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在奥克兰从事金融业的朋友应该不少吧。建立这个群的目的是让我们这些同行有一个交流认识的机会。会员发展到一定规模后会定期组织活动。
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群号：123703390
本人目前从事银行业。

_Alex_

你好楼主，请问你了解银行mortgage lending rate是怎么set的吗？我在研究以下这道题目，不知道楼主有没有头绪？

INSTITUTE OF ACTUARIES OF AUSTRALIA
COMMERCIAL ACTUARIAL PRACTICE MAY 2010 CASE STUDY EXAMINATION
 2010 Institute of Actuaries of Australia Page 1 of 32
BANKING
QUESTION
Best Banking Consultants Ltd. (“BBC”) is a leading Australian actuarial consulting company, which specialises in advising retail and commercial banks. It is renowned for its application of actuarial techniques to the banking industry.
Recently, the Australian Competition & Consumer Commission (“ACCC”) has received several consumer complaints about Australian Banking Corporation Ltd. (“ABC”), a major local retail bank. The ACCC suspects ABC of being anti-competitive. In a meeting with BBC, the ACCC has raised concerns over two key issues in regard to ABC:
1) Using high funding costs as an excuse to adjust the standard variable mortgage rates less/more than the RBA cash rate decreases/increases.
2) Charging excessive bank fees and commissions, in particular ATM fees and break fees (for refinancing of fixed rate home loans), i.e. the early repayment penalties do not reflect the true economic costs of the bank, as required by law.
The ACCC has also told BBC that in regard to its concerns, the CEO of ABC has provided the following brief comments:
1) “The banking industry has not yet fully recovered from the impact of the Global Financial Crisis and the funding costs for most Australian banks, although AA rated, have not yet reduced to their historic averages.”
2) “ABC has not made any significant alterations to the fees it charges consumers, and the head of the mortgage division has re-assured me that the break cost formula is reflective of the true financial costs to the bank.”
To assist its investigation, the ACCC has decided to engage BBC to provide an independent report to address its concerns. In addition, the report should reconcile the net interest margin (NIM) stated by ABC in its annual report (as provided in Table 1 below)
Table 1: ABC's historical NIM
2006
2007
2008
2009
NIM
2.2%
2.1%
2.0%
2.1%
The ACCC has also requested BBC to recommend some feasible measures it can utilise to better detect and control such issues in the future, whether or not BBC finds any concrete evidence of ABC being anti-competitive.
It has been indicated that the report will eventually be made available for other government departments. If ACCC chooses to take any action against ABC, the report may also be made public.
INSTITUTE OF ACTUARIES OF AUSTRALIA
COMMERCIAL ACTUARIAL PRACTICE MAY 2010 CASE STUDY EXAMINATION
 2010 Institute of Actuaries of Australia Page 2 of 32
Two years ago, in order to comply with the Basel II requirements, BBC assisted ABC to establish its risk management and economic capital framework. While ABC is not a current client, the lead partner at BBC has indicated BBC’s desire to obtain further consulting work from ABC. However, she has also made it clear that BBC will accept the engagement from the ACCC. You are a consulting actuary at BBC and have been requested to draft the report .
Attachments:
1. Abstract of ABC’s financial reports (see accompanying spreadsheets)
2. Data from ABC’s external auditors (see accompanying spreadsheets)
3. Historical mortgage rates of ABC and capital market data (see accompanying spreadsheets)
4. ABC’s formula for calculating break fees (see Appendix below)
5. An article from the Australian Bankers’ Association
Appendix
ABC calculates its break costs using the following formula:
where: Net early repayment Number of scheduled repayments until the end of the fixed interest period Swap rate per period for the term of the fixed loan period, as at the start of the fixed loan period. Swap rate per period for the remaining term of the fixed loan period, as at the date of the early repayment
END OF QUESTION

。。。。。。。。。。。。。。。。。。。。。。。。。。。。。。。。
Reading:
Home FLIC Fact Sheets
Bank funding - key issues (June 2009)
NB: This fact provides background on the bank funding issues which emerged during
and after the global financial crisis, However the ABA has published more up-to-date
data on bank funding under Banking Facts and Figures.
Introduction
Banks lend to home buyers, credit card customers, small and medium businesses
and institutional clients.
In order to support their lending, banks source their funds from customer deposits,
from wholesale markets (domestic and international) and through securitisation.
Since the onset of the global financial crisis in late 2007, bank funding costs have
become a topic of considerable discussion, given their link to retail interest rates.
When examining banks’ funding, it is important to recognise that it is not free and
the price that banks pay for their funding varies according to a range of factors.
For most of the last decade, banks’ funding sources and the cost of funding has been
relatively predictable. Movements in the Reserve Bank’s cash rate have generally
closely approximated changes in total bank funding costs.
Since the global financial crisis began in late 2007, the Reserve Bank’s cash rate has
not been an accurate indicator of changes in bank funding costs. This paper helps
explain why this is the case.
Summary
How have world financial markets changed?

Since August 2007, financial markets have experienced a serious global crisis,
triggered by a failure in the US sub-prime lending market.

