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3. Refer to First National Bank's balance sheet with durations. Assume all values are market values....
The balance sheet of FIN 4100-601 Bank is listed below. Market yields are in parentheses, and...
The balance sheet of FIN 4100-601 Bank is listed below. Market yields are in parentheses, and amounts are in millions Liabilities and Equity Assets Cash Fed funds (2.05%) 3-month T-bills (3.25%) 8-year T-bonds (6.50%) 5-year munis (7.20%) 7-month C&I loans (4.8%) 2-year C&I loans (4.15%) Fixed-rate mortgages (5.10%) Duration Duration $30 150 200 250 50 200 275 Demand deposits $150 0.02 Savings accounts (0.5%) 0.22 MMDAs (3590) 7.55 (no minimum balance requirement) 4.25 3-month CDs (3.200) 0.55 5-year CDs (5%)...
Question B6. (15 marks) BIG Bank's balance sheet is listed below. Market yields and durations (in...
Question B6. (15 marks) BIG Bank's balance sheet is listed below. Market yields and durations (in years) are in parenthesis, and amounts are in millions. Assets Cash Interbank lending (1.5%, 0.05) T-bonds (7.50%, 8) Liabilities and equity $20 Demand deposits $300 $200 Savings accounts (4.5%, 0.50) $200 $100 Interbank borrowings (1.5%, $200 0.01) Consumer loans (6%, 2.50) $400 Wholesale funding (5.5%, 0.25) $400 $400 Business loans (5.8%, 10) Variable-rate mortgages, repriced at quarter (6.3%, 0.25) $380 Equity $400 Due to...
Market Value Market Value Duration (Years) Assets Rate Rate Liabilities Duration and (Years) Equity Time Deposits...
Market Value Market Value Duration (Years) Assets Rate Rate Liabilities Duration and (Years) Equity Time Deposits 2.50 CDs 5.00 Equity 4% 6% 1.25 3.00 Cash Loans T-Bonds Total $ $ $ $ 150 675 175 1,000 10% 5% $ $ $ 500 400 100 1,000 Use the following bank information for questions a) – e). a) What is the weighted average duration of assets? b) What is the bank's duration gap? c) What is the bank's weighted average cost of...
(b) The following financial statement is for the current year. From the past, you know that...
(b) The following financial statement is for the current year. From the past, you know that 10% of fixed-rate mortgages prepay each year. You also estimate that 10% of checkable deposits and 20% of savings accounts are rate sensitive. Assets (RM) 15,000,000 5,500,000 Reserves Securities < 1 year 1 to 2 years >2 years 8,000,000 Residential Mortgages Variables-rate Fixed-rate Liabilities (RM) 1,500,000 Checkable Deposits Money Market 6,000,000 Deposits 8,000,000 Savings Accounts 12,000,000 CDs Variables-rate <1 year 7,000,000 1 to 2...
Suppose the First National Bank of Duluth has $500.00 million in total assets with an average asset duration of five years. Assume that the bank’s liabilities are comprised of $86.75 million of demand...
Suppose the First National Bank of Duluth has $500.00 million in total assets with an average asset duration of five years. Assume that the bank’s liabilities are comprised of $86.75 million of demand deposits and $163.75 million in bonds with a 4.00% coupon rate (which pays annually) and a five year time-to-maturity. Further assume that current market interest rates are at 9.00% per annum. What is this bank’s duration gap? Is the bank asset- or liability-sensitive?
please show all the calculations thanks so much. 3. The balance sheet of First Republic Bank...
please show all the calculations thanks so much.
3. The balance sheet of First Republic Bank appears below. All figures in millions of Canadian dollars. Liabilities 1Equity capital (fixed) Assets 1 Short-term consumer loans (one-year maturity) 2 Long-term consumer loans $150 $120 125 2 Term deposits (two- year maturity) 3 Demand deposits 40 3 Three-month Treasury 130 130 bills 4Three-month GICS 5Three-month bankers acceptances 6 Six-month commercial paper 140 7One-year term deposits 4 Six-month Treasury notes 5Three-year Treasury bond 135...
4.4. Gotbucks Bank, Inc. (in $millions) Assets Liabilities and Equity $ 41 Core deposits Cash Federal...
4.4.
Gotbucks Bank, Inc. (in $millions) Assets Liabilities and Equity $ 41 Core deposits Cash Federal funds Loans (floating) 31 Federal funds 61 116 Euro CDs Loans (fixed) 76 Equity 17 Total assets S 264 Total liabilities and equity S 264 Notes to the balance sheet: Currently, the fed funds rate is 9.6 percent. Variable-rate loans are priced at 2 percent over LIBOR (currently at 10 percent). Fixed-rate loans are selling at par and have five-year maturities with 11 percent...
The following entries (in millions of dollars) are from the balance sheet of Rivendell National Bank...
The following entries (in millions of dollars) are from the balance sheet of Rivendell National Bank (RNB) $34 U.S. Treasury bills Demand deposits Mortgage backed securities Loans from other banks C&I loans Discount loans NOW accounts Savings accounts Reserve deposits with Federal Reserve Cash items in the process of collection Municipal bonds Bank building If RNB's assets have an average duration of three years and its liabilities have an average duration of two years, what is RNB's duration gap? Duration...
24. The balance sheet for Gotbucks Bank Inc. (GBI) is presented below ($ millions). $ 30...
24. The balance sheet for Gotbucks Bank Inc. (GBI) is presented below ($ millions). $ 30 $ 20 50 Assets Cash Federal funds Loans (floating) Loans (fixed) Total assets Liabilities and Equity Core deposits Federal funds Euro CDs Equity Total liabilities and equity 105 130 20 65 $220 $220 Notes to the balance sheet: The fed funds rate is 8.5 percent, the floating loan rate is LIBOR (London Interbank Offered Rate) + 4 percent, and currently LIBOR is 11 percent....
