摘要
商业银行内部资金转移定价作为商业银行管理会计和资产负债管理的核心之一,是调节商业银行内部资金流向、流量的重要杠杆,是提高商业银行经营管理水平的重要方式和方法,是商业银行管理会计分产品、分部门、分客户、分渠道计量的重要组成部分,对商业银行经营成本与风险的控制、经营资源的配置、经营效益的提高有着极大的影响。目前我国商业银行内部资金转移定价的研究还刚刚起步,主要集中在定价研究上,但由于内部资金转移定价的实施复杂,模型多样,对于很多人来说它就像是一个“黑匣子”,因此留给很多银行从业人员和学者许多疑问：解释内部资金转移定价的理论基础有哪些?商业银行内部资金转移定价体系包含哪些内容?实施内部资金转移是否能提高银行效率?如何利用内部资金转移定价结果数据进行经营分析?本论文将一一解答以上问题。
本论文的研究思路如下：首先研究目前商业银行内部资金转移的背景和意义,借鉴国内外学者的研究成果,阐述内部资金转移过程中产生的经济学和管理学问题,了解内部资金转移定价的方法和机制,以期从理论上找到内部资金转移影响银行的证据。通过对某国有商业银行辖内二级分行的实证研究,检验内部资金转移是否对银行效率有所影响。然后通过对某一级分行实施内部资金转移定价的方案以及结果数据的分析,进一步了解实务中商业银行内部资金转移定价的情况。最后根据分析结果提出相关建议并指出未来研究方向。
全文共分六章：
第一章导论。主要介绍研究背景及意义、研究思路和内容、研究方法与框架以及预期的研究创新。
第二章商业银行内部资金转移定价的理论基础。本章首先回顾了国内外的研究现状,然后从交易成本理论、内部市场理论和委托代理理论三个方面对商业银行内部资金转移定价进行研究,并用以上理论解释了内部资金转移定价过程中的各项成本、司库的定价机制以及票据和贷款之争等。
本章通过研究发现商业银行在实施内部资金转移定价过程中要耗费各类静态成本,如数据汇集与抽取成本、系统研发成本、模型设计成本和运行维护成本,还有各类动态成本如每年的FTP确定过程,FTP在实施过程中的动态调整,和监督FTP实施的成本,包括系统运行的稳定性,包括系统数据的准确性和全面性等等。
企业内部市场理论表明,内部价格不仅是内部主体收益与成本的衡量标准,还是企业内部主体行为的影响因素；内部定价不仅是内部价格水平的优化与计算问题,更是企业内部主体行为的控制与协调过程的有机组成部分。本章提出对于内部资金转移价格的制定要根据银行内部司库与各经营单位的竞争合作关系来确定。
委托代理理论认为在委托人和代理人之间存在信息不对称的情况,由于信息不对称,导致逆向选择和道德风险。商业银行的分支机构作为代理人,相对于委托人上级行而言具有明显的信息优势。分支行对所处的外部环境、面临的竞争和挑战、自身优势与劣势的掌握和熟悉程度均远远超过上级行。由于多种原因,分支机构不会主动将所有信息、汇报给上级行,因而上级行获得的有关产品、部门、客户、客户经理、分支机构和渠道的信息是不完全的。即使分支机构将全部信息汇报上级行,上级行筛选信息也需一定成本。所以从总行视角来看分支行机构,由于信息不对称等因素银行在实施内部资金转移后在绩效考评方面也将面临着诸多复杂的问题。比如某商业银行给予票据保证金存款产品以很高的内部资金转移定价,形成较高的净息差,导致银行分支机构出现了逆向选择,不但未通过自身努力吸收真实的存款,反而通过虚增存款来实现分支行利润大增,却损害了全行利益。
第三章商业银行内部资金转移定价体系。本章首先研究了商业银行的资金管理体制,对于差额与全额资金管理模式进行了比较。
其次研究了内部资金转移定价机制,主要包括单资金池定价法、多资金池定价法和期限匹配定价法等。单资金池法不利于银行整体利润最大化,同‘时不考虑期限因素,不能保证所有经营机构业绩评估的公平公正；多资金池模式考虑到了由于期限不匹配给银行带来的利率风险,但是它的缺点在于资金池中的资金可能多余或不足,对于相同期限的资产和负债,如果存在不同的利率特征也会产生风险；目前最有效的内部资金转移定价模式是期限匹配法,国外商业银行多数采用这种方法。在期限匹配模式下,资金管理部门将会进入资本市场为资产业务筹集资金,所筹集的资金在计息方式和期限上与对应的资产项目一致,这样就可以锁定筹集资金的利率,并在贷款合约期限内保持一个稳定的资金来源和一个稳定的利差,消除风险敞口,从而完全避免商业银行所面临的流动性风险和利率风险。
与内部资金转移定价机制相对应的就是定价方法。经过近几十年的发展,商业银行先后采用过平均成本法、边际成本法、固定利差法、内部资金收益曲线法和现金流匹配法等。
内部资金转移确定后,需要不定期的进行调整,本章在最后还研究了价格调整的机制。
第四章商业银行内部资金转移定价对银行效率的影响。本章首先介绍了银行效率的内涵与分类,然后研究了银行效率评估的参数方法和非参数方法,并对两种方法进行了比较。最后采用某国有商业银行某省分行所辖二级分行2008-2011年面板数据测度银行效率,并检验内部资金转移对其影响。研究证明内部资金转移收支对银行效率有正向影响。
第五章内部资金转移定价的实施及应用—以某商业银行为案例的分析。本章介绍了某国有商业银行实施内部资金转移定价的方案,研究了该行内部资金转移定价体系,并利用某一级分行内部资金转移定价数据进行经营分析。
第六章结论、建议和研究展望。本章对全文的基本结论、局限和创新点进行总结,并根据研究结论对我国商业银行实施内部资金转移定价提出政策建议,最后针对论文的不足提出未来研究方向。
本文主要研究结论如下：
本文综合运用理论研究和实证研究方法,对商业银行内部资金转移定价进行了系统地研究,并取得了一定的研究成果,本文主要研究结论如下：
第一,在对内部资金转移定价基础理论研究的基础上,本文提出对于内部资金转移价格的制定要根据银行内部司库与各经营单位的竞争合作关系来确定。对于合作主导型内部市场,司库仅仅充当对冲者和平衡者角色时,定价方法可采用一是实际成本法,依据资金的实际成本确定其价格。二是标准成本法,如果资金的成本过高而影响了最终产品的市场地位,则依据标准成本来制定内部价格；对于竞争主导型内部市场,司库就会将外部交易视为重点,此种结构内部市场的定价权限应该授予各市场主体,并采用完全市场化的方法。如果存在可比的外部市场,有外部市场价格(减去折扣)法和竞价法两种方法可供选择。如果不存在可比的外部市场,可采用协商法或成本加成法定价。
