馃攳
Asset/Liability Management - Chapter 4 - Quiz - YouTube
Channel: DNA Training & Consulting
[0]
this final chapter chapter 4 contains
[5]
six quiz questions to test your
[8]
understanding of the materials covered
[11]
in this module question 1 a bank uses
[22]
the following time buckets in its Gap
[24]
report as of today January 1st 2010 the
[34]
bank has the following interest
[37]
sensitive assets $10,000,000 overnight
[42]
placement with other financial
[44]
institutions 5-year linearly amortized
[49]
fixed-rate loan booked on June 1 2007
[55]
with initial principal amount of 50
[58]
million dollars 10-year Treasury bond
[63]
with 100 million dollar face value
[66]
purchased at par on its issue date of
[70]
March 1st 2003 year linearly amortized
[79]
floating-rate loan booked on September 1
[82]
2009 with original principal amount of
[86]
60 million dollars and paying six months
[89]
LIBOR plus 50 basis points finally ten
[96]
year fixed rate bullet mortgage loan
[99]
booked on June 1 2009 with original
[104]
principal amount of 100 million dollars
[108]
the bank expects pre payments of ten
[110]
percent of outstanding principal
[114]
annually over the life of the loan the
[121]
total assets in the one day to three
[124]
month three months to one year and
[128]
greater than two year buckets are and
[133]
here are the four permissible answers
[141]
solution to question one we slot each of
[145]
the assets in the gap report as follows
[148]
the ten million dollar overnight
[150]
placement is slotted in the overnight
[153]
bucket for the five-year linearly
[157]
amortized fixed-rate loan the remaining
[161]
maturity is two years and five months
[163]
and the outstanding principal is 30
[167]
million the 30 million is slotted as ten
[173]
million in five months which falls into
[177]
the three months to one year bucket ten
[181]
million in one year and five months
[183]
which falls into the one year to two
[185]
year budget and ten million in two years
[188]
and five months which falls into the
[191]
greater than to your bucket for the 10
[199]
year US Treasury bond with 100 million
[203]
dollars face value purchased at par on
[207]
its issue date of March 1 2000 the
[210]
remaining maturity is two months so the
[214]
face value of one hundred million
[215]
dollars is slaughtered in the one day to
[217]
three month bucket the three year
[223]
linearly amortized floating rate loan
[227]
booked on September 1 2009 with an
[230]
original principal amount of sixty
[233]
million dollars pays six month LIBOR
[236]
plus 50 basis points so as a floating
[240]
rate loan it is slaughtered according to
[243]
its next repricing date which is March 1
[247]
2010
[249]
so in the one-day to three-month bucket
[258]
the 10-year bullet mortgage loan being a
[262]
fixed-rate loan is slaughtered in
[264]
accordance with its remaining maturity
[267]
which is nine years and five months
[270]
however the bank expects pre payments of
[273]
ten percent of outstanding principal
[277]
annually over the life of the loan which
[281]
are taken into consideration when
[283]
preparing the Gap report
[286]
therefore ten million is considered to
[290]
come due in five months time ie the
[293]
three months to one year bucket nine
[296]
million ten percent of the then
[299]
outstanding principal of ninety million
[301]
in the one year and five month time
[305]
period
[306]
hence the one year to two year budget
[308]
and the remaining 81 million in the
[313]
greater than two year bucket
[315]
thus aggregating all positions we get
[323]
this Gap report here therefore the
[330]
correct answer is a question two
[339]
assume the bank in question one has the
[342]
following interest-sensitive liabilities
[347]
ten million of interbank money market
[350]
deposits with an average maturity of one
[353]
month fifty million dollars of six month
[358]
CDs issued at par on December 1 2009
[364]
five year fixed rate bond issued at par
[367]
on January 1 2009 with a face value of
[371]
one hundred and ten million dollars and
[375]
finally 100 million of demand deposits
[379]
with an estimated 90% core portion and a
[385]
volatile portion of ten percent the
[393]
cumulative gaps as percentages of total
[396]
assets for the one day to three month
[401]
three months to one year and greater
[405]
than two year buckets are and here are
[410]
the four permissible answers
[418]
solution to question two we slot each of
[423]
the liabilities in the gap report as
[426]
follows the ten million of interbank
[430]
money market deposits are slotted as per
[433]
their one-month contractual maturity
[436]
which means the one day two three month
[439]
bucket the fifty million of six month
[446]
CDs are treated similarly since they
[450]
were issued on December 1 their
[453]
contractual maturity falls in five
[455]
months which corresponds to the three
[459]
months to one year bucket the five year
[464]
fixed rate bond is slotted as per its
[467]
remaining maturity four years in this
[470]
case which corresponds to the more than