For banks, the global financial crisis has made it more difficult to access funds
and the available funds are more expensive.
Debt markets – what has happened in a broad sense?
Bank funding – key issues (June 2009) Page 1 of 24
http://www.bankers.asn.au/default.aspx?ArticleID=1366 17/02/2010

In relation to access to funds for well-rated institutions (those with strong
credit ratings) borrowing money in their own name, there is generally sufficient
liquidity in the global debt markets. However, prices remain elevated.

Funding bank lending through securitisation markets, however, is very
strained. There is very little issuance occurring.
Funding – sources of funds and relative importance

Usually, about 50% of banks’ funding comes from deposits, a further 25% from
short-term wholesale funding, and 25% from long-term wholesale funding.
These proportions are now 53% deposits, 19% short-term wholesale funding
and 29% long-term wholesale funding. Wholesale funding comes both from
domestic and global financial markets. These proportions will vary from bank
to bank.

Short-term funding (excluding bills of exchange) constitutes 73% domestic
issuance and 27% offshore issuance. For long-term funding the split is 27%
domestic issuance and 73% offshore issuance. These proportions vary
between banks.

Short-term funding costs have been volatile since August 2007. On several
occasions the 90-day Bank Bill Swap Rate (BBSW)1 spiked sharply (August
2007, September 2007, December 2007, February 2008, March 2008, June
2008, September 2008 and October 2008).

Long-term funding costs remain elevated.

Since the onset of the financial crisis, net flows into deposit accounts have
been strong, particularly into higher yielding personal investment accounts.
Market interest rates and the cash rate

A number of factors influence interest rates including changes in the official
cash rate, inflation expectations, credit ratings and the broader global financial
environment. Under normal circumstances, cash rate changes are closely
linked to market interest rate changes. Over the past year, however, global
events have had a greater influence on market rates.
Interest Rate Margins

Banks’ interest rate margins remain at low levels.
1. Global environment
For almost two years, financial markets have experienced a serious global crisis
caused by a failure in the US sub-prime lending market. The Reserve Bank has
commented on the large increase in the delinquency rate on US sub-prime
mortgages, which had grown to about 18 per cent of housing loans in the US in early
2008.
Also, of the $US2 trillion of US residential mortgage backed securities (RMBS) issued
to investors in 2006, around a quarter were backed by sub-prime mortgages. As a
result of the global credit crisis, there was a sharp decline in investor appetite for
RMBS, even those of the highest credit quality.
The Reserve Bank has said that the increase in risk aversion, and considerable
uncertainty about where the spreads on these securities will settle, has meant that
traditional investors in RMBS have preferred to wait until more settled conditions
return.
Bank funding – key issues (June 2009) Page 2 of 24
http://www.bankers.asn.au/default.aspx?ArticleID=1366 17/02/2010
This increased risk aversion has significantly increased the cost of short-term and
long-term funds sourced by financial institutions internationally and in Australia.
Additionally, there has been considerable volatility in the cost of funds.
Financial experts are not predicting an early end to the current financial crisis, with
some suggesting it will take up to two years to see financial market conditions
stabilise. There is still uncertainty over whether or not funding costs will then return
to the lower levels they have been in the past.
2. Overview of bank funding
Generally speaking, banks source their funds from deposits (50%) and through
wholesale funding, comprising, short-term wholesale funding (25%) and long-term
wholesale funding (25%), in both the domestic and global markets (these
proportions will vary from bank to bank). Short-term funding relates to borrowings
for up to 12 months while long-term funding includes borrowings of greater than 12
months.
Banks borrow money from global financial markets to support lending to Australian
businesses and households. Borrowing costs for banks’ short-term and long-term
funding requirements have increased significantly as a result of the global financial
crisis.
The price that banks pay for funds depends on many factors. These include changes
in the official cash rate, competition, international events, the credit rating of the
bank and the supply of wholesale funds.
Banks must pay for all funding either though paying deposit interest rates or paying
interest on domestic and offshore debt. Therefore, to determine a bank’s cost of
funds it is necessary to conduct a detailed analysis of all funding components and
how these are changing. This is discussed further below.
3. State of the debt markets
For banks with a strong credit rating (i.e. AA or A) wanting short-term funding, there
is generally good liquidity in debt markets, but prices remain elevated when
compared with levels prior to the financial crisis.
For term funding, markets have been very difficult to access and issuance by banks
has been very low, particularly in the most recent months. Spreads are now at very
high levels.
Banks rated BBB+ are finding it more difficult to access longer-term funding and are
concentrating more on short-term funds, private placements and deposit growth.
Securitisation markets continue to see very low issuance levels. Much of the
Australian issuance was to the US. Investor interest in securitised assets has
virtually dried up.
Recent initiatives designed to stimulate debt markets include:

guarantee of banks’ term funding;

