TAILIEUCHUNG - Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure

Because of its large size, it is important to account for the net position in interest-rate derivatives when measuring exposure. The key difficulty in measuring the exposure in interest-rate derivatives is that banks do not report the sign of their position — whether they represent bets on interest rate increases (., pay-fixed swaps) or decreases (., pay-floating swaps.) Moreover, there is no detailed information about the maturities of these net (as opposed to gross) derivatives positions or the start day of these derivatives (and thus their associated locked-in interest rates) | Wharton Financial Institutions Center Derivatives Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure by Beverly Hirtle 96-43 The Wharton School University of Pennsylvania THE WHARTON FINANCIAL INSTITUTIONS CENTER The Wharton Financial Institutions Center provides a multi-disciplinary research approach to the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center s research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center fosters the development of a community of faculty visiting scholars and . candidates whose research interests complement and support the mission of the Center. The Center works closely with industry executives and practitioners to ensure that its research is informed by the operating realities and competitive demands facing industry participants as they pursue competitive excellence. Copies of the working papers summarized here are available from the Center. If you would like to learn more about the Center or become a member of our research community please let us know of your interest. Anthony M. Santomero Director The Working Paper Series is made possible by a generous grant from the Alfred P. Sloan f oundalion Derivatives Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure 1 Draft November 8 1996 Abstract This paper examines the role played by derivatives in determining the interest rate sensitivity of bank holding companies BHCs common stock controlling for the influence of on-balance sheet activities and other bank-specific characteristics. The major result of the analysis suggests that derivatives have played a significant role in shaping banks interest rate risk exposures in recent years. For the typical bank holding company in the sample increases in the use of interest rate derivatives corresponded to greater interest rate risk exposure during

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