Abstract: In 2006, after China's renminbi business full liberalization of the long-term interest rate controls state commercial banks will face fierce competition and tough challenges, and continuously push forward market-oriented interest rate reform background, China's commercial banks own weak pricing power, lack of perfect financial loan pricing mechanism. This article through the analysis of the commercial bank loan pricing under the status quo in the interest rate market conditions and the risks faced by combination of the three modes of Foreign Loan Pricing elaborated reasonable loan pricing strategy of commercial bank interest rate market conditions, to build a reasonable loan pricing system.
Keywords: interest rate market commercial bank loan pricing model loan pricing system
China's interest rate market is steady progress in the gradual reform of funds is an important factor of production, the interest rate is the price of the funds, the interest rate market is an important aspect of the prices of production factors market, China's market-oriented interest rate reform is to supply and demand in the market economy, capital relationship-based, core central benchmark interest rate, the intermediary market interest rates money market rates system .1993 << >> and << State Council decided a number of issues on the establishment of the socialist market economic system reform of the financial system off dry decision initially proposed the basic idea of the market-oriented interest rate reform program >> >> first clear the idea of a market-oriented interest rate reform, deepen interest rate reform in 1995, the People's Bank of China about the "Ninth Five-Year Plan" period after China's interest rate market by a few times major reform: June 1996 release interbank rates, release the discount and rediscount interest rate in March 1998, September 2000, market-oriented reform of interest rates for foreign currencies, in October 2004 release RMB loans interest rate cap this point, learn from the experience of other countries of the world based on the formation of our interest rate market reform: first, foreign currency, after the local currency, the first loans, after the deposit, the first long-term, large, shortly after, a small order of the same time, China Banking formal forward RMB lending rate to a critical period of market-oriented reforms of China's commercial banks in the long-term strict control of interest rates, loans weak capacity of independent pricing, the lack of a sound financial loan pricing mechanism, therefore, constantly push forward market-oriented interest rate reform context, a reasonable loan pricing, establish a set of loan pricing mechanism, is the inevitable choice for China's commercial banks to survive and compete in the interest rate market environment experience to successfully meet the challenges.
First, the interest rate market context of the importance of the commercial bank loan pricing strategy
Interest rate market gives financial institutions greater autonomy in loan pricing, prompting financial institutions to the implementation of the new funds in accordance with market principles and risk symmetry principle pricing management mechanisms. Commercial bank loan pricing is to determine the loan interest rate, and at what price loans to ensure that the target rate of return, its core content through the loan cost accounting and effective evaluation, optimize the allocation of credit resources, enhance the commercial bank loan marketing ability, in order to obtain maximum profits, improve the competitiveness of its peers. while new yuan loans to floating interest rate policy The introduction of China's financial reform and the inevitable trend of financial deepening, which requires commercial banks to enrich the knowledge of loan pricing, to master the skills of loan pricing, pricing in the central People's Bank of floating benchmark lending rate range, the establishment of complete set of loan pricing system, improve competitiveness and profitability in the interest rate market conditions, to master the correct loan pricing method, adjust loan pricing strategy, has great importance to the development of commercial banks:
1, to ensure profit maximization and investment yield
Bank main operating income is interest income from loans, thus maximizing the loan proceeds has a decisive influence on the size of the profits of commercial banks. << Federal Savings the communique >> announced, and possession of all assets in the consolidated balance sheet of the U.S. commercial banking system, loans accounted for 41.9%, operating income of nearly 2/3 (60.39%) from loan interest and fees in China, a higher ratio of loans in bank assets in the possession.
2, the fight for market share
Market share is an important indicator of the measure of commercial banks operating conditions and competitiveness, appropriate loan prices can have a stable of clients and develop new sales.
3, adequate price competition
Competitive financial markets, loans with flexible pricing strategies to ensure better survival and development of the commercial banks.
4, the optimization of banking services
Full weigh the price of the loan in addition to the need to consider the cost of capital, but also with the practicality of its ancillary services, profitable to develop if a bank is able to provide more and better services, then the customer loans necessarily willing to pay more high price, so banks can increase their profit margins.
