外文翻译--商业银行的利率风险暴露分析.doc

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1、外文原文：An Analysis of Commercial Bank Exposure to Interest Rate RiskBanks earn returns to shareholders by acccpting and managing risk, including the risk that borrowers may default or that changes in interest rates may narrow the interest spread between assets and liabilities. Historically, borrower d

2、efaults have created the greatest losses to commercial banks, whereas interest margins have remained relatively stable, even in limes of high rale volatility. Although credit risk is likely to remain the dominant risk to banks, technological advances and the emergence of new financial products have

3、provided them with dramatically more efficient ways of. increasing or decreasing interest rate and other market risks. On the whole, these changes, when considered in the contcxt of the growing competition in financial services have led to the perception among some industry observers that interest r

4、ate risk in commercial banking has significantly increased.This article evaluates some of the factors that maybe affecting the level of interest rate risk among commercial banks and estimates the general magnitude and significance of this risk using data from the quarterly Reports of Condition and I

5、ncome (CallReports) and an analytic approach set forth in a previous Bulletin article.That risk measure, which relies on relatively small amounts of data and requires simplifying assumptions, suggests that the interest rate risk exposure for the vast majority of the banking industry is not significa

6、nt at present. This article also attempts to gauge the reliability of the simple measures results for the banking industry by comparing its estimates of interest rate risk exposure for thrift institutions wilh those calculated by a more complex model designed by ihe Office of Thrill Supervision. The

7、 results suggest that this relatively simple model can be useful for broadly measuring the interest rate risk exposure of institutions that do not have unusual or complex asset characteristics.SOURCES OF INTEREST RATE RISKInterest rate risk is, in general, the potential for changes in rates to reduc

8、e a banks earnings or value. As financial intermediaries, banks encounter interest rate risk in several ways. The primary and most often discussed source of interest rate risk stems from timing differences in the rcpricing of bank assets, liabilities, and off-balancc-shcct instruments. These rcprici

9、ng mismatches arc fundamental to the business of banking and generally occur from either borrowing short term to fund long-term assets or borrowing long term to fund short-term assets. Another important source of interest rale risk (also referred to as “basis risk”），arises from imperfect correlation

10、 in the adjustment of the rales earned and paid on diflerent inslruments with otherwise similar repricing characteristics. When interest rates change，these differences can give rise to unexpected changes in the cash flows and earnings spread among assets, liabilities, and off-balancc-shcct instrumen

11、ts of similar maturities or rcpricing frequencies.An additional and increasingly important source of interest rate risk is the presence of options in many bank asset, liability, and off-balance-sheet portfolios. In its formal sense, an option provides the holder lhe right, but nol the obligation, to

12、 buy, sell, or in some manner alter ihe cash How of an inslmmenl or financial conlraci. Options may exist as standalone contracts that are traded on exchanges or arranged between two parties or they may be embedded within loan or investment products. Instruments with embedded options includc various

13、 types of bonds and notes with call or put provisions, loans such as residential mortgages that give borrowers the right to prepay balances without penally, and various types of deposit products that give depositors the right to withdraw funds at any time without penalty. If not adequately managed,

14、options can pose significant risk to a banking institution because Ihe options held by bank customers, both explicit and embedded, are generally exercised at the advantage of the holder and to the disadvantage of the bank. Moreover, an increasing array of options can involve significant leverage, wh

15、ich can magnify the influences (both negative and positive) of option positions on the financial condition of a bank. CURRENT INDICATORS OF INTEREST RATE RISKThe conventional wisdom that interest rate risk does not pose a significant threat to the commercial banking system is supported by broad indi

16、cators. Most notably, the stability of commercial bank net interest margins (the ratio of net interest income to average assets) lends crcdcnce to this conclusion. From 1976 through midyear 1995, the net interest margins of the banking industry have shown a fairly stable upward trend, despite the vo

17、latility in interest rates as illustrated by the federal funds rate (chart 1). In conlrast, over the same period thrift institutions exhibited highly volatile margins, a result that is nol surprising given that by law they must have a high concentration of mortgage-related assets.Interest margins, h

18、owever, offer only a partial view of interest rate risk. They may not reveal longer-term exposures that could cause losses to a bank if the volatility of rates increased or if market rates spiked sharply and remained at high levels. They also say little about the potential for changing interest rate

19、s to reduce the “economic” or “fair” value of a banks holdings. Economic or fair values represent the present value of all future cash flows of a banks current holdings of assets, liabilities, and off-balancesheet instruments. Approaches focusing on ihe sensitivity of an institutions economic value,

