22
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1.
2.
3.
4.
5.
6.
7.
False
was unchanged;
increased $10
million
The bank's
market value of
equity goes down
because the
market value of
its liabilities
increases by more
than the market
value of its assets
increases
8.
9.
If all interest
rates are
projected to
decrease, to limit
a net value
decline, before
rates fall the bank
should increase
the amount of
long-term loans
on the balance
sheet
fall
10.
11.
12.
13.
fall
14.
15.
16.
17.
18.
19.
20.
21.
22.
[(975/132)
x 3] +
[(39/132) x
16] +
[(18/132) x
0.5] = 6.50
Positive
repricing
gap and
negative
duration
gap
Most likely
the bank
has a
negative
repricing
gap and a
positive
duration
gap;
23.
24.
RSAs RSLs =
[200 + 225]
- [260 + 25]
= $140;
True
True
curvature
around the
bond price
yield
relationship
25.
26.
27.
28.
29.
False
True
30.
31.
32.
FRA = cash +
LT loans = 35 +
250 = $285;
FRL = Fixedrate deposits +
LT borrow =
240 + 119 =
$359
increase the
likelihood of
insolvency
True
underpredicts;
overpredicts
True
True
True
33.
34.
35.
36.
37.
38.
39.
40.
41.
42.
43.
In a bank's three-month
maturity bucket, a 30-year ARM
with a rate reset in six months
would be considered a fixed
rate asset, but in its one-year
maturity bucket, this ARM
would be considered a ratesensitive asset
True
False
True
True
False
True
2.4 - ([(850-82)/850] x
0.9) = 1.5868
44.
fixedrate;
ratesensitive