第二,对于商业银行差额式资金管理方式相对落后,随着利率市场化进程的加快,全额资金管理方式是大势所趋。单资金池和多资金池的定价机制存在弊端,应选用期限匹配的边际成本模式。对于定价方法,内部资金收益率曲线法是目前主流的方式,但有条件的商业银行可采用现金流匹配法。同时,内部资金转移价格应该随着市场利率、经营战略和经营管理的需要不定期进行调整。
第三,内部资金转移收支占主营业务收支的比重越高,商业银行的效率越高。银行稳定性越高,对商业银行的效率正向影响也越大。资产规模和存贷比对商业银行效率影响不显著。但对于商业银行经营机构,也不可能一味增加内部资金转移收支,银行对于存贷比等指标均有监管要求。
第四,通过对不同期限、信用等级及利率水平的法人客户贷款进行分析,可以看出：贷款业务的收益主要取决于贷款业务的期限、利率浮动水平和信用等级三个因素。同等业务规模下,分支机构盈利能力的大小,不仅与业务量和存贷利差相关,更与业务结构与FTP价格导向的匹配度密切相关。
本文的创新之处主要体现在三个方面：
一是商业银行内部资金转移定价机制的理论分析,明确了根据商业银行内部经营和管理单位的竞争与合作关系来制定转移价格的原则,弥补了对于商业银行内部转移定价理论研究的空白。
二是商业银行内部资金转移定价对银行效率影响的研究。由于商业银行内部资金转移计价是一个相对复杂的系统工程,国内实施的FTP的银行相对较少,而且内部资金转移计价的相关制度、政策、方法和数据均属于涉密内容,研究的就相对更少。目前对于商业银行内部资金转移的研究主要集中在定价机制和定价方法的研究,对于内部资金转移定价的经济后果还少有涉猎。本文通过对商业银行效率的测度和影响因素的研究,证明了内部资金转移对于银行效率的提升作用。
三是商业银行内部资金转移定价的应用研究。商业银行内部资金转移定价一般由系统自动加工实现,对于数据的使用者往往仅限于报表层面的解读和盈利结果的分析,本文通过案例研究,设置多种场景,研究如何通过内部资金转移数据分析,提高经营行净息差水平和实现资产负债结构调整。
Commercial bank Funds Transfer Pricing (FTP) is a necessary way for commercial banks' asset-liability management and financial accounting management, also the important way to control the internal cash-flow, to develop the commercial banks' management quality. The FTP is also the important parts of commercial banks' accounting management, also affecting the commercial banks' operational cost、risk control、optimization of the commercial bank funds and profits. The analysis of the Chinese commercial banks'FTP is just on the beginning, because of the complex of the FTP Model, it is an unknown place to many scholars. How many basic theoriescan be used to explain FTP? What does FTP system including about? Dose the model can increase the commercial banks' efficiency? How to use the result of FTP for analysising? Based on the above consideration, this paper will answer the above issuess.
This Paper first study the background and significanceof FTP, learning from the researches of domestic scholars and abroad on the FTP, in order to theoretically find the evidence of the FTP affecting the bank efficiency. By empirical research on the branches of state-owned commercial banks, whether FTP has an impact on bank efficiency.The paper also make a case study on domestic commercial bank. Finally, summaries suggestions and pointed out the direction of future research.
Paper is divided into six chapters:
Chapter1:Introduction. Introducing the research background, significance, research status, research ideas, research methods and innovation.
