阴离子
1. Consider the following balance sheet for WatchoverU Savings, Inc. (in millions):
Asts Liabilities and Equity
Floating-rate mortgages 1-year time deposits
(currently 10% annually) $50 (currently 6% annually) $70
30-year fixed-rate loans 3-year time deposits
(currently 7% annually) $50 (currently 7% annually) $20
Equity $10
Total Asts $100edp Total Liabilities & Equity $100
a. What is WatchoverU’s expected net interest income at year-end?
Current expected interest income: $50m(0.10) + $50m(0.07) = $8.5m.
vitamindExpected interest expen: $70m(0.06) $20m(0.07) = $5.6m.
Expected net interest income: $8.5m $5.6m = $2.9m.
b. What will net interest income be at year-end if interest rates ri by 2 percent?
After the 200 basis point interest rate increa, net interest income declines to:
50(0.12) + 50(0.07) 70(0.08) 20(.07) = $9.5m $7.0m = $2.5m, a decline of $0.4m.
c. Using the cumulative repricing gap model, what is the expected net interest income for a 2 percent increa in interest rates?
Wachovia’s' repricing or funding gap is $50m $70m = $20m. The change in net interest income using the funding gap model is ($20m)(0.02) = $.4m.
d.What will net interest income be at year-end if interest rates on RSAs increa by 2 percent but interest rates on RSLs increa by 1 percent? Is it reasonable for changes in interest rates on RSAs and RSLs to differ? Why?
After the unequal rate increas, net interest income will be 50(0.12) + 50(0.07) 70(0.0
7) 20(.07) = $9.5m $6.3m = $3.2m, an increa of $0.3m. It is not uncommon for interest rates to adjust in an unequal manner on RSAs versus RSLs. Interest rates often do not adjust solely becau of market pressures. In many cas the changes are affected by decisions of management. Thus, you can e the difference between this answer and the answer for part a.
2. U the following information about a hypothetical government curity dealer named M.P. Jorgan. Market yields are in parenthesis, and amounts are in millions.
fleshgetAsts Liabilities and Equity
Cash $10 Overnight repos $170
dressy 1-month T-bills (7.05%) 75 Subordinated debt英汉互译在线翻译
3-month T-bills (7.25%) 75 7-year fixed rate (8.55%) 150
2-year T-notes (7.50%) 50
唐突是什么意思
8-year T-notes (8.96%) 100
5-year munis (floating rate)
(8.20% ret every 6 months) 25 Equity 跟我学 15
Total asts $335 Total liabilities & equity $335
a. What is the repricing gap if the planning period is 30 days? 3 months? 2 years? Recall that cash is a noninterest-earning ast.
Repricing gap using a 30-day planning period = $75 $170 = $95 million.
Repricing gap using a 3-month planning period = ($75 + $75) $170 = -$20 million.
Reprising gap using a 2-year planning period = ($75 + $75 + $50 + $25) $170 = +$55 million.
a的写法 b. What is the impact over the next 30 days on net interest income if interest rates increa 50 basis points? Decrea 75 basis points?
If interest rates increa 50 basis points, net interest income will decrea by $475,000.
NII = CGAP(R) = $95m.(.005) = -$0.475m.
If interest rates decrea by 75 basis points, net interest income will increa by $712,500. NII = CGAP(R) = $95m.(-.0075) = $0.7125m.
c.The following one-year runoffs are expected: $10 million for two-year T-notes and $20 million for eight-year T-notes. What is the one-year repricing gap?
The repricing gap over the 1-year planning period = ($75m. + $75m. + $10m. + $20m. + $25m.) $170m. = +$35 million.
d. If runoffs are considered, what is the effect on net interest income at year-end if interest rates ri 50 basis points? Decrea 75 basis points?
If interest rates increa 50 basis points, net interest income will increa by $175,000. NII = CGAP(R) = $35m.(0.005) = $0.175m.
If interest rates decrea 75 basis points, net interest income will decrea by $262,500. NII = CGAP(R) = $35m.(-0.0075) = -$0.2625m.
3. A bank has the following balance sheet:
Asts Avg. Rate Liabilities/Equity Avg. Rate
Rate nsitive $550,000 7.75% Rate nsitive $375,000 6.25%
Fixed rate 755,000 8.75 Fixed rate 805,000 7.50
Nonearning 265,000 Non paying 390,000英文翻译中文
Total $1,570,000 Total $1,570,000
Suppo interest rates ri such that the average yield on rate nsitive asts increas
by 45 basis points and the average yield on rate nsitive liabilities increas by 35 basis points.
a. Calculate the bank’s repricing GAP and gap ratio.
