Chap008金融机构管理课后题答案讲课教案Word格式.docx
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Chap008金融机构管理课后题答案讲课教案Word格式.docx
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∙EqualChangesinRatesonRSAsandRSLs
∙UnequalChangesinRatesonRSAsandRSLs
WeaknessesoftheRepricingModel
∙MarketValueEffects
∙Overaggregation
∙TheProblemofRunoffs
∙CashFlowsfromOff-BalanceSheetActivities
TheMaturityModel
∙TheMaturityModelwithaPortfolioofAssetsandLiabilities
WeaknessoftheMaturityModel
Summary
Appendix8A:
TermStructureofInterestRates
∙UnbiasedExpectationsTheory
∙LiquidityPremiumTheory
∙MarketSegmentationTheory
SolutionsforEnd-of-ChapterQuestionsandProblems:
ChapterEight
1.WhatwastheimpactoninterestratesoftheborrowedreservestargetingregimeusedbytheFederalReservefrom1982to1993?
Thevolatilityofinterestrateswassignificantlylowerthanunderthenonborrowedreservestargetregimeusedinthethreeyearsimmediatelypriorto1982.Figure8-1indicatesthatboththelevelandvolatilityofinterestratesdeclinedevenfurtherafter1993whentheFeddecidedthatitwouldtargetprimarilythefedfundsrateasaguideformonetarypolicy.
2.Howhastheincreasedleveloffinancialmarketintegrationaffectedinterestrates?
Increasedfinancialmarketintegration,orglobalization,increasesthespeedwithwhichinterestratechangesandvolatilityaretransmittedamongcountries.TheresultofthisquickeningofglobaleconomicadjustmentistoincreasethedifficultyanduncertaintyfacedbytheFederalReserveasitattemptstomanageeconomicactivitywithintheU.S.Further,becauseFIshavebecomeincreasinglymoreglobalintheiractivities,anychangeininterestratelevelsorvolatilitycausedbyFederalReserveactionsmorequicklycreatesadditionalinterestrateriskissuesforthesecompanies.
3.Whatistherepricinggap?
Inusingthismodeltoevaluateinterestraterisk,whatismeantbyratesensitivity?
Onwhatfinancialperformancevariabledoestherepricingmodelfocus?
Explain.
Therepricinggapisameasureofthedifferencebetweenthedollarvalueofassetsthatwillrepriceandthedollarvalueofliabilitiesthatwillrepricewithinaspecifictimeperiod,whererepricemeansthepotentialtoreceiveanewinterestrate.Ratesensitivityrepresentsthetimeintervalwhererepricingcanoccur.Themodelfocusesonthepotentialchangesinthenetinterestincomevariable.Ineffect,ifinterestrateschange,interestincomeandinterestexpensewillchangeasthevariousassetsandliabilitiesarerepriced,thatis,receivenewinterestrates.
4.Whatisamaturitybucketintherepricingmodel?
Whyisthelengthoftimeselectedforrepricingassetsandliabilitiesimportantwhenusingtherepricingmodel?
Thematuritybucketisthetimewindowoverwhichthedollaramountsofassetsandliabilitiesaremeasured.Thelengthoftherepricingperioddetermineswhichofthesecuritiesinaportfolioarerate-sensitive.Thelongertherepricingperiod,themoresecuritieseithermatureorneedtoberepriced,and,therefore,themoretheinterestrateexposure.Anexcessivelyshortrepricingperiodomitsconsiderationoftheinterestrateriskexposureofassetsandliabilitiesarethatrepricedintheperiodimmediatelyfollowingtheendoftherepricingperiod.Thatis,itunderstatestheratesensitivityofthebalancesheet.Anexcessivelylongrepricingperiodincludesmanysecuritiesthatarerepricedatdifferenttimeswithintherepricingperiod,therebyoverstatingtheratesensitivityofthebalancesheet.
5.Calculatetherepricinggapandtheimpactonnetinterestincomeofa1percentincreaseininterestratesforeachofthefollowingpositions:
∙Rate-sensitiveassets=$200million.Rate-sensitiveliabilities=$100million.
Repricinggap=RSARSL=$200$100million=+$100million.
∆NII=($100million)(.01)=+$1.0million,or$1,000,000.
∙Rate-sensitiveassets=$100million.Rate-sensitiveliabilities=$150million.
Repricinggap=RSARSL=$100$150million=-$50million.
∆NII=(-$50million)(.01)=-$0.5million,or-$500,000.
∙Rate-sensitiveassets=$150million.Rate-sensitiveliabilities=$140million.
Repricinggap=RSARSL=$150$140million=+$10million.
∆NII=($10million)(.01)=+$0.1million,or$100,000.
a.Calculatetheimpactonnetinterestincomeoneachoftheabovesituationsassuminga1percentdecreaseininterestrates.
∙∆NII=($100million)(-.01)=-$1.0million,or-$1,000,000.
∙∆NII=(-$50million)(-.01)=+$0.5million,or$500,000.
∙∆NII=($10million)(-.01)=-$0.1million,or-$100,000.
b.Whatconclusioncanyoudrawabouttherepricingmodelfromtheseresults?
TheFIsinparts
(1)and(3)areexposedtointerestratedeclines(positiverepricinggap)whiletheFIinpart
(2)isexposedtointerestrateincreases.TheFIinpart(3)hasthelowestinterestrateriskexposuresincetheabsolutevalueoftherepricinggapisthelowest,whiletheoppositeistrueforpart
(1).