Chapter2:The commercial bank FTP basic theories. This chapter firstly makes a literature review, then Studies the transaction cost theory, the internal market theory and the principal-agent theory, and using the above theory to explain the FTP.
Study founds that commercial banks in the implementation of the FTP process to spend all kinds of static costs, such as data collection and extraction costs, system development costs, the cost of model development and operation of maintenance costs, as well as various types of dynamic costs such as dynamic adjustments in the implementation process, and monitoring costs.
Internal market theory suggests that the internal price is not only the standard for mearsuring the internal benefits and costs, but also the influencing factors of behavior; internal pricing is not only a problem of the calculation and optimization of the internal price level, is the main behavior of internal control and an integral and organic part of the coordination process. This paper presents the formulation of FTP to be competitive and cooperative relations according to the treasurer of the bank's internal business units to determine.
The principal-agent theory suggests that the existence of asymmetric information between principal and agent, due to asymmetric information, leading to adverse selection and moral hazard. Branches of commercial banks as an agent, relative to the higher line, with a significant information advantage of their own in which the external environment, competition and challenges facing its own advantages and disadvantages to understand and become familiar with the extent of far more than the superior line. For various reasons, the branches have no incentive to report all the information to the higher line, thus the higher line on the regional market and branch information is incomplete, even if the branches will report the information to the higher line, the screening also need a certain cost information, so the view from the total branch banks in the implementation of the FTP due to asymmetric information in performance measurement is also facing many complex issues. Such as giving notes margin deposits with high income arbitrage, resulted in the bank branches of adverse selection, not only did not absorb real deposits through their own efforts, but inflated deposits.
Chapter3:The commercial bank FTP system.
This chapter firstly describes the parts and total funds management methods. Then studies the FTP mechanism, including a single pool of funds method, the multiple pools offunds method and duration matching method.
