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Copyright © 1996-2006 Investment Analytics

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 1

Basic Concepts

Agenda

Bond Values & Interest Rate Risk

**Interest Rate Risk Measurement
**

Duration Immunization Convexity Multi-factor Duration Models

**Advanced Interest Rate Risk Modeling
**

Index Rate Duration Interest Rate Options Deterministic & Simulation Analysis

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 2

**Bond Values and Interest Rates
**

What is the relationship between a bond’s price and interest rates? How does this sensitivity depend on the maturity of the bond? Are coupon bonds more sensitive to interest rates than zero coupon bonds?

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 3

**Interest Rate Risk - Example
**

Interest rate changes cause bond prices to fluctuate: Example: 8% coupon bond

• If rates are at 8%, it will sell at par • If rates rise to 9% , price must fall below par

– no-one will want to hold the bond at par value, so price will fall – must have expected capital gain to compensate for coupon below market rate

**• If rates fall to 7%, price will rise above par
**

– everyone will bid for bond paying above market rate – forces price up & builds in expected capital loss to offset coupon above current market rate

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 4

**The Price-Yield Relationship
**

Price Price Sensitivity Slope = ∆P / ∆y

∆P

∆y Yield

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 5

**Worked Exercise: Bond Values & Interest Rates
**

Start Bond Tutor Subject: Bond Values & Interest Rates Follow worked exercise

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 6

**Factors Affecting Interest Rate Sensitivity
**

Term

Long term bonds are more sensitive than short term bonds

Coupon

Low (Zero) coupon bonds are more sensitive than high coupon bonds

Yield

bonds at lower yields are more sensitive than at higher yields

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 7

Duration

The further away cash flows are, the more their PV is affected by interest rates:

PV = C/(1 + r)t

**Duration measures weighted average maturity of cash flows:
**

D = Σt x Wt • Wt = CFt / (1 + y)t

PV • y is yield to maturity

**Higher duration means greater risk
**

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 8

Duration & Risk

Impact of changes in YTM: • ∆P = -[D / (1 + y)] x P x ∆y • D / (1 + y) is known as modified duration D* • D* = [∆P / P] x (1 / ∆y) • Percentage price change [∆P / P] = D* x ∆y Limitations:

Small changes in y Parallel changes in yield curve

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 9

**Example of Duration Calculation: Interest Rate = 10%
**

Cash Discount Time Flow Factor 1 2 3 4 5 100 100 100 100 100 0.9091 0.8264 0.7513 0.6830 0.6209 PV of Cash Flow 90.91 82.64 75.13 68.30 62.09 379.07 PV Weight 0.2398 0.2180 0.1982 0.1802 0.1638 1.0000 PV Weight x Time 0.2398 0.4360 0.5946 0.7207 0.8190 2.8101

TOTAL

**Duration = 2.81 Years Modified Duration = 2.81 / 1.1 = 2.55 years
**

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 10

**Duration & Price-Yield Relationship
**

Price Slope = ∆P / ∆y ∼ D

P*

y*

Copyright © 1996-2006 Investment Analytics Interest Rate Risk

Yield

Slide: 11

**Two Ways to Think About Duration
**

Weighted Average Time to Maturity

Weight the time of each cashflow by proportion of total NPV it represents

**As the sensitivity of a security’s PV to change in interest rates
**

Sensitivity = δP/δy = -Σt [CFt / (1 + y)t] x 1/P

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 12

Immunization

If

duration of assets = duration of liabilities value of assets = value of liabilities

**Portfolio is “immunized” Portfolio value will be unchanged
**

for small, parallel changes in yield

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 13

**Worked Exercise on Duration
**

Start Bond Tutor Subject: Duration Follow worked exercise

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 14

**Trading Case B04
**

Flat yield curve 25% Can move to: 5% to 45% You have a liability/asset which you cannot trade Must try and preserve value of portfolio

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 15

**Analysis of Case B04
**

Position 1

• 3200 cash • 14 of sec worth 307 • -51 of sec worth 64

**What should you do
**

Sell 14 @ 307.2 Buy 29 @ 112.064 Why 29?:

