A bank analyst is provided with the following balance sheet information for a given bank: Assets...
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A bank analyst is provided with the following balance sheet information for a given bank: Assets (in S millions) Liabilities/ Equity (in S millions) Cash and due from banks Equity capital (fixed) Consumer loans Demand deposits (1-year maturity) Floating-rate commercial loans (repriced every 4 quarters) Three-month T-bills Six-month T-notes 4-year T-bonds 5-year, fixed-rate mortgages Other assets (non-earning) Premises 7.5 65 25 Six-month CDs 44 Nine-month CDs 45 One-month bankers' acceptances 85 Three-month commercial paper 15 2-year time deposits 118 4-year time deposits 5.5 Other liabilities (non-carning) a) Determine and calculate the value of rate-sensitive assets and liabilities. b) Estimate the repricing gap over the next year. 33 44 42 38 12 80 33 44.5 83.5 A bank analyst is provided with the following balance sheet information for a given bank: Assets (in S millions) Liabilities/ Equity (in S millions) Cash and due from banks Equity capital (fixed) Consumer loans Demand deposits (1-year maturity) Floating-rate commercial loans (repriced every 4 quarters) Three-month T-bills Six-month T-notes 4-year T-bonds 5-year, fixed-rate mortgages Other assets (non-earning) Premises 7.5 65 25 Six-month CDs 44 Nine-month CDs 45 One-month bankers' acceptances 85 Three-month commercial paper 15 2-year time deposits 118 4-year time deposits 5.5 Other liabilities (non-carning) a) Determine and calculate the value of rate-sensitive assets and liabilities. b) Estimate the repricing gap over the next year. 33 44 42 38 12 80 33 44.5 83.5
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Related Book For
Financial Markets and Institutions
ISBN: 978-0077861667
6th edition
Authors: Anthony Saunders, Marcia Cornett
Posted Date:
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