5, to establish a bank image
Good loan pricing strategy is not only to consider whether the price level of the loan to meet customer needs, whether it is conducive to the smooth implementation of the bank's marketing strategy, should strictly abide by the ethics of social morality and bank, so as to set a good bank after long-term accumulation of image.
Second, the risks faced by the commercial banks in China RMB loan pricing and its current situation and problems
(A RMB loan pricing status quo of China's commercial banks and the problems
1, China's commercial banks had begun to initially have the loan differential pricing awareness
Marketization of interest rates increases the market risk faced by commercial banks in China, and its commercialization has brought unprecedented uncertainty. Loans to commercial banks as the main products, its size, structure for commercial banks to achieve safety, liquidity, profitability goal to play a very important role as the bank's main earnings assets, loan prices whether appropriate direct impact on the profitability level of .2004 banks within the policy autonomy of the loan interest rate floating range, adjust credit structure the loan differential pricing. 2 to the issuance of the loan interest rate floating at a branch of the Agricultural Bank of China business department in 2004.
Table 2 Sales Department 2004 loans floating interest rate tables
Floating amount items floating amount of items to float downward the amount of items
1-6 months 250055873410 928 121 750 192,425,078,300,087
6 months to 1 year 7,193,585,007,695 55,625,419 319,412,582,500,934
1-3 years 159 289 000 207 1,141,720,034,316,050,074 43
3-5 years 1490529 47352885100562
More than five years 4,716,100,001
Total 905 143 616 1,178,510,480,494,697,555 9794255741065
Accounting for 30.86% 57.76% 35.73% 37.03% 33.41% 5.21%
By the above data:, interest rates go up, the amount of loans issued by the bank in 2004 accounted for 30.86%, the items accounted for 57.76% of all of Loans, the interest rate to float downward the amount accounted for 33.41%, items of total loans 5.21% of the items from the data we read of Loans, interest rates go up, the amount is not large, at the same time, the loan interest rate to fall amount accounted for the rapid expansion of this analysis, the bank loans have begun to take the initiative implementation of the loan differential pricing mechanism more items, the amount is small, relatively low credit rating, loan costs are relatively higher loans, the implementation of floating interest rate, higher loan pricing analysis from which the term of the loan, and industry characteristics, mainly in mainly short-term loans, industry range widely distributed, generally for small and medium-sized enterprises, usually has a larger industry risk, the credit low yield, the characteristics of the high non-performing loans. while medium-and long-term lending rate to float downward main industry is mainly concentrated in the electricity, telecommunications and other infrastructure industries, general quality customers.
From the above analysis, the line step-by-step breakdown of the credit market, the loan interest rate floating range to adjust the credit structure, trying to avoid risks, the increase in bank profitability objective to improve the quality of credit assets, to ensure the profitability and risk ability to compensate, initially with a the loan differential pricing awareness.
2, some commercial banks not to loan pricing included in the credit decision-making mechanism
China's commercial banks in the lending process, mainly through a review of the customer's credit rating and repayment ability to make decisions whether or not to grant loans without interest rate fluctuations into 审贷 separation, classification and approval of credit management mechanism, rarely Loan Pricing precise calculation, there is the phenomenon of convergence of marketing and pricing, approval and management. actual work on the measurement of interest rate risk due to the lack of basic data and analysis tools, no man laid hands, it is difficult to form a scientific system of loan pricing decision-making mechanism
3, China's commercial banks is the lack of quantitative pricing system
Commonly used from seasonal international loan pricing model to see improve loan pricing system needs not only to quantify the cost of capital and non-capital costs of the loan business management sharing, but also the loss probability of loan projects and loan customers credit quantify the status of banks due to the extensive long-term management, it is difficult to apportion its operating costs to the day-to-day operations of the business, is especially weak in this regard. risk quantification, China's commercial banks due to customer credit rating and risk classification of the loan program started late, can be used to quantify and analyze loan risk a serious shortage of basic data to quantify the risk does not arise.