• asset value = 29 * 112 = 3250 • liability value = 51 * 64 = 3264

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 16

Analysis of Case B04

**Note: cash = 4250 after trade “instantaneous exposure”
**

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 17

**Analysis of case B04
**

Exposure at end of period

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 18

**Problems with Conventional Immunization
**

Assumption

Yield curve shifts are parallel Yield curve changes perfectly correlated along the curve

Copyright © 1996-2006 Investment Analytics Interest Rate Risk

Empirical Evidence

Short rates move more than long rates Correlation between short and long rates much less than 1.0

Slide: 19

**Price Approximation Using Duration
**

Price Actual Price Error in estimating price based on duration

P*

y1

Copyright © 1996-2006 Investment Analytics

y*

Interest Rate Risk

y2

Yield

Slide: 20

Convexity

Duration assumes linear price-yield relationship

Duration proportional to the slope of the tangent line Accurate for small changes in yield

**Convexity recognizes that price-yield relationship is curvilinear
**

Important for large changes in yield

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 21

Convexity Formula

Dollar Convexity:

• δ2P / δy2 = ΣCFt x t(t+1) / (1 + y)t+2

Price change due to convexity: • ∆P = Dollar Convexity x (∆y)2

**Convexity = [δ2P / δy2] x (1 / P)
**

Percentage price change due to convexity: • ∆P / P = 0.5 x Convexity x (∆y)2

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 22

**Convexity Adjustment: Example
**

Straight Bond

• 6% coupon, 25yr, yield 9% • Modified Duration =10.62 • Convexity = 182.92

% Price Change:

Yield Move +200bp -200bp Duration

(D* ∆y)

Convexity

0.5 x C (∆y)2

Total -17.58% +24.90%

-21.24% +21.24%

3.66% 3.66%

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 23

**Summary: Interest Rates & Risk
**

How interest rates affect bond prices Duration Immunization Convexity

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 24

**A Two Factor Model of Yield Curve Changes
**

Change in spot rate Change Change = At x in short rate + Bt x in long rate = αt x Change in spread + βt x Change in long rate

**Spread: (Long rate - Short rate) Two factor Model:
**

αT : sensitivity of T-period spot rate to changes in spread βT: sensitivity of T-period spot rate to changes in long rate

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 25

**Immunization with Two Factor Model
**

Factors

Long rate Spread = long rate - short rate

**Durations: each asset has two durations
**

Long Duration: sensitivity to change in long rate Spread Duration: sensitivity to change in spread

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 26

**Computing Two Factor Durations
**

Duration formula:

DS = -ΣTi αTi[cie-RTi/PV] DL = -ΣTi βTi[cie-RTi/PV]

Regression Analysis ∆RT = AT + αT∆S + βT∆L + εT

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 27

**Estimated Long Rate & Spread Sensitivities (Nelson/Schaefer)
**

Maturity (Years)

1 2 3 4 5 6 7 8 9 10 11 12 13

Copyright © 1996-2006 Investment Analytics

Spread Sensitivity

1.000 0.743 0.542 0.391 0.269 0.200 0.163 0.131 0.100 0.100 0.043 0.019 0.000

Interest Rate Risk

**Long Rate Sensitivity
**

1.000 1.036 1.026 0.997 0.970 0.953 0.950 0.962 0.983 1.005 1.022 1.022 1.000

Slide: 28

**Spread & Long Rate Sensitivities
**

1.200 1.000 0.800 0.600 0.400 0.200 0.000 0 2 4 Spread Sensitivity

Copyright © 1996-2006 Investment Analytics

6

8

10

12

14

**Long Rate Sensitivity
**

Slide: 29

Interest Rate Risk

**Implied Spot Rates: Relative Importance of Factors
**

% of Total Explained Variance Accounted for by Maturity 6 Months 1 year 2 years 5 years 8 years 10 years 14 years 18 years Average Total Variance Explained Factor 1 Factor 2 Factor 3 99.5 79.5 17.2 3.3 99.4 89.7 10.1 0.2 98.2 93.4 2.4 4.2 98.8 98.2 1.1 0.7 98.7 95.4 4.6 0.0 98.8 92.9 6.9 0.2 98.4 86.2 11.5 2.2 93.5 80.5 14.3 5.2 98.4 89.5 8.5 2.0

