Hanoi University

FACULTY OF MANAGEMENT AND TOURISM

____🙢🕮🙠____

TREASURY MANAGEMENT
ANALYSIS OF VIETINBANK

Group: GroupTRM
Class: Tutorial 03
Tutor: Ms. NGUYỄN THỊ MINH HẰNG
Students: Nghiêm Đàm Khánh Vân - 2004040118
Nguyễn Thị Vân Anh - 2004040010
Phan Thị Phương Mai - 2004040073
Nguyễn Ngọc Anh Quân - 2004040091
Date: 5th May, 2023

Hanoi, 5th May 2023

 PEER EVALUATION FORM

Task given Task given Mark

Team members ID
(written form) (%) perform

Nghiêm Đàm - Task 1: Introduction

2004040118 100%
Khánh Vân
- Task 2: Current conditions

- Task 3: Credit risks

Nguyễn Thị
2004040010 - Task 4: Interest rate risks 100%
Vân Anh
- Task 5: Liquidity risk

management
Phan Thị
2004040073 100%
Phương Mai
- Task 6: Scenario analysis

- Task 7: Hedging proposal

Nguyễn Ngọc
2004040091 - Task 8: Conclusion 100%
Anh Quân
 TABLE OF CONTENTS

ABSTRACT...............................................................................................................................1
1. Introduction ...........................................................................................................................2
2. Current conditions ................................................................................................................2
2.1. Macroeconomic conditions ...............................................................................................2
2.2. Banking conditions ...........................................................................................................3
3. Credit risks ............................................................................................................................3
4. Interest rate risks ..................................................................................................................5
4.1. Net interest income (NII), Net interest margin (NIM) ........................................................5
4.2. Dollar gap .........................................................................................................................6
5. Liquidity risk management ...................................................................................................7
6. Scenario analysis ...................................................................................................................8
6.1. Changing in liquidity position ...........................................................................................8
6.2. Changing in interest rate ...................................................................................................9
7. Hedging proposal and Derivatives ...................................................................................... 10
7.1. Spot exchange................................................................................................................. 10
7.2. Forward exchange ........................................................................................................... 10
7.3. Swap............................................................................................................................... 11
7.4. Option............................................................................................................................. 11
7.5. Interest rate swap ............................................................................................................ 11
7.6. Cross-currency swap ....................................................................................................... 11
8. Conclusion ........................................................................................................................... 12
REFERENCES ........................................................................................................................ 13
 ABSTRACT

With the strong expansion of the national and global economies. To accommodate
customers' transactional needs, an array of banks was founded. One of the biggest
state-owned commercial banks in Vietnam is Vietnam Joint Stock Commercial Bank
for Industry and Trade (also known as VietinBank). Through the bank, customer
receive many useful advantages from its products and services, which adhere to
international standards. In this paper, we are going to depict the macroeconomic
environment and the state of the banking system, assess and compute the bank's
credit risk, liquidity, and interest rates. From there, the company would also
introduce efficient risk prevention measures or hedging strategies. Despite some of
its weaknesses, the research's data will still be effective and full of the information
that is required. Additionally, the analyzed information and data were collected in
three years from 2019 to 2021 in this report.

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1. Introduction

Vietnam Joint Stock Commercial Bank For Industry And Trade (VietinBank) was established on
26th March 1988 after its separation from the State Bank of Vietnam. VietinBank aims to become
a leading bank in the growth of the country by ensuring optimal value to clients, shareholders, and
employees. The main business activities of VietinBank are banking transactions and deals, which
include mobilizing and taking short-term, medium-term and long-term deposits from organizations
and individuals; making short-term, medium-term and long-term loans to organizations and
individuals based on the nature and capability of the Bank’s sources of funds; performing payment
services among organizations and individuals; carrying out foreign exchange transactions,
international trade finance services, discounting commercial papers, bonds and other valuable
notes; and providing other banking services permitted by the State Bank of Vietnam.
VietinBank has experienced 29 years of incorporation and development shown through these three
following phases:
• Phase I: 1988 – 2000: Established and transformed from a one-tier into a two-tier bank,
officially put Vietnam JSC Bank for Industry and Trade into operation.
• Phase II: 2001 – 2008: Successfully implemented the organizational restructuring project,
targeting debts handling, organization model, general policies & mechanisms and business
operations.
• Phase III: 2009 to present: Successfully equitized and conducted a complete system
innovation towards modernization and standardization in all aspects of banking activities.
Converted organization model and corporate governance in accordance with international
standards and practices.

