商业银行管理中南财经答案

《商业银行管理》课后习题答案problem6-2

Chapter 6Problems6-11. Casio Merchants and Trust Bank, N.A., has a portfolio of loans and securities expected to generate cash inflows for the bank as follows:Expected Cash Receipts Period in Which Receipts Are Expected$1,385,421 Current year746,872 Two years from today341,555 Three years from today62,482 Four years from today9,871 Five years from todayDeposits and money market borrowings are expected to require the following cash outflows:Expected Cash Payments Period in Which Payments Will be Made$1,427,886 Current year831,454 Two years from today123,897 Three years from today1,005 Four years from today----- Five years from todayIf the discount rate applicable to the above cash flows is 8 percent, what is the duration of the bank's portfolio of earning assets and of its deposits and money market borrowings? What will happen to the bank's total returns, assuming all other factors are held constant, if interest rates rise? If interest rates fall? Given the size of the duration gap you have calculated, what type of hedging should the bank engage in? Please be specific about the hedging transactions that are needed and their expected effects.Solution:Casio has an asset duration of:$1,385,421 *1 + $746,872 * 2 + $341,555 * 3 + $62,482 * 4 + $9,871 * 5(1 + 0.08)1 (1 + 0.08)2 (1 + 0.08)3 (1 + 0.O8)4 (1 + 0.O8)5D A = $1,385,421 + $746,872 + $341,555 + $62,482 + $9,871(1 + 0.08)1 (1 + 0.08)2 (1 + 0.08)3 (1 + 0.08)4 (1 + 0.08)5=$3,594,1481 / $2,246,912 = 1.5996 yearsCasio has a liability duration of:$1,427,886 * 1 + $831,454 * 2 + $123,897 * 3 + $1,005 * 4(1 + 0.08)1 (1 + 0.08)2 (1 + 0.08)3 (1 + 0.08)4D L=$1,427,886 + $831,454 + $123,897 + $1,005(1 + 0.08)1 (1 + 0.08)2 (1 + 0.08)3 (1 + 0.08)4= $3,045,808 / $2,134,047 = 1.4272 yearsCasio's Duration Gap = Asset Duration - Liability Duration = 1.5996 - 1.4272 = 0.1724 years.Because Casio's Asset Duration is greater than its Liability Duration, the bank has a positive duration gap, which means that the bank's total returns will decrease if interest rates rise because the value of the liabilities will decline by less than the value of the assets. On the other hand, if interest rates were to fall, this positive duration gap will result in the bank's total returns increasing. In this case, the value of the assets will rise by a greater amount than the value of the liabilities.Given the magnitude of the duration gap, the management of Casio Merchants and Trust Bank needs to do a combination of things to close its duration gap between assets and liabilities. It probably needs to try to shorten asset duration, lengthen liability duration, and use financial futures or options to deal with whatever asset-liability gap exists at the moment. The bank may want to consider securitization or selling some of its assets, reinvesting the cash flows in maturities that will more closely match its liabilities' maturities. The bank may also consider negotiating some interest-rate swaps to change the cash flow patterns of its liabilities to more closely match its asset maturities. Alternative Scenario 1:Given: The discount rate applicable to Casio's cash inflows and outflows falls to 6 percent. How does the duration of its earning assets and liabilities change? How does this change affect the bank's sensitivity to interest rate movements?Solution:Casio now has an asset duration of:$1,385,421 * 1 + $746,872 * 2 + $341,555 * 3 + $62,482 * 4 + $9,871 * 5(1 + 0.06)1 (1 + 0.06)2 (1 + 0.06)3 (1 + 0.06)4 (1 + 0.06)5D A =$1,385,421 + $746,872 + $341, 555 + $62,482 + $9,871(1 + 0.06)1 (1 + 0.06)2 (1 + 0.06)3 (1 + 0.06)4 (1 + 0.06)5= $3,731,603 / $2,315,358 = 1.6117 yearsCasio now has a liability duration of:$1,427,886 * 1 + $831,454 * 2 + $123,897 *3 + $1,005 * 4(1 + 0,06)1 1 + 0.06)2 (1 + 0.06)3 (1 + 0.06)4D L=$1,427,886 + $831,454 + $123,897 + $1,005(1 + 0.06)1 (1 + 0.06)2 (1 + 0.06)3 (1 + 0.06)4= $3,142,308 / $2,191,876 = 1.4336 yearsBoth the Asset Duration and the Liability Duration increase with the decline in the discount rate, with the Asset Duration increasing by more than the Liability Duration. The Duration Gap increases from 0.1724 years to 0.1781 years, making Casio more sensitive to interest rate changes.Alternative Scenario 2:Given: The appropriate discount rate climbs to 10 percent.What happens to the durations of Casio's earning assets and liabilities? How does the interest rate sensitivity of Casio's total return change as a result of this upward movement in the discount rate?Solution:Casio now has an asset duration of:$1,385,421 * 1 + $746,872 * 2 + $341,555 