QUESTION FOUR (4) a) Suppose that it is JUNE 2022. COCOBOD sells 800,000 tons of premium cocoa at $2,400 for delivery to Cadbury in JUNE 2023. Under what circumstances will the short and the long positions make a profit? Draw a diagram showing how the profit on a long position and a short position vary with the price of the underlying asset at maturity. b) Consider a simplified balance sheet of a financial institution as below: Assets 1. Short-term consumer loans (one year maturity) 2. Long-term consumer loans (two-year maturity) Liabilities GHS50 1. Equity capital(fixed) GHS20 25 2. Demand deposits 40 3. Three-month Treasury bills 4. Six-month Treasury notes 30 3. Passbook savings 35 4. Three-month CDs 424 30 40 5. Three-year Treasury bonds 70 5. Three-month bankers' acceptances 20 20 6. Six-month commercial 6. 10-year fixed-rate mortgages 20 paper 60 7. 30-year floating-rate mortgages (rate adjusted every nine months) 40 7. One-year time deposits 20 8. Two y me deposits 40 270 270 3 Calculate the following iTotal one-year rate-sensitive assets Total one-year rate-sensitive lubilities The cumulative one-year repricing gap (CAP) for tank

QUESTION FOUR (4) a) Suppose that it is JUNE 2022. COCOBOD sells 800,000 tons of premium cocoa at $2,400 for delivery to Cadbury in JUNE 2023. Under what circumstances will the short and the long positions make a profit? Draw a diagram showing how the profit on a long position and a short position vary with the price of the underlying asset at maturity. b) Consider a simplified balance sheet of a financial institution as below: Assets 1. Short-term consumer loans (one year maturity) 2. Long-term consumer loans (two-year maturity) Liabilities GHS50 1. Equity capital(fixed) GHS20 25 2. Demand deposits 40 3. Three-month Treasury bills 4. Six-month Treasury notes 30 3. Passbook savings 35 4. Three-month CDs 424 30 40 5. Three-year Treasury bonds 70 5. Three-month bankers' acceptances 20 20 6. Six-month commercial 6. 10-year fixed-rate mortgages 20 paper 60 7. 30-year floating-rate mortgages (rate adjusted every nine months) 40 7. One-year time deposits 20 8. Two y me deposits 40 270 270 3 Calculate the following iTotal one-year rate-sensitive assets Total one-year rate-sensitive lubilities The cumulative one-year repricing gap (CAP) for tank

Financial Reporting, Financial Statement Analysis and Valuation

8th Edition

ISBN:9781285190907

Author:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw

Publisher:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw

Chapter5: Risk Analysis

Section: Chapter Questions

Problem 13PC: Calculating and Interpreting Risk Ratios. Refer to the financial statement data for Hasbro in...

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Qb 08.
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