**Source: Journal of Fixed Income, “Volatility and the Yield Curve”, Litterman, Scheinkman & Weiss
**

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 30

**Example: Calculating Spread Duration
**

8% 4-year bond Spot rates 10% flat

Cash Flow 8 8 8 108 Time x PV Spread x Spread Sensitivity Sensitivity 1.000 7.27 0.743 9.82 0.542 9.77 0.391 115.37 142.24

Time 1 2 3 4 TOTAL

DF 0.9091 0.8264 0.7513 0.6830

PV 7.27 6.61 6.01 73.77 93.66

**Spread Duration = 142.24 / 93.66 = 1.52
**

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 31

Immunization Conditions

Portfolio Weights add to One Match Spread Duration

Weighted average of spread duration of assets = spread duration of liabilities

**Match Long Duration
**

Weighted average of long duration of assets = long duration of liabilities

Equations

w1 + w2 + w3 = 1 w1D1S + w2D2S + w3D3S = DS w1D1L + w2D2L + w3D3L = DL

Interest Rate Risk

Copyright © 1996-2006 Investment Analytics

Slide: 32

**When One Asset is Cash
**

Sensitivity of cash to all interest rates is zero w1D1S + w2D2S = DS w1D1L + w2D2L = DL Cash holding is residual w3 = 1 - w1 - w2

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 33

**Lab: Bond Hedging Exercise
**

Worksheet: Bond Hedging Scenario:

You have a short position in 8-year bonds Have to hedge using 3 and 15 year bonds

Hedging

Create conventional duration hedge Test under 4 scenarios Create 2-factor duration hedge Repeat test & compare

**See Notes & Solution
**

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 34

**Solution: Bond Hedging Exercise
**

Hedge Structure

Method

Conventional Two-Factor Cash 0.00 -.0089 3yr 0.3538 0.4599

Holdings

8yr -1.000 -1.000 15yr 0.6462 0.5490

**Hedge Performance (Profit/Loss)
**

Scenario I II III IV Conventional -27bp -29bp 28bp 25bp

Interest Rate Risk

**2-Factor 3bp 3bp 2bp 2bp
**

Slide: 35

Copyright © 1996-2006 Investment Analytics

**Advanced Interest Risk Modeling
**

Index rate contingent cash flows

Key Treasury Rate Duration

**Interest rate options
**

Option-adjusted duration

Analytical methods

Deterministic Monte Carlo simulation

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 36

**Duration Risk Measurement
**

Recall: (dP/P) = - D* x dr Modified Duration D* = -(dP/dr) x 1/P

For swaps & derivatives concept of duration is ambiguous

**Need to measure sensitivity to changes in:
**

Index Rate

DURINDEX = -(dP/drindex) x 1/P

Discount Rate

DURDISC = -(dP/drdisc) x 1/P

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 37

**Calculating Duration Perturbation Method
**

IRD

Add small increment dr (1bp) to index rate Recompute PV

DRD

Add small increment dr (1bp) to discount rate Recompute PV

DURATION = [PVOrig - PVNew]/PVOrig x 1/dr

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 38

Discount Rate

Can be found by assuming cash flows are non-contingent YTM of comparable fixed coupon note of same maturity Hence DURDISC = Duration of vanilla note

E.g. for 3-yr note DRD = 2.8 yrs

**Exception: Note which has indeterminate maturity
**

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 39

Index rate

E.g. 3-yr FRN Coupon = 3-month LIBOR, paid quarterly What is appropriate index rate?

NOT 3-month LIBOR Aggregate of all floating rate components

• 12 different IR’s in this example

**Solution: swap rate
**

Summarizes entire LIBOR cash flow stream Expressed as a spread over 3-year treasury rate Hence DURINDEX = -2.8 approx.

