The following is simplified data from the 2019 annual report of Oaks United Bank. In this...
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The following is simplified data from the 2019 annual report of Oaks United Bank. In this question, you will calculate various data using maturity buckets and repricing gaps. The following are the facts about the bank's assets and liabilities: The bank has vault cash and non-interest-bearing federal reserve holdings of $172M. • The bank's trading portfolios are primarily tbills and some commercial paper. For the purpose of this analysis, the portfolios approximate $945M of 1-month tbills, $630M of 6-month tbills, and $85M of commercial paper maturing in 90 days (3 months or slightly less) • The bank has a portfolio of commercial loans. These are fixed-rate loans hand have a mix of maturities. Of the total amount of $1,388M, $477M matures between 2 and 5 years, with the remaining balance maturing over 5 years. • The other loans in the banks portfolios are all mortgages. The company has $3,416M in total, split between $950M of variable-rate mortgages and $2,466M fixed-rate: o The variable-rate mortgage portfolio has a spectrum of repricing dates, depending on when the homeowner took out the mortgage. Approximately $450M reprice in 4 to 5 months, with the remainder clustered around 9 months. • o The fixed-rate portfolio is very simple, all these mortgages mature over five years in the future. The bank has real assets, property, equipment, some goodwill from a previous acquisition, all totaling $213M. • . The bank has non-interest-bearing deposits of $1,638M. Time deposits and CDs total $2,756M: o The majority of the time deposits, $1,833M reprice or mature in 3 months, none maturing in the next month. A small amount of time deposits totaling $278M reprice or mature between seven and nine months - these are some "legacy" accounts from many years ago - they were all issued around the same time. o The remaining $645M (of the $2,756M in total) are CDs. The bank sells CDs with original maturities from 6 months to 5 years. Of the $645M, a small amount, $65M mature between one and two months, $297M mature between four and six months, $127M mature between seven and twelve months. The remaining amount matures over one year from today. The bank has short-term borrowings from federal agencies of $265M, these loans roll-over and reprice every three months. The next time this will happen is one month from today. The bank also has issued bonds in the past currently $957M are recorded on the balance sheet, and these coupon bonds mature in seven years. Finally, the bank has shareholders' equity of $1,233M. a) Create a table showing the gap and cumulative gap for this bank using the standard maturity buckets. b) What is the 1-year cumulative GAP for the bank? c) If rates increase by 25bps for ALL RSA and RSL, what is the annualized effect on NII for 1-year cumulative GAP? ● ● ● The following is simplified data from the 2019 annual report of Oaks United Bank. In this question, you will calculate various data using maturity buckets and repricing gaps. The following are the facts about the bank's assets and liabilities: The bank has vault cash and non-interest-bearing federal reserve holdings of $172M. • The bank's trading portfolios are primarily tbills and some commercial paper. For the purpose of this analysis, the portfolios approximate $945M of 1-month tbills, $630M of 6-month tbills, and $85M of commercial paper maturing in 90 days (3 months or slightly less) • The bank has a portfolio of commercial loans. These are fixed-rate loans hand have a mix of maturities. Of the total amount of $1,388M, $477M matures between 2 and 5 years, with the remaining balance maturing over 5 years. • The other loans in the banks portfolios are all mortgages. The company has $3,416M in total, split between $950M of variable-rate mortgages and $2,466M fixed-rate: o The variable-rate mortgage portfolio has a spectrum of repricing dates, depending on when the homeowner took out the mortgage. Approximately $450M reprice in 4 to 5 months, with the remainder clustered around 9 months. • o The fixed-rate portfolio is very simple, all these mortgages mature over five years in the future. The bank has real assets, property, equipment, some goodwill from a previous acquisition, all totaling $213M. • . The bank has non-interest-bearing deposits of $1,638M. Time deposits and CDs total $2,756M: o The majority of the time deposits, $1,833M reprice or mature in 3 months, none maturing in the next month. A small amount of time deposits totaling $278M reprice or mature between seven and nine months - these are some "legacy" accounts from many years ago - they were all issued around the same time. o The remaining $645M (of the $2,756M in total) are CDs. The bank sells CDs with original maturities from 6 months to 5 years. Of the $645M, a small amount, $65M mature between one and two months, $297M mature between four and six months, $127M mature between seven and twelve months. The remaining amount matures over one year from today. The bank has short-term borrowings from federal agencies of $265M, these loans roll-over and reprice every three months. The next time this will happen is one month from today. The bank also has issued bonds in the past currently $957M are recorded on the balance sheet, and these coupon bonds mature in seven years. Finally, the bank has shareholders' equity of $1,233M. a) Create a table showing the gap and cumulative gap for this bank using the standard maturity buckets. b) What is the 1-year cumulative GAP for the bank? c) If rates increase by 25bps for ALL RSA and RSL, what is the annualized effect on NII for 1-year cumulative GAP? ● ● ●
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Related Book For
Auditing The Art And Science Of Assurance Engagements
ISBN: 9780136692089
15th Canadian Edition
Authors: Alvin A. Arens, Randal J. Elder, Mark S. Beasley, Chris E. Hogan, Joanne C. Jones
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