X 3 + $62,482 * 4 + $9,871 * 5(1 + 0.10)1 (1 + 0.10)2 (1 + 0.10)3 (1 + 0.10)4 (1 + 0.10)5D A=$1,385,421 + $746,872 + $341,555 + $62,482 + $9,871(1 + 0.10)1 (1 + 0.10)2 (1 + 0.10)3 (1 + 0.10)4 (1 + 0.10)5= $3,465,169 / $2,182,144 = 1.5880 yearsCasio now has a liability duration of:$1,427,886 * 1 + $831,454 * 2 + $123,897 * 3 + $1,005 * 4(1 + 0.10)1 (1 + 0.10)2 (1 + 0.10)3 (1 + 0.10)4D L = $1,427,886 + $831,454 + $123,897 + $1,005(1 + 0.10)1 (1 + 0.10)2 (1 + 0.10)3 (1 + 0.10)4= $2,954,385 / $2,079,002 = 1.4211 yearsThe new Duration Gap = 1.5880 – 1.4211 = 0.1669 years.With the increase in the discount rate, both the Asset Duration and the Liability Duration decrease, with the Asset Duration declining by a greater rate than the Liability Duration.The interest sensitivity of the two portfolios, and the bank as a whole, declines, due to the relative degree of change in each portfolio.6-12. Given the cash inflow and outflow figures in Problem 11 for Casio Merchants and Trust Bank, what would happen to the value of Casio's net worth as a result of thismovement in interest rates? If interest rates drop from 8 percent to 7 percent, what happens to Casio's net worth in this case and by how much in dollars does it change?From Problem #11 we find that Casio's average asset duration is 1.5996 years and average liability duration is 1.4272 years. If total assets are $125 million and total liabilities are $110 million, then Casio has a duration gap of:Duration Gap = 1.5996 – 1.4272 * mill.$125mill. $110 = 1.5996 – 1.2559= 0.3437The change in Casio's net worth would be:Change in Value of Net Worth = [-D A * r)(1r +∆* A] – [ - D L * r)(1r +∆* L]If interest rates fall from 8 percent to 7 percent,Change in NW = ⎥⎦⎤⎢⎣⎡+-⎥⎦⎤⎢⎣⎡+mill. $110x .08)(1(-.01) x 1.4272- $125x .08)(1(-.01) x 1.5996-= + 1.8514 – 1.4536 = + 0.3978 million.6-13. Leland National Bank reports an average asset duration of 4.5 years, an average liability duration of 3.25 years. The bank has total assets of $1.8 billion and liabilities totaling $1.5 billion. If interest rates rise from 7 percent to 9 percent, how will Leland's net worth change? What if interest rates fall from 7 to 5 percent?The key formula is:Change in net worth = [-D A * ∆r (1r)+* A] - [ - D L *Dr (1r)+* L]For the change in interest rates from 7 to 9 percent, Leland's net worth will change to:Change in Net Worth =⎥⎦⎤⎢⎣⎡++⎥⎦⎤⎢⎣⎡++mill. $1500x .07)(1.02)( x years 3.25- -mill. x$1800.07)(1.02)( x years 4.5-= -$151.40 million + $91.12 million= -$60.28 millionOn the other hand, if interest rates decline from 7 to 5 percent we have:Change in Net Worth =⎥⎦⎤⎢⎣⎡+⎥⎦⎤⎢⎣⎡+mill. x$1500.07)(1(-.02) x yrs 3.25--mill. x$1800.07)(1(-.02) x yrs 4.5-= + $151.40 mill. - $91.l2 mill. = + $60.28 million.6-（1）A bank holds a bond in its investment portfolio whose duration is 5.5 years. Its current market price is $950. While market interest rates are currently at 8 percent for comparable quality securities, an increase to 10 percent is expected in the coming weeks. What change (in percentage terms) will the bond’s price experience if market interest rates change as anticipated?Solution:percent 10.19-or 1019.)08.1()02(.5.5)1(-=-=+∆-≈∆x i i Dx P PThis bond’s price will decrease by 10.19 percent or its price will decline to $853.6-（2）A bank’s dollar weighted asset durati on is 6 years. Its total liabilities amount to $750 million, while its assets total $900 million. What is the dollar-weighted duration of the bank’s liability portfolio if the bank’s duration gap were zero?Given the bank has a duration gap equal to zero:Duration Gap = AssetsTotal s Liabilitie Total x D - D L Ayears 7.2 $750$900 x 0) - (6 s Liabilitie T otal Assets T otal x Gap)Duration - (D D A L ===6-（3）Commerce National Bank holds assets and liabilities whose average duration and dollar amount are shown as below:What is the dollar-weighted duration of the bank’s asset portfolio and liability portfolio? What is the duration gap?D A = years 4.35 mill.$520mill. $140 x yrs. 4.5 mill. $520mill. $320yrs.x 3.6 mill. $520mill. $60 x yrs. 8.0=++D L = years 1.061 $510$20 x yrs. 0.1 $510$490 x yrs. 1.1=+years 3.31 $520$510 x yrs. 1.061 - yrs. 4.35 Assets T otal s Liabilitie T otal x D - D Gap Duration L A ===6-.（4） A government bond currently carries a yield to maturity of 12 percent for a maturity of 5 years and a current market price of $928. The bond pays $100 in annual interest. If the bond has a par value of $1,000 its duration can be found from:D = ⎥⎦⎤⎢⎣⎡+++++++++543210.12)(1$1100x50.12)(1$100x40.12)(1$100x30.12)(1$100x20.12)(1$100x1 / $928= $928$3837.31 = 4.14 years。