2. Current conditions

2.1. Macroeconomic conditions

Economic outputs, unemployment rates, and inflation are examples of macroeconomic factors.
These economic performance indicators are closely scrutinized by governments, corporations, and
consumers alike. A negative macroeconomic factor is the COVID-19 pandemic. Lockdowns
caused widespread unemployment, massive government expenditure, and supply disruptions, all
of which contributed to rapid inflation. Forecasts estimate a 6.5 percent reduction in median output
in 2020, with the gap likely to diminish to roughly 4 percent of the pre-pandemic trend by the end
of 2021.

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 2.2. Banking conditions
Vietnam has mostly escaped the worldwide pandemic untouched. Consumption by a rising middle
class and a trade-driven economy continue to drive economic growth, which the World Bank
forecasts at 6.7% in 2021. Financial service providers, often known as the financial institutions
group (FIG) sector, include commercial banks, consumer financing companies, fintech/payment
service providers, and insurance providers.
It is foreseen that a robust year for mergers and acquisitions in the FIG sector. Following a lengthy
period of easing into Basel II compliance, Vietnamese commercial banks are now required to
report capital adequacy and other prudential ratios to the State Bank of Vietnam in accordance
with Basel II regulations under Circular 22 of 15 November 2019, effective 1 January 2020. The
increased rigor of Basel 2 compliance will drive Vietnamese commercial banks' insatiable demand
to locate capital sources.

3. Credit risks

According to Investopedia, credit risk is the chance of suffering a loss as a result of a borrower's
failure to make loan payments or fulfill contractual commitments. It typically refers to the
possibility that a lender won't receive the principal and interest that is owed, which would disrupt
cash flows and raise collection costs. Credit operations come with a lot of credit risks, despite the
fact that they are both a bank's core function and a significant source of revenue for commercial
banks. The bank loses the chance to earn interest on the loan due to credit risk. Due to this, credit
risk management, a process that has long been difficult for financial institutions, is the practice of
reducing losses by understanding the adequacy of a bank's capital and provisioning lending risks
at any given time.

Unit: VND million 2019 2020 2021

Current 918,780,095 1,003,015,015 1,104,465,335
Special mention 5,677,439 2,799,154 11,901,967
Substandard 2,062,615 1,857,241 7,095,731
Doubtful 1,546,701 1,611,589 2,003,066
Loss 7,204,095 6,050,271 5,201,668
Total 935,270,945 1,015,333,270 1,130,667,767
Table 1: Analysis of loan portfolio by quality from 2019 to 2021

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 Unit: VND million 2019 2020 2021
Provisions expense for
13,004 12,168 18,382
credit losses
NPL ratio (%) 1.20% 0.95% 1.26%
Table 2: Provision Expense and NPL ratio from 2019 to 2021

Looking at the detail from Table 1, it can be clearly seen that the amount of Current Loan in
ViettinBank accounted for the highest number in all the examined years while the figures for
Doubtful Loan were the lowest.

Beginning at VND 918,780,095 million in 2019, The amount of money coming from Current Loan
made up the highest percentage in total loan. In 2020, there was an increase in the amount of the
Current loan of about VND 1,104,465,335 million while opposite trend can be witnessed in the
figures for the Loss Loan, from VND 7,204,095 million in 2019 to VND 1,104,465,335 million in
2021. Accounting for only 0.46%, the negligible proportion from Loss loan pointed out a modest
chance of losing the amount of money.

Regarding Table 2, the risk provision evaluates the bank's ability to remain solvent. Risk provision
is an indicator that reflects the risk of losing capital because using a contingency fund by a bank
indicates that the bank is experiencing the risk of capital loss. The cost of risk provisions was
expected to gradually rise from 2019 to 2021 by 13,004 billion and 18,382 billion VND
respectively. This demonstrates that the bank must deal with a corresponding increase in the
amount of provision set up in the period as the total outstanding debt increases.

