对资产收益有影响吗？

问题如下：

Ivan Paulinic, an analyst at a large wealth management firm, meets with his supervisor to discuss adding financial institution equity securities to client portfolios. Paulinic focuses on Vermillion Insurance (Vermillion), a property and casualty company, and Cobalt Life Insurance (Cobalt). To evaluate Vermillion further, Paulinic compiles the information presented in Exhibit 1.

In addition to the insurance companies, Paulinic gathers data on three national banks that meet initial selection criteria but require further review. This information is shown in Exhibits 2, 3, and 4.

Focusing on N- bank and T- bank, Paulinic prepares the following data.

Paulinic investigates R- bank’s risk management practices with respect to the use of credit derivatives to enhance earnings, following the 2008 financial crisis. Exhibit 4 displays R- bank’s exposure over the last decade to credit derivatives not classified as hedges.

All of the national banks under consideration primarily make long- term loans and source a significant portion of their funding from retail deposits. Paulinic and the rest of the research team note that the central bank is unwinding a long period of monetary easing as evidenced by two recent increases in the overnight funding rate. Paulinic informs his supervisor that:

Statement 1 Given the recently reported stronger- than- anticipated macroeconomic data, there is an imminent risk that the yield curve will invert.

Statement 2 N- bank is very active in the 30- day reverse repurchase agreement market during times when the bank experiences significant increases in retail deposits.

Based on Statement 1, the net interest income for the three banks’ most likely will:

选项：

decrease.

remain unchanged.

increase.

解释：

A is correct.

A bank’s net interest income represents the difference between interest earned on loans and other interest- bearing assets and the level of interest paid on deposits and other interest- bearing liabilities. Banks typically borrow money for shorter terms (retail deposits) and lend to customers for longer periods (mortgages and car loans). If the yield curve unexpectedly inverts, the short- term funding costs will increase and the net interest income will most likely decrease (not remain unchanged or increase).

解析：

考点：Analysis of Financial Institutions - Analyzing A Bank - The CAMELS Approach - Earnings

题目问基于描述 1，三家银行的 net interest income 将会如何变化？

解题的关键信息，位于 Exhibit 4 下面的一段及描述 1，共两部分文字。结合起来看，关键信息是想说：央行在解除货币宽松政策，隔夜拆解利率可能上升的不止 2 个点，可能上升更多，更说明短期利率上升，收益曲线反转，银行的负债成本上升了。

new interest income，等于资产的收益，减去负债的成本。后者上升了，所以结果是降低 decrease，选 A。