《商业银行管理》课后习题答案IMChap4

《商业银行管理》课后习题答案IMChap4在学习商业银行管理的过程中，课后习题是巩固知识、检验理解的重要环节。

以下是对《商业银行管理》第四章课后习题的详细答案。

一、选择题1、商业银行的核心资本包括（）A 股本和公开储备B 股本和未公开储备C 债务资本和附属资本D 债务资本和公开储备答案：A解析：核心资本又称一级资本，包括股本（普通股和永久非累积优先股）和公开储备（股票发行溢价、未分配利润等）。

2、下列属于商业银行附属资本的是（）A 重估储备B 普通股C 未分配利润D 公开储备答案：A解析：附属资本包括未公开储备、重估储备、普通准备金、混合资本工具和长期次级债务等。

3、商业银行资本充足率的计算公式是（）A 资本/风险加权资产B 资本/总资产C （核心资本+附属资本）／风险加权资产D （核心资本+附属资本）／总资产答案：C解析：资本充足率＝（核心资本＋附属资本）／风险加权资产。

4、按照《巴塞尔协议》的要求，商业银行的资本充足率不得低于（）A 4%B 8%C 10%D 12%答案：B解析：《巴塞尔协议》规定商业银行的资本充足率不得低于 8%。

二、简答题1、简述商业银行资本的作用。

答：商业银行资本具有以下重要作用：首先，资本为银行的开业、正常经营和持续增长提供了资金基础。

它是银行设立和注册的必要条件，为银行的初期运营提供启动资金。

其次，资本是银行抵御风险的重要防线。

在面临各种风险如信用风险、市场风险、操作风险等时，资本可以吸收损失，保护存款人和其他债权人的利益，维持银行的信誉和稳定。

再者，资本有助于树立公众对银行的信心。

充足的资本向外界传递了银行稳健经营、有能力应对潜在风险的信号，增强了客户、投资者和监管机构对银行的信任。

此外，资本还为银行的扩张和业务发展提供了支持。

银行可以利用资本进行新业务的开拓、分支机构的设立以及技术设备的更新等。

2、简述《巴塞尔协议》对商业银行资本构成的规定。

答：《巴塞尔协议》将商业银行的资本分为核心资本和附属资本两大部分。

《商业银行管理》课后习题答案IMChap6

CHAPTER 6ASSET/LIABILITY MANAGEMENT: DETERMINING AND MEASURING INTEREST RATES AND CONTROLLING A BANK’S INTEREST-SENSITIVE GAP Goals of This Chapter: To learn how to measure a bank's exposure to interest-rate risk and how to reduce that risk exposure through coordinated management of bank assets and liabilities.Key Terms Presented In This ChapterAsset-liability Management Yield to Maturity (YTM)Asset Management Bank Discount RateLiability Management Net Interest MarginFunds Management Interest-Sensitive Gap ManagementInterest Rate RiskChapter OutlineI. Introduction: The Necessity for Coordinating Bank Asset and Liability ManagementDecisionsII. Asset/Liability Management StrategiesA. Asset Management StrategyB. Liability Management StrategyC. Funds Management StrategyIll. Interest Rate Risk: One of the Banker's Greatest ChallengesA. Nature of Interest-Rate RiskB. Forces Determining Interest RatesC. The Measurement of Interest Rates1. Yield to Maturity2. Bank Discount RateD. The Components of Interest RatesE. Bankers' Response to Interest Rate RiskIV. One of the Goals of Interest-Rate HedgingA. The Net Interest MarginB. Interest-Sensitive Gap Management1. Asset-Sensitive Position2. Liability-Sensitive Position3. Calculation of a Bank's Interest-Sensitive Gap4. Impact of Changing Interest Rates on the Gap5. Decisions that need to be Made Concerning Gap Management6. Computer Techniques for Managing Gap7. Cumulative Gap8. Strategies in Gap Management9. Limitations of Interest-Sensitive Gap Management10. Weighted Interest-Sensitive GapV. Summary of the ChapterConcept Checks6-1. What do the following terms mean: Asset management? Liability management? Funds management?Asset management refers to a banking strategy where management has control over the allocation of bank assets but believes the bank's sources of funds (principally deposits) are outside its control. Liability management is a strategy of control over bank liabilities by varying interest rates offered on borrowed funds. Funds management combines both asset and liability management approaches into a balanced liquidity management strategy.6-2. What factors have motivated banks to develop funds management techniques in recent years?The necessity to find new sources of funds in the 1970s and the risk management problems encountered with troubled loans and volatile interest rates in the 1970s and 1980s led to the concept of planning and control over both sides of a bank's balance sheet -- the essence of funds management.6-3. What forces cause interest rates to change? What kinds of risk do bankers face when interest rates change?Interest rates are determined, not by individual banks, but by the collective borrowing and lending decisions of thousands of participants in the money and capital markets. They are also impacted by changing perceptions of risk by participants in the money and capital markets, especially the risk of borrower default, liquidity risk, price risk, reinvestment risk, inflation risk, term or maturity risk, marketability risk, and call risk.Bankers can lose income or value no matter which way interest rates go. Rising interest rates can lead to losses on bank security instruments and on fixed-rate loans as the market values of these instruments fall. Falling interest rates will usually result in capital gains on fixed-rate securities and loans but a bank will lose income if it has more rate-sensitive assets than liabilities. Rising interest rates will also cause a loss to bank income if a bank has more rate-sensitive liabilities than rate-sensitive assets.6-4. What makes it so difficult for banks to forecast interest rate changes?Interest rates cannot be set by an individual bank or even by a group of banks; they are determined by thousands of investors trading in the credit markets. Moreover, each market rate of interest has multiple components--the risk-free interest rate plus various risk premia. A change in any of these rate components can cause interest rates to change. To consistently forecast market interest rates correctly would require bankers to correctly anticipate changes in the risk-free interest rate and in all rate components. Another important factor is the timing of the changes. To be able to take full advantage of their predictions, they also need to know when the changes will take place.6-5. What is the yield curve and why is it important for bankers to know about its shape or slope?The yield curve is a graphical description of the distribution of market interest rates by maturity of financial instrument. The slope of the yield curve determines the spread between long-term and short-term interest rates. In banking most of the long-term rates apply to loans and securities (i.e., bank assets) and most of the short-term interest rates are attached to bank deposits and money market borrowings. Thus, the shape or slope of the yield curve has a profound influence on a bank's net interest margin or spread between asset revenues and liability costs.6-6. What is it that a bank wishes to protect from adverse movements in interest rates?A bank wishes to protect both the value of bank assets and liabilities and the revenues and costs generated by both assets and liabilities from adverse movements in interest rates.6-7. What is the goal of hedging in banking?The goal of hedging in banking is to freeze the spread between asset returns and liability costs and to offset declining values on certain assets by profitable transactions so that a target rate of return is assured.6-8. First National Bank of Bannerville has posted the following financial statement entries: Interest revenues $63 millionInterest costs $42 millionTotal earning assets $700 millionThe bank's net interest margin must be:Net Interest = $63 mill. - $42 mill. = 0.03 or 3 percentMargin $700 mill.If interest revenues and interest costs double while earning assets grow by 50 percent, the net interest margin will change as follows:($63 mill. - $42 mill.) * 2 = 0.04 or 4 percent$700 mill. * (1.50)Clearly the net interest margin increases--in this case by one third.6-9. Can you explain the concept of gap management?Gap management involves determining the maturity distribution and the repricing schedule for a bank's assets and liabilities. When more assets are subject to repricing or will reach maturity in a given period than liabilities or vice versa, the bank has a GAP and is exposed to loss from adverse interest-rate movements based on the gap's size.6-10 When is a bank asset sensitive? Liability