[474]
two year bucket the hundred million
[479]
demand deposits are slotted as per their
[482]
volatile core assumption with the 10
[487]
percent volatile portals lotted in the
[490]
overnight bucket and the 90% core
[493]
portion in the more than two year bucket
[500]
aggregating all liabilities gives us
[503]
this
[508]
we now calculate the gaps cumulative
[512]
gaps and cumulative gaps as a percentage
[516]
of total assets by aggregating assets
[520]
and liabilities in the same report as
[523]
follows
[533]
the cumulative gaps as percentages of
[536]
total assets for the one day to three
[539]
month three month to one year and more
[542]
than two year buckets are there for 50
[545]
percent 40 percent and 10 percent and
[549]
therefore the correct answer is C
[560]
question 3 still using the data in
[565]
question to assume the institution's
[568]
limits on cumulative gaps as percentages
[572]
of total assets are as follows which of
[582]
the following strategies asurs
[585]
compliance with the limits here are the
[590]
4 permissible answers
[598]
solution to question three we proceed to
[602]
include each of these in the gap report
[606]
alternatively and calculate the
[610]
resulting cumulative gaps as percentages
[614]
of total assets here is the outcome if
[620]
we use the Frog
[633]
here is the outcome if we use the
[637]
five-year pay fixed IRS here is the
[647]
outcome if we use the five-year receive
[650]
fixed IRS
[657]
and finally here is the outcome if we
[662]
use the three-year receive fixed IRS
[670]
therefore the correct answer is d isn't
[674]
david question for assume the bank in
[686]
question three adopted the correct
[689]
strategy and thus ended up with the
[693]
following gaps assuming each gap amount
[703]
is spread evenly across its time bucket
[708]
the impact of a 100 basis point upward
[712]
shift on the bank's expected net
[715]
interest income over the next 12 months
[718]
using the actual 360 day count
[722]
convention would be here are the four
[726]
permissible answers
[733]
solution to question four since each gap
[737]
amount is spread evenly across its time
[740]
bucket we assume a repricing date
[743]
falling on the buckets midpoint we now
[749]
calculate the impact of the hundred
[752]
basis points if on expected net interest
[757]
income over the next 12 months using the
[762]
actual 360 convention the only affected
[769]
buckets are those ending within the
[771]
12-month horizon therefore the following
[775]
table summarizes the calculations and
[782]
therefore the correct answer is a
[792]
question 5 consider the following
[796]
simplified bank balance sheet
[807]
current zero coupon rates using a
[812]
semiannual compounding and actual
[815]
360-day Camp Invention are shown here
[822]
assuming that the maximum behavioral
[825]
maturity for assets and liabilities is
[829]
capped at two years the market value of
[834]
equity and the modified duration of
[837]
equity are here are the four permissible
[842]
answers
[849]
work sheet q5 solution shows the
[852]
necessary steps in the required
[854]
calculations we first calculate the
[860]
discount factors and six month LIBOR
[865]
forwards to be used in the next steps
[870]
then the market value and modified
[881]
duration of each asset is calculated in
[887]
the table underneath
[895]
the market value and modified duration
[898]
of total assets are calculated in cells
[903]
q 18 and q 19 we now repeat the same
[914]
calculations for liabilities in this
[921]
third table to obtain in cells P 29 and
[933]
P 30 the market value and modified
[937]
duration for total liabilities finally
[948]
the mod market value in modified
[950]
duration of equity are programmed in
[954]
cells P 33 and P 34 and reveal values of
[964]
26 million one hundred forty six
[966]
thousand nine hundred and ten and - 2.66
[975]
therefore the answer is a as an apple
[983]
question six using the same inputs as in
[988]
question five and applying the Basel
[991]
standardized model the net weighted
[996]
position of the banking book is here are
[1001]
the four permissible answers obviously
[1005]
you should start from worksheet B is
[1009]
simple BS and make appropriate
[1012]
amendments rather than going straight to
[1016]
the worksheet Cusick solution worksheet
[1024]
Q six solution sets forth the necessary
[1026]
calculations we slot assets in the
[1035]
maturity ladder starting in cell J 21
[1040]
each asset is slotted as per its
[1043]
repricing tenor
[1051]
we do the same for liabilities starting
[1055]
in j30 eight
[1064]
finally we apply the Basel methodology
[1068]
aggregating all assets and liabilities
[1071]
in these cells
[1073]
oh for two Oh 16 then applying the
[1080]
weighting factors stipulated in the
[1082]
rules the net position of the banking
[1091]
book is programmed in this cell P 17 and
[1096]
reveals a value of negative 1 million
[1100]
75,000 and $800 therefore the correct
[1106]
answer is C as in Charles
Most Recent Videos:
You can go back to the homepage right here: Homepage