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2.Thesalesliteratureofamutualfundclaimsthatthefundhasnoriskexposuresinceitinvestsexclusivelyinfederalgovernmentsecuritiesthatarefreeofdefaultrisk.Isthisclaimtrue?Explainwhyorwhynot.theassetisofnotheareinterestraterisk.Forexample,ifinterestthemarketoftheportfoliowilldecrease.Further,ifyieldwilllesstheexpectedrateofreturnbecauseofIneitherliquidatepositionsinNetAsset(NAV)thatlowertheprice.Whatismarketdoresultsofrisksurfacetheoperatingperformanceoffinancialinstitutions?actionscanbetakenbymanagementtominimizetheeffectsofrisk?Marketisthefromassetsandliabilities’sbookduetochangesinrates,exchangerates,andotherprices.anythattradesandliabilities.Therisksurfacebecauseofchangesinrates,exchangerates,oranyotherfinancialassetsareheldonsheet.Marketriskcanbeminimizedbyusingappropriatehedgingtechniquessuchoptions,andandbyimplementingcontrolslimittheamountofexposuretakenbymarketmakers.?istheriskpromisedcashflowsfromloansandsecuritiesFIsfull.moneyforlongperiodsoftime,whetherloansbuyingbonds,aretoriskthanthoseinvestmenthorizons.Forexample,lifecompaniesanddepositorymustalongertimeforreturnsberealizedmoneymarketfundscompanies.Foreignxchangeistheriskthatexchangeratechangescanvalue’sassetsandliabilitiesdenominatedinnon-domesticFIisnetin1

whencurrency-denominatedexceedthecurrencydenominatedliabilities.Inthiscase,FIlossesifthedomesticstrengthensrelativetotheforeignwhenrepaymentoftheassetswilloccurintheAnFIinwhenthecurrency-denominatedliabilitiesexceedthecurrencydenominatedInthiscase,lossesifthecurrencyweakensrelativetotheforeignwhenrepaymentofthewilloccurindomesticisrepricinggap?Inusingthismodelevaluateinterestrisk,whatismeantbyratesensitivity?Onwhatfinancialperformancevariabledoestherepricingmodelfocus?Explain.Therepricinggapaofthebetweenthedollarofthatwilldollarvalueliabilitiesthatwillrepricewithinaspecificmeansthetoainterestrate.timeintervalwhererepricingoccur.Theontheintheinterestvariable.Ineffect,ifinterestchange,interestwilltheassetsandliabilitiesarerepriced,thatinterest7.UsethefollowinginformationaboutahypotheticalgovernmentsecuritydealernamedM.P.Jorgan.Marketyieldsareinparenthesis,amountsaremillions.8.11AssetsCash1T-bills(7.05%)3T-bills(7.25%)2yearT-notes(7.50%)8yearT-notes(8.96%)

$10757550100

LiabilitiesandEquityOvernightReposSubordinateddebt7-yearfixed(8.55%

$1701505yearmunis(floatingrate)(8.20%reseteverymonths)TotalAssets

25$335

EquityTotalLiabilities&Equity

15$335a.Whatistheorrepricinggapiftheperiodis30days?91days?2Recallthatcashisanoninterest-earningasset.Fundingorusinga30-dayplanning=75-170=million.Fundinggapusing91-dayplanningperiod=-170=-$20million.Fundinggapusingtwo-yearperiod=+75+50+25)170=million.b.isthethe30daysoninterestincomeifallinterestrisebasis75points?Netincomewilldeclineby$475,000.NIIFG(=-95(.005)=Netincomewillincreaseby$712,500.FG(=-95(.0075)2

8.a.

followingare$10forT-notes,millionforrepricingFundingortheplanning=(75+75+10+20+-170=million.d.Ifrunoffswhattheeffectoninterestatyear-endifinterestratesrise50points?75points?Netincomewillincreaseby$175,000.FG(=35(0.005)=Netincomewillby$262,500,NII=FG(=35(-0.0075)=$20millionin$180portfolio.Theassetsarefundedwithof$18million,$162CDand$20inequity.Theportfoliomaturityof2years,interestatofamortizedmonthly.bank7percentinterestonCD,butinterestwillbepaiduntiltheCDmaturestheof2WhatmaturitygapforConsumerBank?M=[0*$20+=AM=[0*$18+=L==0years.b.Isimmunizedorchangesininterestrates?WhywhyIttemptingtothebankisimmunizedbecausethethecashflowstreamloantheflowforaredifferenttheloantheCDpaysinterestonCD.ThusinwillaffectoftheinterestoftheCD.DoesConsumerinterestrateifmarketor1whattovalueofThebankinterestrateIfmarketincrease1percent,valuethedemanddepositschange.thevalueoftheloanwilldecreasetotheofwillfallto$159.01.Thusvalueofequitywill($178.19$20$18$159.01)Inthiscaseininterestratescausesmarketvalueequitytoincreasethereinvestmentonthepayments.Ifratesdecrease1percent,valueofto$181.84,theof$165.07.Thusvalueofequitydecreasesto$18.77.d.canaininterestcreateinterestTheamortizedwouldbelowerThusinteresthavedecreased,flowpatternsofloantheCDinterest3

9.havethattheofbondfrom$995YTMfellfrom9.75percentto9.25percent.durationofthebond?WeknowD

(1)

20975

D10.Ifyouonlyimmunizeportfolio,threeaffectchangesnetworthoffinancialinstitutioninterestThenetworthgiveninterestratesisgivenbythefollowingequation:Thus,factorsimportantin1)[D-Dk]orleveragedadjustedThelargertheFIchangesininterest2)orofThethelargeristhetorate3)Δ/1+Rorlargerlargeristheinterestrateriskexposure.11.