sensitive?A bank is asset sensitive when it has more interest-rate sensitive assets maturing or subject to repricing during a specific time period than rate-sensitive liabilities. A liability sensitive position, in contrast, would find the bank having more interest-rate sensitive deposits and other liabilities than rate-sensitive assets for a particular planning period.6-11. Commerce National Bank reports interest-sensitive assets of $870 million andinterest-sensitive liabilities of $625 million. Because interest-sensitive assets are larger than liabilities by $245 million the bank is asset sensitive.If interest rates rise, the bank's net interest margin should rise as asset revenues increase by more than the resulting increase in liability costs. On the other hand, if interest rates fall, the bank's net interest margin will fall as asset revenues decline faster than liability costs.6-12. First National Bank has a cumulative gap for the coming year of + $135 million and interest rates are expected to fall by two and a half percentage points. What is the expected change in First National's net interest income?ExpectedChange in = $135 million * (-0.025) = -$3.38 millionNet Interest IncomeWhat change will occur in net interest income if interest rates rise by one and a quarter percentage points?Expected Changein Net Interest = $135 million * (+0.0125) = +$1.69 millionIncome6-13 How do you measure a bank’s dollar interest-sensitive gap? Its relative interest-sensitive gap? What is the interest-sensitivity ratio?The dollar interest-sensitive gap is measured by taking the repriceable (interest-sensitive) assets minus the repriceable (interest-sensitive) liabilitiies over some set planning period. Common planning periods include 3 months, 6 months and 1 year. The relative interest-sensitive gap is the dollar interest-sensitive gap divided by some measure of bank size (often total assets). The interest-sensitivity ratio is just the ratio of interest-sensitive assets to interest sensitive liabilities. Regardless of which measure you use, the results should be consistent. If you find a positive (negative) gap for dollar interest-sensitive gap, you should also find a positive (negative) relative interest-sensitive gap and a interest sensitivity ratio greater (less) than one.6-14 Suppose Carroll Bank and Trust reports interest-sensitive assets of $570 million and interest-sensitive liabilities of $685 million. What is the bank’s dollar interest-sensitive gap? Its relative interest-sensitive gap and interest-sensitivity ratio?Dollar Interest-Sensitive Gap = Interest-Sensitive Assets – Interest Sensitive Liabilities= $570 - $685 = -$115Relative Gap = $ IS Gap = -$115 = -0.2018 or -20.18 percent Bank Size $570Interest-Sensitivity = Interest-Sensitive Assets =$570 = .8321 Ratio Interest-Sensitive Liabilities $6856-15 Explain the concept of weighted interest-sensitive gap. How can this concept aid bank’s real interest-sensitive gap risk exposure?Weighted interest-sensitive gap is based on the idea that not all interest rates change at the same speed. Some are more sensitive than others. Interest rates on bank assets may change more slowly than interest rates on liabilities and both of these may change at a different speed than thoseinterest rates determined in the open market. In, the weighted interest-sensitive gap methodology all interest-sensitive assets and liabilities are given a weight based on their speed (sensitivity) relative to some market interest rate. Fed Funds loans, for example, have an interest rate which is determined in the market and which would have a weight of 1. All other loans, investments and deposits would have a weight based on their speed relative to the Fed Funds rate. To determine the interest-sensitive gap, the dollar amount of each type of asset or liability would be multiplied by its weight and added to the rest of the interest-sensitive assets or liabilities. Once the weighted total of the assets and liabilities is determined, a weighted interest-sensitive gap can be determined by subtracting the interest-sensitive liabilities from the interest-sensitive assets. This weighted interest-sensitive gap should be more accurate than the unweighted interest-sensitive gap. The interest-sensitive gap may change from negative to positive or vice versa and may change significantly the interest rate strategy pursued by the bank.Problems6-1. A government bond is currently selling for $900 and pays $80 per year in interest for 5 years when it matures. If the redemption value of this bond is $1,000, what is its yield to maturity if purchased today for $900. The yield to maturity equation for this bond would be:$900 = $80(1YTM)1+ + $80(1YTM)2+ + $80(1YTM)3+ + $80(1YTM)4++ $80(1YTM)5+ + $1,000(1YTM)5+At an YTM of 10 percent the bond's price is $924.28, while at 12 percent its price becomes $864.40. Thus, the true YTM lies between 10% and 12%. To find the true YTM we use: 10% + 40.864$28.924$900$28.924$-- * 2% ≈ 10.81%6-2. Suppose the government bond described in problem #1 is held for 3 years and then the bank acquiring the bond decides to sell it at a price of $950. Can you figure out the average annual yield the bank will have earned for its 3-year investment in the bond?In this instance the yield-to-maturity equation can be modified slightly to find the correct holding-period yield that the bank would earn. Specifically,$900 = $80(1HPY)1+ + $80(1HPY)2++ $80(1HPY)3+ + $950(1HPY)3+At an HPY of 10% the bond's price becomes $912.31, while at 12% the bond's price is $868.56.The true holding period yield must be:10% + 912.31900912.31868.56--⎡⎣⎢⎤⎦⎥ x 2% ≈10.56%.6-3. U.S. Treasury bills are available for purchase this week at the following prices (based upon $100 par value) and with the indicated maturities:a. $97.25, 182 days.b. $96.50, 270 days.c. $98.75, 91 days.The discount rates and equivalent yields to maturity (bond-equivalent or coupon-equivalent yields) on each of these Treasury bills are:Discount Rates Equivalent Yields to Maturitya.(10097.25)100- * 360182 = 5.44% (365x.0544)[360(0.0544x182)]- = 19.856350.1 = 5.67% b.(10096.50)100- * 360270 = 4.67% (365x.0467)[360(.0467x270)]- = 17.046347.39 = 4.91% c. (10098.75)100- * 36091 = 4.95% (365x.0495)[360(.0495x91)]- = 18.07355.5 = 5.08%6-4. The First State Bank of Ashfork reports a net interest margin of 3.25 percent in its most recent financial report with total interest revenues of $88 million and total interest costs of $72 million. What volume of earning assets must the bank hold?The relevant formula is:Net Interest Margin = .0325 = AssetsEarning mil. $72mill. $88-Then Earning Assets = $492.31 million.Suppose the bank's interest revenues rise by 8 percent and its interest costs and earning assets increase 10 percent. What will happen to Ash Fork's net interest margin?Substituting in the correct formula we have:New Net Interest Margin = .10)million(1 $492.3.10)million(1 $72.08)(1 million $88++-+= million$541.53million $79.20million $95.04-= 0.0293 or 2.93 percent.6-5. If a bank's net interest margin, which was 2.85 percent, doubles and its total assets, which stood originally at $545 million, rise by 40 percent, what change will occur in the bank's net interest income?The correct formula is:.0285 * 2 = .4)(1*million 545$Income Interest Net +or Net Interest Income = 0.057 * $763 million= $43.49 million.6-6. The cumulative interest-rate gap of Snidal State Bank and