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ALMA Assets and Liabilities Management

ALMA Assets and Liabilities Management. Budi Purwanto budipu@about.me http://about.me/budipu http://subud.wordpress.com. Apa intisari MLK? ALMA. Asset and Liability Management. Asset and Liability Management. Asset and Liability Management. Manajemen Dana.

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ALMA Assets and Liabilities Management

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  1. ALMA Assets and Liabilities Management Budi Purwanto budipu@about.me http://about.me/budipu http://subud.wordpress.com

  2. Apa intisari MLK?ALMA

  3. Asset and Liability Management

  4. Asset and Liability Management

  5. Asset and Liability Management

  6. Manajemen Dana

  7. Dua Pendekatan:(1) The Pooled of Fund

  8. Dua Pendekatan:(2) The Asset Allocation

  9. Sumber Dana • 1. Dana pihak kesatu • Dana pihak kesatu adalah dana dari modal sendiri yang berasal dari para pemegang saham. • 2. Dana pihak kedua • Dana pihak kedua adalah dana yang berupa pinjaman dari pihak luar. • 3. Dana pihak ketiga • Dana pihak ketiga adalah dana yang berupa simpanan dari pihak masyarakat.

  10. Sumber Dana Sendiri

  11. Produk dana lain

  12. Dana Pihak III Giro Tabungan Deposito

  13. ProdukDPK

  14. ProdukDPK • Ada 3 (tiga) jenis simpanan pada bank sebagai sarana untuk memperoleh dana dari masyarakat, yaitu : • 1. Giro (Demand Deposit) • Giro adalah simpanan pihak ketiga pada bank. Jenis rekening giro dapat berupa : • a. Rekening atas nama perorangan. • b. Rekening atas nama suatu badan usaha atau lembaga. • c. Rekening bersama atau gabungan.

  15. Produk DPK • 2. Deposito (Time Deposit) • Deposito adalah simpanan pihak ketiga pada bank yang penarikannya hanya dapat dilakukan dalam jangka waktu tertentu menurut perjanjian antara penyimpan (pihak ketiga) dengan bank yang bersangkutan. • Dalam praktiknya terdapat 3 (tiga) jenis deposito yaitu: • a. Deposito berjangka • b. Sertifikat deposito • c. Deposit on call

  16. Produk DPK • 3. Tabungan (Saving Deposit) • Tabungan adalah simpanan pihak ketiga pada bank yang penarikannya hanya dapat dilakukan menurut syarat-syarat tertentu yang disepakati, tetapi tidak dapat ditarik dengan cek, bilyet giro dan atau alat lainnya yang dipersamakan dengan itu.

  17. ManajemenRisiko Perbankan • Manajemen Valas  Posisi Devisa Neto • Manajemen Likuiditas • Manajemen Suku Bunga

  18. Manajemen Posisi Devisa GAP (+) Apa posisi GAP harus diambil jika nilai tukar diprediksi melemah?

  19. Valas • Kurs disajikan antar satu mata uang terhadap mata uang lain, terdiri atas kurs beli (bid) dan kurs jual (offer); kebanyakan mengacu pada USD kecuali GBP, EUR, AUD, NZD. • Contoh: • EUR 0.9167/72 • JPY 108.60/68 • IDR9.600/700

  20. Manajemen Gap Suku Bunga GAP (+) Apa posisi GAP harus diambil jika suku bunga diprediksi turun?

  21. Flat Rate (% x Total Pinjaman) Sliding Rate (% x Sisa Pinjaman) Floating Rate (% suku bunga patokan +) Bagi Hasil Bruto (% x Pendapatan Bruto) Bagi hasil Neto (% x Pendapatan Neto) Marjin (% x Harga Pokok Penjualan) Suku Bunga

  22. Penyediaan uang atau tagihan yang dapat dipersamakan dengan itu, berdasarkan persetujuan atau kesepakatan pinjam-meminjam antara bank dengan pihak lain yang mewajibkan pihak peminjam melunasi utangnya setelah jangka waktu tertentu dengan pemberian bunga/imbalan atau bagi hasil Kredit/Pembiayaan