Whatmeantbyrisk()?Whatarethethreemeasurablecomponents?ispricevolatilitycomponent?DEARDailyEarningsatRiskisthepotentiallossofportfolio'svalueoverunwindperiodasaresultofinconditions,suchasininterestrates,exchangevolatility.DEARisof(a)thedollarvalueofpriceofassetstochangesthefactor,(c)theintheyield.ofpricesensitivitytheassettheintheprovidesprice12.Bankhasportfolioofbondswithavaluemillion.Thebondshaveanestimatedpricevolatilityof0.95percent.WhataretheDEARandthe10-dayforthesebonds?Daily(DEAR)=($ofx$200millionxor$1,900,000at=DEARx=xx3.1623=$6,008,327.5513.ThefollowingtheforeigncurrencypositionsofFI,expressedindollars.15.5AssetsLiabilitiesFXBoughtFXSoldSwissfranc(SF)$125,000$10,000Britishpound50,00022,00015,00020,000Japaneseyen(¥)75,00030,00012,00088,000a.WhatistheFI’snetexposureSwissfrancs?NetinSwissb.WhatistheFI’snetexposureBritishpounds?NetinBritishpounds=$23,000.4

WhatistheFI’snetexposureinJapaneseyen?Netinyen=-$31,000d.istheexpectedorgainifexchangeappreciatesby1Ifareliabilities,thenanofexchangewilla=x=e.istheexpectedorgainifexchangerateappreciatesby1Gainx=f.istheexpectedoriftheexchangeappreciatesby2-$31,000x=-$6,200练习:Calculatetherepricingandtheimpactonnetinterestofa1percentininterestratesforofthefollowingpositions:Rate-sensitiveassetsmillion.Rate-sensitiveliabilities=$100million.RepricingRSARSL=$200million=+$100million.Rate-sensitiveassetsmillion.Rate-sensitiveliabilities=$150million.RepricingRSARSL=$100$150million=million.-$50million)(.01)=-$0.5million,orRate-sensitiveassetsmillion.Rate-sensitiveliabilities=$140million.RepricingRSARSL=$150million=+$10million.练习:ofthefollowingassetsliabilitiesfittheone-yearrateorrepricingsensitivity

U.S.billsYesU.S.TreasurynotesYes20-yearU.S.bondsNo20-yearfloating-ratewithannualrepricingYes30-yearfloating-ratemortgageswithrepricingeverytwoyearsNo30-yearfloating-ratemortgageswithrepricingeverysixmonthsYesOvernightfedfundsYes9-monthfixedYesfixed-rateYesfloating-rateCDswithannualrepricingYesCommon练习:thefollowingbalanceforInc.(inmillions):LiabilitiesandFloating-ratemortgagesDemanddeposits(currently10%$50(currentlyannually)fixed-ratedeposits5

$70

(currently7%annually)$50(currently$20Equity$10Total$100Liabilities&Equity$100a.WhatisWatchoverU’sexpectednetinterestincomeat-end?Currentinterest+$3.5m=$8.5m.Expectedexpense:$4.2m+$1.2m=$5.4m.Expectedinterestincome:-$5.4m=$3.1m.b.willtheinterestatyear-endifinterestrise2Aftertheinterestinterestincomedeclinesto:50(0.12)+50(0.07)70(0.08)$9.5m$6.8m=$2.7m,of$0.4m.thecumulativerepricingwhatistheexpectednetinterestforaininterestrates?Wachovia’s'repricingorfundinggapis$50m-=-$20m.Thechangeinnetinterestincomefundingis练习:M=++years,andM=[0*1401*160]/300AL0.533.Thereforematuritygap=MGAP=–=years.bankisexposedtoanincreaseininterestIfratesrise,theofassetswillmuchmoretheofliabilities.练5M=+15*160+30*300]/480=years.AM=[0*100+5*21020*120]/430=L=–=Five-yearParCouponrateAnnualR==5TimeFlowPVofPVofxt1$150$137.622$150$252.503$150$347.484$1505$3,737.10$1,233.38$4,899.76=练习Theofnoteyears.CapitalNote(valuesinthousandsof$s)Par$900CouponrateSemiannualR=7.25%=2TimeFlowofCFofxt0.5$32.625$31.48$15.741$32.625$30.386

1.5$32.625$29.32$43.982$932.625$808.81$1,617.63$1,70

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