第八章 利率风险

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+6%)5 Five-year mortgage:(1+6%)5 So 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.
Table 8.1 Example of rates offered by a bank to its customers Maturity (yrs) Deposit Rate Mortgage Rate
1
5
3%
3%
6%
6%
2
Risk Management and Financial Institutions, Copyright © John C. Hull

★总结



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。

解决方案：实现资产负债匹配。
※ How is it calculated?



Each day at 11:00 hrs London time the banks which contribute to the LIBOR-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 Dollar 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 quartiles to create a rate.
Why Swap Rates Are an Average of LIBOR Forward Rates
If deposit one year: (1+3%)(1+3%)(1+3%)(1+3%)(1+3%)=(1+3%)5 If deposit five year:(1+3%)5 So most customers would choose one year because this gives them more financial flexibility. It ties up their funds for a shorter period of time.（流动性偏好）
※ SHIBOR rates



Shibor全称是“上海银行间同业拆放利率”（Shanghai Interbank Offered Rate，SHIBOR），被称为中国的LIBOR（London Interbank Offered Rate，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。
※ 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 London's status grew as an international financial centre. More than 20 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 Mercantile 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.
表8-2 提高5年期利率以达到资产负债的匹配
Maturity (yrs) Deposit Rate Mortgage Rate
1 5
3% 4%
6% 7%
8.2 LIBOR Rates and Swap Rates


LIBOR rates are 1-, 3-, 6-, and 12-month borrowing rates for companies that have a AA-rating Swap Rates are the fixed rates exchanged for floating in an interest rate swap agreement
Interest Rate Risk
Chapter 8
Risk Management and Financial Institutions, Copyright © John C. Hull
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8.1 Management of Net Interest Income


Net Interest Income=Interest received-Interest paid Consider 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 8.1:
Risk Management and Financial Institutions, Copyright © John C. Hull
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资料： LIBOR rates and SHIBOR rates★ 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 the full range of UK and international banking issues.
Two question: （1）What would happen if a bank posted the rates in Table 8.1? （2）How can the bank manage its risks?



Assumption: market participants expect the one-year interest rate for future time 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?