(The interest rate market conditions the risks faced by the commercial banks in China RMB loan pricing
1, the difference between the assets and liabilities of the risk
Analysis from the perspective of the ratio of assets and liabilities can be divided into asset-sensitive period of the difference between risk and liabilities sensitive period the difference between the risk and the number of sensitive risk assets, liabilities sensitive number of risks, specific performance of the short-term, the number of balance ratio of sensitivity to changes in interest rates higher. asset sensitive when the structure of assets and liabilities is proportional to the direction of the change in net interest income and interest rates of commercial banks, the structure of assets and liabilities is a liability-sensitive when commercial banks net interest income and interest rates inversely proportional to the change in direction, in the case of commercial bank liabilities and the interest rate sensitivity of assets not match changes in interest rates will commercial banks net interest margin income impact from our current situation, a serious imbalance in the commercial bank deposit and loan period, deposits savings and time deposits accounted for a large proportion of the loans are short-term loans, Fujian Province, for example, the the RMB current savings accounted for all savings: 37.92% in 2002 to 39.71% in 2003 41.75% in 2004 to RMB time deposits accounted for: 17.88% in 2002, 18.91% in 2003, 21.01% in 2004, RMB short-term loans and long-term loans accounted for, respectively: 53.77% in 2002 and 35.87%, 47.86% and 41.04% in 2003, 46.14% and 43.3% in 2004. This situation indicates that the interest rate sensitive assets than interest rate sensitive liabilities of commercial banks in China, a lot of constraints in this case, the change in interest rates on commercial bank's net interest margin income, especially long-term loans to substantially none This risk is more prominent.
2, the risk of default
Default risk refers to the possibility of scheduled debt the borrower can not, that uncertainty risk prior to the occurrence of an event of default can not clear the discriminant whether the borrower will default on its debt service and compliance, only the possibility of default sexual to make estimated that commercial banks in the loan pricing process must take full account of the default risk of different customers, which requires all credit credit rating, measuring the degree of risk of loans, the establishment of a practical risk assessment system. Typically, borrowers in based on the risk-free interest rate, as this uncertainty compensation payment equivalent to the additional benefits of its probability of default on the borrower's credit rating, default risk compensation rate in our current commercial bank loan classification method usually by credit on rating and historical statistics, as shown in Table 1:
The lender credit rating risk compensation rate
Borrower's credit rating AAA AA BBB BB B grade and below
Risk compensation rate 0.25% 0.50% 1.25% 2.00% can not credit
3, the period of risk
The duration of the loan risk is the possibility of loan losses caused by the different length of the loan period and the time value of money changes, the longer the maturity, the greater the risk.
4, the potential risk of options
Containing customer option for many of the bank's loans, for example, prepayment and interest rate cap options feature when interest rates rise, the deposit may be early withdrawal dump for the higher interest rates of deposits and loan customers generally do not repay the loan in advance , on the contrary, when a decline in interest rates, loan customers may advance to repay the loan and deposit customers generally do not dump these options so that banks face interest rate risk, changes in interest rates, leading to the decline of the bank's income and net worth.
5, the operational risk
Loan price-making power contains the risk of financial corruption credit and non-credit rights and loan prices in the interest rate market, the commercial banks have the power to draw the two powers, then prone to commercial banks according to the risk profile of the loan interest rate to exercise reasonable pricing and "human interest rates," the relationship between interest rates ", resulting in financial corruption, caused by operational risk.
6, liquidity risk
In much the same period of interest rate controls, commercial banks loan products, interest rates, funds in banks liquidity willingness is not strong, the interest rate market, benefits or reduce funds will become increasingly intense, funds in commercial banks The flow will be more frequent, liquidity problems they surfaced.Links to free papers Download Center http://eng.hi138.com
Management of commercial bank lending rates in the Western developed countries with a higher degree of interest rate market is relatively mature, the main mode of its loan pricing is summarized as the following three: 1, cost-plus pricing model, price leadership model, customers profitability analysis mode.