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 40

Net Duration

3-year FRN, coupon 3-m LIBOR

DRD IRD NET DURATION = 2.8 = -2.8 = 0

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 41

**Key Treasury Rate Duration (KTRD)
**

Calculates change in price wrt change in one segment of the Treasury curve. Used when Index rate and Discount rate are not equal

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 42

**Duration for Derivative Structures
**

E.g. Capped FRN

Like capped floating leg of swap

**Option Adjusted Duration
**

OAD = DUR x P / PC x (1 - ∆)

• • • •

DUR = Duration of uncapped FRN P = price of uncapped FRN PC = price of capped FRN ∆ = cap delta

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 43

**Deterministic Analysis & Option Delta
**

1.0

Deterministic analysis underestimates delta

Deterministic analysis overestimates delta

Delta

Deterministic analysis Option analysis

0.0 K

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 44

Volatility Duration

Applies to securities with embedded optionality DURVOL = - (1/P) x (dP/dσ) = - (1/P) x Vega Vega greatest for ATM options

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 45

Cap Vega

Interest Rate Cap Vega

30 25 Vega 20 15 10 5 0 K

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 46

Evaluating Risk

Deterministic Analysis

Assume know rates in advance Determines cash flows, yield

• Duration estimated using perturbation method

Simulation Analysis

Monte Carlo simulation model of interest rates Statistical analysis of:

• Cash flows • Yield • Duration

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 47

Deterministic Analysis

Forward Analysis

Assumes index spot rates move to forwards Problem of bias

• Forward rates typically exceed future spot rates

Expectation analysis

Projects ‘expected’ spot rates

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 48

**Linear Smooth Expectation (LSE) Analysis
**

Set final index spot rate

E.G. from forward rate

Estimate intermediate index rates using linear interpolation Compute cash flows, yield, duration in normal way Repeat for range of final index rates

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 49

**Monte-Carlo Methodology
**

Simulate movement in index rates Calculate cash flows, PV’s, yield, duration Repeat large no of times Create histogram of yield, duration values

Calculate average yield, duration

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 50

**Generating Simulated Index Rates
**

R + ∆R = R x Exp[(µ−σ2/2)∆t + σ∆z]

• • • • •

∆R is change in index rate

µ is drift factor σ is volatility ∆Z = ε(∆t)1/2 ε is normal random variable, No(0,1)

Procedure:

Generate ε (random) Compute new index rates, cash flows, etc Estimate duration using perturbation method Repeat many times (10,000+)

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 51

Example

YTM Probability Distribution

12.00% 10.00%

Frequency

8.00% 6.00% 4.00% 2.00% 0.00% 3.45% 3.68% 3.91% 4.14% 4.37% 4.60% 4.83% 5.06% 5.29% 5.52% 5.75% More

YTM

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 52

**Lab: Capped FRN
**

Start with simple 3-year FRN, quarterly LIBOR

Confirm IRD = - DRD

**FRN Coupon LIBOR + 0.5%, 5.5% Cap
**

Calculate IRD, DRD, Net Duration Use simulation analysis to estimate yield, duration Use LSE analysis to compute yield, duration Compare LSE & simulation analysis Compare OAD with deterministic & simulation analysis

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 53

**Solution: Capped FRN
**

Duration Estimates

2.50

2.00

1.50 Duration LSE DUR SIM DUR 1.00 OAD

0.50

0.00 3.5% 4.5% 5.5% 6.5% 7.5% 8.5% 9.5% 10.5% 11.5% 12.5% LIBOR at Maturity

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 54

**Step-up Recovery Floaters (SURFs)
**

Objective

Provide higher floating yield than CMT or LIBOR FRNs

Structure

Above-market floor, some upside participation Example: 5-year note

• Coupon = 0.5*(10-year CMT) + 1.5% • Floor 4.5%

Equivalent Position

Short T-Bonds Long ITM Bond Call Options

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 55

**SURF vs CMT FRN
**

CMT FRN vs. SURF

8 7 Yield (%) 6 5 4 3 3 5 7 10Yr CMT at Maturity (%) 9 11 CMT FRN SURF

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 56

**SURF Risk Factors
**

Net Duration

A lower rates, behaves like a fixed income security

• Due to coupon floor • Hence higher duration a low rates

**At higher rates, behaves more like an FRN
**

• Hence lower duration at high rates

Volatility Duration

Long a floor option, positive Vega Hence negative Vol. Duration Value of floor (and note) increases with volatility

