A. Please answer the following five questions (a to e) based on the XYZ Bank's financial...

 

Transcribed Image Text:

A. Please answer the following five questions ("a" to "e") based on the XYZ Bank's financial statements, etc. (10 points): The balance sheet of XYZ Bank appears below. All figures in millions of US Dollars. Assets Liabilities S 120 S 150 1 Equity capital (fixed) 1 Short-term consumer loans (one-year maturity) 2 Long-term consumer loans 40 125 2 Demand deposits (two-year maturity) 130 3 Passbook savings 3 Three-month Treasury 130 bills 135 4 Three-month CDs 170 5 Three-month bankers 4 Six-month Treasury notes 140 5 Three-year Treasury bond 120 acceptances 120 6 Six-month 6 10-year, fixed-rate 160 mortgages 7 30-year, floating-rate mortgages (rate adjusted every nine months) commercial paper 140 7 One-year time deposits 120 8 Two-year time deposits 40 $970 S970 a. Total one-year rate-sensitive assets is Total one-year rate-sensitive liabilities is с. The cumulative one-year repricing gap (CGAP) for the bank is d. The gap ratio is Suppose that interest rates increase by 1 percent on both RSAS and RSLS. The expected annual change in net interest income of the bank is e. A. Please answer the following five questions ("a" to "e") based on the XYZ Bank's financial statements, etc. (10 points): The balance sheet of XYZ Bank appears below. All figures in millions of US Dollars. Assets Liabilities S 120 S 150 1 Equity capital (fixed) 1 Short-term consumer loans (one-year maturity) 2 Long-term consumer loans 40 125 2 Demand deposits (two-year maturity) 130 3 Passbook savings 3 Three-month Treasury 130 bills 135 4 Three-month CDs 170 5 Three-month bankers 4 Six-month Treasury notes 140 5 Three-year Treasury bond 120 acceptances 120 6 Six-month 6 10-year, fixed-rate 160 mortgages 7 30-year, floating-rate mortgages (rate adjusted every nine months) commercial paper 140 7 One-year time deposits 120 8 Two-year time deposits 40 $970 S970 a. Total one-year rate-sensitive assets is Total one-year rate-sensitive liabilities is с. The cumulative one-year repricing gap (CGAP) for the bank is d. The gap ratio is Suppose that interest rates increase by 1 percent on both RSAS and RSLS. The expected annual change in net interest income of the bank is e.

Answer rating: 100% (QA)

Solution rate Total one Jear denaitive anch dhort kerm Con... View the full answer