interest rate risk management加拿大著名咨询公司在建设银行的讲座

InterestRateRiskManagement,Lecture#4,ManagingInterestRateRisk,2,InterestRateRisk:ADefinition,InterestrateriskistheprobabilityofanunexpectedchangeinbankearningsduetoachangeinmarketinterestratesInterestrateriskoccurswhenbankassetsandliabilitiesarerepricedatdifferenttimesInterestrateriskdependson:thedegreetowhichbankassets&liabilitiesareinterest-rate-sensitivethebalanceinthebanksportfoliobetweeninterest-rate-sensitiveassets&interest-rate-sensitiveliabilitiesThebankcaneliminateinterestrateriskbymatchingtheinterestratesensitivityofallassets&liabilities.Whatisthecostofdoingso?Onekeytomanaginginterestrateriskisagoodunderstandingofinterestrates,ManagingInterestRateRisk,3,FactorsAffectingInterestRates,Interestratesarethepriceofmoney.Theyareaffectedby:realinterestratesinflationtermriskmarketdemandforcreditcentralbankmonetarypolicy,ManagingInterestRateRisk,4,RealInterestRates,RemembertheFisherEquation:rnominal=rreal+ExpectedinflationTherealinterestrateisthecompensationfordeferringconsumptionOftensaidtoberelativelyconstantovertime(butthedatashowsotherwise)!,ManagingInterestRateRisk,5,U.S.RealInterestRates1860-1990,DecadeAvg.Nom.RateExp.InflationAvg.RealRate1860-18699.84%0.64%9.19%1870-18797.41%-3.22%10.64%1880-18895.14%-0.97%6.12%1890-18994.51%-1.23%5.75%1900-19094.16%0.82%3.34%1910-19194.77%3.73%1.04%1920-19295.08%3.00%2.08%1930-19393.89%-2.12%6.01%1940-19492.71%4.49%-1.78%1950-19593.31%2.65%0.66%1960-19695.02%1.81%3.20%1970-19798.24%5.97%2.27%1980-198911.32%6.63%4.69%Source:AHistoryofInterestRates,Homer&Sylla,P.430,ManagingInterestRateRisk,6,U.S.RealInterestRates1860-1990,NotehowhighlyvariableUSrealrateshavebeenoverthepast130years.Source:Homer&Sylla,P.431,ManagingInterestRateRisk,7,InflationInCanada1917-1997,ManagingInterestRateRisk,8,TermtoMaturity,UsualshapeoftheyieldcurveisupwardslopingThisallowsbanksto“ridetheyieldcurve”byborrowingshortterm&investinginlongertermbonds.Asthetermofthebondshortens,theyieldfallsandpricerises,leadingtocapitalgainsonthebondportfolio.,TermStructureofInterestRatesRTerm,ManagingInterestRateRisk,9,Risk,Mostnon-governmentbondshavesomepositiveprobabilityofdefaultMustcapturetheriskofdefaultthroughahighernominalinterestrateBondratingagenciesattempttocategorizeissuersintoriskcategories(notalwaysentirelysuccessfully),ManagingInterestRateRisk,10,DemandforBorrowedFunds,ClassicalTheoryofInterestRateDetermination,SupplyCurve,DemandCurve,EquilibriumQuantity,Qtyofloanablefunds,R,EquilibriumR,ManagingInterestRateRisk,11,ClassicalTheoryofInterestRates,Whydoesthedemandcurveslopedowntotheright?Whydoesthesupplycurveslopeuptotheright?Whatcausesashiftinthedemandcurve?BusinesscycleChangeintechnologyWhatcausesashiftinthesupplycurve?BusinesscycleYieldsonalternativeinvestments,ManagingInterestRateRisk,12,MonetaryPolicy,Supply&DemandforMoney,MoneySupply,MoneyDemand,R,QtyofMoney,ManagingInterestRateRisk,13,Money:Supply&Demand,Moneydemandafunctionofincome&interestratesMd=f(GNP,r)Whydoesthemoneydemandcurveslopedowntotheright?Howdoesachangeinincomeaffectthemoneydemandcurve?Whyisthemoneysupplycurveperfectlyinelastic?,ManagingInterestRateRisk,14,ImpactofInterestRatesonBankProfitability(1),CanmeasuretheimpactviaratiosNetinterestincomeNetinterestincome=Interestrevenue-interestexpenseRevenuestreamaffectedbytheriskoftheprojectsundertakenExpensestreamafunctionofthemarketsperceivedriskinessofthebankSpreadincomeisthetraditionalsourceofbankearningsbuttodayconstitutesadecreasingpercentageofearnings(seeslides16&17)impactofdisintermediationgrowthofuniversalbankmodel,ManagingInterestRateRisk,15,MajorFactorsInfluencingtheBehaviorofNetInterestIncome,Degreetowhichinterest-ratesensitiveassets&liabilitiesarematchedEffectsofredemptions&repayments(maturitymismatching)ChangesintheportfoliomixChanginginterestratedifferentialsovertheinterestratecycle,ManagingInterestRateRisk,16,NetInterestIncome:SomeInternationalComparisons,Netinterestincomeas%ofGrossIncome199019911992199319941995Australia59.9252.2756.0658.2658.6764.21Belgium81.5879.2878.3971.4573.7970.80Canada69.0569.9069.0367.8455.0153.51France77.4373.9265.9158.3962.3554.46Germany73.2175.9276.1476.3380.7779.18Greece44.0047.0042.0042.0032.0049.00Italy77.5177.5182.7873.1976.9979.77Japan75.8889.0696.3196.99103.3298.05UK61.0659.3457.5355.5356.8457.11US66.9865.3265.2963.3065.6364.69Source:OECD,BankProfitability,1997,ManagingInterestRateRisk,17,NetInterestIncome,ManagingInterestRateRisk,18,ImpactofInterestRatesonBankProfitability(2),NetinterestmarginNetinterestmargin=NetInterestIncome/TotalAssetsRatioisameasureofhowmuchnetinterestincomethebankearnsper$100ofassetsdrivenmainlyby:abilitytogeneratenetinterestincomeproportionofassetswhichearninterestincome(Otherassetsmaygeneratefeeincomeorbenon-earningassets),ManagingInterestRateRisk,19,ImpactofInterestRatesonBankProfitability(3),BreakevenYieldBreakevenYield=InterestExpense/TotalAssetsIsameasureoftheaverageyieldrequiredonallofourassetstojustbreakevenRemember,however,thatnotallassetsearnareturn,sothenumbermaybesomewhatdeceiving,ManagingInterestRateRisk,20,GAPAnalysis,GAP=RateSensitiveAssets-RateSensitiveLiabilitiesAratesensitiveasset/liabilityisonewhoseyield/costvarieswithbaseratefluctuations.TheGAPmeasuresthedollarvalueofthebanksportfoliothatissubjecttointerestrateriskGAPanalysisallowsustodeterminetheeffectonthebanksincomeduetoachangeininterestrates,ManagingInterestRateRisk,21,GAPAnalysis:Methodology,Organizethebanksassets&liabilitiesintorepricing“buckets”usingbook(notmarket)valuesInterestRepricingIntervalAssetsLiabilitiesOneday$2.4$2.3Oneday-threemonths3.04.0Three-sixmonths6.98.5Six-twelvemonths9.16.8One-fiveyears4.00.9Overfiveyears1.30.2Notinterestratesensitive1.45.4Total28.128.1,ManagingInterestRateRisk,22,GAPAnalysis(Continued),TheGAPinanygivenmaturitybucketindicatestheFIsnetinterestincomeexposuretointerestratechangesForexample,onthepreviouspage,theFIhas$.1BillionmoreRSAthanRSLintheonedaybucket.Ifinterestratesrisetoday,interestincomefromthismaturitybucketwillrisemorethaninterestexpense.Canquantifytheannualizedchangeinnetinterestincome:NII=GAPi*riWhere:NII-changeinNetInterestIncomeGAPi-RSA-RSLinmaturitybucket“I”ri-changeininterestratesaffectingmaturitybucket“I”*Assumesthechangeisreplicatedeverydayforoneyear,ManagingInterestRateRisk,23,GAPAnalysis(Continued),BankswilladjusttheirgapdependingontheirexpectationsforfutureinterestratesPositiveGAP-havemoreRSAthanRSL.BankwillbenefitifinterestratesriseNegativeGAP-havemoreRSLthanRSA.Bankwillbenefitifinterestratesfall.,ManagingInterestRateRisk,24,GAPAnalysis(Continued),TermtoRepricing,UpwardslopingyieldcurvesinduceabanktorunanegativeGAP,R,ManagingInterestRateRisk,25,GAPAnalysis(Continued),TermtoRepricing,DownwardslopingyieldcurvesinduceabanktorunapositiveGAP,R,ManagingInterestRateRisk,26,GAPAnalysis(Continued),MeasuringtheGAPasa%oftheB/SgivesanideaofthesizeoftheinterestrateriskthebankisassumingAsofOct.31,1997,thefollowing1yearGAPswereobserved:$Value*PercentageofB/S*CIBC(17,410)7.3%BMO(5,516)2.7%BNS+573.29%Royal(15,500)6.3%TD(21,100)12.9%*MillionsofCanadiandollars*Includesbothon&offB/SGAPSdividedbyB/Stotal,ManagingInterestRateRisk,27,WeaknessesofGAPAnalysis,Marketvalueeffects-GAPanalysismeasuresonlytheinterestincomeeffectsofachangeininterestratesOver-aggregation-unlessthematuritybucketsareveryfine,theremaybesignificantexposurewithinabucketRunoff-fixedrateloansgeneratecashrepaymentswhichcanbepricedatprevailinginterestrates.ThesimpleGAPmeasureignorestheseratesensitivecashinflows.,ManagingInterestRateRisk,28,DurationAnalysis,Threefactorsaffectthepricesensitivityofaninterestbearinginstrument:TermtomaturitySizeofcoupon(intermediatecashflows)GenerallevelofinterestratesDurationcapturesallthreeeffectsinonenumberThuscandescribedurationastheinterestsensitivityorinterestelasticityofanassetorliabilityspresentvalue,ManagingInterestRateRisk,29,Duration:TwoDefinitions,Durationtellsustheapproximatepercentagechangeinthepriceofabondgivena1%changeinmarketyieldsDurationisthatpointintimewhenthecapitalgainorlossduetoachangeininterestratesisexactlyoffsetbythechangeinthereinvestmentrateofthecoupons,ManagingInterestRateRisk,30,CalculatingDuration,Theformula,D=durationCt=cashflowintimeperiodtr=firmspecificdiscountratet=periodtN=thelastperiod,ManagingInterestRateRisk,31,DurationofSomeDifferentInstruments,DurationofaEurobondDurationofaGovernmentofCanadaBondDurationofaZero-couponBondDurationofaConsolBondDurationofaFRN,ManagingInterestRateRisk,32,SomeFeaturesofDuration,DurationincreaseswithmaturityDurationincreasesasthecoupondecreasesDurationincreasesasyield-to-maturitydecreasesDurationofcouponbondisalwayslessthanmaturityDurationofazerocouponbondisequaltomaturityDurationisreducedduetocallfeaturesandsinkingfunds,ManagingInterestRateRisk,33,Duration&Immunization,CanimmunizetheBalanceSheetagainstchangesininterestratesbymatchingtheduration(ratherthanthematurity)ofassets&liabilitiesTocalculatethedurationoftheassetsandliabilities,firstcalculatethedurationofeachinstrument.Thenmultiplythedurationofeachinstrumentbyitsmarketvalueweight(Seeformulaonnextpage).,ManagingInterestRateRisk,34,DurationoftheAssets&Liabilities,Durationoftheassets&liabilities,Where:DA=DurationoftheassetsDL=DurationoftheliabilitiesXA1=Theproportionofthe1stasset,ManagingInterestRateRisk,35,CalculatingtheChangeinAssets&LiabilitiesWhenRatesChange,Weusethedurationformulatocalculatethechangeinassets&liabilitiesduetoachangeinmarketinterestrates,Butwhatwereallywanttoknowis,whatisthechangeinequityduetoachangeininterestrates?,ManagingInterestRateRisk,36,CalculatingtheChangeinEquity,Where:k=ameasureofleverage,ManagingInterestRateRisk,37,UnderstandingtheFormula,CannowdecomposetheeffectofachangeinmarketinterestratesontheFIsequityintothreeseparateeffects:theleverageadjusteddurationgap(DA-DLk)IsmeasuredinyearsReflectstheexposureoftheB/StointerestrateshocksSizeoftheFI(reflectedbythesizeofA)ThesizeoftheinterestrateshockThechangeinequitycapturestheexposureoftheFItoaninterestrateshock,ManagingInterestRateRisk,38,Convexity,Durationisanaccuratemeasureofpricesensitivityforsmallchangesinin