20、 therefore, involve assessing the effect a rate change has on the present value of its on- and off-balance-sheet instruments and whether such changcs would increase or decrease the institutions net worth. Although banks typically focus on near-term earnings, economic value analysis can serve as a le

21、ading indicator of the quality ol net interest margins over the long term and help identify risk exposures not evident in an analysis of short-tenn earnings.New Products and Banking PracticesIf. as some industry observers have claimed，new products and banking practices have weakened Che industrys im

22、munity to changing interest rates, then the need for more comprehensive indicators of interest rate risk such as economic value analysis may have increased. In particular, commercial banks arc expanding their holdings of instruments whose values arc more sensitive to rate changes than the floating-r

23、atc or shorter-term assets traditionally held by the banking industry. The potential effect ofthis trend cannot be overlooked, but it should also be kept in perspective. Althoughcommercial banks are much more active in mortgage markets than they were a decade ago，this activity has not materially alt

24、ered their exposure to changing long-term rates. Indeed, the proportion of banking assets maturing or repricing in more than five years has increased only 1 percentage point since 1988, to a median value of only 10 percent of assets at midyear 1995. The comparable figure for thrift institutions at m

25、idyear 1995 was 25 percent.However, the industrys concenlration of long-term maturities is a limited indicator of risk inasmuch as banks have also expanded their concentration of adjustable rate instruments with embedded options that can materially extend an instruments effective maturity. For examp

26、le, although adjustable rate mortgages (ARMs) may reprice frequently and avoid some of the risk of long-term, fixed rate loans, they also typically carry limits (caps) on the amount by which their rates may increase during specific periods and throughout the life of the loan. Managers who do not tak

27、e into account these features when identifying or managing risk may face unexpected declines in earnings and present values as rates change.Collateralized mortgage obligations (CMOs) and so-called structured noles are other instruments with option features.2 They may also contain substantial leverag

28、e that compounds their underlying level of. interest rate risk. For example, as interest rates rose sharply during 1994，market values fell rapidly for certain structured notes and for CMOs designated as high risk.3 However, these instruments accountcd for less than 1 percent of the industrys consoli

29、dated assets at midyear 1995, although individual institutions may have material concentrations.Off-balance-sheet instruments，on the other hand,have grown dramatically and are an important pari of the management of interest rate risk at cerlain banks.The notional amount of interest rate contracts一su

30、ch as interest rate options, swaps, futures, and forward rate agreementshas grown from $3.3 trillion in 1990 to $11.4 trillion as of midyear 1995.4 These contracts arc highly concentratcd among large institutions,with fifteen banks holding more than 93 percent of the industrys total volume of these

31、contracts in terms of their notional values. In contrast，94 percent of the more than 10,000 insured commercial banks report no off-balance-sheetAlthough banks do not systematically disclosc the price sensitivity of these contracts to the public, the regulatory agencies have complete access to this n

32、ecessary information through their on-site examinations and other supervisory activities. Moreover, these coniracls are concenlrated at dealer institutions that mark nearly all their positions lo market daily and that actively manage the risk of iheir interest rate positions.These dealer institution

33、s generally take offsetting positions that reduce risk to nominal levels, and they arc required by bank supervisors to employ measurement systems that arc commensurate with the risk and complexity of their positions.Competitive pressures are also affecting banking practices and the industrys managem

34、ent of interest rate risk. Specifically，competition may be reducing the banking industrys ability to manage interest rale risk through discretionary pricing of rates on loans and deposits. For example, growing numbers of bank customers are requesting loan rates indexed to broad market rates such as

35、the London interbank offered rate (LIBOR) rather than to the prime lending rates that banks can more easily control. On the deposit side, sluggish domestic growth since 1990，when coupled with the more recent rise in loan demand,has causcd shifts in the structure of funding. Traditionally deposits ha

36、ve funded 77 percent or more of banking assets: at midyear 1995, however, deposits funded less than 70 percent of industry assetsarecord low. Tf ihe recent outflow of core deposits(demand deposits and money market, savings, and NOW accounts) continues, many banks may feel pressured to offer more att

37、ractive rates. However, the amount by which rates must increase to reverse the deposit outflow is difficult to judge.To meet the recent rise in loan demand, banks have made up the funding shortfall with overnight borrowings of federal funds, securities repurchase agrcemcnts,and other borrowings. The

38、se funding changes may have effectively shortened the overall liability structure of the industry and, along with other pressures facing the industry, must be adequately considered in managing interest rale risk.Tn this environment of new products and competitive pressures, treasury andinvestment ac

39、tivities have become more important for many banks in managing interest rate risk. Although banks are constrained in their lending and deposit-taking functions by ihe preferences and demands of their customers, they have substantial flexibility in increasing or offselling the resulting market risks

