建设银行利率风险管理

InterestRateRiskManagementLecture#4ManagingInterestRateRisk2InterestRateRisk:ADefinitionInterestrateriskistheprobabilityofanunexpectedchangeinbankearningsduetoachangeinmarketinterestratesInterestrateriskoccurswhenbankassetsandliabilitiesarerepricedatdifferenttimesInterestrateriskdependson:thedegreetowhichbankassets&liabilitiesareinterest-rate-sensitivethebalanceinthebank’sportfoliobetweeninterest-rate-sensitiveassets&interest-rate-sensitiveliabilitiesThebankcaneliminateinterestrateriskbymatchingtheinterestratesensitivityofallassets&liabilities.Whatisthecostofdoingso?OnekeytomanaginginterestrateriskisagoodunderstandingofinterestratesManagingInterestRateRisk3FactorsAffectingInterestRatesInterestratesarethepriceofmoney.Theyareaffectedby:realinterestratesinflationtermriskmarketdemandforcreditcentralbankmonetarypolicyManagingInterestRateRisk4RealInterestRatesRemembertheFisherEquation:rnominal=rreal+ExpectedinflationTherealinterestrateisthecompensationfordeferringconsumptionOftensaidtoberelativelyconstantovertime(butthedatashowsotherwise)!ManagingInterestRateRisk5U.S.RealInterestRates1860-1990DecadeAvg.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.430ManagingInterestRateRisk6U.S.RealInterestRates1860-1990NotehowhighlyvariableUSrealrateshavebeenoverthepast130years.Source:Homer&Sylla,P.431ManagingInterestRateRisk7InflationInCanada1917-199712MonthPercentageChangeInCanada'sCPI-20.0%-15.0%-10.0%-5.0%0.0%5.0%10.0%15.0%20.0%25.0%1917M021919M061921M101924M021926M061928M101931M021933M061935M101938M021940M061942M101945M021947M061949M101952M021954M061956M101959M021961M061963M101966M021968M061970M101973M021975M061977M101980M021982M061984M101987M021989M061991M101994M021996M0612MonthPercentageChangeManagingInterestRateRisk8TermtoMaturityUsualshapeoftheyieldcurveisupwardslopingThisallowsbanksto“ridetheyieldcurve”byborrowingshortterm&investinginlongertermbonds.Asthetermofthebondshortens,theyieldfallsandpricerises,leadingtocapitalgainsonthebondportfolio.TermStructureofInterestRatesRTermManagingInterestRateRisk9RiskMostnon-governmentbondshavesomepositiveprobabilityofdefaultMustcapturetheriskofdefaultthroughahighernominalinterestrateBondratingagenciesattempttocategorizeissuersintoriskcategories(notalwaysentirelysuccessfully)ManagingInterestRateRisk10DemandforBorrowedFundsClassicalTheoryofInterestRateDeterminationSupplyCurveDemandCurveEquilibriumQuantityQtyofloanablefundsRManagingInterestRateRisk11ClassicalTheoryofInterestRatesWhydoesthedemandcurveslopedowntotheright?Whydoesthesupplycurveslopeuptotheright?Whatcausesashiftinthedemandcurve?BusinesscycleChangeintechnologyWhatcausesashiftinthesupplycurve?BusinesscycleYieldsonalternativeinvestmentsManagingInterestRateRisk12MonetaryPolicySupply&DemandforMoneyMoneySupplyMoneyDemandRQtyofMoneyManagingInterestRateRisk13Money:Supply&DemandMoneydemandafunctionofincome&interestratesMd=f(GNP,r)Whydoesthemoneydemandcurveslopedowntotheright?Howdoesachangeinincomeaffectthemoneydemandcurve?Whyisthemoneysupplycurveperfectlyinelastic?ManagingInterestRateRisk14ImpactofInterestRatesonBankProfitability(1)CanmeasuretheimpactviaratiosNetinterestincomeNetinterestincome=Interestrevenue-interestexpenseRevenuestreamaffectedbytheriskoftheprojectsundertakenExpensestreamafunctionofthemarket’sperceivedriskinessofthebankSpreadincomeisthetraditionalsourceofbankearningsbuttodayconstitutesadecreasingpercentageofearnings(seeslides16&17)impactofdisintermediationgrowthofuniversalbankmodelManagingInterestRateRisk15MajorFactorsInfluencingtheBehaviorofNetInterestIncomeDegreetowhichinterest-ratesensitiveassets&liabilitiesarematchedEffectsofredemptions&repayments(maturitymismatching)ChangesintheportfoliomixChanginginterestratedifferentialsovertheinterestratecycleManagingInterestRateRisk16NetInterestIncome:SomeInternationalComparisonsNetinterestincomeas%ofGrossIncome199019911992199319941995Australia59.9252.2756.0658.2658.6764.21Belgium81.5879.2878.3971.4573.7970.80Canada69.0569.9069.0367.8455.0153.51France77.4373.9265.9158.3962.3554.46Germany73.2175.9276.1476.3380.7779.18Greece44.0047.0042.0042.0032.0049.00Italy77.5177.5182.7873.1976.9979.77Japan75.8889.0696.3196.99103.3298.05UK61.0659.3457.5355.5356.8457.11US66.9865.3265.2963.3065.6364.69Source:OECD,BankProfitability,1997ManagingInterestRateRisk17NetInterestIncomeNetInterestIncomeas%ofTotalIncome0.0020.0040.0060.0080.00100.00120.00199019911992199319941995%ofTotalIncomeAustraliaBelgiumCanadaFranceGermanyGreeceItalyJapanUKUSManagingInterestRateRisk18ImpactofInterestRatesonBankProfitability(2)NetinterestmarginNetinterestmargin=NetInterestIncome/TotalAssetsRatioisameasureof