第七章利率风险

InterestRateRiskChapter7RiskManagementandFinancialInstitutions,2e,Chapter7,Copyright©JohnC.Hull200917.1ManagementofNetInterestIncomeNetInterestIncome=Interestreceived-InterestpaidConsiderasimplesituationwhereabankoffersconsumersaone-yearandafive-yeardepositrateaswellasaone-yearandfive-yearmortgagerate.TheratesareshowninTable7.1:Maturity(yrs)DepositRateMortgageRate13%6%53%6%RiskManagementandFinancialInstitutions,2e,Chapter7,Copyright©JohnC.Hull20092Table7.1ExampleofratesofferedbyabanktoitscustomersTwoquestion:（1）WhatwouldhappenifabankpostedtheratesinTable7.1?（2）Howcanthebankmanageitsrisks?Assumption:marketparticipantsexpecttheone-yearinterestrateforfuturetimeperiodstoequaltheone-yearratesprevailinginthemarkettoday.Supposeyouhavemoneytodeposit.Wouldyouchoosetodeposityourmoneyforoneyearat3%perannumorforfiveyearat3%perannum?Ifdepositoneyear:(1+3%)(1+3%)(1+3%)(1+3%)(1+3%)=(1+3%)5Ifdepositfiveyear:(1+3%)5Somostcustomerswouldchooseoneyearbecausethisgivesthemmorefinancialflexibility.Ittiesuptheirfundsforashorterperiodoftime.Nowsupposethatyouwantamortgage.Wouldyouchooseaone-yearmortgageat6%orafive-yearmortgageat6%?One-yearmortgage:(1+6%)(1+6%)(1+6%)(1+6%)(1+6%)=(1+6%)5Five-yearmortgage:(1+6%)5Somostwouldchooseafive-yearmortgagebecauseitfixesyourborrowingrateforthenextfiveyearsandsubjectsyoutolessrefinancingrisk.由于多数客户会选择1年期存款，5年期贷款，所以，导致银行的资产与负债的不匹配（短借长放现象），从而对净利息收入产生风险冲击。若利率下降，贷款利率6%，存款利率低于3%，利息收入增加。若利率上升，贷款利率6%，存款利率高于3%，利息收入减少。★总结解决方案：实现资产负债匹配。Maturity(yrs)DepositRateMortgageRate13%6%54%7%表7-2提高5年期利率以达到资产负债的匹配BadInterestRateRiskManagementHasLedtoBankFailures(BusinessSnapshot7.1,page101)RiskManagementandFinancialInstitutions,2e,Chapter7,Copyright©JohnC.Hull200997.2LIBORRatesandSwapRatesLIBORratesare1-,3-,6-,and12-monthborrowingratesforcompaniesthathaveaAA-ratingSwapRatesarethefixedratesexchangedforfloatinginaninterestrateswapagreementRiskManagementandFinancialInstitutions,2e,Chapter7,Copyright©JohnC.Hull200910LIBORratesareprovidedbyBritishBankersAssociation(BBA).TheBBAistheleadingtradeassociationfortheUKbankingandfinancialservicessector.Wespeakforover200memberbanksfrom60countriesonthefullrangeofUKandinternationalbankingissues.UnderstandingBBALIBORLIBORratescloselyreflecttherealratesofinterestbeingusedbytheworld'slargestfinancialinstitutions.Whereascentralbanks(suchastheBankofEngland,theUSFederalReserveandtheEuropeanCentralBank)fixofficialbaseratesmonthly,LIBORreflectstheratesatwhichtheseprimebanksborrowmoneyfromeachothereachday,intheworld's10majorcurrenciesandfor15borrowingperiodsrangingfromovernightloansto12month.Oncecalculated,theLIBORfiguresarethenpublishedbyThomsonReuters:theyappearonmorethanonemillionscreensaroundtheworldandarewidelyreportedinthepress,thewireservicesandonline.ThomsonReutersundertakesthisworkfortheBritishBankers'Association.Howisitcalculated?Eachdayat11:00hrsLondontimethebankswhichcontributetotheLIBOR-settingprocesssendtheirinterbankborrowingratesconfidentiallytoThomsonReuters.ThomsonReutersdiscardsthehighestandlowestcontributions(thetopandbottomquartiles)andthenusesthemiddletwoquartilestocalculateanaverage.TheAustralianDollar,DanishKrone,NewZealandDollarandSwedishKronepanelshaveeightbanks,TheCanadianDollarandSwissFrancpanelshave12banks.TheSterling,YenandEuropanelshave16membersandtheUSDollarpanelhas19members.Eachfollowsthesameprocedureofdiscardingtheupperandlowerquartilesandaveragingthecentrequartilestocreatearate.Howdiditbecomesoimportant?LIBORwasfirstdevelopedinthe1980sasdemandgrewforanaccuratemeasureoftherateatwhichbankswouldlendmoneytoeachother.ThisbecameincreasinglyimportantasLondon'sstatusgrewasaninternationalfinancialcentre.Morethan20percentofallinternationalbanklendingandmorethan30percentofallforeignexchangetransactionsnowtakeplaceinLondon.LIBORratesarethebasisforarangeoffinancialinstruments:derivativesbasedontheLIBORratesarenowtradedonexchangessuchasLIFFEandtheChicagoMercantileExchange(CME)aswellasover-the-counter.Theratesarealsousedasthebasisformanytypesoflending,fromsyndicatedandcommerciallending,toresidentialmortgages.SHIBORratesShibor全称是“上海银行间同业拆放利率”（ShanghaiInterbankOfferedRate，SHIBOR），被称为中国的LIBOR（LondonInterbankOfferedRate，伦敦同业拆放利率），自2007年1月4日正式运行。Shibor是由信用等级较高的银行组成报价团自主报出的人民币同业拆出利率计算确定的算术平均利率，是单利、无担保、批发性利率。目前，对社会公布的Shibor品种包括隔夜、1周、2周、1个月、3个月、6个月、9个月及1年。上海首批16家报价行分别为：工商银行，农业银行，中国银行，建设银行，交通银行，兴业银行，浦发银行，北京银行，上海银行，招商银行，光大银行，中信银行，南京商行，德意志上海，汇丰上海，渣打上海。2010年5月，广发银行也成为SHIBOR基准利率互换业务报价行。WhySwapRatesAreanAverageofLIBORForwardRatesAbankcanLendtoaseriesAA-ratedborrowersfortensuccessivesixmonthperiodsSwaptheLIBORinterestreceivedtothefive-yearswaprateItcanLendtoacertainprincipalforsixmonthstoaAAborrowerandrelenditforninesuccessivesix-monthperiodstoAAborrowers;andEnterintoaswaptoexchangetheLIBORforthefive-yearswaprate.RiskManagementandFinancialInstitutions,2e,Chapter7,Copyright©JohnC.Hull200916ExtendingtheLIBORCurveAlternative1:CreateatermstructureofinterestratesshowingtherateofinterestatwhichaAA-ratedcompanycanborrowfor1,2,3…yearsAlternative2:Useswapra