solution2-2 - FIN 3117 Bank Management NUS Business School...

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FIN 3117 Bank Management Nan Li NUS Business School AY 2009/2010 Semester 2 Practice Questions for Midterm 1. Integrated Mini Case: State Bank’s balance sheet is listed below. Market yields are in parenthesis, and amounts are in millions. Assets Liabilities and Equity Cash $20 Demand deposits $250 Fed funds (5.05%) 150 Savings accounts (1.5%) 20 3-month T-bills (5.25%) 150 MMDAs (4.5%) 340 2-year T-notes (6.50%) 100 (no minimum balance requirement) 8-year T-notes (7.50%) 200 3-month CDs (4.2%) 120 5-year munis (floating rate) 6-month CDs (4.3%) 220 (8.20%, repriced @ 6 months) 50 1-year CDs (4.5%) 375 6-month consumer loans (6%) 250 2-year CDs (5%) 425 1-year consumer loans (5.8%) 300 4-year CDs (5.5%) 330 5-year car loans (7%) 350 5-year CDs (6%) 200 7-month C&I loans (5.8%) 200 Fed funds (5%) 225 2-year C&I loans (floating rate) Overnight repos (5%) 290 (5.15%, repriced @ 6-months) 275 6-month commercial paper (5.05%) 300 15-year variable rate mortgages Subordinate notes: (5.8%, repriced @ 6-months) 200 3-year fixed rate (6.55%) 200 15-year variable rate mortgages Subordinated debt: (6.1%, repriced @ year) 400 7-year fixed rate (7.25%) 100 15-year fixed-rate mortgages (7.85%) 300 Total liabilities $3,395 30-year variable rate mortgages (6.3%, repriced @ quarter) 225 30-year variable rate mortgages (6.4%, repriced @ month) 355 30-year fixed-rate mortgages (8.2%) 400 Premises and equipment 20 Equity 550 Total assets $3,945 Total liabilities and equity $3,945 a. What is the repricing gap if the planning period is 30 days? 6 months? 1 year? 2 years? 5 years? Assets Repricing period Cash $20 Not rate sensitive Fed funds (5.05%) 150 30-day 3-month T-bills (5.25%) 150 6-month 2-year T-notes (6.50%) 100 2-year 8-year T-notes (7.50%) 200 >5 years 5-year munis (floating rate) 6-month (8.20%, repriced @ 6 months) 50 6-month consumer loans (6%) 250 6-month 1-year consumer loans (5.8%) 300 1-year 5-year car loans (7%) 350 5-year
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FIN 3117 Bank Management Nan Li NUS Business School AY 2009/2010 Semester 2 7-month C&I loans (5.8%) 200 1-year 2-year C&I loans (floating rate) 6-months (5.15%, repriced @ 6-months) 275 15-year variable rate mortgages 6-months (5.8%, repriced @ 6-months) 200 15-year variable rate mortgages 1-year (6.1%, repriced @ year) 400 15-year fixed-rate mortgages (7.85%) 300 > 5 years 30-year variable rate mortgages (6.3%, repriced @ quarter) 225 6-month 30-year variable rate mortgages (6.4%, repriced @ month) 355 30-day 30-year fixed-rate mortgages (8.2%) 400 > 5 years Premises and equipment 20 Not rate sensitive Liabilities and Equity Repricing Period Demand deposits $250 Not rate sensitive Savings accounts (1.5%) 20 30-days MMDAs (4.5%) 30-days (no minimum balance requirement) 340 3-month CDs (4.2%) 120 6-month
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solution2-2 - FIN 3117 Bank Management NUS Business School...

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