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单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,#,江苏银行FTP系统利率定价方案,计划财务部2012-11,1,一、FTP系统推,进,进规划,二、同,业,业FTP利率定,价,价方案,对,对比,三、现,行,行FTP与报表,损,损益差,异,异分析,四、人,民,民币存,贷,贷款业,务,务定价,逻,逻辑及,基,基准曲,线,线,五、人,民,民币资,金,金业务,定,定价方,案,案,六、特,别,别提示,2,3,项目整,体,体实施,进,进程,3,-利率市,场,场化程,度,度高,-拥有前,期,期试点,的,的经验,-利率市,场,场化程,度,度高,-业务品,种,种较为,丰,丰富,-取数较,为,为复杂,-影响面,广,广,-定价难,度,度较大,-最为重,要,要的业,务,务环节,先易后,难,难的推,进,进顺序,资金业,务,务,人民币,存,存贷款,业,业务,先市场,化,化业务,，,，后传,统,统存贷,款,款业务,外汇业,务,务,-南京地,区,区先行,试,试点,-易于调,控,控，成,效,效显著,FTP系统推,进,进路线,图,图,4,FTP系统推进三大支柱,客观环境,大势所趋,系统建设,准备就绪,精细管理,内在要求,FTP系统推,进,进已“,时,时不我,待,待”,5,一、FTP系统推,进,进规划,二、同,业,业FTP利率定,价,价方案,对,对比,三、现,行,行FTP与报表,损,损益差,异,异分析,四、人,民,民币存,贷,贷款业,务,务定价,逻,逻辑及,基,基准曲,线,线,五、人,民,民币资,金,金业务,定,定价方,案,案,六、特,别,别提示,6,同业及,我,我行现,行,行FTP利率定,价,价方案,期限,上海银行,徽商银行,南京银行,江苏银行现行,存款,贷款,存/贷款,存/贷款,存款,贷款,1天,2.51,4.34,3.24,同期限Shibor,3.61,3.24,7天,2.575,4.34,3.545,同期限Shibor,3.81,3.545,3月,4.7,4.34,4.23,同期限Shibor,4.32,4.23,6月,4.82,4.44,4.34,同期限Shibor,4.34,4.34,1年,5.32,4.86,4.65,国债+信用点差,4.65,4.65,2年,5.35,4.96,4.95,国债+信用点差,4.95,4.95,3年,5.3,5.06,5.2,国债+信用点差,5.2,5.2,5年,5.45,5.19,5.575,国债+信用点差,5.575,5.575,5年以上,5.45,5.33,5.65,国债+信用点差,5.65,5.65,7,一、FTP系统推,进,进规划,二、同,业,业FTP利率定,价,价方案,对,对比,三、现,行,行FTP与报表,损,损益差,异,异分析,四、人,民,民币存,贷,贷款业,务,务定价,逻,逻辑及,基,基准曲,线,线,五、人,民,民币资,金,金业务,定,定价方,案,案,六、特,别,别提示,8,机构名称,调整后损益实绩,FTP损益,损益差异,差异幅度,无锡,2.20,2.10,-0.10,-4.59%,苏州,1.57,1.01,-0.56,-35.91%,南通,1.18,0.87,-0.31,-26.29%,徐州,0.86,0.66,-0.20,-23.58%,镇江,0.68,0.57,-0.11,-16.15%,常州,0.82,0.59,-0.23,-27.72%,扬州,0.52,0.40,-0.12,-23.83%,淮安,0.54,0.36,-0.18,-31.97%,连云港,0.60,0.37,-0.23,-38.31%,盐城,0.51,0.43,-0.08,-16.49%,宿迁,0.30,0.22,-0.08,-26.95%,泰州,0.26,0.20,-0.06,-22.31%,上海,0.45,0.38,-0.07,-15.29%,深圳,0.30,0.31,0.01,2.11