Question

Bank of Baruch Liabilities: 1 year Certificates of Deposit $ 225m 5 year Certificates of Deposit Overnight Fed Funds Equity Assets 91 day US Treasury bills 2 year US Treasury notes 5 year corporate loans-floating rate: LIBOR+150bp, quarterly roll date S 75m $150m 35m 105m 15m S55m 10 year floating rate mortgages 9-month roll dates $100m 33.What is the bank's debt a. 3.95% asset ratio? b. 4.11% c. 96.05% d. 24.33 f. 32.88% 34. What does your answer to question 33 indicate about the structure of financial intermediaries? a. They are highly leveraged. b. They are very risky. c. They use a lot of off-balance sheet items. d. They are intermediaries between funds surplus and funds deficit units. e. All of the above. What is the 91 day cumulative repricing gap? 35. a. -$25 million b. +$25 million c. -$50 million d.+$50 million e.-$30 million 36.What is the impact on the bank's net interest income if interest rates fall 25 basis points over the next 91 days? a.+$62,500 b-$62,500 c.+$125,000 d.-$125,000 e.-$75,000 W 37.What is the bank's I year cumulative repricing gap? a. -$100 million b.+S100 million c.-$50 million d+$50 million e.-$25 million 38.What is the impact on the bank's net interest income if interest rates rise 50 basis points over the next year? a+S500,000 b-$500,000 c+S125,000

please include details

Answer 1

33.

Total Debt of the Bank = $225 + 35 + 105 = $365 mn

Total Assets of the Bank = Total Debt + Equity = $365 + 15 = $380 mn

Total Debt to Total Assets Ratio = $365 / 380 = 96.05%

Answer is c

34. Answer is a

35. Answer e (cumulative amount of interest-sensitive assets repricing within 91 days i.e. 75 mn minus the amount of interest-sensitive liabilities to reprice less than or equal to 91 days i.e $105 mn overnight fed funds)

36. Answer is d (floating rate asset roll date quarterly $55 mn - floating rate liability is overnight fed funds $105 mn) * 0.25%

Ask rest of the questions in separate entry