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 57

**SURF - Net Duration
**

Net Duration of SURF

4.5 4.0 Dura tion 3.5 3.0 2.5 2.0 3 4 5 6 7 8 10Yr CMT at Maturity

Interest Rate Risk

9

10

11

Copyright © 1996-2006 Investment Analytics

Slide: 58

**SURF - Volatility Duration
**

Volatility Duration

0 Volatility Duration (bps/vol) 3 -2 -4 -6 -8 -10 10Yr CMT at Maturity (%)

Copyright © 1996-2006 Investment Analytics Interest Rate Risk Slide: 59

5

7

9

11

**Range Floaters / LIBOR Enhanced Accrual Notes (LEANs)
**

Typical Structure

4 Year FRN Coupon LIBOR + 50bp

• Only paid if LIBOR in range

**Year 1-2 range 5% - 6% Year 3-4 range 6% - 7%
**

• Ranges increase due to upward sloping forward curve

**Investor has written series of binary calls and puts
**

• Compensated by higher spread • Taking advantage of high implieds • Betting that volatility will be lower than anticipated

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 60

**LEANs - Risk Factors
**

Net Duration

Close to zero within range Changes dramatically outside range

• Negative below range

– note value rises with rates

**• Positive above range (>> maturity)
**

– -note value falls as rates rise

Volatility Duration

Positive in range

• Note loses value if volatility increases

**Negative outside range
**

• Note gains in value if volatility rises

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 61

**Multi-Index Notes
**

Coupon based on sum or difference between multiple indices Most common structures:

CMT-LIBOR Differential Notes Prime-LIBOR Differential Notes

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 62

**Example: CMT-LIBOR Diff. Note
**

Note features:

Issuer: US Agency Maturity: 3 years Annual Coupon: (10-year CMT - 12m LIBOR) +2.00%

**Discount Rate Duration
**

DR is to-maturity Treasury rate Hence DRD = 2.8 years approx.

Index Component

10-year CMT LIBOR

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 63

**CMT-LIBOR Diff. Note Overview
**

Investor Outlook

Achieve higher coupon than either CMT or LIBOR

Risk

Yield curve flattening will rapidly erode the note’s yield advantage

Equivalent Position:

Long CMT FRN Long Eurodollar Futures

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 64

**CMT-LIBOR Diff. Note
**

10-Year CMT:

CouponPV = T1,10 (1 + r1 )

1

+

T2,10 (1 + r2 )

2

+

T3,10 (1 + r3 )

3

1bp change in T10 produces approx. 1bp change in 10-year forward rate T1,10 Hence value of note will increase by PV01 in each year

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 65

**CMT-LIBOR Diff. Note: Key Treasury Rate Durations
**

Key Rate T10 T11 T12 PV01 -1/(1+T1)1 -1/(1+T2)2 -1/(1+T3)3 Duration -0.95 -0.91 -0.86

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 66

**CMT-LIBOR Diff. Note: LIBOR Component
**

Equivalent to 3-year swap Corresponds to to-maturity Treasury rate Hence duration is equiv. to fixed coupon 3year note KTRD for LIBor component is 2.8 years

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 67

**CMT-LIBOR Diff Note: KTRD’s
**

Component Index KTR KTRD -0.95 -0.91 -0.86 2.8 2.8 Index rate 10-yr CMT T10 T11 T12 12-m LIBOR Discounting Rate T3

To-maturity T3 Treasury

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 68

**CMT-LIBOR Diff Note: KTRD Spectrum
**

CMT-LIBOR Diff Note - Key Rate Duration Spectrum

6 5 4 3 2 1 0 -1 -2 Maturity 3 4 5 6 7 8 9 10 11 12 LIBOR Discounting CMT Key Rate Duration (years)

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 69

**Summary: Risk Management
**

Risk Measurement

Duration Concepts Index Rate Duration Key Treasury Rate Duration

Risk Analysis

Deterministic Simulation

Copyright © 1996-2006 Investment Analytics

Interest Rate Risk

Slide: 70

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