第七章利率風險ppt課件

1、Interest Rate RiskChapter 71.7.1 Management of Net Interest Income Net Interest Income=Interest received-Interest paidConsider a simple situation where a bank offers consumers a one-year and a five-year deposit rate as well as a one-year and five-year mortgage rate. The rates are shown in Table 7.1:

2、Maturity (yrs)Deposit RateMortgage Rate13%6%53%6%2Table 7.1 Example of rates offered by a bank to its customers.Two question:1What would happen if a bank posted the rates in Table 7.1?2How can the bank manage its risks?.Assumption: market participants expect the one-year interest rate for future tim

3、e periods to equal the one-year rates prevailing in the market today.Suppose you have money to deposit. Would you choose to deposit your money for one year at 3% per annum or for five year at 3% per annum?.If deposit one year: (1+3%)(1+3%)(1+3%)(1+3%)(1+3%)=(1+3%)5If deposit five year:(1+3%)5So most

4、 customers would choose one year because this gives them more financial flexibility. It ties up their funds for a shorter period of time.Now suppose that you want a mortgage. Would you choose a one-year mortgage at 6% or a five-year mortgage at 6%?One-year mortgage:(1+6%)(1+6%)(1+6%)(1+6%)(1+6%)=(1+

5、6%)5Five-year mortgage:(1+6%)5So most would choose a five-year mortgage because it fixes your borrowing rate for the next five years and subjects you to less refinancing risk.由于多數客戶會選擇1年期存款，5年期貸款，所以，導致銀行的資產與負債的不匹配短借長放景象，從而對凈利息收入產生風險沖擊。假設利率下降，貸款利率6%，存款利率低于3%，利息收入添加。假設利率上升，貸款利率6%，存款利率高于3%，利息收入減少?？偨Y.處理

6、方案：實現(xiàn)資產負債匹配。Maturity (yrs)Deposit RateMortgage Rate13%6%54%7%表7-2 提高5年期利率以到達資產負債的匹配.Bad Interest Rate Risk Management Has Led to Bank Failures (Business Snapshot 7.1, page 101)9.7.2 LIBOR Rates and Swap RatesLIBOR rates are 1-, 3-, 6-, and 12-month borrowing rates for companies that have a AA-rating

7、Swap Rates are the fixed rates exchanged for floating in an interest rate swap agreement10.LIBOR rates are provided by British Bankers Association (BBA).The BBA is the leading trade association for the UK banking and financial services sector. We speak for over 200 member banks from 60 countries on

8、the full range of UK and international banking issues. .Understanding BBA LIBOR LIBOR rates closely reflect the real rates of interest being used by the worlds largest financial institutions. Whereas central banks (such as the Bank of England, the US Federal Reserve and the European Central Bank) fi

9、x official base rates monthly, LIBOR reflects the rates at which these prime banks borrow money from each other each day, in the worlds 10 major currencies and for 15 borrowing periods ranging from overnight loans to 12 month. Once calculated, the LIBOR figures are then published by Thomson Reuters:

10、 they appear on more than one million screens around the world and are widely reported in the press, the wire services and online. Thomson Reuters undertakes this work for the British Bankers Association. .How is it calculated? Each day at 11:00 hrs London time the banks which contribute to the LIBO

11、R-setting process send their interbank borrowing rates confidentially to Thomson Reuters. Thomson Reuters discards the highest and lowest contributions (the top and bottom quartiles) and then uses the middle two quartiles to calculate an average. The Australian Dollar, Danish Krone, New Zealand Doll

12、ar and Swedish Krone panels have eight banks, The Canadian Dollar and Swiss Franc panels have 12 banks. The Sterling, Yen and Euro panels have 16 members and the US Dollar panel has 19 members. Each follows the same procedure of discarding the upper and lower quartiles and averaging the centre quart

13、iles to create a rate. .How did it become so important? LIBOR was first developed in the 1980s as demand grew for an accurate measure of the rate at which banks would lend money to each other. This became increasingly important as Londons status grew as an international financial centre. More than 2