Based on CFI, a non-performing loan (NPL) is one for which the borrower is in default and has
missed making the required principal and interest payments on a regular basis for a predetermined
amount of time. Also in Table 2, over the previous three years, Viettinbank's bad debt ratio varied.
After decreasing by about 0.25 percent from 2019 to 2020, the NPL ratio went up to 1.26 percent
in the year 2021. In spite of a slight rise in debt, the non-performing ratio of ViettinBank was still
low compared to the industry as a whole which (<1.5%). As a result, the bank's credit risk
management strategies of ViettinBank were still effective.

Business results are likely to create resources for VietinBank to improve its financial capacity,
increase risk provisioning in a prudent manner, and proactively respond to possible difficulties in
the near future. At the end of 2021, the NPL ratio is controlled by VietinBank at 1.3% within the
deadline assigned by the State Bank and the General Meeting of Shareholders. The bad debt
coverage ratio improved very positively at 171%, higher than in 2020 (tinnhanhchungkhoan.vn).

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4. Interest rate risks

According to Diane (Investopedia, 2014), interest rate risk is the possibility of financial losses due
to a change in interest rates. Interest rate risk occurs when there is a term mismatch between assets
and liabilities, as well as when banks use multiple kinds of interest rates in capital mobilization
and lending. Accepting this hassle is a typical part of the banking process and can be a significant
source of profit and shareholder value. Nonetheless, excessive interest rate threats can be
detrimental to a bank's earnings and capital basis. Interest rate changes impact a bank's earnings
by affecting net interest income and the situation of other interest-sensitive income and operating
expenses. Current interest rates and bond values are inversely related. It implies that as interest
rates rise, the bond's price falls in response. Because the present value of future cash flows (and,
in some instances, the cash overflows themselves) change when interest rates change, interest rates
affect the beginning value of the bank's wealth, debt, and off-balance-sheet tools. As a result, an
effective risk management method that keeps interest rate volatility within prudent bounds is
critical to bank safety and soundness. The net interest margin (NIM) and dollar gap can be used to
assess interest rate risk.

4.1. Net interest income (NII), Net interest margin (NIM)

The primary goal of interest rate risk management is to protect the bank's revenue from changes
in interest rates, which requires the bank to maintain a high and stable net interest margin ratio
(NIM).

Unit: VND million 2019 2020 2021

NII (billion VND) 33,199 35,580 41,788
NIM (%) 2.80% 2.86% 3.01%
Table 3: NIM and NII of MB in 3 years, from 2019 to 2021

Through the details of the table above, it can be seen that the NIM index has a slight increase in
2020 of 2.86% compared to 2019 of 2.80%, but the index skyrocketed to 3.01% by 2021. This
demonstrates that marginal interest income is steadily increasing, with signs of rapid growth,
reflecting the quality of the bank's interest rate risk management in a positive direction.
Furthermore, the NII has grown at a consistent rate over the last three years, with coefficients of
33,199 VND, 35,580 VND, and 41,788 VND (in billion), respectively, the higher the net interest
income ratio indicates the risk scunner. Because VietinBank has a positive net interest margin, we
can infer that they invested wisely and implemented effective management policies.

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As financial markets stabilize and controlled inflation, and credit risk decreases, the net interest
revenue ratio will fall. Besides, when inflation is curbed, banks can keep positive real interest rates
without relying on implicit interest rates to attract customers. Moreover, in order to reduce the net
interest income ratio to assist banks, the State Bank of Vietnam needs to take measures to improve
the governance quality of commercial banks.

4.2. Dollar gap

To manage interest rate risk in Asset- Liability management, the Interest Sensitive Gap (Dollar
Gap) is a technique that needs to be applied. According to Investopedia, the interest rate spread
helps identify a bank's or financial institution's exposure to interest rate risk. Hedging can be
utilized to mitigate the risk of a substantial interest rate differential. The dollar interest-sensitive
gap is measured by taking the rate-sensitive assets (RSA) minus the rate-sensitive liabilities (RSL)
over some set planning period. Common planning periods include 3 months, 6 months and 1 year.

