹ
• Liquidity Indicator Approach
Phương pháp tiếp cận chỉ số thanh khoản
• Signals from the Marketplace
Phương pháp tín hiệu từ thị trường

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11-21

1-Sources and Uses of Funds

• Loans and Deposits Must Be Forecast for a

Given Liquidity Planning Period
• The Estimated Change in Loans and sự thay đổi ước tính
Deposits Must Be Calculated for the Same
Planning Period
• The Liquidity Manager Must Estimate the
Bank’s Net Liquid Funds By Comparing the
Estimated Change in Loans to the Estimated
Change in Deposits

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11-22

Ước tính thâm hụt

thanh khoản hoặc
thặnMcGraw-Hill/Irwin
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11-23

2- Structure of Funds Approach

các nguồn quỹ khác
• A Bank’s Deposits and Other Sources of
Funds Divided Into Categories. For
Example: nợ biến động
▫ ‘Hot Money’ Liabilities (volatile liabilities)
▫ Vulnerable Funds quỹ dễ bị tổn thương
▫ Stable Funds (core deposits or core liabilities) cốt lõi
• Liquidity Manager Set Aside Liquid Funds
According to Some Operating Rule

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Liability liquidity reserve = để lại tạo thanh khoản

95% x ( Hot money deposits and nondeposit funds – Legal reserves held)
+ 30% x (Vulnerable deposit and nondeposit funds – Legal reserves held)
+ 15% x (Stable/Score deposits and nondeposit funds – Legal reserves held)
vay ngắn ngày thường
sử dụng để khi gửi For example: A bank currently has $300 million in "hot money" 95%(300-300x5%)
tiết kiệm theo tháng deposits against which they want to hold an 85 percent reserve. = 95%x300(1-5%)
This bank has $150 million in vulnerable deposits against which = 270.75
nhưng mới ngày 25
they want to hold a 30 percent reserve and this bank has $90
cần tiền, rút ra thì sử million in stable deposits against which they want to hold a 10
dụng hot money percent reserve. The legal reserves for this bank are 5 percent of
30%(150-150x5%)
all deposits. What is this bank's liability liquidity reserve?
15%(90-90x5%)
liquidity reserve rate of Hot money?
= 326.325 million
95% (300-300x5%) = 270.75
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11-25

Customer Relationship Doctrine

Học thuyết quan hệ khách hàng

đáp ứng
Management Should Strive to Meet All
Good Loans that Walk in the Door in
Order to Build Lasting Customer
Relationships để xd mối qh lâu dài với KH

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Total liquidity requirement = Deposit and nondeposit liability liquidity requirement

and loan liquidity requirement =
95% x ( Hot money funds – Required Legal reserves held behind hot money deposits)
+ 30% x (Vulnerable deposit and nondeposit funds – Required Legal reserves)
+ 15% x (Stable deposits and nondeposit funds – Required Legal reserves)
+ 100% x (Potential loan outstanding – Actual loan outstanding)

For example: A bank has $450 million in "hot money" deposits

against which they want to hold an 80 percent reserve. This
bank has $200 million in vulnerable deposits against which they
want to hold a 25 percent reserve and this bank has $180 million
in stable deposits against which they want to hold a 5 percent
reserve. The legal reserves for this bank are 5 percent of all
deposits. Potential loan outstanding $850 million and actual
loan outstanding $650 What is this bank's liquidity
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11-27

Liquidity Indicator Approach

(Based on Experience and Industry Averages)
• Cash Position Indicator • Hot Money Ratio
môi giới
• Liquid Security Indicator • Deposit Brokerage Index
cốt lõi
• Net Federal Funds Position • Core Deposit Ratio
thành phần
• Capacity Ratio • Deposit Composition Ratio

• Pledged Securities Ratio • Loan Commitment Ratio

chứng khoán cầm cố
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11-29

The Ultimate Standard: Market Signals of Liquidity Management

• Public Confidence

• Stock Price Behavior

• Risk Premiums on CDs

• Loss Sales of Assets

• Meeting Commitments to Creditors

• Borrowings from the Central Bank

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11-30

Legal Reserves
• Assets That a Central Bank Requires
Depository Institutions to Hold as a
Reserve Behind Their Deposits or
Other Liabilities

• Only 2 Kinds of Assets Can Be Used

for This Purpose: 1) Cash in the Vault; TM trong kho
2) Deposits Held in a Reserve Account
With the Regional Fed. Tiền gửi trong tài khoản
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11-31

U.S. Legal Reserve Requirements

• In 2007-2008, first $9.3 Million have 0 Legal
Reserves
• 3 Percent of End-of-the-Day Daily Average for
a Two Week Period For Transaction Accounts
Up To $43.9 Million ($43.9 million is known as
the reserve tranche and changes every year)
• 10 Percent of End-of-the-Day Daily Average
for a Two Week Period For Transaction
Accounts For Amounts Over $43.9 Million
• Transaction Accounts Include Checking
Accounts, NOW Accounts and Other Deposits
Used to Make Payments
• The $43.9 Million Amount is Adjusted Annually
• The Money Position Manager Oversees the
Institution’s Legal Reserve Account
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11-32

Calculating Required Reserves

Any deficit above 4% may be assessed an interest penalty equal to the Federal
Reserve’s discount (primary credit) rate at the beginning of the month plus 2
percentage points applied to the amount of the deficiency.
Repeated reserve deficits lead to increased regulatory scrutiny, possibly damaging its
efficiency.
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11-33

Factors Influencing the Money Position

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11-34

Sweep Account
a bank account that automatically transfers money intoanother account
or investment that pays higher interest when the amount of money in it goes
over a particular level

• Volume of Legal Reserves Held at the Fed Has Declined

in Recent Years Largely Due to Sweep Accounts

• A Contractual Account Between Bank and Customer that

Permits the Bank to Move Funds Out of a Customer’s
Checking Account Overnight in Order to Generate Higher
Returns for the Customer and Lower Reserve
Requirements for the Bank
▫ Retail Sweep
▫ Business Sweep
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11-35

Other Factors to Influence Legal Reserves

• Use of Fed Funds Market

▫ The cheapest source
▫ But very volatile rất dễ biến động
▫ Managers rely on the Fed funds target rate (the most volatile
on the settlement date) ngày thanh toán
• Other Options
▫ Sell liquid securities
▫ Draw upon excess correspondent balances
▫ Enter into repurchase agreements for temporary borrowings
▫ Sell new time deposits
▫ And borrow in the Eurocurrency market
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11-36

Factors in Choosing Among Different

Sources of Reserves
• Immediacy of Bank’s Needs

• Duration of Bank’s Needs

• Bank’s Access to Market for Liquid Funds

• Relative Costs and Risks of Alternatives

• Interest Rate Outlook

• Outlook for Central Bank Monetary Policy

• Regulations Applicable for Liquidity Sources

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11-37

Quick Quiz
• What are the principal differences among asset
liquidity management, liability management, and
balanced liquidity management?
• What guidelines should management keep in mind
when it manages a financial firm’s liquidity position?
• What is money position management?
• What is the principal goal of money position
management?
• What factors should a money position manager
consider in meeting a deficit in a depository
institution’s legal reserve account?

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