(A), the cost of adding the mode
This is a more traditional pricing model that prices are set by the cost plus target profit any loan interest rates should contain the following four parts: (1) raising funds for the cost of loans (2) loans fees , the credit staff wages, assessment and management of loan project cost (3) the risk premium of the loan, that the risk of default of loans that may occur to make the necessary compensation (4) target profit that the bank's capital should be obtained from each loan the lowest income. This was:
Lending rate = cost of loan funds rate + loan management costs + loan risk premium rate + goal margin
This pricing model is to loan pricing starting from the point of view of the banks themselves, is a "cost-oriented" mode, using this pricing model to help commercial banks to compensate for the cost, to ensure the realization of the expected profit, but can not fully take into account the level of market interest rates changes in customer demand and other factors, easily lead to the loss of customers and loan market share shrinking, so this model is generally applicable to commercial banks a monopoly or in a commercial bank loan market demand, and secondly, this cost-oriented pricing model requires commercial banks to precisely calculate the distribution of its operating costs, has a comprehensive cost management system, accurate operating costs allocated to the day-to-day operations of the business link, Furthermore, the use of cost-plus model accuracy of the pricing also depends on the commercial banks to adequately estimate the risk of default of the loan term risks and other risks associated with, and determined on the basis of a reasonable risk premium, which requires a comprehensive set of loan risk management systems on loan risk accurately measure.
(B), the price leadership model
The model is currently the International Banking widely used a pricing model, the specific method is: first select a benchmark interest rate as a "base price", and then determine the risk premium for the degree of risk of loans and advances to customers (choose "plus points" or " multiplier ", so according to the benchmark interest rate and the risk premium, which can determine the effective interest rate of the loan, that is:
Lending rate = the benchmark interest rate + risk premium points or lending rate = the benchmark interest rate * risk premium factor.
Pricing In this mode, select what kind of interest rates for the benchmark interest rate has been the focus of attention. Early Western commercial banks usually choose the lowest interest rate as the benchmark interest rate levied in the issuance of short-term liquidity loans to the highest quality customer last century, 70 years, commercial banks typically the London Interbank lending interest rate (LIBOR) as a benchmark interest rate. Similarly, price leadership modes have their own advantages and disadvantages: First, it is a "market-oriented type" mode, it is in the general interest rate level as a starting point, combined with the degree of risk of the loans to develop the loan price, both consider market interest rate risk, but also to consider the risk of default of the loan itself, has a higher rationality, their prices are more competitive, and secondly, this mode to take full account of the loan and the interest rate risk , greatly increase the difficulty of making risk management, and finally, this pricing model is still not considered a comprehensive banking and customer relationship.
(C), customer profitability analysis mode
The first two modes are for a single loan product pricing, only consider factors such as cost, risk, competition, and interest income from loans and does not take customers due to the settlement, consultation, commission, agency and other ancillary services to the bank intermediate business income, and these are the banks must face when pricing pricing models, so the customer profitability analysis emerged. This model suggests that: commercial bank in each loan pricing, should consider the overall relationship between the client and the Bank, setting a target profit for the customer first, and then compare bank for the total cost of all services provided by the customer, the total income and bank the target profit, in order to weigh the pricing level, expressed by the formula:
Lending rate = (the bank's target profit + to provide customers with the total cost of all services - providing customers with all the services in addition to the interest on the loan other than income) / loan amount
In the above relation, if the net income of the bank from the customer's overall relationship is positive and achieve the desired target profit level, this loan application is likely to be approved if net income is negative or failed to reach the the bank expected target profit , the banks are likely to reject the loan application or to improve loan pricing and other service charges. shows that:
1, the mode is "customer-oriented", truly reflects the modern commercial bank "customer-centric" business philosophy, achieve differential pricing personalized mode of operation, both to attract and retain customers who really generate a reasonable profit for the bank , but also to make up for the losses of unprofitable or even losses brought to the bank, by raising the loan price
2, this pricing requires banks to accurate estimates of the total cost to provide services to customers, increase the difficulty of cost management,
This pricing method is suitable for dealings with the bank is closely related to greater customer demand for funds, and should not be used for new accounts, business and development potential customers.
The foregoing analysis, cost-plus mode can guarantee profitable bank each loan, but it may affect the market competitive loan pricing, the benchmark rate plus point mode more market-oriented, but because of the importance of the cost of capital is not enough The results may lead to market share lost profits, customer profitability analysis model premise is sub-customer revenue and cost accounting, our short-term bank difficult to implement this accounting with the advance of the extent of China's market-oriented interest rate, banks gradually expand loan pricing autonomy of each bank are very important to select the appropriate loan pricing model.
