商业银行资本管理,Main Contents,What Is the Function of Bank Capital?How Much Capital Is Adequate?The Effect of Capital Requirements on Bank Operating Policies资本充足率管理办法新资本协议问答 银监会关于新资本协议的意见,The function of bank capital,Reduce bank risk. Three basic ways:A cushion to absorb losses and remain solventIncreases the proportion of allowable problem assets that can default before equity is depleted.吸收非预期损失A ready access to financial markets and thus guards against liquidity problemsConstrains growth and limits risk taking,Impact of loan loss on capital,Balance Sheet of Big Four: 2002/12/31,US banks: Capital/Assets(%),Impact of loan loss on capital: 1%,Impact of loan loss on capital: 6.7%,Impact of loan loss on capital: 10%,Impact of loan loss on capital: 10%,Ready access to financial markets,Adequate bank capital minimizes operating problems by providing ready access to financial markets. As long as a banks capital exceeds the regulatory minimums, it can stay open and has the potential to generate earnings to cover losses and expand. Failures are tied directly to market values, not accounting values.When regulators guarantee bank debt, capital is meaningless. Capital serves the same purpose as federal guarantees when regulatory assistance is not openly provided.,Constrains growth and reduces risk,Equity is expensiveExpected asset returns must be high to justify the financing.Capital providers will exert market discipline over banks.Rigid capital requirementsConstrain growthReduce risks,How much capital is adequate?,银行和监管当局的技术难题如何决定足够防御非预期损失所需的资本量?如果资本水平太低银行可能不能够吸收大额的损失，增加了银行倒闭的风险，其后果是存款人承担风险。如果资本水平太高银行也许不能够最有效地使用资源，限制了其发放贷款的能力。,How much capital is adequate?,Reasons for less equityWith fewer fixed costs, operating risk is lower.Deposit insurance and other policy: cash flowReasons for more equityMarket value of bank assets is more volatileSources of funds are more volatile,How much capital is adequate?,Regulators prefer more capitalSafety of banksViability of the insurance fundStability of financial marketsBankers prefer less capitalLeverage improves profitabilityHow about depositors?Not too much, not too littleAdequate,Capital v.s. risks,How much capital is adequate depends on how much risk the bank assumes. Quality of assetsAccess to liquid fundsMatches in asset and liability maturities and durationsOperational riskCAMELS,Risk-based requirements: weaknesses,Account for limited risksBook value of capital ignoreschanges in the market value of assetsthe value of unrealized gains or losses on held-to-maturity bank investmentsthe value of a bank charterthe value of federal deposit insuranceaccounting ploysBy 2001, 93% of all banks are well-capitalized.They have few risk-based incentives to control risk.,Capital & bank operating policy,The Effect of Capital Requirements on Bank Operating PoliciesLimiting Asset GrowthChanging the Capital MixChanging Asset CompositionPricing PoliciesShrinking the Bank,Limiting asset growth,Asset growth is limited to some percentage of retained earnings plus new external capital.Option I: increase capitalHigher returns: riskier assets or more servicesDecrease dividendsIssue new capitalOption II: not to grow,Changing the capital mix,Large banksPublic offeringsConvertible bondsSmall banksExisting shareholdersBank customersUpstream correspondent banksHolding company.Sale and leaseback: real estate properties,Changing asset composition,Risk-averse managers:From high-risk categories to lower risk categories.Consequence: Potential profitability declines.Risk-love managers:Shifts to higher risk categories,Pricing policies,The riskier the investments, the more equity capital required.The more the equity capital required, the higher the cost.Banks have been forced to reprice assetsTo reflect mandatory equity allocations,Shrinking the bank,To meet the capital requirements:Historically: move assets off the booksShrinking in sizeDifficulty in generating earnings growthDifficulty in paying shareholders a reasonable risk-adjusted return. Merge with larger banks.,商业银行资本充足率管理办法,自2004年3月1日起施行。适用于中国境内所有商业银行，包括中资银行、外资独资银行、中外合资银行 第53条：“商业银行最迟要在2007年1月1日达到最低资本要求。”第3条：“本办法中的资本充足率，是指商业银行持有的、符合本办法规定的资本与商业银行风险加权资产之间的比率。”第4条：“商业银行资本充足率的计算应建立在充分计提贷款损失准备等各项损失准备的基础之上。”第5条：“商业银行资本应抵御信用风险和市场风险。”,资本充足率,第7条：“商业银行资本充足率不得低于8%，核心资本充足率不得低于4%。” 第13条：“商业银行的附属资本不得超过核心资本的100%；计入附属资本的长期次级债务不得超过核心资本的50%。”第11条：商业银行资本充足率的计算公式: 资本 扣除项资本充足率 = 风险加权资产 + 12.5倍的市场风险资本及时纠正措施,核心资本,实收资本：投资者按照章程或合同、协议的约定，实际投入商业银行的资本。资本公积：包括资本溢价、接受的非现金资产捐赠准备和现金捐赠、股权投资准备、外币资本折算差额、关联交易差价和其他资本公积。盈余公积：包括法定盈余公积、任意盈余公积以及法定公益金。,核心资本（续）,未分配利润：商业银行以前年度实现的未分配利润或未弥补亏损。少数股权：在合并报表时，包括在核心资本中的非全资子公司中的少数股权，是指子公司净经营成果和净资产中不以任何直接或间接方式归属于母银行的部分。,附属资本,重估储备：对固定资产进行重估时，固定资产公允价值与账面价值之间的正差额为重估储备。一般准备：一般准备是根据全部贷款余额一定比例计提的，用于弥补尚未识别的可能性损失的准备。优先股：商业银行发行的、给予投资者在收益分配、剩余资产分配等方面优先权利的股票。,