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Risiko Likuiditas

The document discusses liquidity risk in banking. It defines liquidity as a bank's ability to meet short-term obligations and liquidity risk as the risk of being unable to do so. It notes that illiquidity is a major cause of bank failures. It describes two types of liquidity risk from the liability and asset sides and ways banks can manage liquidity through purchased or stored liquidity. It also discusses measuring liquidity through sources and uses, peer comparisons, and a liquidity index.

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149 views19 pages

Risiko Likuiditas

The document discusses liquidity risk in banking. It defines liquidity as a bank's ability to meet short-term obligations and liquidity risk as the risk of being unable to do so. It notes that illiquidity is a major cause of bank failures. It describes two types of liquidity risk from the liability and asset sides and ways banks can manage liquidity through purchased or stored liquidity. It also discusses measuring liquidity through sources and uses, peer comparisons, and a liquidity index.

Uploaded by

mifta
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Liquidity – Basic terms (1/3)

Illiquidity, rather than poor asset quality, is the


immediate cause of most bank failures
(Robert Morris Associates)

Liquidity of a bank (or of any other company) = represents


its ability to meet proper obligations (short-term – cash or
payment) in a corresponding volume and time structure.
Liquidity = the ability of a bank to react upon demand on
the requests of depositors (generally creditors) to withdraw
their deposits (in cash or by an order).
Liquidity – Basic terms (2/3)
 Satisfactory liquidity is the ability to refinance liabilities at
or below market rates (or to be financed without excessive
costs).
 Liquidity risk is a probability of the situation when a bank
cannot meet its proper (both cash and payment) obligations
as they become due.
 Liquidity risk arises from different timing of cash flows of
assets and liabilities.
 Liquidity risk is closely related to interest rate risk and
therefore these two risks occur together in bank
management.
Liquidity – Basic terms (3/3)
Rate of Return

Liquidity Risk
Liquidity Risk (1/5)
A bank is facing two main liquidity risks of the balance
sheet:
a) Liability-side liquidity risk: the deposit drain or even
runs on banks, or a limited access to an inter-bank
market.
b) Asset-side liquidity risk: OBS activities appear on the
balance sheet.
In general, a bank can solve its liquidity problems either
through purchased liquidity management (e.g. raising funds
from inter-bank markets) or stored liquidity management
(e.g. a decrease in cash/liquid assets).
Liquidity Risk (2/5)
Purchased Liquidity - Increase in borrowed funds to
offset deposit outflow, e.g. Fed Funds, CDs or notes
1) Advantage: Balance Sheet remains the same size. Entire
adjustment takes place on liability side, maintaining the
asset amounts
2) Disadvantage: The new borrowed funds might be at a
higher interest rate than the original deposits, lowering
bank income/profits
Liquidity Risk (3/5)
Stored Liquidity – Decrease in Assets (cash,
reserves, loans, securities) to counteract
deposit outflow
1) Advantage: Bank can adjust to deposit outflow
internally, no need to go outside of the bank
2) Disadvantage: Effect on Net Income
Ilustrasi
 Assume there will be a deposit outflow of $2m from core
deposits, which pay 6%. Loans pay 8%, and new short-term
deposit money (subordinated debt is 7.5%).
 Stored Liquidity: Reduce loans by $2m to meet deposit outflow,
assume sale of loans at book value, no capital loss. Bank will lose
$2m, profit spread of 2% (8%-6%), for a loss of -$40,000
income.
 Purchased Liquidity: Bank will have to pay 7.5% on new funds to
replace 6% deposits, for a decrease in net income of -
1.5%(higher interest expense) x $2m = -$30,000.

In this case, purchased liquidity is the better option: -$30,000 vs.