Unit: VND million 2019 2020 2021

RSA 1,261,778,460 1,354,567,939 1,557,650,300
RSL 1,162,870,969 1,255,255,203 1,436,883,514
Dollar GAP 98,907,491 99,312,736 120,766,786
Change in NII when
interest rate increase 989,074.91 993,127.36 1207,667.86
by 1%
Change in NII when
interest rate decrease (989,074.91) (993,127.36) (1207,667.86)
by 1%
Table 4: Dollar gap - Interest sensitivity gap of VietinBank from 2019 to 2021

Looking at the table, within three years, from 2019 to 2021, VietinBank's dollar gap is positive
and expected to grow, indicating that a bank's RSA is greater than RSL. If interest rates rise, this
bank's NIM and earnings or revenues are expected to climb as well. Managers can pick a suitable
time period during which net profit margins are controlled based on the dollar gap to meet the
targets. If interest rates are likely to climb in the near future, the bank can take an aggressive
strategy by taking advantage of the favorable dollar differential. In the contrary instance, when
interest rates decrease, the bank can use a negative dollar difference to generate profits since bank
revenues grow faster than bank deposit expenses.

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5. Liquidity risk management

Liquidity risk is defined as the possibility that Vietinbank may have difficulty satisfying
commitments related to its financial liabilities. Liquidity risk comes out when the Bank is unable
to meet its payment obligations on time or must mobilize funds at a greater cost to meet its payment
obligations.
The Bank has published liquidity management regulations and procedures, including guidelines
for managing liquidity gaps through maturity, liquidity risk ratios, stress test scenarios, and backup
plans to take preemptive actions in the face of market volatility. To reduce liquidity risk, the bank
intends to diversify its funding sources, create a fund management report system to calculate
liquidity position on a daily basis, and prepare analysis and forecast reports on future liquidity
positions on a regular basis, thereby establishing liquidity risk appetite and capacity. In order to
effectively manage liquidity risk, ALM (Asset-Liability Management) is practiced within the
Bank’s liquidity risk management strategies.
The liquidity gap which can be known as ALM gap is the mismatch between the different terms
of assets and liabilities across the term structure. Based on Management's approval of the annual
business plan, the Treasury and Financial Planning Department, in collaboration with some other
relevant specialized departments, analyzes and forecasts cash inflows/outflows of the system
according to the approved plan; and the Bank also makes decisions on appropriate management
and monitoring of available funds based on actual daily capital fluctuations and utilisation.

Table 5: Assets and Liabilities of Vietinbank as at 31 December 2021

As can be observed from the table above, there are 5 main types of maturity of assets and liabilities
included in “Current” as at 31 December 2021. Only 2 categories have a negative net liquidity gap,
they are 10-month liquidity gap term that is at (138,462,953 VND million ) and 5-year liquidity
gap term that is at (55,198,975 VND million ). As defined, a negative net liquidity gap is the result
of the fact that liabilities exceed assets, banks do not have sufficient assets to cover theirs
obligations; therefore, Vietinbank might have liquidity risk in these 2 categories. However, the

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remaining liquidity gaps of the others categories are kept positive, indicating that Vietinbank does
not belong to group of banks with significant level of liquidity risk.

6. Scenario analysis

Scenario analysis is the process of investigating and evaluating prospective future occurrences or
scenarios, as well as anticipating various viable conclusions or possible outcomes. It assesses the
volatility of a portfolio's value in the face of a rapidly shifting set of risk indicators. This approach
considers the variability of several risk factors as well as the interactions between those risk factors
that are assessed on the bank’s capital and financial results which helps them could swiftly and
effectively respond to each individual case using scenario analysis. In this section, we'll examine
how a change in the interest rate and liquidity position affects VietinBank’s overall income and
capital.
6.1. Changing in liquidity position
Up to 1 1–3 3 – 12 1–5 Over 5
Unit: VND million
month months months years years
Asset
247,278,558 248,723,021 499,282,227 227,625,024 308,468,480
(Total inflow)
Liabilities
238,433,811 239,568,148 637,745,180 282,823,656 38,312,719
(Total outflow)
Net liquidity gap 8,844,747 9,154,873 (138,462,953) (55,198,632) 270,155,761

