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1. What is the bank's equity to asset ratio? a. $160 million b. 6.04% c. 3.73% d. 5.4% e. 8.31%

1. What is the bank's equity to asset ratio? a. $160 million b. 6.04% c. 3.73% d. 5.4% e. 8.31%

FINANCIAL ACCOUNTING
FINANCIAL ACCOUNTING
10th Edition
ISBN:9781259964947
Author:Libby
Publisher:Libby
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
Problem 1Q
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3. Bank of Baruch (BOOK VALUES-$ millions) Assets: 270 day US Treasury bills 1 year construction note 5 yr SOFR-based C&I loans 10 year US Treasury bonds 15 yr commercial mortgages Liabilities: $350 Demand deposits $900 1 year Certificates of Deposit $800 $200 5 year Notes $700 30 year Subordinated debt $500 Equity 066$ $100 Notes: The 270-day US Treasury bills yield 2.25% p.a. The one-year construction note has a coupon rate of 9% p.a. paid semi-annually and a yield of 8.5% p.a. with 0% amortization. The 5-year C&I loans, with a quarterly roll date, priced at SOFR + 400 basis points, are currently selling at par. The 10 year U.S. Treasury bonds have a 4% p.a. coupon, yield 3.5% p.a., and have a duration of 8.38 years. The 15 year commercial mortgages are 100% amortized, have a fixed quarterly coupon, yield 5.5% p.a., are priced at par, and have a duration of 6.6 years. The Demand deposits pay no interest, are priced at par and turn over (reset) every quarter. The 1 year Certificates of Deposit have an annual coupon rate of 0.20% p.a. and are priced at par. The 5 year notes have a fixed 4% p.a. quarterly coupon rate, are priced at par with a duration of 4.63 years. The 30 year Subordinated bullet bond has a coupon rate of 8% p.a. paid semi-annually, yields 7.4% p.a. and has a duration of 12.28 years. 1. What is the bank's equity to asset ratio? a. $160 million b. 6.04% c. 3.73% d. 5.4% e. 8.31% What is the 181 day cumulative repricing gap? a -$790 million b. -$5.81 million c. -$445.81 million d. -$440 million e. +$9.25 million 2. What is the impact on the bank's net interest income if interest rates increase 25 basis points over the next 181 days?
Transcribed Image Text:3. Bank of Baruch (BOOK VALUES-$ millions) Assets: 270 day US Treasury bills 1 year construction note 5 yr SOFR-based C&I loans 10 year US Treasury bonds 15 yr commercial mortgages Liabilities: $350 Demand deposits $900 1 year Certificates of Deposit $800 $200 5 year Notes $700 30 year Subordinated debt $500 Equity 066$ $100 Notes: The 270-day US Treasury bills yield 2.25% p.a. The one-year construction note has a coupon rate of 9% p.a. paid semi-annually and a yield of 8.5% p.a. with 0% amortization. The 5-year C&I loans, with a quarterly roll date, priced at SOFR + 400 basis points, are currently selling at par. The 10 year U.S. Treasury bonds have a 4% p.a. coupon, yield 3.5% p.a., and have a duration of 8.38 years. The 15 year commercial mortgages are 100% amortized, have a fixed quarterly coupon, yield 5.5% p.a., are priced at par, and have a duration of 6.6 years. The Demand deposits pay no interest, are priced at par and turn over (reset) every quarter. The 1 year Certificates of Deposit have an annual coupon rate of 0.20% p.a. and are priced at par. The 5 year notes have a fixed 4% p.a. quarterly coupon rate, are priced at par with a duration of 4.63 years. The 30 year Subordinated bullet bond has a coupon rate of 8% p.a. paid semi-annually, yields 7.4% p.a. and has a duration of 12.28 years. 1. What is the bank's equity to asset ratio? a. $160 million b. 6.04% c. 3.73% d. 5.4% e. 8.31% What is the 181 day cumulative repricing gap? a -$790 million b. -$5.81 million c. -$445.81 million d. -$440 million e. +$9.25 million 2. What is the impact on the bank's net interest income if interest rates increase 25 basis points over the next 181 days?
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