deposit guarantees; and

widening the range of securities eligible for its repurchase operations (repos)
by the RBA.
Bank funding – key issues (June 2009) Page 3 of 24
http://www.bankers.asn.au/default.aspx?ArticleID=1366 17/02/2010
These initiatives align Australia’s response within the context of the broader global
initiatives that are aimed at resolving the financial crisis.
4. Funding
Banks source funds from deposits and through wholesale funding - short-term and
long-term funds in both the domestic and global financial markets. At the end of
March 2009, funding through these sources was $1.44 trillion, an increase of $108
billion or 8% over the past year.
When the term of any funding arrangement expires, either in domestic and global
markets, banks have to re-finance. Since the onset of the global financial crisis,
wholesale funding costs have increased significantly. Furthermore, interest rate
volatility has increased in these markets and it is widely reported that considerable
uncertainty will remain over the next year. Due to the protracted nature of the subprime
crisis, pressures on financing costs from the wholesale market continue.
ABS Financial Accounts shows retail deposits constitute 53% ($759 billion) of bank
funding as at March 2009. Wholesale funding accounts for 47% or $678 billion.
Excluding bills of exchange (which are not classified by domestic/offshore), shortterm
funding is 73% domestic and 27% offshore. For long-term funding, 27% is
domestic and 73% offshore.
Banks’ funding – March 2009 $bn %
Business deposits $272 19%
Household deposits $488 34%
Deposits - Retail $759 53%
Wholesale funding
Bills of Exchange $57 4%
One name paper - domestic $149 10%
One name paper - offshore $54 4%
Short-term funds - total $260 18%
Bonds - domestic $113 8%
Bonds – offshore $305 21%
Long-term funds - total $418 29%
Wholesale funding - total $678 47%
Total $1,438 100%
Bank funding – key issues (June 2009) Page 4 of 24
http://www.bankers.asn.au/default.aspx?ArticleID=1366 17/02/2010

Data:
Date        RBA
    Cash Rates        ABC's Mortgage Rates        BBSW        AUD OIS1        CGB Yields        AUS Swap Rates        US LIBOR        USD OIS1        US Treasury Yields        US Swap Rates
Standard Variable        3 Year Fixed        3 Months        6 Months        3 Months        6 Months        3 Years        5 Years        10 Years        3 Years        5 Years        10 Years        3 Months        6 Months        3 Months        6 Months        3 Years        5 Years        10 Years        3 Years        5 Years        10 Years
Dec-2001        4.25        6.05        6.00        4.25        4.20        4.19        4.16        4.96        5.33        5.82        5.34        5.77        6.31        1.88        1.98        1.72        1.79        3.59        4.38        5.07        4.37        5.98        6.13
Jan-2002        4.25        6.05        6.30        4.26        4.26        4.21        4.22        5.07        5.41        5.86        5.66        5.95        6.36        1.86        1.99        1.75        1.85        3.70        4.42        5.07        4.17        5.70        6.01
Feb-2002        4.25        6.05        6.40        4.31        4.42        4.27        4.38        5.37        5.63        5.95        5.63        5.93        6.33        1.92        2.07        1.76        1.86        3.64        4.27        4.88        4.08        5.51        5.84
Mar-2002        4.25        6.05        6.60        4.46        4.71        4.41        4.67        5.75        6.00        6.31        6.09        6.33        6.69        2.03        2.33        1.86        2.15        4.31        4.91        5.42        4.73        5.42        5.86
Apr-2002        4.25        6.05        6.85        4.59        4.87        4.52        4.81        5.73        5.96        6.29        5.78        6.02        6.44        1.91        2.10        1.78        1.95        3.83        4.53        5.11        4.25        5.64        6.16
May-2002        4.50        6.30        6.80        4.84        5.10        4.76        5.02        5.75        5.96        6.22        6.17        6.31        6.59        1.90        2.09        1.78        1.94        3.73        4.37        5.08        4.16        5.70        6.21
...
Income -  Ordinary Banking Activities        2009 ($M)        2008 ($M)        2007 ($M)        2006 ($M)
Interest Income        31,519         29,234         23,862         19,758
Fees & Commission        3,423         2,803         2,625         2,435
Trading Income        741         546         555         505
Net (Loss)/Gain On Available For Sale  Investments        (12)        309         138         36
Net (Loss)/Gain On Other Non-Trading  Instruments        (9)        (1)        9         0
Net Hedging Ineffectiveness        (18)        (58)        30         (15)
Net (Loss)/Gain On Other  Financial Instruments:       
       
       
       
Fair Value Through Income Statement        (66)        (9)        65         35
Reclassification Of Net Interest On Swaps        (275)        (265)        (107)        (46)
Non-Trading Derivatives        (187)        37         (98)        (44)
Dividends        14         39         3         4
Net Loss On Sale Of Property, Plant &  Equipment        (11)        (15)        (15)        4
Other        314         173         136         122
Total        35,433         32,793         27,203         22,794

       
       
       
       
Bank Information        2009        2008        2007        2006
Full Time  Equivalent Employees        44,218        39,621        37,873        36,664
Branches/Service Centres        1,142        1,009        1,010        1,005
Agencies        3,859        3,814        3,833        3,836
ATMs        4,075        3,301        3,242        3,191

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