Trust Company doubles from an initial figure of -$35 million. If market interest rates fall by 25 percent from an initial level of 6 percent, what change will occur in Snidal Bank's net interest income?The key formula here is:Change in the Bank's = Change in interest rates (in percentage points) * cumulative gap Net Interest = 0.06 * -.25 x (-$35 mill.) * 2Income = 1.05Thus, the bank's net interest income will rise by 5 percent.6-7. Given: Merchants State Bank has recorded the following financial data for the past three years (dollars in millions):Current Year Previous Year Two Years Ago Interest revenues $57 $56 $55 Interest expenses 49 42 34 Loans (Excluding nonperforming) 411 408 406 Investments 239 197 174 Total deposits 487 472 467 Money market borrowings 143 118 96 Solution:Net interest margin (NIM) = Net Interest Income/Earning Assets, whereNet Interest Income = Net Interest Revenues - Net Interest ExpensesEarning Assets = Loans + InvestmentsNIM(Current) = ($57-49)/(411 + 239) = 8/650 = 0.0123 or 1.23%NIM(previous) = ($56-42)/(408 + 197) = 14/605 = 0.0231 or 2.31%NIM(Two years ago) = ($55-34)/(406 + 174) = 21/580 = 0.0362 or 3.62%The net interest margin has been declining steadily and significantly. Probable causes include greater increases in interest expenses relative to interest income due to shifts in funding mix with greater dependence on borrowed funds (more expensive sources) relative to deposits (less expensive sources). Additionally, the mix in earning assets, with greater growth in lower yielding investment securities than in higher yielding loans, is another contributor to the steadily declining net interest margin.Management needs to reevaluate its funding strategies and its loan and investment strategies. If slower loan growth is related to external forces -- for example, a weaker economy -- then less borrowing should be considered. If the slower loan growth is more internal, then more aggressive loan management would be appropriate.6-8 The First National Bank of Wedora, California has the following interest-sensitive gaps:Coming WeekNext30 DaysNext31-90 DaysMore Than90 DaysInterest - $144 $110 $164 $184 Sensitive +29 +19 29 8 Assets = $173 $129 $193 $192 Interest - $232 $ --- $ --- $ --- Sensitive 98 84 196 35 Liabilities = 36 6 --- ---$366 $90 $196 $35 GAP - $193 + $39 - $3 + $157 Cumulative GAP - $193 - $154 - $157 $0First National has a cumulative zero gap and therefore is not vulnerable to loss if interest rates rise. It does have a positive gap in two periods--the next 30 days and more than 90 days. During these particular periods a rise in interest rates would produce a short-run gain.6-9 First National Bank of Barnett currently has the following interest-sensitive assets and liabilities on its balance sheet:Interest-Sensitive Assets Interest-Sensitive LiabilitiesFederal fund loans $65Security holdings $42 Interest-bearing deposits $185Loans and leases $230 Money-market borrowings $78What is the bank’s current interest-sensitive gap? Suppose its Federal funds loans carry an interest-rate sensitivity weight of 1.0 while its investments have a rate-sensitivity weight of 1.15 and its loans and leases display a rate-sensitivity weight of 1.35. On the liability side First National’s rate-sensitivity weight is 0.79 for interest-bearing deposits and 0.98 for itsmoney-market borrowings. Adjusted for these various interest-rate sensitivity weights, what is the bank’s weighted interest-sensitive gap? Suppose the Federal funds interest rate increases or decreases one percentage point. How will the bank’s net interest income be affecte d (a) given its current balance sheet make up and (b) reflecting its weighted balance sheet adjusted for the foregoing rate-sensitivity weights?Solution:Dollar IS Gap = ISA - ISL = ($65 + $42 + $230) - ($185 + $78) = $337 - $263 = $74 Weighted IS Gap = [(1)($65) + (1.15)(42) + (1.35)(230)] - [(.79)($185) + (.98)($78)] = $65 + $48.3 + $310.5 - $146.15 + $76.44= $423.8 - $222.59= $201.21a.) Change in Bank’s Income = IS Gap * Change in interest rates= ($74)(.01) = $.74 millionUsing the regular IS Gap, net income will change by plus or minus $740,000b.) Change in Bank’s Income = Weighted IS Gap * Change in interest rates= ($201.21)(.01) = $2.012Using the weighted IS Gap, net income will change by plus or minus $2,012,0006-10 McGraw Bank and Trust has interest-sensitive assets of $225 million and interest-sensitive liabilities of $168 million. What is the bank’s dollar interest-sensitive gap? What is McGraw’srelative interest-sensitive gap? What is the value of its interest-sensitivity ratio? Is the bank asset sensitive or liability sensitive? Under what scenario for market interest rates will the bank experience a gain in net interest income? A loss in net interest income?Dollar Interest-Sensitive Gap = ISA – ISL = $225 - $168 = $57Relative Interest-Sensitive Gap = ISA – ISL = $57 = 0.2533Bank Size $225Interest-Sensitivity Ratio = ISA = $225 = 1.3393ISL $168This bank is asset sensitive. More assets will be repriced during this time period than liabilities. This means that if interest rates rise, the interest earned on assets will rise relative to the interest paid on liabilities and net interest margin will rise. However, if interest rates fall, interest earned on assets will fall more than interest paid on liabilities and net interest margin will fall.Web Site Problems1. Suppose you want to know what types of banks make the greatest use of asset-liability management tools and what their biggest ALM problems are? Where would you go on the web to try to get answers to these questions?Almost all banks are required by regulators to have some kind of ALM management in place. These techniques can be as simple as the interest sensitive gap discussion in this chapter or the duration gap management in the next chapter. However, there are many consulting firms out there that have developed specific models for managing ALM. One way to see what is out there is to do a search on bank ALM management and see some of the sites that are out there. These sites range from sites for the consulting firms to more general sites that provide a good definition and description of ALM management. Two sources that are available at this time for general information on asset-liability management are/glossaryassetliabilitymanagement.htm and/Products/nccb_asset.htm. However if you want a good discussion of specific models and the problems people are having with ALM management, one good source appears to be /. This site has several discussion groups on various ALM topics.2. If a new web model to apply ALM techniques to a bank’s risk exposure is developed, at what web site are you most likely to find a discussion of that new ALM model?The best place to get information about a new ALM model would be the/ site mentioned above. If a promising new model were developed it would be sure to show up in the discussion groups mentioned above.3. If you need guidance on how to prepare bank forecasts and measure risk as part of a bank’s ALM activities which web site could be most helpful to you?If you are not willing to go to a consultant about how to develop bank forecasts and measure risk, the / web site would probably be the most helpful site. There are many discussions there about how to deal with specific measurement issues and how to find information to determine the risk of your bank compared to peer institutions.85。

