Chap008金融机构管理课后题答案

64ChapterEightInterestRateRiskIChapterOutlineIntroductionTheCentralBankandInterestRateRiskTheRepricingModelRate-SensitiveAssetsRate-SensitiveLiabilitiesEqualChangesinRatesonRSAsandRSLsUnequalChangesinRatesonRSAsandRSLsWeaknessesoftheRepricingModelMarketValueEffectsOveraggregationTheProblemofRunoffsCashFlowsfromOff-BalanceSheetActivitiesTheMaturityModelTheMaturityModelwithaPortfolioofAssetsandLiabilitiesWeaknessoftheMaturityModelSummaryAppendix8A:TermStructureofInterestRatesUnbiasedExpectationsTheoryLiquidityPremiumTheoryMarketSegmentationTheory65SolutionsforEnd-of-ChapterQuestionsandProblems:ChapterEight1.WhatwastheimpactoninterestratesoftheborrowedreservestargetingregimeusedbytheFederalReservefrom1982to1993?Thevolatilityofinterestrateswassignificantlylowerthanunderthenonborrowedreservestargetregimeusedinthethreeyearsimmediatelypriorto1982.Figure8-1indicatesthatboththelevelandvolatilityofinterestratesdeclinedevenfurtherafter1993whentheFeddecidedthatitwouldtargetprimarilythefedfundsrateasaguideformonetarypolicy.2.Howhastheincreasedleveloffinancialmarketintegrationaffectedinterestrates?Increasedfinancialmarketintegration,orglobalization,increasesthespeedwithwhichinterestratechangesandvolatilityaretransmittedamongcountries.TheresultofthisquickeningofglobaleconomicadjustmentistoincreasethedifficultyanduncertaintyfacedbytheFederalReserveasitattemptstomanageeconomicactivitywithintheU.S.Further,becauseFIshavebecomeincreasinglymoreglobalintheiractivities,anychangeininterestratelevelsorvolatilitycausedbyFederalReserveactionsmorequicklycreatesadditionalinterestrateriskissuesforthesecompanies.3.Whatistherepricinggap?Inusingthismodeltoevaluateinterestraterisk,whatismeantbyratesensitivity?Onwhatfinancialperformancevariabledoestherepricingmodelfocus?Explain.Therepricinggapisameasureofthedifferencebetweenthedollarvalueofassetsthatwillrepriceandthedollarvalueofliabilitiesthatwillrepricewithinaspecifictimeperiod,whererepricemeansthepotentialtoreceiveanewinterestrate.Ratesensitivityrepresentsthetimeintervalwhererepricingcanoccur.Themodelfocusesonthepotentialchangesinthenetinterestincomevariable.Ineffect,ifinterestrateschange,interestincomeandinterestexpensewillchangeasthevariousassetsandliabilitiesarerepriced,thatis,receivenewinterestrates.4.Whatisamaturitybucketintherepricingmodel?Whyisthelengthoftimeselectedforrepricingassetsandliabilitiesimportantwhenusingtherepricingmodel?Thematuritybucketisthetimewindowoverwhichthedollaramountsofassetsandliabilitiesaremeasured.Thelengthoftherepricingperioddetermineswhichofthesecuritiesinaportfolioarerate-sensitive.Thelongertherepricingperiod,themoresecuritieseithermatureorneedtoberepriced,and,therefore,themoretheinterestrateexposure.Anexcessivelyshortrepricingperiodomitsconsiderationoftheinterestrateriskexposureofassetsandliabilitiesarethatrepricedintheperiodimmediatelyfollowingtheendoftherepricingperiod.Thatis,itunderstatestheratesensitivityofthebalancesheet.Anexcessivelylongrepricingperiodincludesmanysecuritiesthatarerepricedatdifferenttimeswithintherepricingperiod,therebyoverstatingtheratesensitivityofthebalancesheet.665.Calculatetherepricinggapandtheimpactonnetinterestincomeofa1percentincreaseininterestratesforeachofthefollowingpositions:Rate-sensitiveassets=$200million.Rate-sensitiveliabilities=$100million.Repricinggap=RSA-RSL=$200-$100million=+$100million.NII=($100million)(.01)=+$1.0million,or$1,000,000.Rate-sensitiveassets=$100million.Rate-sensitiveliabilities=$150million.Repricinggap=RSA-RSL=$100-$150million=-$50million.NII=(-$50million)(.01)=-$0.5million,or-$500,000.Rate-sensitiveassets=$150million.Rate-sensitiveliabilities=$140million.Repricinggap=RSA-RSL=$150-$140million=+$10million.NII=($10million)(.01)=+$0.1million,or$100,000.a.Calculatetheimpactonnetinterestincomeoneachoftheabovesituationsassuminga1percentdecreaseininterestrates.NII=($100million)(-.01)=-$1.0million,or-$1,000,000.NII=(-$50million)(-.01)=+$0.5million,or$500,000.NII=($10million)(-.01)=-$0.1million,or-$100,000.b.Whatconclusioncanyoudrawabouttherepricingmodelfromtheseresults?TheFIsinparts(1)and(3)areexposedtointerestratedeclines(positiverepricinggap)whiletheFIinpart(2)isexposedtointerestrateincreases.TheFIinpart(3)hasthelowestinterestrateriskexposuresincetheabsolutevalueoftherepricinggapisthelowest,whiletheoppositeistrueforpart(1).6.Whatarethereasonsfornotincludingdemanddepositsasrate-sensitiveliabilitiesintherepricinganalysisforacommercialbank?Whatisthesubtle,butpotentiallystrong,reasonforincludingdemanddepositsinthetotalofrate-sensitiveliabilities?Canthesameargumentbemadeforpassbooksavingsaccounts?Theregulatoryrateavailableondemanddepositaccountsiszero.AlthoughmanybanksareabletoofferNOWaccountsonwhichinterestcanbepaid,thisinterestrateseldomischangedandthustheaccountsarenotreallysensitive.However,demanddepositaccountsdopayimplicitinterestintheformofnotchargingfullyforcheckingandotherservices.Further,whenmarketinterestratesrise,customersdrawdowntheirDDAs,whichmaycausethebanktousehigherco