Fourth, China's commercial bank loan pricing model realistic choice
I believe that, from the management level of China's commercial banks, branches, head office benchmarks and floating rate determined within comprehensive consideration of cost-sharing, customers none other degree related to income and early repayment breach of contract and extension lead to the necessary price adjustment factors, and ultimately determine the price level that establish interbank interest rate benchmark, as the core of a loan risk premium, taking into account the target bank profits and customers overall relationship "as the main content pricing model on the grounds that:
First, for a long time, China has been operating under the strict control of interest rates, loan interest rates by the People's Bank of China to develop a unified, all commercial banks to the general lack of rich practical experience in loan pricing. "Sub-product accounting" sub-customer accounting cost management system has yet to be established and improved. therefore, technically speaking, China's commercial banks is not improved customer profitability analysis of pricing models.
Second, interest rates and the competition among commercial banks in China will largely reflected in price competition, the level of market interest rates to become the first commercial bank loan pricing considerations. According to China's actual situation, choose the interbank interest rate as the loan market representatives of the level of interest rates has a reasonable and feasible. interbank interest rate in central bank refinancing and interest rate and rediscount rate as a benchmark, according to the tightness of supply and demand relationship of social capital agreed by lending their free, it is commonly used in interbank interest rate reflect changes in supply and demand of funds in the market in China since 1996, let go of control of the funds on the interbank market interest rates, after several years of market baptism, has formed a relatively mature and standardized in market interest rates, entirely as a commercial bank loan pricing reference.
Third, the borrower's default risk is an important factor in China's commercial banks must be taken into account in the pricing of the loan, the reference to the common foreign banks calculate risk premium approach. Loans the risk premium has two parts: (a long-term duration of the loan risk premium, the longer the loan period, the more uncertain factors, the greater the risk of the loan is more, customers should pay a risk premium. the deadline risk premium for long-term loans, commercial banks can be determined based on historical experience or empirical analysis. If the loan period of 1-3 years, the risk premium of 1.5%, the loan for a period of 3-5 years, the risk premium of 3.0%, the loan for a period of 5 years, the risk premium of 3.5%. (2 default risk of the borrower premium. settings is more difficult, should it as the core content of the entire loan pricing process task China since the 1990s has been the implementation of the loan risk management has laid a foundation for China's commercial banks, credit risk pricing, as The assessment of the borrower's credit rating, loan risk degree of estimation, and other direct reference basis for the determination of the risk premium present, China's commercial banks to further improve the level of credit risk management, setting out a scientific and reasonable loan risk estimates with estimates system to improve the accuracy of the loan risk premium.
Fourth, to obtain a reasonable profit level is the inherent power of the commercial banks to engage in lending activities. Specific may reflect some of the lowest income for the bank's capital must be obtained from each loan. With the establishment of the modern commercial banking system in China, China Business The banks have a clear relationship between ownership and ask for a certain return on investment. banks must decomposition rate of return on capital, to determine the target profit should be included in the income of each loan, the specific reference to the following formula:
Single loan target profit = (capital / total assets * capital target yield * single loan amount
Fifth, with the "customers" of the modern business philosophy in the establishment of China's commercial banking sector, commercial banks have increasingly emphasized to provide a package of services for different customers, earnings from the overall relationship with the customer, which require banks to reasonable considering the overall relationship between its customers in the pricing of the loan can be taken in the general lending rates based on determining a floating range, developed for different customers different interest rates, such as those dealings with the Bank close relationship can bring net profit to give the customer the loan interest rate concessions, a certain interest rate on the basis of the original interest rate to float downward, fewer relationships with the Bank, can not bring the net profit of the customers for their high lending rates at the original interest rate a certain percentage based on the float can be tried when conditions are ripe for a small number of high-quality customers, use customer profitability analysis model pricing borrowing company, its subsidiaries, major shareholders and senior management are combined, the preparation of what happened of income and expenses in detail account manual profitability analysis, to establish a unified system, and then find the best pricing schemes.
(5) to construct a reasonable loan pricing system
(A need to accelerate the development and application of management accounting system
From management accounting systems in the loan pricing system, the rate of operating costs and tax costs rate commercial banks should further strengthen the pricing in the cost analysis, to provide a rich and complete cost data, and take this opportunity to vigorously implement a comprehensive cost management looking for an effective way to reduce costs, improve efficiency, give full play to the positive role of cost management of loan pricing a comprehensive management accounting system to comprehensively cover the account information, customer relationship information, human resources information of China's commercial banks, management accounting the basis of accounting is not yet complete, the management information system construction is lagging behind, must vigorously strengthen the promotion of management accounting, to accelerate the development and application of management information systems, and to promote the construction of a reasonable loan pricing.