Table 6: VietinBank’s Net Liquidity Gap in 2021

From this table it can be clearly seen that VietinBank has a negative liquidity gap for the time
buckets "from 3 to 12 months" (negative VND 138,462,953 million) and "from 1 to 5 years"
(negative VND 55,198,632 million) due to RSL > RSA, which implies that the bank would have
difficulty meeting short-term demand at this time frame. It also indicates excess funds and
potentially a source of interest rate risk for the bank. Therefore, to compensate for this lack of
liquidity, VietinBank should diversify its investments and seek out loan sources of capital to meet
short-term financial obligations, or it can overcome the short-run liquidity gap by reducing its
assets such as selling off assets or borrowing from money market capital to satisfy short-term
commitments. In contrast, VietinBank has a positive liquidity gap for the remaining time buckets,
which shows that the bank still has excess liquid assets left over after all debts have been fulfilled.
This is also a favorable situation for the development of the bank, ie the bank has created new
assets or has cash available to invest in banking operations.

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 6.2. Changing in interest rate

The change in interest rate is the issue that almost banks have to deal with. In essence, interest rate
risk is the possibility of the bank’s income or asset value being impacted when the market interest
rate fluctuates. As interest rates change, the interest income and interest expenses associated with
the bank's financial instruments also change, thereby affecting net interest income ("NII"), the
primary component of the bank's earnings. Banks evaluate the interest-sensitive gap ($GAP)
between rate-sensitive assets (RSA) and rate-sensitive liabilities (RSL) on a regular basis to avoid
unfavorable interest rate fluctuations (RSL). The relationship between $GAP and net interest
income follows the formula:

ΔNII = $GAP * ΔInterest rate

As mentioned above, if the interest rate changes, VietinBank's net interest income will be
influenced both upward and downward. If the $GAP is more than zero, net interest income rises
when interest rates rise and vice versa. If the $GAP is less than zero, net interest income rises when
interest rates fall and vice versa. In detail, the following table points out the impact of the change
in the interest rate on the NII of VietinBank.

Unit: VND Up to 1 1–3 3–6 6 – 12 1–5 Over 5

million month months months months years years
$GAP (123,527,478) 94,871,520 148,183,482 (168,345,250) 36,319,041 69,048,840
∆NII if r↑
(1,235,274.78) 948,715.20 1,481,834.82 (1,683,452.50) 363,190.41 690,488.40
by 1%
∆NII if r↓
1,235,274.78 (948,715.20) (1,481,834.82) 1,683,452.50 (363,190.41) (690,488.40)
by 1%
Table 7: The change in Net Interest Income of VietinBank in 2021

Looking at the table, we can make a remark, assuming the interest rate increases by 1%,
VietinBank's net interest income in the maturity buckets of "up to 1 month" and "6-12 months"
declines sharply due to the negative gap. However, in the remaining periods, net interest income
returned, in the two terms "1-3 months" and "3-6 months" climbed significantly, to 948,715.20
million and 1,481,834.82 million dong, respectively. Through to the next tenors reached VND
363,190.41 million for the term of 1-5 years and VND 690,488.40 million for the term of over 5
years. On the contrary, a 1% decrease in interest rates with a positive gap makes VietinBank's net
interest income in terms of "up to 1 month" and "6-12 months" grow significantly to VND
1,235,274.78 million and VND 1,683,452.50 million, respectively, while the remaining groups
have a drop.

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Interest rate risk is one of the distinctive risks of any commercial bank, including VietinBank,
which can originate from a variety of activities such as investment activities, capital mobilization,
and lending activities. In order to prevent interest rate risk, VietinBank should apply and employ
new financial instruments to limit and control risks, such as using term transactions on interest
rates, term operations on deposits, term services on loan interest rates..., execution of futures
contracts, performing interest rate swaps, interest rate options, etc.

7. Hedging proposal and Derivatives

VietinBank is prepared to respond promptly and competitively to your foreign currency needs with
its strengths in the availability of funds in foreign currencies and a national business network,
while also assisting banks in managing foreign exchange rate risk to maximize profits for
corporations.

7.1. Spot exchange

Spot exchange rate is the current price at which one currency will swap for another at a certain
moment. It is the price a trader will pay on the open market to purchase another currency and close
transaction within the following 02 business days.
While clients’ needs are Joint ventures with overseas partners; Purchasing and selling foreign
currency to settle for export and import payments of goods and services, freight, and insurance or
payment of membership fees to international organizations. Spot exchange would instantly satisfy
their various foreign currency needs and the payment can be paid now or within the next two
business days.