14、0 per cent of all international bank lending and more than 30 per cent of all foreign exchange transactions now take place in London. LIBOR rates are the basis for a range of financial instruments: derivatives based on the LIBOR rates are now traded on exchanges such as LIFFE and the Chicago Mercant

15、ile Exchange (CME) as well as over-the-counter. The rates are also used as the basis for many types of lending, from syndicated and commercial lending, to residential mortgages. .SHIBOR ratesShibor全稱是“上海銀行間同業(yè)拆放利率Shanghai Interbank Offered Rate，SHIBOR，被稱為中國的LIBORLondon Interbank Offered Rate，倫敦同業(yè)拆放利率

16、，自2007年1月4日正式運轉。 Shibor是由信譽等級較高的銀行組成報價團自主報出的人民幣同業(yè)拆出利率計算確定的算術平均利率，是單利、無擔保、零售性利率。目前，對社會公布的Shibor種類包括隔夜、1周、2周、1個月、3個月、6個月、9個月及1年。 上海首批16家報價行分別為： 工商銀行，農業(yè)銀行，中國銀行，建立銀行，交通銀行，興業(yè)銀行，浦發(fā)銀行，北京銀行，上海銀行，招商銀行，光大銀行，中信銀行，南京商行，德意志上海，匯豐上海，渣打上海。 2021年5月，廣發(fā)銀行也成為SHIBOR基準利率互換業(yè)務報價行。 .Why Swap Rates Are an Average of LIBOR Fo

17、rward RatesA bank canLend to a series AA-rated borrowers for ten successive six month periodsSwap the LIBOR interest received to the five-year swap rateIt canLend to a certain principal for six months to a AA borrower and relend it for nine successive six-month periods to AA borrowers; andEnter into

18、 a swap to exchange the LIBOR for the five-year swap rate.16.Extending the LIBOR CurveAlternative 1: Create a term structure of interest rates showing the rate of interest at which a AA-rated company can borrow for 1, 2, 3 yearsAlternative 2: Use swap rates so that the term structure represents futu

19、re short term AA borrowing ratesAlternative 2 is the usual approach. It creates the LIBOR/swap term structure of interest rates17.LIBOR VS Treasury RateThe risk-free rate is important in the pricing of financial contracts.The usual practice among financial institutions is to assume that the LIBOR/sw

20、ap yield curve provides the risk-free rate.The Treasury curve is about 50 basis points below the LIBOR/swap zero curve18.Treasury rates are considered to be artificially low for a variety of regulatory and tax reasons.7.3 Duration (page 102)利率久期用于檢驗買賣組合對利率曲線的風險暴露。假設債券收益率為y，債券價錢為B，債券久期的定義為：或等價于： (7-1

21、) 式中，y為債券收益率的一個小的變化， B為相應債券價錢的變化。20.Duration Continued債券久期用于檢測債券價錢對收益率的敏感度。利用微積分的符號，有： (7-2)假定一個債券在t1,t2, ,tn時辰給債券持有人提供的現(xiàn)金流為c1, c2,cn(現(xiàn)金流包括債息和本金)，債券收益率y是使得債券實際價錢等于市場價錢的貼現(xiàn)率，假設收益率為延續(xù)復利，債券價錢與收益率的關系式為：.Duration Continued求導所以(7-3).Duration Continued債券久期： 上式中括號中的項為ti時辰債券支付的現(xiàn)金流的現(xiàn)值與債券價錢的比率，債券價錢等于未來一切支付的現(xiàn)金本息貼現(xiàn)值的總和，因此久期是付款時間ti的加權平均。即久期是投資者收到一切現(xiàn)金流所要等待的平均時間。(7-3).Calculation of Duration for a 3-year bond paying a coupon 10%. Bond yield=12%. (Table 7.3, page 103) 24Time (yrs)Cash Flow ($)PV ($)WeightTime Weight0.554.7090.0500.0251.