40、through the securilies and interest rate contracts they choose to hold. The risk profile of the investmeni securities portfolio can be evaluated by observing changes in the portfolios fair value from actual rate moves. This analysis is possible because unlike most other banking assets and liabilitie

41、s, the current market value of a banks securities portfolio is easily determined and is publicly reported each quarter.For example, the industrys aggregate securities portfolio (excluding securities held for trading) for 1993:Q4 had a 1.4 percent market value premium,which represented an unrealized

42、gain of SI 1.5 billion(chart 2). The rise in interest rates during 1994 (as depicted by the two-year Treasury note yield) and the resulting drop in the value of securities produced a market value discount of 3.5 percent by 1994:Q4,which meant a loss in value of 4.9 percentage points($40 billion). Wi

43、th the subsequent fall in interest rates during the first half of 1995，the portfolio recovered a portion of its loss and rose to a market value premium of 0.1 percent ($1 billion) at 1995:Q2.Although partly affected by changes in【he coinposilion of the portfolio, these results suggest that Ihe avera

44、ge duration oi the industrys securities portfolio may be roughly one and one-half to two years，a maturity range many might view as presenting banks with relatively little interest rate risk.6 When applied to earlier periods, this analysis further suggests that the price sensitivity of the industrys

45、securities portfolio has remained largely unchanged since at least the late 1980s.Although this analysis of portfolio value may help in the evaluation of risks in the securities activities of banks, it does not consider any corresponding and potentially offselling changes in the economic value of ba

46、nks liabilities or other on- or off-balance-sheet positions. That limitation helps to explain why ihe banking industry has typically ignored economic or long-term present value effects whenmeasuring interest rate risk.Source: David M. Wright, James V. Houpt, 1996.An Analysis of Commercial Bank Expos

47、ure to Interest Rale Risk”，Federal Reserve Bulletin, February.pp. 115-118二、翻译文章 译文：银行通过接受和管理风险叫投资者收取M报，包括风险借款人可能无法域行 或利率的变化可能缩小资产和负债之间的利差对股东的|n丨报。从历史上肴，借款 人违约造成的损失般大的商业银行，即使在高利率波动的时候，反而息差一S保 持相对稳。尽管对银行來说，信贷风险很可能仍然足屯要的风险，技术进步和新 涌现的金融产品为我们提供了史打效的方式。这种方式能增加或减少利率风险及 典他市场风险3整休來说，在金融服务U益激烈的竞争条件卜这忤变化Li经为 -

48、作行业观察家所觉察。他们指丨丨丨，商业银行的利息率风险将大大增加，木文评估了一些可能会影响商业银行之间的利率风险水平的因素，并通过以 前的文尕公告，分析条件爭度报告中的风险数据，估计总规模和收入（访问报告) 进而提出分析方法。这一风险措施，依靠一些相对较少数据莆和需要一呰简化的 假设。它揭示出H前这呰加权利率风险对于绝大部分银行來说并不婭非常乘要。木文借助美M储蓄监督办公室设计的一个较复杂的计箅模型，试图通过比较 储蒂机构的利率风险的估计，來衡M银彳业用相对简艰校型得出结果足丙可靠。 结果表明，只要这机构的资产结构不是很复杂,那么这种相对简单的模型就可 用于广泛衡呆利率风险。利率风险的来源在通

49、常情况下，利率风险逛指因利率变动而造成银行收益或价值的下降。作 为金融中介机构，银行利总在各方曲受汇率风险的潜在影响3银行资产、负债及 资产负债表:A承新定价时间差奍是利率风险七要的來源9这呰新定价的小卯 配妃银行服务的S本业务。这作业务通常发生于用短期借款投资长期资产或者用 长期借款投资短期资产.我:他利率风险的重要來源（也被称为“蕋础风险”)，逛 由不完善相关性中产生的费率调整收入和y真他类似的屯新定价特征不同的:丨: JV支付所引起利率发生变化，这作差异在类似到期U和艰新定价丨可能引起 的现金流莆和湔利预期在资产、负偾及资产负僙表外T具的波动，LI益增长的利率风险楚來源于大多数银行的股权资产、负债及资产负债表外 因素.从正式意义來上说，期权持有人有权利，ftl没冇义务买、卖或以某种方式 改变的一个工具或金融合同的现佥流。期权可能存在于交易所买次或两个独立的 合同h事人的贷款或投资产品之中。这种隐含期权的贝包括认购或认沽规定的 各种债券、栗扼及贷款，如tt房抵押贷款a第一种情况发生在借款人出让预付余 额的权利时，此时借款人无需接受处罚。第：种情况发生在存款人出让存款各