Single pol of capital method is not conducive to the banks to organize to maximize profits without considering the duration of factors, can not be guaranteed a fair and impartial assessment of performance of all operators; Multiple pool model taking into account the maturity mismatch of interest rate risk to the bank, but the disadvantage is that may be redundant or insufficient funds in the pool, Aassets and liabilities for the same period, if there are different characteristics of the interest rate will also have the risk; duration matching method is relatively complex and the most effective model for the majority of foreign.
The commercial banks are adopting this approach. Matching pattern in the full sense of the period, the treasurer will enter the capital market to raise funds for the new business assets, the funds raised in the period and interest-bearing way fully consistent with the corresponding asset, its purpose is to The interest rate lock, to raise funds to maintain a stable source of funding and a stable interest rate and loan period, the elimination of exposure, thus completely avoid interest rate risk and liquidity risk faced by the commercial banks.
There are many FTP methods. After decades of development, commercial banks have adopted the average cost method, the marginal cost method, internal funds, the yield curve method, the fixed spreads method and the cash flow matching method.
The Chapter4:The influence of FTP to commercial banks'efficiency. By studying the the efficiency of commercial banks to prove that the effection of the implementation of the FTP. This chapter first introduces the meaning and classification of bank efficiencies are described in detail. Then studied the parameters of the assessment of the banking efficiency and non-parametric methods.The two methods were compared with each other. Finally, through state-owned commercial banks in a province under the jurisdiction of the two branches of the2008-2011panel data to conduct empirical research to prove that the implementation of the FTP has a positive impact on bank efficiency.
The Chapter5:Implementation and application of FTP in a state-owned commercial bank
This chapter describes a state-owned commercial bank how to implement an FTP, and analyzing the FTP data for business.
The Chapter6:Conclusions, recommendations and research prospects. The basic conclusions and innovation of this chapter to the full summary of the commercial banks in China to implement FTP recommendations based on research findings, and finally make recommendations for improvement and research directions for the lack of the paper.
This paper studies the following conclusions:
Firstly, on the basis of FTP basic theoretical research, this paper presents the internal funds transfer pricing-making should consider about the treasurer of the bank's and the competitive relations according to the internal business units to determine.
As a cooperation-oriented internal market, we can use the the standard cost method or the actual cost method. As a competition-oriented internal market, we can choose the bidding method、the external market price (less discount)、 cost-plus method or consulting method.
Secondly, the total funds management model will instead of parts funds mamagement model. The duration matching method is the best methods.Most domestic commercial banks use Yield curve method, but cash flow matching method is accurater.
Thirdly, the higher the proportion of internal funds transfer the balance of payments accounted for the main business revenue and expenditure, the higher the efficiency of commercial banks. The higher bank stability, the greater positive impact on the efficiency of commercial banks. Asset size and deposit ratio does not significantly impact the efficiency of commercial banks. However, commercial banks and institutions, can not simply add the internal funds transfer the balance of payments, bank loan ratio and other indicators are the regulatory requirements.
The last, the proceeds of the loan business depends primarily on the duration of the loan business, the level of interest rate fluctuations and credit ratings of three factors.The size of the branches profitability, is determined not onlyb by the volume of business and the savings and loan spreads, the more closely buy the business structure and FTP price-oriented matching.
The innovation of this paper is mainly reflected in three aspects.
Firstly, the theoretical analysis of the commercial banks' FTP mechanism. Defining the principle of pricing based on competition and cooperation of the treasure and management units, making up for theoretical studies for the commercial banks' internal transfer pricing blank.
Secondly, the study of effect with FTP. In this paper, the paper measures the efficiency of a commercial bank, and Examine the role of FTP for enhancing banks efficiency.
The third is the application of the commercial banks' FTP data. Commercial bank FTP data usually was automatically produced by the system processing, data users are often limited to the interpretation of the report level and profitability analysis of the results, case studies, set up a variety of scenes, through internal funds transfer pricing data analysis business line net interest margin and asset and liability structure adjustment.
引文
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