第七章 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.
Risk Management and Financial Institutions, 2e, Chapter 7, Copyright © John C. Hull 2009
10


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.
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.
Risk Management and Financial Institutions, 2e, Chapter 7, Copyright © John C. Hull 2009
9
7.2 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
Understanding BBA LIBOR



LIBOR rates closely reflect the real rates of interest being used by the world's largest financial institutions. Whereas central banks (such as the Bank of England, the US Federal Reserve and the European Central Bank) fix official base rates monthly, LIBOR reflects the rates at which these prime banks borrow money from each other each day, in the world's 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: 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.


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 7.1:
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.
Interest Rate Risk
Chapter 7
Risk Management and Financial Institutions, 2e, Chapter 7, Copyright © John C. Hull 2009
1
7.1 Management of Net Interest Income

★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。
Two question: （1）What would happen if a bank posted the rates in Table 7.1? （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?
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.