《商业银行管理》课后习题答案IMChap19

CHAPTER 19PRICING BUSINESS LOANSGoal of This Chapter: To explore different methods used by bankers today to price business loans and to evaluate the strengths and weaknesses of these pricing methods for achieving a bank's goals.Key Terms Presented in This ChapterCost-plus loan pricing Below-prime pricingPrice leadership Cap ratesPrime rate Customer profitability analysisLIBORChapter OutlineI. Introduction: The Challenge of Trying to Correctly Price Business Loans in a HighlyCompetitive MarketII. The Cost-Plus Loan Pricing MethodIll. The Price Leadership ModelA. Prime or Base Rate PricingB. Loan Risk and the MarkupC. Prime-Plus versus Times Prime PricingD. LIBOR-based Loan PricingE. Below-Prime Market Pricing (The Markup Model)F. Loans Bearing Maximum Interest Rates (Caps)IV. Customer Profitability AnalysisA. The Basic FormulaB. A Numerical ExampleC. Earnings Credit for Customer DepositsD. The Future of Customer Profitability AnalysisVI. Summary of the ChapterConcept Checks19-1. What methods are in use today to price business loans?The following methods are in use today to price business loans:a. Cost-plus pricing d. CAP rateb. Price leadership pricing model e. Customer Profitability Analysisc. Markup market-pricing modelCost-plus-profit pricing requires the bank to estimate the total cost involved in making aloan and then adds to that cost estimate a small margin for profit. The price-leadership model, on the other hand, bases the loan rate upon a national or international rate (such as prime or LIBOR) posted by major banks and then adds a small increment on top for profit or risk. The markup model prices a loan on the basis of cost plus a risk premium added to those loans with greater credit risk and/or longer term loans that have greater term risk.CAP rates specify a maximum rate that a borrower can be assessed, thus limiting a borrower's interest-rate risk. Customer profitability analysis looks at all the revenues and costs involved in serving a customer and then requires the bank to calculate the net rate of return from this particular customer.19-2. The loan rate quoted for this $10 million corporate loan would be:Loan Rate = 4 percent Loan Funds Cost + .5 percent Non-funds Operating Cost+ .375 percent default risk premium+ .625 percent term risk premium+ .25 percent profit margin= 5.75 percentBased on a $10 million loan this customer will pay in interest each year:$10,000,000*.0575 = $575,000.19-3. What are the principal strengths and weaknesses of the loan-pricing methods in use today?a. Cost-plus pricingStrength: considers the cost of raising loanable funds and operating costs of running the bank.Weaknesses: banks must know what their costs are in order to consistently makeprofitable, correctly priced loans; gives little regard to competition from other lenders.b. Price leadership pricing modelStrength: considers competition from other lenders, allows for a risk premium to be added to the base or prime rate.Weakness: does not consider the marginal cost of raising loanable funds.c. Markup market-pricing modelStrength: allows banks to compete more aggressively with the commercial paper market.Weakness: narrow margins (markups) on loans.d. CAP rateStrength: is another service option that a bank may offer its customers for a specific fee.Weakness: a prolonged period of high interest rates will effectively transfer the risk offluctuating interest rates from borrower to lender.e. Customer profitability analysisStrength: takes the whole customer relationship into account when pricing each loan request.Weakness: must consider revenues and expenses from all of the bank's dealings with the customer.19-4. What is customer profitability analysis?Customer profitability analysis looks at all the revenues and costs involved in serving a customer and then requires the bank to calculate the net rate of return from all the services the bank sells to this particular customer.Problems19-1. The expected revenues and costs from continuing the present relationship between Enterprise National Bank and USF Corporation were given in this problem and the reader is asked to estimate the expected net rate of return if the bank renews its loan to USF.The total of expected revenues and expected costs is:Expected Revenues Expected CostsInterest Revenue $ 1,100,000 Deposit Interest $ 25,000 Commitment Fees 100,000 Cost of Other Funds Raised 975,000 Deposit Service 4,500 Wire Transfer Costs 1,300 (Maintenance) Fees Loan Processing Costs 12,400 Wire Transfer Fees 3,500 Record keeping Expenses 4,500 Agency Fees 8,800 Account Activity Cost 19,000 Total Expected $1 216,800 Total Expected Costs $ 1,037,200 RevenuesGiven: Total Expected Revenues = $1,216,800Total Expected Costs = $1,037,200Net Revenue = $1,216,800 - $1,037,200 = $179,600Net Funds Loaned = $10,000,000 - $2,125,000 = $7,875,000Expected Net Rate of Return = $179,600/ $7,875,000 = .0228 or 2.28%Because the estimated net rate of return is positive, the bank should strongly consider approving the loan as requested because the bank can earn a premium over its costs.If you decide to turn down this request, under what assumptions regarding revenues, expenses, and customer-maintained deposit balances would you make this loan?An initial reaction might be to increase loan revenues by raising the interest rate on the loan or increasing the loan commitment fee. Depending on the customer's relationship with the bank and with other banks, this may prove to be extremely difficult. Initially, it was assumed that the customer would draw down the entire line of credit, that is, borrow the full $10,000,000. If the customer were to borrow less than the full amount, the cost of funds raised to support this loan could be reduced, increasing the net revenue from the loan. Relative to expenses, it would be more likely that some adjustment in the expenses associated with the relationship would be more appropriate. For example, a careful examination of the relationship activities could allow for a revision of estimated costs incurred by the bank to manage the various aspects of the relationship. As far as the customer-maintained balances are concerned, there could be an opportunity to revise these estimates upward, making the net funds loaned smaller and the expected net rate of return greater.Alternative Scenario 1:Given: Prime rate drops from 10% to 8%. No change in interest costs.Solution:Interest Revenue = 9% x $10,000,000 = $900,000Change in Interest Revenue = $900,000 - $1,100,000 = -$200,000Net Revenue = [$1,216,800 - $200,000] - $1,037,200 = -$20,400Since the expected net revenues are now negative, the estimated net rate of return will be negative (-$20,400 / 7,875,000 = - 0.26%). With this negative expected net rate of return, the bank should carefully review the relationship. If this is a long, very good relationship, the bank should consider making the loan; however, there should be further negotiations to insure the profitability of the relationship. This might include restructuring the deposit relationship.Alternative Scenario 2:Given: Required Rate on Time Deposit = 9.25% (up from 9%)Cost of Other Funds Raised = $1,065,000 (up from $975,000)Prime Rate = 9.5% (down from 10%)Solution:Interest revenue = 10.5% x $ 10,000,000 = $1,050,000Change in Interest Revenue = $1,050,000 - $1,100,000 = -$50,000Add'I Interest Expense (Time Deposit) = $25,695 - $25,000 = $695Add'I Cost of Other Funds = $1,065,000 - $975,000 = $90,000 Additional Funding Costs $90,695Net Revenue = [$1,216,800 - $50,000] - [$1,037,200 + $90,695]= $1,166,800- $1,127,895 = $38,905Since the net revenue under these conditions is positive ($ 38,905), the bank should make the loan. Alternative Scenario 3:Given: All revenues, except interest revenue, and costs held constant.Solution:Break Even Revenues = $1,037,200Break Even Interest Revenue = $1,037,200 - [$100,000 + $4,500+ $3,500 + $ 8,800]= $1,037,200 - $116,800 = $920,400Break Even * $10,000,000 = $920,400Break Even = $920,400 / $10,000,000 = .092 or 9.2%Break Even = Prime Break Even + 1 = 9.2%Prime Break Even = 9.2% - 1 = 8.2%Alternative Scenario 4:Given: All costs, except interest costs, and revenues held constant.Solution: Break Even Revenues = $1,216,800Break Even Interest Costs = $1,216,800 - [$1,300 + $12,400+ 4,500 + $19,000]= $1,216,800 - $ 37,200 = $1,179,60019-2 Chilton Westover Bank has sold negotiable CDs in the amount of $6 million at a yield of 8.75% and purchased $4 million in federal funds at a rate of 8.40%. The weighted average cost of bank funds in this case would be:$ 6,000,000 * .0875 = $525,000$ 4,000,000 * .0840 = $336,000Total Interest Cost = $861,000On a $10 million loan this is an average annual interest cost of $861,000/$10,000,000 or 0.0861 which is 8.61 %. There were also $25,000 in noninterest costs or 0.25% of the loan total of $10million. With a one percent risk premium and a 0.25% minimal profit margin, the loan rate on a cost-plus basis would be:Interest Cost + Non-interest Cost + Risk Premium + Profit Margin =8.61% + 0.25% + 1.00% + 0.25% = 10.11%.Alternative Scenario 1:Given: Funding entire loan with federal funds at 8.4%.Solution:Loan rate on a cost-plus basis would be:Interest Cost + Non-interest Cost + Risk Premium + Profit Margin =8.40% + 0.25% + 1.00% + 0.25% = 9.90%The bank faces the risk that its interest cost component, the federal funds rate, which can change daily, could increase quickly and take up the "slack" in the loan rate, thereby reducing the profit margin on the loan.Alternative Scenario 2:Given: Noninterest costs unexpectedly rise to $38,000 and the customer insists on a cap of 10 percent on the rate.Solution:Profit Margin = Loan Rate – [Interest Cost + Noninterest Cost + Risk Premium]= 10.00% - [8.61% + 0.38% +1.00%]= 10.00%-9.99% = .01%The profit margin, for all intents and purposes, disappears.19-3. Englewood Bank is confronted with a $15 million loan request to fund accounts receivable and inventory for APEX Exports. The bank would prefer a floating-rate loan for 90 days at a rate of LIBOR + 0.25%. Most recently LIBOR was at 9.25%. APEX, however, wants the loan rate set1at 1.014 * LIBOR.At today’s prevailing LIBOR rate the customer's requested loan-rate formula would generate a loan interest rate of 1.014 * 9.25% = 9.38%. The bank wanted to charge a rate of 9.25% + 0.25% = 9.50%. Loan rates tend to move up and down faster with the customer's loan-rate formula than with the bank's LIBOR-plus formula. This customer appears to believe interest rates will soon decline, pulling its loan rate lower.Alternative Scenario:Given: The bank's counterproposal to Apex is LIBOR plus 0.125% with a compensating balance of $250,000.Solution:At the prevailing LIBOR rate of 9.25%, the effective rate of the counter proposal is:[9.25% + 0.125%]/[($15,000,000 - $ 250,000)/$15,000,000]= 9.375%/.9833 = 9.53%On an effective cost basis, Apex is not likely to agree to this request. However, if Apex looks only at the 9.375% rate, they might accept the request. Apex's opportunity cost of the minimum balance would come into play in accepting or rejecting the counter proposal.19-4. RJK Corporation was quoted a loan rate equal to the prevailing federal funds interest rate plus 3/8 of a percentage point (or 0.375%) . RJK wanted the loan renewed at money-market borrowing cost plus 0.25%. If the base rate is set at the federal funds rate the loan rate as requested by RJK would be:Week 1 Week 2 Week 3 Week 4 Week 5 Fed Funds 8.72% 8.80% 8.69% 8.46% 8.46% Margin 0.25% 0.25% 0.25% 0.25% 0.25% Loan Rate 8.97% 9.05% 8.94% 8.71% 8.71% Clearly the other money-market interest rates would have generated somewhat lower loan rates, especially the CD and Treasury bill rates. However, interest rates fell over the period examined, resulting in lower loan revenues for the bank. The bank would have been better off to offer its customer a fixed interest rate over the next five weeks.Alternative Scenario:Given: Bank desires to set a floor of 8%. Borrower agrees with the proposal if bank agrees to a loan rate of base rate plus 0.125%.Solution:The major risk faced by the bank is the risk that interest rates will rise along with other costs. If this occurs, increased fixed costs could erode the profit margin. Although this borrower would appear to be an excellent credit risk, increasing interest rates and inflation could result in increased default risk for the borrower over an extended period of time.Both the one-month commercial paper rate and the one-month CD rate have less volatility. Additionally, both maturities (i.e., one month) are closer to the five-week maturity of the requested loan. One might argue that either of these would be preferable, since they would maintain a higher rate in a declining interest rate environment. The one-month commercial paper rate had the lowestdecline during the five-week period, less than 2%, whereas the federal funds rate declined by approximately 3% and the CD rate declined by over 2%. If this trend were to continue over the next five-week period, the commercial paper rate would appear to be a better alternative.Web Site Problems1. What market interest rates are most widely used as base rates to price commercial loans? Where on the world wide web can you go to observe current and past levels of and changes in these market rates?After doing a search on the web, the Bloomberg site gave me the national averages for business loan rates. Their web site is /markets/rates.html. There are many other web sites out there that would also give this information or similar information. The table below lists key interest rates for business loans at the current time.Rate Current %Federal Funds 3.693 month LIBOR 3.71Prime Rate 7.002 Year AAA Industrial 4.5410 year .AAA Industrial 6.11From this information it appears that banks are most likely using the below prime market pricing (the markup) model to price their loans. These loan rates are close to the Federal Funds and LIBOR rates and are below the bank’s prime rate. Other loans to more risky customers may be priced differently.2. If you wanted to know more about the principles and procedures of business loan pricing where on the web would you go?One web site that has basic definitions for loans and may be a good place to start is/index.asp. This is the web site for Direct Loans. There are links to other sites from this one as well as frequently asked questions. A search of the web for business loan procedures may lead to other important web sites and information.。

