Tiêu đề Revision 6.6 QTNHTM.docx ✅

4. ABC Bank estimates that over the next 24 hours the following cash inflows and outflows will occur (all figures in millions of dollars): Deposit withdrawals $115 Sales of bank assets $ 53 Deposit inflows 105 Stockholder dividend payments 164 Scheduled loan repayments 96 Revenues from sale of nondeposit services 103 Acceptable loan requests 67 Repayments of bank borrowings 68 Borrowings from the money market 84 Operating expenses 59 What is this bank’s projected net liquidity position in the next 24 hours? From what sources can the bank cover its liquidity needs? 5. Consider a scenario where ABC Bank is navigating a week packed with various financial transactions. The bank is evaluating new high-quality loan requests totalling $165 million. In an effort to diversify its investment portfolio, it plans to invest $85 million in newly issued municipal bonds. It also anticipates drawdowns on established credit lines with top corporate clients amounting to $160 million. Further, ABC Bank has already received deposits and other customer funds today amounting to $190 million. Moreover, it is expecting an influx of funds from maturing corporate bonds worth $55 million and projected new deposits over the next week expected to total $120 million. Additionally, interest payments from other investments are anticipated to bring in another $20 million. Your task is to calculate the absolute value of ABC Bank's available funds gap. 6. ABC Bank presents us with these figures for the year just concluded. Please determine the net profit margin, equity multiplier, asset utilization ratio, and ROE. Net income $ 39.00 Total operating revenues 130.00 Total assets 1.800.0 0 Total equity capital accounts 215.00 7. A bank’s weighted average asset duration is 10 years. Its total liabilities amount to $925 million, while its assets total 1.3 billion dollars. What is the dollar-weighted duration of the bank’s liability portfolio if it has a zero leverage-adjusted duration gap? 8. ABC Bank currently has the following interest-sensitive assets and liabilities on its balance sheet with the interest-rate sensitivity weights noted. Interest-Sensitive Assets $ Amount Rate Sensitivity Index Federal fund loans $ 50.00 1.00 Security holdings 50.00 1.20 Loans and leases 350.00 1.45 Interest-Sensitive Liabilities $ Amount Rate Sensitivity Index
Interest-bearing deposits $ 250.00 0.75 Money-market borrowings 90.00 0.95 What is the bank’s current interest-sensitive gap? 9. ABC Bank holds assets and liabilities whose average durations and dollar amounts are as shown in this table: Asset and Liability Items Avg. Duration (years) Dollar Amount (millions) Investment Grade Bonds 15.00 $65.00 Commercial Loans 3.00 $400.00 Consumer Loans 7.00 $250.00 Deposits 1.25 $600.00 Nondeposit Borrowings 0.50 $50.00 What is the weighted average duration of ABC asset portfolio and liability portfolio? What is the leverage-adjusted duration gap? 10. Why do financial firms face significant liquidity management problems? 11. When is a financial firm asset sensitive? Liability sensitive? 12. What do the following terms mean: Asset management? Liability management? Funds management? 13. What forces cause interest rates to change? What kinds of risk do financial firms face when interest rates change? 14. What makes it so difficult to correctly forecast interest rate changes?