%,北京,0.31,0.24,-0.07,-21.38%,杭州,0.16,0.15,-0.01,-3.03%,南京地区,0.96,0.61,-0.35,-36.32%,合计,12.22,9.47,-2.75,-22.47%,之一：,损,损益整,体,体差异,（,（7月单月,）,）,9,之二：,存,存款类,业,业务损,益,益差异,分,分析,机构名称,测算负债平均余额,负债损益,负债平均收益度,活期占比,无锡,838.29,1.19,0.1422%,40.14%,苏州,503.47,0.66,0.1315%,38.18%,南通,353.12,0.48,0.1359%,31.16%,徐州,251.75,0.35,0.1401%,36.07%,镇江,170.55,0.29,0.1707%,34.22%,常州,231.14,0.32,0.1400%,37.47%,扬州,156.13,0.21,0.1348%,42.75%,淮安,146.49,0.25,0.1693%,48.08%,连云港,159.77,0.28,0.1761%,50.53%,盐城,144.24,0.21,0.1490%,33.71%,宿迁,76.94,0.12,0.1527%,45.76%,泰州,73.61,0.11,0.1455%,32.29%,上海,166.86,0.21,0.1258%,18.44%,深圳,103.14,0.13,0.1232%,18.99%,北京,117.41,0.17,0.1436%,24.39%,杭州,47.78,0.06,0.1333%,25.57%,南京地区,293.06,0.42,0.1421%,39.65%,合计,3833.78,5.46,0.1426%,43.89%,10,之二：,信,信贷类,业,业务分,析,析,当前信,贷,贷业务,资,资金转,移,移定价,的,的基本,原,原则,一是同,期,期限固,定,定利率,中,中长期,贷,贷款的,转,转移定,价,价不应,高,高于同,期,期限浮,动,动利率,中,中长期,贷,贷款的,转,转移定,价,价。,二是中,长,长期贷,款,款利率,与,与定价,曲,曲线的,价,价差不,应,应低于,短,短期贷,款,款。,11,一、FTP系统推,进,进规划,二、同,业,业FTP利率定,价,价方案,对,对比,三、现,行,行FTP与报表,损,损益差,异,异分析,四、人,民,民币存,贷,贷款业,务,务定价,逻,逻辑及,基,基准曲,线,线,五、人,民,民币资,金,金业务,定,定价方,案,案,六、特,别,别提示,12,三位一,体,体的定,价,价策略,流动性,风,风险溢,价,价,市场风,险,险管理,导,导向,System,业务导,向,向,13,1、流动,性,性风险,期,期限溢,价,价原理,是,是定价,的,的基石渐,进,进向上,的,的收益,率,率曲线,14,2、市场,风,风险政,策,策导向,是,是定价,的,的核心,平坦化,？,？,陡峭化,？,？,OR,15,3、业务,导,导向是,收,收益率,曲,曲线的,准,准绳,业务导,向,向是资,金,金转移,定,定价曲,线,线的重,要,要决定,因,因素，,且,且根据,覆,覆盖范,围,围可对,定,定价曲,线,线进行,整,整体修,正,正或针,对,对性修,正,正。,整体修,正,正如在存,款,款增长,压,压力增,加,加情形,下,下，可,对,对定价,曲,曲线进,行,行适度,上,上调；,如,如外部,信,信贷需,求,求普遍,乏,乏力，,信,信贷额,度,度经常,性,性出现,富,富裕，,可,可对定,价,价曲线,进,进行适,度,度下移,。,针对性,修,修正,如针,对,对存贷,比,比超标,、,、逾期,贷,贷款、,保,保证金,存,存款、,住,住房按,揭,揭贷款,、,、小微,企,企业信,贷,贷均可,进,进行差,别,别化调,节,节，此,外,外诸如,准,准备金,、,、备付,金,金、活,期,期存款,沉,沉淀率,等,等调节,项,项也属,于,于此范,畴,畴。,16,收益率,曲,曲线示意图,贷款基,准,准利率,存款基,准,准利率,存款收,益,益率曲,线,线,贷款收,益,益率曲,线,线,17,转移定,价,价曲线,调,调整方,案,案（单,位,位：%）,期限,项目,活期,1天,7天,1月,3月,6月,1年,2年,3年,5年,5年,以上,贷款基准利率,5.6,5.6,5.6,5.6,5.6,5.6,6,6.15,6.15,6.4,6.55,原贷款定价曲线,3.24,3.24,3.54,3.73,4.23,4.34,4.65,4.95,5.2,5.58,5.65,调整后方案,3.24,3.24,3.54,3.73,4.23,4.34,4.6,4.7,4.75,5.18,5.35,调整幅度,0,0,0,0,0,0,-0.05,-0.25,-0.45,-0.4,-0.3,基准利率与,曲线点差,2.36,2.36,2.06,1.87,1.37,1.26,1.4,1.45,1.4,1.22,1.2,存款基准利率,0.385,0.88,1.49,1.87,2.86,3.08,3.3,3.75,4.25,4.75,4.75,原存款定价曲线,2.54,3.61,3.81,3.91,4.32,4.34,4.65,4.95,5.2,5.58,5.65,调整后方案,2.54,3.74,3.94,4.03,4.43,4.44,4.6,4.7,4.75,5.18,5.35,调整幅度,0,0.13,0.13,0.12,0.11,0.1,-0.05,-0.25,-0.35,-0.4,-0.3,基准利率与,曲线点差,2.16,2.86,2.45,2.16,1.57,1.36,1.3,0.95,0.5,0.43,0.6,18,定价调,整,整事项,介,介绍,存贷比,流动性,风,风险溢,价,价,逾期因,素,素和政,策,策性调,整,整,活期存,款,款FTP及活期,沉,沉淀率,提前支,取,取,法定存,款,款准备,金,金和超,额,额备付,金,金,保证金,存,存款定,价,价,贴现业,务,务定价,19,存贷比,系统每,日,日计算,分,分行当,季,季日均,存,存贷比,，,，根据,预,预设的,存,存贷比,上,上下限,和,和调整,点,点差，,对,对分行,贷,贷款产,品,品基准FTP,价,价格进,行,行调整,，,，具体,调,调整方,式,式如下,表,表所示,：,：,存贷比,P1,P1且P2,P2,系数,贷款成本调减点差1,0,贷款成本调增点差2,若当日,存,存贷比,低,低于P1，则当,日,日新发,放,放贷款,成,成本降,低,低点差1，该类,贷,贷款在,其,其下一,重,重定价,日,日之前,均,均享受1的点差,收,收益；,若当日,存,存贷比,高,高于P2，则当,日,日新发,放,放贷款,成,成本增,加,加点差2，该类,贷,贷款在,其,其下一,重,重定价,日,日之前,均,均承担2的点差,成,成本；,若当日,存,存贷比P1且P2，则当,日,日新发,放,放贷款,在,在其重,定,定价周,期,期内采,用,用正常,转,转移价,格,格定价,，,，不做,存,存贷比,点,点差处,理,理。,目前暂,定,定P160，P270，10.5，21。,20,流动性,风,风险溢,价,价,浮动利,率,率产品,由,由于到,期,期日和,重,重定价,日,日期的,不,不同，,转,转移价,格,格按重,定,定价周,期,期确定,，,，但实,际,际资金,占,占有期,要,要长于,重,重定价,期,期限，,故,故而进,行,行流动,性,性风险,溢,溢价调,整,整。系,统,统将根,据,据参数,表,表调整,对,对应浮,动,动利率,产,产品的FTP价格。,参,参数表,格,格式如,下,下：,原始期限,3M,6M,1Y,2Y,3Y,5Y,10Y,121M,重定价周期,1M,0.5%,0.66%,0.97%,1.07%,1.12%,1.5%,1.62%,1.62%,3M,0.16%,0.47%,0.57%,0.62%,1%,1.12%,1.12%,6M,0.36%,0.46%,0.51%,0.89%,1.01%,1.01%,12M,0.2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