(Second, to establish a sound and accurate internal funds transfer pricing system
Commercial banks whose main business is financial intermediation, its internal division of labor is roughly divided into the fund-raising department and fund use department. Accurate cost accounting, bank prices on a variety of funding sources analysis in order to determine a reasonable price of loans, effectively to guide the flow of funds for commercial banks and the flow of the functions of the internal funds transfer pricing system is that banks based on the marginal cost of funds rate, the allocation of funds among its various departments. advantage of the establishment of the system of internal capital assessment, when ALCO pricing decisions, the separation of the interest rate risk and credit risk the lending decisions focused analysis of the quality of loan assets, the fund management sector may decide the period and with the problem of asset liabilities, can be assets, the liabilities of the symmetry of the management. Currently, China Many banks have not yet established a funds transfer pricing system, a lot of the day-to-day analysis and monitoring work need to be done manually, inefficient, difficult to quantify and timely adjustment of the internal cost of capital, changes in interest rates can not, at the same time, speed up the establishment of the internal funds price adjustment model, the gradual development of related management information and decision support systems, to create conditions for the establishment and application of the system of loan pricing.
(C sound internal risk assessment system
Correct assessment of credit risk, reasonable to determine the level of risk compensation is an important part of the loan pricing. Recent years, China's commercial banks are the introduction of a credit risk assessment system, but the system of banks emphasize different factors, different emphases, reflecting banks in credit risk analysis, understanding and experience. relative to loan pricing is concerned, these systems have the following common defects: (1 evaluation objectives is the risk profile of the overall credit standing of the customer rather than a loan (2 lack of risk level in connection with the corresponding probability of default and breach of contract after the loan loss ratio evaluation system can only sort of customer credit risk, the risk can not be measured. (3 assessment system can only handle enterprises to standardize financial statements corporate clients, and can not evaluate the cause of corporate customers, credit risk assessment system needs to be in accordance with the requirements of the loan pricing improve the credit risk of the project for corporate customers. << the new Basel capitalism >> China's commercial banks should be read in conjunction with the implementation of China's national conditions, the absorption the advanced experience of foreign countries, the establishment of a set of realistic, effective risk assessment system, based on the well to do a good job of loan pricing.
(D) hierarchical authorization system, establish and improve the scientific
The interest rate market requires commercial banks to establish a scientific and efficient hierarchical authority and strict regulatory regime, to guard against the loan pricing decentralization causes of moral hazard. Process of interest rate market, the liberalization of lending rates directly affect the interest income of commercial banks Therefore, to speed up the establishment of loan pricing program the hierarchical authorization management system, granted certain privileges of floating a branches and sub-branches based on the principle of differentiated management that line in which the different points (branch) economic and geographical environment, competition situation, the size of the volume of business, the cost of capital, cost of capital supply and demand elasticity the difference level authorization management, interest rate pricing breakthrough authorized to fulfill strict rate approval process, agencies focus within their authority improve loan pricing power and customer negotiations ability to adapt to the requirements of market competition to ensure that the loan proceeds, and insist that the interest rate to fall a Branch approval loan concentration, the focus of supervision to correct for lack of floating loans.
(E) to strengthen the economic capital management, and promoting the loan pricing system constantly improve
Scientific and reasonable loan pricing system should cover accurately reflect the cost of capital and capital target margin is not only an effective means to guard against credit risk is an important link in the loan pricing system, is a commercial bank capital as banks to withstand risks final guarantee loans and other risk exposures should be reasonable configuration. configuration principle is the amount of capital that is directly linked to their level of risk, and by strengthening the role of economic capital loan pricing, can effectively enhance risk management techniques and the degree of refinement. Such as the unexpected loss of a loan, you should configure more economic capital in order to raise prices, prompted the client initiative to withdraw from the implementation point of view, the internal rating system can calculate the probability of default of a single loan LGD and other key indicators, thus becoming an important tool for economic capital calculation, allocation and monitoring.