Asset & Liability Management: A Guide to Value Creation and - download pdf or read online

By Jean Dermine, Youssef F. Bissada

You will likely be drawn to the publication provided that you're simply commencing to know about a financial institution research and administration. Be careful!!!

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Weighing system for off-balance sheet items Guarantees are simply weighted by a credit conversion factor to measure the bank’s loss if the guarantee was called in. Guarantees Credit conversion factor 1. Direct credit substitutes (standby letters of credit) 100% 2. Short-term self-liquidating trade-related contingency 3. Asset sale with recourse 4. Note issuance facilities (NIF) 20% 100% 50% Derivatives: Forex, interest rate, equity, commodities Derivatives such as forwards, futures or options are discussed in Stages 13 and 16.

Net interest margin on loans Net interest margin on loans of 200 = ( . . . – . . . ) × . . . = . . . Net interest margin on loans of 300 = ( . . . – . . . ) × . . . = . . . Total net interest margin on loans = . . . + . . . = . . . =..... 33 > 6 stage T H E C A P I TA L A D E Q U A CY R E G U L AT I O N 3 2 1 4 5 6 35 A S S E T A N D L I A B I LT Y M A N A G E M E N T You found out in Stage 3 that one of the drivers of the return on equity was the leverage factor, that is the ratio debt/equity.

Assets Reserves with central bank Mortgage loans Corporate loans Interbank loans Government bonds Fixed assets Total 60 525 450 375 195 45 ––––– 1650 Liabilities and shareholders’ equity Demand deposits Term deposits Interbank deposits Subordinated debt Equity Total 750 450 370 25 55 ––––– 1650 The risk-weighted assets would be calculated as follows: RWA = 0% × ( . . . + . . . ) + 20% × ( . . . ) + 50% × ( . . . ) + 100% × ( . . . + . . . ) = . . s Tier 1 capital: . . . / . . .

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