Financial Derivatives at Community Banks
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1 Financial Derivatives at Community Banks Xuan (Shelly) Shen Quantitative Analyst, Regions Bank Valentina Hartarska Professor, Dept. Ag. Econ. & RS and Dept. of Finance, Auburn University
2 Key Empirical Findings During , derivative use was beneficial for community banks. If derivatives were banned after 2008, more than half of the roughly 1,100 community banks using derivatives would have reported losses.
3 Dealer and Credit Derivative Activity Surged at Banks After 2001 Notional Amounts US$ Trillions Dealer (Trading), Left Axis End User (Non-Trading), Right Axis Credit Derivatives, Right Axis US$ Trillions Source: Quarterly Report on Bank Derivatives Activities, OCC
4 Ever More Community Banks Used Derivatives After 2005 Number of Banks 1,400 1,200 1, Assets: $100 Million to $1 Billion $1 Billion to $10 Billion Less Than $100 Million Source: Quarterly Banking Profile, FDIC
5 Derivative Activity at Community Banks by Lending Specialty # of Derivative Users/# of Banks 30% 25% % 24% 20% 15% 10% 5% 3% 12% 5% 17% 6% 9% 5% 15% 0% AG Mortgage CRE Multiple No-Specialty Agricultural Specialists Mortgage Specialists Commercial Real Estate Multi-Specialists (AG) (Mortgage) Specialists (CRE) (Multiple) No-Specialty User Non-User User Non-User User Non-User User Non-User User Non-User Assets (US$ Millions) S257 $88 $846 $242 $847 $288 $885 $255 $846 $181 Number of Banks (2012) , ,096 Source: Call Reports, FDIC
6 Community Bank Derivative Users Are Larger and Make More Loans Source: Call Reports, FDIC
7 Community Bank Derivative Users Have Less Interest Rate Risk but More Liquidity Risk Source: Call Reports, FDIC
8 Community Bank Profitability and Losses by Lending Specialty and by Derivative User/Non-User
9 Method Estimate impact of risk on ROA for derivative user and non-user community banks. Use endogenous switching model to control for banks endogenous choice to use derivatives in ROA estimation and compute the counterfactual effects.
10 Community Bank Profitability by Lending Specialty: Risk Factors Affect Derivative Users and Non-Users Differently Mortgage Specialists CRE Specialists Variables (1) (2) (3) (4) (5) (6) (7) (8) User Non-User User Non-User User Non-User User Non-User Employee < < ** ** < * (0.001) (0.001) (0.002) (0.003) (0.001) (0.001) (0.001) (0.001) Charge-off *** * *** *** *** *** *** *** (0.074) (0.064) (0.068) (0.131) (0.067) (0.045) (0.045) (0.018) Manage *** *** ** 0.099*** (0.115) (0.029) (0.057) (0.063) (0.037) (0.031) (0.033) (0.021) Leverage ** *** 0.194*** *** (0.037) (0.045) (0.034) (0.048) (0.024) (0.024) (0.021) (0.007) Int. Rate Risk *** *** *** *** *** *** (0.003) (0.002) (0.002) (0.002) (0.002) (0.002) (0.006) (0.002) Liquidity *** *** 0.025*** (0.007) (0.006) (0.005) (0.003) (0.006) (0.004) (0.008) (0.005) IMR * *** *** *** (0.107) (0.256) (0.099) (0.219) (0.124) (0.228) (0.233) (0.468) Constant *** *** *** *** (4.61) (2.46) (4.54) (1.58) (4.10) (1.99) (1.93) (1.33) Obs ,007 2,299 12, ,719 4,456 19,429 R *** p<0.01, ** p<0.05, * p<0.1
11 Community Bank Profitability by Lending Specialty: Risk Factors Affect Derivative Users and Non-Users Differently Agricultural Specialists Multi-Specialists No-Specialty Variables (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11) (12) User Non-User User Non-User User Non-User User Non-User User Non-User User Non-User Employee * *** < * 0.007* < (0.005) (0.002) (0.003) (0.002) (<0.001) (0.002) (0.001) (0.004) (0.001) (0.001) (0.001) (0.002) Charge-off *** *** *** *** *** *** *** *** *** (0.167) (0.028) (0.075) (0.021) (0.063) (0.047) (0.032) (0.027) (0.074) (0.097) (0.046) (0.163) Manage 0.074** 0.148*** *** 0.439* 0.157*** ** 0.188** *** (0.037) (0.035) (0.048) (0.029) (0.245) (0.045) (0.077) (0.023) (0.077) (0.055) (0.054) (0.054) Leverage *** *** *** *** ** 0.224*** ** *** ** * (0.040) (0.035) (0.046) (0.021) (0.102) (0.041) (0.055) (0.018) (0.089) (0.025) (0.054) (0.021) Int. Rate Risk *** *** *** *** ** *** (0.003) (0.001) (0.003) (0.001) (0.003) (0.002) (0.003) (0.002) (0.003) (0.001) (0.003) (0.002) Liquidity *** *** 0.013* * (0.009) (0.002) (0.004) (0.001) (0.010) (0.010) (0.007) (0.006) (0.005) (0.002) (0.006) (0.003) IMR *** *** *** *** *** (0.157) (0.206) (0.134) (0.272) (0.156) (0.207) (0.112) (0.235) (0.099) (0.278) (0.119) (0.359) Constant *** *** *** *** *** *** 5.17 (3.58) (2.46) (3.06) (1.62) (7.08) (3.18) (1.95) (1.99) (5.08) (5.94) (1.85) (9.55) Obs ,166 1,751 17, ,987 2,568 8,938 3,157 42,919 5,557 39,593 R *** p<0.01, ** p<0.05, * p<0.1