  23. Unsur-unsur Kredit/ Pembiayaan • Kepercayaan • Kesepakatan • Jangka Waktu • Risiko • Balas Jasa

  24. Menurut Kegunaan Kredit Investasi Kredit Modal Kerja Menurut Tujuan Kredit Produktif Kredit konsumtif Kredit Perdagangan Menurut Jangka Waktu Kredit Jangka Pendek Kredit Jangka Menengah Kredit jangka Panjang Menurut Jaminan Kredit dengan Jaminan Kredit Tanpa Jaminan Jenis-jenis Kredit/ Pembiayaan

  25. 5C Character Capacity Capital Collateral Condition 7P Personality Party Purpose Prospect Payment Profitability Protection Prinsip-prinsip Pemberian Kredit/ Pembiayaan

  26. Faktor Kredit/ Pembiayaan Macet • Pihak Bank • Analisis • Korup • Pihak Debitur • Kesengajaan • Musibah

  27. Rescheduling Reconditioning Kapitalisasi bunga Penundaan bunga Penurunan bunga Pembebasan bunga Restructuring Menambah kredit Menambah ekuitas Kombinasi Sita jaminan Penyelamatan Kredit/ Pembiayaan Macet

  28. Manajemen Gap Likuiditas GAP (+) Apa tindakan harus diambil untuk mengatasi GAP likuiditas?

  29. Causes of Liquidity Risk • Asset side • May be forced to liquidate assets too rapidly • May result from loan commitments • Traditional approach: reserve asset management. • Alternative: liability management.

  30. Causes of Liquidity Risk • Liability side • Reliance on demand deposits • Core deposits • Need to be able to predict the distribution of net deposit drains. • Managed by: • purchased liquidity management • stored liquidity management

  31. Liability Management • Purchased liquidity • Federal funds market or repo market. • Managing the liability side preserves asset side of balance sheet. • Borrowed funds likely at higher rates than interest paid on deposits. • Deposits are insured • Regulatory concerns: growth of wholesale funds

  32. Liability Management • Alternative: Stored Liquidity Management • Liquidate assets. • In absence of reserve requirements, banks tend to hold reserves. E.g. In U.K. reserves ~ 1% or more. Downside: opportunity cost of reserves. • Decreases size of balance sheet • Requires holding excess noninterest-bearing assets • Combine purchased and stored liquidity management

  33. Asset Side Liquidity Risk • Risk from loan commitments and other credit lines: • met either by borrowing funds or • by running down reserves • Current levels of loan commitments are dangerously high according to regulators

  34. Measuring Liquidity Exposure • Net liquidity statement: shows sources and uses of liquidity. • Sources: (i) Cash type assets, (ii) maximum amount of borrowed funds available, (iii) excess cash reserves • Uses include: borrowed or money market funds already utilized, and any amounts already borrowed from the Fed.

  35. Other Measures: • Peer group comparisons: usual ratios include borrowed funds/total assets, loan commitments/assets etc. • Liquidity index: weighted sum of “fire sale price” P to fair market price, P*, where the portfolio weights are the percent of the portfolio value formed by the individual assets. I = S wi(Pi /Pi*)

  36. Measuring Liquidity Risk • Financing gap and the financing requirement: • Financing gap = Average loans - Average deposits or, financing gap + liquid assets = financing requirement. • The gap can be used in peer group comparisons or examined for trends within an individual FI. • Example of excessive financing requirement: Continental Illinois, 1984.

  37. BIS Approach: • Maturity ladder/Scenario Analysis • For each maturity, assess all cash inflows versus outflows • Daily and cumulative net funding requirements can be determined in this manner • Must also evaluate “what if” scenarios in this framework

  38. Kepustakaan • Saunders, Anthony & Marcia M. Cornett. 2006. Financial Institutions Management: a Risk Management Approach. 5th Edition. McGraw-Hill International Edition. [SC] • Hull, John C. 2002. Option, Futures, & Other Derivatives. Fift Edition. Prentice Hall. [HJ] • Siamat, Dahlan. 2004. ManajemenLembagaKeuangan. EdisiKeempat. LembagaPenerbitFakultasEkonomiUniversitas Indonesia [SD] • Riyadi, Selamet. 2004. Banking Assets and Liability Management. PenerbitFakultasEkonomiUniversitas Indonesia [RS]

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