Page 22 - CCFA Journal - Tenth Issue

风险管理 Risk Management 加中金融

The challenge Canada banks faced during COVID, was mostly due to the volatility in central bank’s policy interest rate and government
bond yield. At the onset of COVID, the bank of Canada dropped overnight rate to all time low (0.25%), which triggered a flee from
pre-encashable term deposit to NMD as show in Figure 1. Starting in March 2022, the Bank of Canada realized that the inflation was
becoming entrenched and started to increase its policy rate very forcefully. Since then, the market observed a steep decrease in NMD
levels and a corresponding increase in pre-encashable term deposit. With an overall increase in deposit levels, there was a clear shift
from NMD or pre-encashable term to fixed term deposits. The shifts across deposit types created challenges for banks’ asset and
liability management and uncertainties in earnings due to volatility in the costs of fundings.

加拿大银行在 COVID 期间面临的挑战主要是由于央行政策利率和政府债券收益率的波动。在 COVID 开始时，加拿大银行将
隔夜利率降至历史最低点 (0.25%)，这引发了从可预兑现定期存款向 NMD 的逃离，如图 1 所示。从 2022 年 3 月开始，加
拿大银行意识到通货膨胀变得根深蒂固，并开始非常有力地提高其政策利率。从那时起，市场观察到 NMD 水平急剧下降，
可预兑现定期存款相应增加。随着存款水平的整体上升，从 NMD 或预兑现定期存款明显转变为定期存款。由于资金成本
的波动，存款类型的转变给银行的资产和负债管理带来了挑战，并给收益带来了不确定性。

Figure 1

Canadian Charted Bank Deposit Liabilities
3000
Billions (CAD) 2500

2000

1500

1000
500

0

Fixed-term: Pre-encashable deposits
Fixed-term: Non pre-encashable deposits
Demand and notice deposits

https://www.bankofcanada.ca/rates/banking-and-financial-statistics/chartered-banks-classification-of-deposit-liabilities-formerly-k12/

The Vulnerabilities of Mortgage

On the assets side, mortgage is often the heaviest asset type in Canadian commercial banks. Interest rate affect the mortgage
behavior, by affecting refinance motivation, housing market activities, and household burden to mortgage payment, etc. The graph
below shows the recent history of Canadian house prices from 2014 to 2022. Followed by a rapid increase from 2014 to 2017, house
prices stabilized from 2017 to 2019 partly due to BoC policy rate hikes. To absorb the economic shock of COVID, BoC dropped rates
to a very low level in 2020, which stimulated the housing markets leading to price appreciation. Post COVID, house prices in Canada
are pulling back due to heightened policy rates.

房屋抵押贷款风险

在资产方面，抵押贷款往往是加拿大商业银行中最重的资产类型。利率通过影响再融资动机、房地产市场活动和家庭抵押
贷款负担等来影响抵押贷款行为。下图显示了加拿大房价从 2014 年到 2022 年的近期历史。加拿大央行从 2017 年开始
加息，稳定了房价。自 2020 年 COVID 开始以来，中行将利率降至非常低的水平，从而推动房屋销售和价格达到历史高
位。 2022 年 3 月起，央行再次加息，拉动房价回落。

The change of interest rates and house price changes mortgage behavior. With low interest rates, many mortgages are motivated to
be refinanced. This affects the NII of a bank. With rising house prices, existing mortgages are refinanced even new interest rates are
higher. Also, with low and high market rates, clients switch between variable and fixed rate mortgage. This changes the duration of a
bank’s balance sheet.

利率和房价的变化改变了抵押行为。由于利率低，许多抵押贷款有动力进行再融资。这会影响银行的 NII。随着房价上涨，
即使新利率更高，现有抵押贷款也会重新融资。此外，由于市场利率低和高，客户会在可变利率和固定利率抵押贷款之间
切换。这改变了银行资产负债表的久期。

CCFA JOURNAL OF FINANCE March 2023
Page 22 第22页