Homework Answers
negative repricing gap and a positive duration gap (3rd option)
This is because funding is by long-term variable rate securities and short term fixed rate assets (loan)
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An FI's balance sheet is characterized by short-term fixed-rate assets funded by long-term variable-rate securities. Most...
Rate-Sensitive Bank Assets Liabilities $5 Variable-rate Loans Short-term Loans Short-term Securities Reserves Variable-rate CDs Money Market...
Rate-Sensitive Bank Assets Liabilities $5 Variable-rate Loans Short-term Loans Short-term Securities Reserves Variable-rate CDs Money Market Deposit Accounts Checkable Deposits Savings Deposits Long-term CDs Equity Capital Long-term Loans Long-term Securities 30 30 Referring to the table above, and using basic gap analysis, this bank's "gap" is $ million. (Round your response to the nearest whole number.) Referring to the table above, if interest rates suddenly increase by two percentage points, then the bank's profits change by $ whole number.) (Round...
A bank with long-term fixed-rate assets funded with short-term rate-sensitive liabilities could do which of the...
A bank with long-term fixed-rate assets funded with short-term rate-sensitive liabilities could do which of the following to limit their interest rate risk? I. Buy a cap. II. Buy an interest rate swap. III. Buy a floor. IV. Sell an interest rate swap. I and II only III only I and IV only II and III only III and IV only
(6 points) 3. The bank you own has the following balance sheet Liabilities with current interest rate Assets with...
(6 points) 3. The bank you own has the following balance sheet Liabilities with current interest rate Assets with current interest rate $5million $20 million Variable: 1% Checking Fixed: 0% Reserves deposits Savings Deposits $25 million Fixed: 2% $10 million Variable: 2% Government Securities Variable: 3 % $10 million Money Market Deposit Accounts $35 million Fixed: 6% Mortgage Loans Bank Capital To be To be $10 million Variable: 7% Short-Term determined determined Loans Business $20 million Fixed: 9% Loans $80...
8. Study the following Balance Sheet. Based on its structure, what is the potential liability to...
8. Study the following Balance Sheet. Based on its structure, what is the potential liability to the bank if interest rates decrease 1% during a 1-year period? Bank “A” Balance Sheet (in $1,000,000s) Assets Liabilities Cash & Cash Equivalents $ 5.00 Demand Deposits $ 508.00 Loans: Fixed-Rate Passbook Accounts $ 978.00 <6-month $ 23.00 3-Mo Comm'l Paper $ 2.70 6-12 months $ 22.00 Time Deposits: 1-year $ 134.00 1-year $ 2,335.50 2-years $ 142.00 2-year $ 1,226.80 >15-years $ 5,567.00...
A bank could reduce asset sensitivity if gap is positive by: A) decreasing its long-term securities...
A bank could reduce asset sensitivity if gap is positive by: A) decreasing its long-term securities as a percentage of total assets B) shortening the average maturity of its loans C) replacing variable rate loans with fixed rate loans D) all of the above E) none of the above
First Duration Bank has the following assets and liabilities on its balance sheet. What is the...
First Duration Bank has the following assets and liabilities
on its balance sheet.
What is the duration of the commercial loans?
First Duration Bank has the following assets and liabilities on its balance sheet Rate Liabilities Par Amount $450 million 70 Par Amount 2-year commercial $400 million loans al fired rate at par 1-year Treasury bulls S100 million 10°. I ar CDs al feed raalpur Net Worth $50 million 7. What is the duration of the commercial loans? A 1.00...
Assets: $200 Reserves; $5000 Short term Bonds; $6000 Long Term Loans Liabilities: $7000 Checkable Deposits; $3000 Fixed...
Assets: $200 Reserves; $5000 Short term Bonds; $6000 Long Term Loans Liabilities: $7000 Checkable Deposits; $3000 Fixed Rate Borrowings; $1200 Capital What is the Gap for this bank and what does it measure? What (be specific) could the bank do to create a gap of zero?
20. A bank has the following balance sheet: Assets Rate sensitive $225,000 Fixed rate 550.000 Nonearning...
20. A bank has the following balance sheet: Assets Rate sensitive $225,000 Fixed rate 550.000 Nonearning 120,000 $895,000 Avg. Rate 6.35% 7.55 Liabilities/Equity Rate sensitive $300,000 Fixed rate 505,000 Nonpaying 90,000 Total $895,000 Avg. Rate 4.25% 6.15 Total Suppose interest rates rise such that the average yield on rate-sensitive assets increases by 45 basis points and the average yield on rate-sensitive liabilities increases by 35 basis points. a. Calculate the bank's repricing GAP. b. Assuming the bank does not change...
A company has funded 10 percent fixed-rate assets with variable-rate liabilities at LIBOR + 2 percent....
A company has funded 10 percent fixed-rate assets with variable-rate liabilities at LIBOR + 2 percent. A bank has funded variable-rate assets with fixed-rate liabilities at 6 percent. The bank's variable-rate assets earn LIBOR + 1 percent. The company and the bank have reached agreement on an interest-rate swap with the fixed-rate swap payment at 6 percent and the variable-rate swap payment at LIBOR. Briefly discuss your results. What will be the net after-swap yield on assets for the bank?
A balance sheet has total assets of $1,474, fixed assets of $1,031, long-term debt of $549,...
A balance sheet has total assets of $1,474, fixed assets of $1,031, long-term debt of $549, and short-term debt of $156. What is the net working capital?
Rate-Sensitive Bank Assets Liabilities $5 Variable-rate Loans Short-term Loans Short-term Securities Reserves Variable-rate CDs Money Market Deposit Accounts Checkable Deposits Savings Deposits Long-term CDs Equity Capital Long-term Loans Long-term Securities 30 30 Referring to the table above, and using basic gap analysis, this bank's "gap" is $ million. (Round your response to the nearest whole number.) Referring to the table above, if interest rates suddenly increase by two percentage points, then the bank's profits change by $ whole number.) (Round...
(6 points) 3. The bank you own has the following balance sheet Liabilities with current interest rate Assets with current interest rate $5million $20 million Variable: 1% Checking Fixed: 0% Reserves deposits Savings Deposits $25 million Fixed: 2% $10 million Variable: 2% Government Securities Variable: 3 % $10 million Money Market Deposit Accounts $35 million Fixed: 6% Mortgage Loans Bank Capital To be To be $10 million Variable: 7% Short-Term determined determined Loans Business $20 million Fixed: 9% Loans $80...
First Duration Bank has the following assets and liabilities
on its balance sheet.
What is the duration of the commercial loans?
First Duration Bank has the following assets and liabilities on its balance sheet Rate Liabilities Par Amount $450 million 70 Par Amount 2-year commercial $400 million loans al fired rate at par 1-year Treasury bulls S100 million 10°. I ar CDs al feed raalpur Net Worth $50 million 7. What is the duration of the commercial loans? A 1.00...
20. A bank has the following balance sheet: Assets Rate sensitive $225,000 Fixed rate 550.000 Nonearning 120,000 $895,000 Avg. Rate 6.35% 7.55 Liabilities/Equity Rate sensitive $300,000 Fixed rate 505,000 Nonpaying 90,000 Total $895,000 Avg. Rate 4.25% 6.15 Total Suppose interest rates rise such that the average yield on rate-sensitive assets increases by 45 basis points and the average yield on rate-sensitive liabilities increases by 35 basis points. a. Calculate the bank's repricing GAP. b. Assuming the bank does not change...
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