-$40,000
Penyebab Liquidity Risk (4/5)
Liability Side
Reliance on demand deposits
 Core deposits
 Depository Institutions need to be able to predict the
distribution of net deposit drains :
o Seasonality effects in net withdrawal patterns
o Recent problem with low rates: finding suitable investment
opportunities for the large inflows
Managed by :
 Purchased liquidity management
 Stored liquidity management
Penyebab Liquidity Risk (5/5)
Asset Side
May be forced to liquidate assets too rapidly
Faster sale may require much lower price
Unexpected in flows of funds:
May result from OBS loan commitments
Stock market crash in early 2000s  $ into banks
Traditional approach: reserve asset management
Alternative: liability management
Mengukur Eksposur
Likuiditas
Sources and Uses of Liquidity (Net Liquidity Position)
Peer Group Ratio Comparisons
Liquidity Index
• Measures the potential discount of assets from their fair
market value, if they need to be sold immediately.
• The closer the Index is to 1, the lower the discount for quick
sale, and the higher the liquidity
Komitmen Kredit
SEBELUM
Kas 9 Deposits 70
Asset Lainnya 91 Pinjaman 10
Kewajiban Lainnya 20
100 100

SETELAH
Kas 9 Deposits 70
Asset Lainnya 96 Pinjaman 10
Kewajiban Lainnya 20
105 100
Menyesuaikan Neraca
PURCHASED LIQUIDITY MANAGEMENT
Kas 9 Deposits 70
Asset Lainnya 96 Pinjaman 15
Kewajiban Lainnya 20
105 105

STORED LIQUIDITY MANAGEMENT


Kas 4 Deposits 70
Asset Lainnya 96 Pinjaman 10
Kewajiban Lainnya 20
100 100
Posisi Likuiditas Bersih
Sumber Likuiditas
1 Total Asset Setara Kas 2.000
2 Limit Maksimum Dana Pinjaman 12.000
3 Kelebihan Cadangan Kas 500
Total 14.500

Penggunaan Likuiditas
1 Dana Pinjaman 6.000
2 Pinjaman Bank Sentral 1.000
Total 7.000

Likuiditas Bersih 7.500


Index Likuiditas
 Liquidity Index mengukur potensi kerugian yang dapat
diderita oleh sebuah bank dari penjualan asset secara cepat
atau tiba-tiba dibandingkan yang dapat diterima pada tingkat
harga yang wajar pada kondisi normal.
 Semakin besar perbedaan antara harga fire-sale (Pi) dan
harga wajar (P*), bank semakin tidak likuid.

𝐼=෍ 𝑤𝑖 𝑃𝑖 /𝑃𝑖∗
𝑖=1
Index Likuiditas
Contoh:
Sebuah bank memiliki dua asset: 50% di SBI-1bln dan 50% di
KPR. Jika bank tsb akan melikuidasi SBI hari ini maka ia akan
menerima $99 per $100 nominal. ($100 per $100 kalau pada
saat jatuh tempo). Jika yg dilikuidasi hari ini adalah KPR, maka
nilainya $85 per $100; dan jika likuidasi 1bln dari sekarang
nilainya $92 per $100.
𝑁

𝐼=෍ 𝑤𝑖 𝑃𝑖 /𝑃𝑖∗
𝑖=1
Index Likuiditas
𝑁

𝐼=෍ 𝑤𝑖 𝑃𝑖 /𝑃𝑖∗
𝑖=1
I=(1/2)[(.99/1)]+1/2[(,85/.92)] = 0,495 + 0,462 = 0,957

Jika KPR hanya menghasilkan $65 per $100 maka likuiditas


dalam sebulan adalah:
I=(1/2)[(.99/1)]+1/2[(,65/.92)] = 0,495 + 0,353 = 0,848
Mutual Funds
• Mutual funds (reksadana) menjual saham sebagai kewajiban
kepada investor dan menginvestasikan dana ke dalam obligasi
atau saham.
• Net Asset Value adalah Nilai Aktiva Bersih (NAB) adalah
nilai pasar dari asset reksadana dikurangi kewajiban akrual
dibagi jumlah saham dalam reksadana.
B A N K MUTUAL FUNDS
Assets Liabilities Assets Liabilities
Assets 90 Deposits 100 Assets 90 Shares 100
100 100
depositors shareholder
with $1 s with $1
deposits share
Mutual Funds
NAV = NAB = Value of Assets/Shares Outstanding

P = $90/100 = $0,9

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