12 Community Bank Derivative Users Would Have Reported Losses if Not Using Derivatives Lending Specialty Reported ROA ROA, had ROA, had Reported they not used Difference they not used ROA derivatives derivatives Difference Agricultural Specialists *** *** (0.60) (0.51) (0.45) (0.65) (0.71) (0.48) Mortgage Specialists *** *** (0.26) (0.27) (0.28) (0.50) (0.69) (0.29) CRE Specialists *** *** (0.37) (0.93) (0.87) (1.43) (1.45) (0.93) Multi-Specialists *** *** (0.46) (0.62) (0.81) (1.06) (1.17) (0.48) No-Specialty *** *** (0.29) (0.32) (0.34) (0.81) (0.41) (0.76) *** p<0.01, ** p<0.05, * p<0.1
13 Profitability of Community Bank Non-Derivative Users Would Be Higher if Using Derivatives Lending Specialty ROA, had they used derivatives ROA, had Reported Reported Difference they used ROA ROA derivatives Difference Agricultural Specialists *** *** (0.60) (0.43) (0.30) (0.76) (0.64) (0.30) Mortgage Specialists ** *** (0.42) (0.28) (0.38) (0.50) (0.71) (0.29) CRE Specialists *** *** (0.44) (0.90) (0.99) (2.02) (1.34) (1.47) Multi-Specialists *** *** (0.75) (0.82) (1.00) (1.19) (1.19) (0.28) No-Specialty ** ** (14.10) (0.31) (13.90) (5.38) (0.50) (5.07) *** p<0.01, ** p<0.05, * p<0.1
14 Conclusions Derivatives increased, rather than lowered, profitability for the majority of community banks over the period Prohibiting the use of derivatives would have made some community banks more vulnerable to interest rate risk and credit risk. While derivatives like any financial instrument can be misused, evidence shows benefits for community banks.
15 Thank You Questions and Comments
16 Classification of Community Banks Lending Specialty Agricultural Specialists Mortgage Specialists Commercial Real Estate (CRE) Specialists Multi-Specialists No-Specialty Definition Agricultural production loan plus loans secured by farmland greater than 20% of total assets Residential mortgage loans greater than 30% of total assets Construction and development (C&D) loans greater than 10% of total assets OR total CRE loans (C&D, multifamily, and secured by other commercial properties) greater than 30% of total assets Meets more than one of the single-specialty definitions above OR holds either retail loans* or commercial loans** greater than 40% of total assets All other institutions Source: FDIC Note: All specialty groups require the bank to hold loans greater than 33% of total assets. *retail loans include 1-4 family residential real estate loans and loans to individual. **commercial loans include CRE loans and C&I loans.
17 Determinants of Bank Decisions to Use Derivatives Variables AG Mortgage CRE Multi-Specialists No-Specialty (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) Log(asset) 0.922*** 0.571*** 0.562*** 0.987*** 1.148*** 0.435*** 1.062*** 0.488*** 0.965*** 0.517*** (0.178) (0.162) (0.214) (0.233) (0.125) (0.079) (0.153) (0.093) (0.144) (0.095) Charge-off < (0.008) (0.008) (0.026) (0.012) (0.021) (0.004) (0.024) (0.005) (0.017) (0.009) Manage * (0.050) (0.028) (0.038) (0.018) (0.021) (0.010) (0.035) (0.012) (0.020) (0.014) Leverage ** (0.019) (0.011) (0.023) (0.011) (0.017) (0.002) (0.028) (0.006) (0.016) (0.002) Int. Rate Risk 0.001*** * 0.005*** * ** ** 0.003** ** (<0.001) (0.002) (0.002) (0.002) (0.002) (0.001) (0.002) (0.001) (0.001) (0.001) Liquidity ** *** (0.007) (0.003) (0.006) (0.005) (0.005) (0.002) (0.009) (0.003) (0.003) (0.002) BHC *** * 0.239** *** * (0.242) (0.247) (0.126) (0.104) (0.121) (0.099) (0.181) (0.164) (0.118) (0.101) Constant * *** *** *** (5.050) (3.802) (5.401) (2.843) (2.483) (1.615) (3.736) (2.797) (1.410) (1.458) Observations 20,111 19,200 14,199 15,007 19,910 23,885 10,465 11,506 46,076 45,150 χ Log Likelihood -3,302-4,497-3,256-5,269-5,464-9,820-3,228-4, ,463 #of Institutions , ,136 1,171 1, ,480 *** p<0.01, ** p<0.05, * p<0.1
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