Show work (40 Points) As the new management trainee at the Rossville Bank of Tennessee, you...
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work
(40 Points) As the new management trainee at the Rossville Bank of Tennessee, you are given balance sheet, you have been asked by the bank president to determine the current mark-to-market balance sheet and modified durations for the bank's assets and liabilities. Fill in the blanks with market values and modified durations. Some of this information is already filled in. The bank has only three types of assets and two types of deposits. Amounts are in S thousands...
The balance sheet of FIN 4100-601 Bank is listed below. Market yields are in parentheses, and amounts are in millions Liabilities and Equity Assets Cash Fed funds (2.05%) 3-month T-bills (3.25%) 8-year T-bonds (6.50%) 5-year munis (7.20%) 7-month C&I loans (4.8%) 2-year C&I loans (4.15%) Fixed-rate mortgages (5.10%) Duration Duration $30 150 200 250 50 200 275 Demand deposits $150 0.02 Savings accounts (0.5%) 0.22 MMDAs (3590) 7.55 (no minimum balance requirement) 4.25 3-month CDs (3.200) 0.55 5-year CDs (5%)...
Question B6. (15 marks) BIG Bank's balance sheet is listed below. Market yields and durations (in years) are in parenthesis, and amounts are in millions. Assets Cash Interbank lending (1.5%, 0.05) T-bonds (7.50%, 8) Liabilities and equity $20 Demand deposits $300 $200 Savings accounts (4.5%, 0.50) $200 $100 Interbank borrowings (1.5%, $200 0.01) Consumer loans (6%, 2.50) $400 Wholesale funding (5.5%, 0.25) $400 $400 Business loans (5.8%, 10) Variable-rate mortgages, repriced at quarter (6.3%, 0.25) $380 Equity $400 Due to...
Market Value Market Value Duration (Years) Assets Rate Rate Liabilities Duration and (Years) Equity Time Deposits 2.50 CDs 5.00 Equity 4% 6% 1.25 3.00 Cash Loans T-Bonds Total $ $ $ $ 150 675 175 1,000 10% 5% $ $ $ 500 400 100 1,000 Use the following bank information for questions a) – e). a) What is the weighted average duration of assets? b) What is the bank's duration gap? c) What is the bank's weighted average cost of...
(b) The following financial statement is for the current year. From the past, you know that 10% of fixed-rate mortgages prepay each year. You also estimate that 10% of checkable deposits and 20% of savings accounts are rate sensitive. Assets (RM) 15,000,000 5,500,000 Reserves Securities < 1 year 1 to 2 years >2 years 8,000,000 Residential Mortgages Variables-rate Fixed-rate Liabilities (RM) 1,500,000 Checkable Deposits Money Market 6,000,000 Deposits 8,000,000 Savings Accounts 12,000,000 CDs Variables-rate <1 year 7,000,000 1 to 2...
please show all the calculations thanks so much.
3. The balance sheet of First Republic Bank appears below. All figures in millions of Canadian dollars. Liabilities 1Equity capital (fixed) Assets 1 Short-term consumer loans (one-year maturity) 2 Long-term consumer loans $150 $120 125 2 Term deposits (two- year maturity) 3 Demand deposits 40 3 Three-month Treasury 130 130 bills 4Three-month GICS 5Three-month bankers acceptances 6 Six-month commercial paper 140 7One-year term deposits 4 Six-month Treasury notes 5Three-year Treasury bond 135...
4.4.
Gotbucks Bank, Inc. (in $millions) Assets Liabilities and Equity $ 41 Core deposits Cash Federal funds Loans (floating) 31 Federal funds 61 116 Euro CDs Loans (fixed) 76 Equity 17 Total assets S 264 Total liabilities and equity S 264 Notes to the balance sheet: Currently, the fed funds rate is 9.6 percent. Variable-rate loans are priced at 2 percent over LIBOR (currently at 10 percent). Fixed-rate loans are selling at par and have five-year maturities with 11 percent...
The following entries (in millions of dollars) are from the balance sheet of Rivendell National Bank (RNB) $34 U.S. Treasury bills Demand deposits Mortgage backed securities Loans from other banks C&I loans Discount loans NOW accounts Savings accounts Reserve deposits with Federal Reserve Cash items in the process of collection Municipal bonds Bank building If RNB's assets have an average duration of three years and its liabilities have an average duration of two years, what is RNB's duration gap? Duration...
24. The balance sheet for Gotbucks Bank Inc. (GBI) is presented below ($ millions). $ 30 $ 20 50 Assets Cash Federal funds Loans (floating) Loans (fixed) Total assets Liabilities and Equity Core deposits Federal funds Euro CDs Equity Total liabilities and equity 105 130 20 65 $220 $220 Notes to the balance sheet: The fed funds rate is 8.5 percent, the floating loan rate is LIBOR (London Interbank Offered Rate) + 4 percent, and currently LIBOR is 11 percent....
Show
work
(40 Points) As the new management trainee at the Rossville Bank of Tennessee, you are given balance sheet, you have been asked by the bank president to determine the current mark-to-market balance sheet and modified durations for the bank's assets and liabilities. Fill in the blanks with market values and modified durations. Some of this information is already filled in. The bank has only three types of assets and two types of deposits. Amounts are in S thousands...
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