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1、Chapter 6&7 testThe repricing gap model is a book value accounting based model.1 A positive repricing gap implies that a decrease in interest rates will causeinterest expense to decrease more than the decrease in interest income.2 When a banks repricing gap is positive, net interest income is positi
2、vely related to changes in interest rates.3 A bank with a negative repricing (or funding) gap faces reinvestment risk.4 The economic meaning of duration is the interest elasticity of a financial assets price.5 Duration considers the timing of all the cash flows of an asset by summing the product of
3、the cash flows and the time of occurrence.6 Duration is equal to maturity when at least some of the cash flows are received upon maturity of the asset.7 Duration of a zero coupon bond is equal to the bonds maturity.8 As interest rates rise, the duration of a consol bond decreases.9 For a given matur
4、ity fixed-income asset, duration decreases as the market yield increases.Multiple-ChoiceThe repricing gap approach calculates the gaps in each maturity bucket by subtracting thea. current assets from the current liabilities.b. long term liabilities from the fixed assets.c. rate sensitive assets from
5、 the total assets.d. rate sensitive liabilities from the rate sensitive assets.e. current liabilities from tangible assets.10 A positive gap implies that an increase in interest rates will cause innet interest income.a. no changea decreaseb. an increasean unpredictable changec. Either A or B.11 If i
6、nterest rates decrease 50 basis points for an FI that has a gap of +$5 million, the expected change in net interest income is+ $2,500.a. + $25,000.b. + $250,000.c. - $250,000.d. - $25,000.12 The duration of a consol bond isless than its maturity.a. infinity.b. 30 years.c. more than its maturity.d. g
7、iven by the formula D=l/1-R.13 An FI has financial assets of $800 and equity of $50. If the duration of assets is 1.21 years and the duration of all liabilities is 0.25 years, what is the leverage-adjusted duration gap?a. 0.9000 years.b. 0.9600 years.c. 0.9756 years.d. 0.8844 years.e. Cannot be dete
8、rmined.14 Calculate the duration of a two-year corporate bond paying 6 percent interest annually, selling at par. Principal of $20,000,000 is due at the end of two years.a. 2 years.b. 1.91years.c. 1.94years.d. 1.49years.e. 1.75years.15 A $ 1,000 six-year Eurobond has an 8 percent coupon, is selling
9、at par, and contracts to make annual payments of interest. The duration of this bond is 4.99 years. What will be the new price using the duration model if interest rates increase to 8.5 percent?a. $23.10.b. $976.90.c. $977.23.d. $1,023.10.e. -$23.10.16 Calculating modified duration involvesdividing
10、the value of duration bythe change in the market interest rate.a. dividing the value of duration by1 plus the interest rate.b. dividing the value of duration bydiscounted change in interest rates.c. multiplying the value of durationby discounted change in interest rates,dividing the value of duratio
11、n bythe curvature effect.Multiple Part OuestionsUse the following information to answei the next five questions:The balance sheet of XYZ Bank. All figures in millions of US Dollars.AssetsLiabilities1Short-term consumer loans (one-year maturity)$ 1501Equity capital (fixed)$ 1202Long-term consumer loa
12、ns1252Demand deposits (two-year maturity)403Three-month Treasury bills1303Passbook savings1304Six-month Treasury notes1354Three-month CDs1405Three-year Treasury bond1705Three-month bankers acceptances120610-year, fixed-rate mortgages1206Six-month commercial paper160730-year, floating-rate mortgages
13、(rate adjusted every nine months)1407One-year time deposits1208Two-year time deposits40$970$9701 Total one-year rate-sensitive assets is$540 million.a. $580 million.b. $555 million.c. $415 million.d. $720 million.2 Total one-year rate-sensitive liabilities is$540 million.a. $580 million.b. $555 mill
14、ion.c. $415 million.d. $720 million.3 The cumulative one-year repricing gap (CGAP) for the bank is a. $25 million.b. $-140rrdHion.c. $15 million.d. $-150 million.e. $-15 million.4 The gap ratio is.015.a. -.015.b. .025.c. -.144.d. .154.5 Suppose that interest rates rise by 2 percent on both RS As and
15、 RSLs. The expected annual change in net interest income of the bank is a. -$300,000.b. $500,000.c. -$2,800,000.d. -$3,000,000.e. $300,000.Use the following information to answei the next three questions:Consider a one-year maturity, $100,000 face value bond that pays a 6 percent fixed coupon annual
16、ly.6 What is the price of the bond if market interest rates are 7 percent?a. $99,050.15.b. $99,457.94.c. $99,249.62.d. $100,000.00.e. $99,065.42.7 What is the price of the bond if market interest rates are 5 percent?a. $100,952.38.b. $101,238.10.c. $100,963.71.d. $100,000.00.e. $101,108.27.Use the f
17、ollowing information to answer the next thiee questions:AssetsPar AmountRateLiabilitiesPar AmountRate2-year commercial loans, annual fixed rate, at par$400 million10%1-year CDs, annual fixed rate, at par$450 million7%1 -year Treasury bills$100 millionNet Worth$50 millionWhat is the duration of the c
18、ommercial loans?a. 1.00 years.b. 2.00 years.c. 1.73 years.d. 1.91 years.e. 1.50 years.8 What is the FIs leverage-adjusted duration gap?a. 0.91 years.b. 0.83 years.c. 0.73 years.d. 0.50 years.e. 0 years.9 What is the FFs interest rate risk exposure?a. Exposed to increasing rates.b. Exposed to decreas
19、ing rates.c. Perfectly balanced.d. Exposed to long-term rate changes.e. Insufficient information.Use the following information to answei the next thiee questions:Consider a five-year, 8 percent annual coupon bond selling at par of $1,000.10 What is the duration of this bond?a. 5 years.b. 4.31 years.c. 3.96 years.d. 5.07 years.e. Not enough information to answer.11 If interest rates increase by 20 basis points, what is the approximate change in the market price using the duration approximation?a. -$7.98.b. -$7.94.c. -$3.99.d. +$3.99.e. -$7.94.