银行有效的利率风险管理

© Oliver WymanEXECUTIVE SUMMARY1Examples include European Banking Authority and Australian Prudential Regulation AuthorityA rapid rise in interest rates combined with quantitative tightening have profoundly changedthe dynamics of the United States (US) and global financial systems in recent years. Asmacroeconomic conditions exposed weaknesses in banks’ asset-liability managementstrategies, some banks struggled and even failed. Other banks weathered the changes,minimizing downside risks while taking advantage of rate rises to increase net interestincome (NII). Looking ahead, uncertainty remains about the frequency and magnitude ofinterest rate changes in the short- to medium-term. Now is the time for financial institutionsto re-evaluate their management approach to interest rate risk management and be readyfor an uncertain monetary policy environment. Effective interest rate risk managementwill have a meaningful impact on outcomes ranging from short-term profitability tolong-termstability.While the regulatory focus on interest rate risk management may have taken a backseatrelative to liquidity and capital risk management in the low interest rate era, there are strongsigns of increased scrutiny by the United States supervisory community. It is unknown, atthis point, whether United States policy-setters will provide more prescriptive standardsfor interest rate risk management analogous to certain other jurisdictions.1Regardlessof the regulatory path, it is in the best interest of United States banks to establish anunderstanding of what constitutes effective interest rate risk management in the monthsand yearsahead.In this paper, we begin by providing a summary of the relevant macroeconomic changesthat took place in recent years and the challenges that those changes have posed to banksin managing their balance sheets. Many of these challenges speak to the foundationalelements of good interest rate risk management practices, and as such we encourage banksto invest in their capabilities in this new era of uncertainty. In particular, we highlight threecrucial areas of improvement that can help banks navigate the complexities of interest raterisk management while making informed decisions aligned with their overall objectives:•Recalibrate risk appetite and strengthen strategy:Refresh and recalibrate riskappetite statement commensurate with ever-changing market conditions and in linewith risk taking preferences; strengthen balance sheet and P&L management strategywithin risk appetite•Upgrade analytical tools:Implement agile analytics to assess the impact of balancesheet management actions under a range of scenarios; update deposit analytics in linewith changing client behaviors•Invest in expertise and decision making:Develop team expertise and talent,streamline governance and decision-making processes, and strengthen effectivenessand stature of Independent RiskFunction © Oliver WymanHOW WE GOT HEREFollowing a decade-long low-rate environment, the COVID-19 pandemic of 2020-2021saw central banks keeping — or returning — policy rates to very low levels and providingsubstantial quantitative easing in the form of asset purchase and lending programs,in addition to direct government stimulus. This resulted in a sharp increase in the FederalReserve’s balance sheet and a surge of deposit balances in the banking system. In 2022,with the objective to combat high inflation rates, central banks began a series of aggressiveinterest rate hikes, marking the end of an extended period of lowrates.End of an eraExhibit 1: Federal funds rates, 2002-20242004200220062008201020120%1%2%3%4%5%6%Source: Federal Reserve Economic Data; data available through July 1, 2024Exhibit 2: Federal reserve total assets, 2002-20242004200220062008201020120246810In trillionsSource: Federal Reserve Economic Data; data available through July 24, 2024 201420162018202020222024201420162018202020222024 © Oliver WymanDuring the deposit-rich period of 2020-2021, banks had diverse practices as to how theyinvested surge deposits, decided on the duration of their assets, structured their balancesheets, and estimated the potential risks ahead. By 2022, decisions made by select banksrates had come home toroost.Some banks had shifted their loans and securities to have a longer average maturity, with theaim of driving higher interest margins from those assets. However, as interest rates rose,the fair value of fixed-rate assets declined, with implications for both near-term earningsand longer-term economic value. A specific manifestation of this risk is banks’ exposureto unrealized gains or losses on their investment securities portfolio, with implications forcapital ratios for large banks for the unrealized losses in Available-for-Sale (AFS) portionof the investmentportfolio.Exhibit 3: When losses hit hardUnrealized losses and gains on investment securities for FDIC-Insured Institutions,2008-2023In billions-700-600-500-400-300-200-10001002002008201020122014201620182020