7.2. Forward exchange

In a forward exchange contract, a company commits to purchasing a particular quantity of foreign
currency on a given future date. Specifically, this contract helps to purchase and sell foreign money
at an agreed-upon exchange rate, with payment due at a later date. It also reduces risks from
exchange rate fluctuations that can bring a negative impact on future income and spending. Based
on the flexible conditions of customers as well as firms, Viettinbank gives a minimum terms of
three days and a maximum term of 365 days with the forward between VND and a foreign currency
whereas the exchange term between two different foreign currencies can go through the
negotiations between the bank and the customer.

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 7.3. Swap
Swap transactions are the activities of exchanging the same amount of foreign currency (only in
two currencies) on two distinct dates with different payment terms. The exchange rates for the two
transactions are decided at the time of the contract. When bank or the customer want to manage
cash flow and maximize the current available foreign currencies, they join in a swap contract.
Besides, it controls the risks of currency rate fluctuations that could have an impact on future
earnings and expenses. Viettinbank Payment terms can be adjusted to fit the demands. With respect
to exchange between VND and other foreign currencies, three to one year after the transaction is
the term while swap between two foreign currencies can be agreed upon by customers and
VietinBank.

7.4. Option
An option contract allows the holder to purchase (in the case of a call option) or sell (in the case
of a put option) a certain number of underlying items at a specified price and within a specified
time frame. When the bank believes that stock and bond prices will rise in the future, it will take a
long call or short put position. If the buyer exercises the right, the seller is obligated to sell or
purchase the amount of foreign currency at the preset exchange rate. Instead of concentrating just
on forward contracts and FRA to mitigate risk, VietinBank can employ options as a cost-effective
financial strategy. When a bank purchases a long put option, the stock price is projected to fall
considerably below the strike price before the option expiry date. When a bank invests in a short
call, it is able to sell the underlying asset at a greater price than the market price.

7.5. Interest rate swap

According to the definition, interest rate swaps are contracts in which you agree to pay someone
else a fixed amount of money in the future, in exchange for receiving a different fixed amount of
money, based on the amount of money you originally agreed to pay. This can help you reduce your
exposure to fluctuations in interest rates, since you can swap rates to find the one that's best for
you. Vietinbank has made the interest rate swap by not swapping the actual principal amount
because the principal amount is the basis for determining the interest payment amount. Besides,
the bank also uses a variety of swap options (floating → fixing, fixing → floating) and the principal
amount is adjusted to match the principal cash flow to reduce the swap interest rate.

7.6. Cross-currency swap

Cross currency swaps are a way to lock in an exchange rate for a certain period of time. In this
case, the interest rate can be fixed, variable, or a combination of both. These instruments trade

11
over the counter (OTC), so they can be customized by the parties involved. In a cross currency
swap, Vietinbank converts the starting principal amount (optional) and the ending principal
amount (required). Along with that, the bank reduces the principal amount at maturity, in line with
the principal cash flow. And interest rate swaps from floating-floating, fixing - fixing and fixing -
floating.

8. Conclusion

VietinBank is a bank that helps to maintain the economy by providing credit to businesses and
other organizations that the government and the state bank believe will help the country grow.
VietinBank has been awarded many prestigious awards, which show that its management of credit
is successful such as: Among the top 300 most valuable banking brands in the world; top 10
Enterprises meeting Vietnam Corporate Culture Standards 2021, Sao Khue Award 2020, Best
Mobile Banking Service in Vietnam and Best SME Bank in Vietnam), Good Retail Banking
Award Best in Vietnam 2021 awarded by International Finance Magazine, Outstanding Derivative
Bank of the Year Award as well as the best Issuing Bank in Southeast Asia and the Pacific. With
the mission of "Being a pioneer bank in developing the country on the basis of bringing optimal
value to customers, shareholders and employees", Vietinbank has always been innovative and
responsible. for customers, partners, shareholders, leaders, colleagues and for VietinBank's own
brand to develop more and more sustainably.

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