6.Whatarethereasonsfornotincludingdemanddepositsasrate-sensitiveliabilitiesintherepricinganalysisforacommercialbank?
Whatisthesubtle,butpotentiallystrong,reasonforincludingdemanddepositsinthetotalofrate-sensitiveliabilities?
Canthesameargumentbemadeforpassbooksavingsaccounts?
Theregulatoryrateavailableondemanddepositaccountsiszero.AlthoughmanybanksareabletoofferNOWaccountsonwhichinterestcanbepaid,thisinterestrateseldomischangedandthustheaccountsarenotreallysensitive.However,demanddepositaccountsdopayimplicitinterestintheformofnotchargingfullyforcheckingandotherservices.Further,whenmarketinterestratesrise,customersdrawdowntheirDDAs,whichmaycausethebanktousehighercostsourcesoffunds.Thesameorsimilarargumentscanbemadeforpassbooksavingsaccounts.
7.Whatisthegapratio?
Whatisthevalueofthisratiotointerestrateriskmanagersandregulators?
Thegapratioistheratioofthecumulativegappositiontothetotalassetsofthebank.Thecumulativegappositionisthesumoftheindividualgapsoverseveraltimebuckets.Thevalueofthisratioisthatittellsthedirectionoftheinterestrateexposureandthescaleofthatexposurerelativetothesizeofthebank.
8.Whichofthefollowingassetsorliabilitiesfittheone-yearrateorrepricingsensitivitytest?
91-dayU.S.TreasurybillsYes
1-yearU.S.TreasurynotesYes
20-yearU.S.TreasurybondsNo
20-yearfloating-ratecorporatebondswithannualrepricingYes
30-yearfloating-ratemortgageswithrepricingeverytwoyearsNo
30-yearfloating-ratemortgageswithrepricingeverysixmonthsYes
OvernightfedfundsYes
9-monthfixedrateCDsYes
1-yearfixed-rateCDsYes
5-yearfloating-rateCDswithannualrepricingYes
CommonstockNo
9.ConsiderthefollowingbalancesheetforWatchoverUSavings,Inc.(inmillions):
AssetsLiabilitiesandEquity
Floating-ratemortgagesDemanddeposits
(currently10%annually)$50(currently6%annually)$70
30-yearfixed-rateloansTimedeposits
(currently7%annually)$50(currently6%annually$20
Equity$10
TotalAssets$100TotalLiabilities&
Equity$100
a.WhatisWatchoverU’sexpectednetinterestincomeatyear-end?
Currentexpectedinterestincome:
$5m+$3.5m=$8.5m.
Expectedinterestexpense:
$4.2m+$1.2m=$5.4m.
Expectednetinterestincome:
$8.5m$5.4m=$3.1m.
b.Whatwillbethenetinterestincomeatyear-endifinterestratesriseby2percent?
Afterthe200basispointinterestrateincrease,netinterestincomedeclinesto:
50(0.12)+50(0.07)70(0.08)20(.06)=$9.5m$6.8m=$2.7m,adeclineof$0.4m.
c.Usingthecumulativerepricinggapmodel,whatistheexpectednetinterestincomefora2percentincreaseininterestrates?
Wachovia’s'
repricingorfundinggapis$50m$70m=$20m.Thechangeinnetinterestincomeusingthefundinggapmodelis($20m)(0.02)=$.4m.
d.Whatwillbethenetinterestincomeatyear-endifinterestratesincrease200basispointsonassets,butonly100basispointsonliabilities?
Isitreasonableforchangesininterestratestoaffectbalancesheetinanunevenmanner?
Why?
Aftertheunbalancedrateincrease,netinterestincomewillbe50(0.12)+50(0.07)70(0.07)20(.06)=$9.5m$6.1m=$3.4m,anincreaseof$0.3m.Itisnotuncommonforinterestratestoadjustinanunevenmannerovertwosidesofthebalancesheetbecauseinterestratesoftendonotadjustsolelybecauseofmarketpressures.Inmanycasesthechangesareaffectedbydecisionsofmanagement.Thusyoucanseethedifferencebetweenthisanswerandtheanswerforparta.
10.Whataresomeoftheweaknessoftherepricingmodel?
Howhavelargebankssolvedtheproblemofchoosingtheoptimaltimeperiodforrepricing?
Whatisrunoffcashflow,andhowdoesthisamountaffecttherepricingmodel’sanalysis?
Therepricingmodelhasfourgeneralweaknesses:
(1)Itignoresmarketvalueeffects.
(2)Itdoesnottakeintoaccountthefactthatthedollarvalueofratesensitiveassetsandliabilitieswithinabucketarenotsimilar.Thus,ifassets,onaverage,arerepricedearlierinthebucketthanliabilities,andifinterestratesfall,FIsaresubjecttoreinvestmentrisks.
(3)Itignorestheproblemofrunoffs,thatis,thatsomeassetsareprepaidandsomeliabilitiesarewithdrawnbeforethematuritydate.
(4)Itignoresincomegeneratedfromoff-balance-sheetactivities.
Largebanksareabletorepricesecuritieseverydayusingtheirowninternalmodelssoreinvestmentand
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