大三上金融学ch13-part2.pptx

CHAPTER13

(continued) COMMERCIALBANK OPERATIONS

2KeyconsiderationsinloanpricingEarnahighenoughinterestratetocoverthecostofloanablefundsRecoveradministrativecostsoforiginatingandmonitoringtheloanProvideadequatecompensationforrisk—Credit(ordefault)riskLiquidityriskInterestraterisk

3The“PrimeRate”HistoricallyabenchmarkrateThelowestloanratepostedbycommercialbanksTheratebankschargedtheirmostcreditworthycustomersOtherborrowersweretypicallychargedsomespreadaboveprimeRecently,theroleoftheprimeratehaschangedOverthelast20years,fewerloanshavebeenpricedusing“prime” Now,lenderschoosefromamongseveralotherbenchmarkrates:LIBOR–priceofshort-termEurodollardepositsTreasuryratesFedFundsrate

4Base-rateloanpricingMarkingupfromaminimumofferedtotheleastriskyborrowersPossiblebaserates:Prime,LIBOR,Treasury,FedFundsMarkupsincludethreeadjustments: Forincreaseddefaultrisk Forterm-to-maturity Forcompetitivefactors—acustomer’saccesstoalternativesrL=BR+DR+TM+CF where: rL= individualcustomerloanrate BR= thebaserate DR= adjustmentfordefaultriskabovebase-rate customers TM= adjustmentforterm-to-maturity CF= competitivefactor

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6Non-priceadjustmentsAltertheeffectivereturnunderagivennominalrateCompensatingbalancesBankrequiresborrowertocarryminimumbalanceinnon-interest-bearingdepositaccount;effectivereturnincreasesbecausenetloanamountislowerOthernon-priceadjustments Riskreclassification Additionalcollateralorspecifiedcollateral Shortermaturities

7Matched-fundingloanpricingAwayforbankstocontroltheinterestrateriskoffixed-rateloans. Fixed-rateloansarefundedwithdepositsorborrowedfundsofthesamematurity.

8Analyzing,managing,andpricingcreditriskFive“C”sofCredit: 1.Character(willingnesstopay) 2.Capacity(cashflow) 3.Capital(wealthornetw