《商业银行管理学》课后习题参考答案

9.一家银行的主要外部融资渠道有哪些？
普通股
优先股
固定股息率的优
先股
优先证券
可调整股息率的优先股
可转换优先股
次级债券租赁合同
资本票据资本证券可转换次级债券浮动利率次级债券选择性次级债券
10．根据银行资产持续增长模型，计算当股利分配率为40％时，资
本比率为1.00%,2.00%, 4.00%, 5.00%, 6.00%, 7.00%, 8.00%, 9.00%,
16）/15765＝0.67%
（3）银行净利差率＝（利息收入－利息支出）/盈利性资产＝（1875－1210）/12612=5.27%
（4）每股收益＝税后收益/股数＝（1875－1210＋21＋501－685－381-16） ×1000000/145000=724.14
第三章
1.为什么在监管会计原则下将一部分长期债务也作为银行资本？答：因为一部分长期债务满足以下的条件：（监管资本构成要素满足的条件）（1）其求偿权必须在存款人之后，能够发挥缓冲作用。（2）期限必须比较长，是比较稳定的资金来源。（3）在官方安全网下，能够减少银行的道德风险。 2. GAAP与RAP资本有什么区别？答：GAAP采用公认会计计算原则：
第二章
1．试比较商业银行的财务报表与一般企业财务报表的相同与不同之处。
答：相同：都有三大财务报表，商业银行的资产负债表与一般企业的类似，都是运用资产＝负债＋所有者权益，反映特定时点银行的静态财务状况。损益表也是由收入和支出两大部分组成。现金流量表也是由三部分组成：经营活动产生的现金流量、投资活动产生的现金流量和融资活动产生的现金流量。不同：负债表中的项目不同，商业银行负债表中的项目一般包括：贷款、证券投资、现金与存放同业及其他资产。损益表中商业银行是经营货币业务和提供金融服务的行业，所以收入主要包括贷款和金融资产的利息收入、银行提供金融服务的其他收入，支出主要包括对各种负债所支付的利息和员工工资及福利支出等。商业银行除了三大报表以外，股东权益表也是一个重要的报表。 2．如果一家银行的经营业绩出现了下滑趋势，如何为该银行分析原因？答：银行业绩下滑，应从收入和支出两方面进行分析，对支出和收

商业银行经营管理试题

中南财经政法大学–学年第二学期商业银行经营管理期末考试试题课程名称：《商业银行经营管理》（）卷课程代号：、考试形式：闭卷使用对象：金融级、金融工程中南财经政法大学–学年第二学期期末考试试卷课程名称：《商业银行经营管理》（）卷课程代号：、考试形式：闭卷使用对象：金融级、金融工程级一、单项选择题：（共题，每题分）（）．历史上第一家资本主义股份制商业银行成立于。

．年．年．年．年（）．银行资本内部融资的主要来源是。

．发行普通股．发行优先股．未分配利润．发行中长期债券（）．非预期损失主要对应于。

．一级资本．二级资本．三级资本．经济资本（）．在商业银行存款中，所需流动性资金准备率最高的是。

．稳定性货币负债．脆弱性货币负债．安全性货币负债．游动性货币负债（）．信用分析的原则主要有三种，即、、，三原则中对信用保证要求的描述为。

. ；；. ；；. ；；. ；；（）．借款人目前偿还贷款本息没有问题，但存在一些可能对偿还产生不利影响的因素，此种贷款是。

．正常贷款．关注贷款．次级贷款．不良贷款（）．商业银行获取短期资金最简便的方法是。

．同业拆借．向央行再贴现．证券回购．国际金融市场融资（）．对银行选择盈利资产具有最重要意义的成本概念是。

. 利息成本．资金成本．其他成本．可用资金成本（）．商业银行首先必须坚持的经营原则是。

．流动性．安全性．盈利性. 效益性（）．按照银行流动性管理中的进取型原则，借入资金渠道不包括。

. 发行债券. 向金融市场拆借资金. 自身资产转换. 大面额存单（）．价格领导模型的利率基础是。

．银行的短期贷款利率．中央银行的再贴现率．银行关系户的利率．若干大银行统一的优惠利率（）．利息保障倍数的计算公式是。

. 税前净利利息费用．（税前息前利润利息费用）利息费用. （税后利润利息费用）利息费用．（税前净利利息费用）利息费用（）．在对借款人财务状况进行分析时，杠杆比率的分析目的是帮助银行了解借款企业的。

．资产结构．偿还能力．盈利状况．资本结构（）．影响商业银行流动性的主要因素是。

(完整版)《商业银行管理学》课后习题答案

《商业银行管理学》课后习题及题解第一章商业银行管理学导论习题一、判断题1. 《金融服务现代化法案》的核心内容之一就是废除《格拉斯－斯蒂格尔法》。

2. 政府放松金融管制与加强金融监管是相互矛盾的。

3. 商业银行管理的最终目标是追求利润最大化。

4. 在金融市场上，商业银行等金融中介起着类似于中介经纪人的角色。

5. 商业银行具有明显的企业性质，所以常用于企业管理的最优化原理如边际分享原理、投入要素最优组合原理、规模经济原理也适用于商业银行。

6. 金融市场的交易成本和信息不对称决定了商业银行在金融市场中的主体地位。

7. 企业价值最大化是商业银行管理的基本目标。

8. 商业银行管理学研究的主要对象是围绕稀缺资源信用资金的优化配置所展开的各种业务及相关的组织管理问题。

9. 商业银行资金的安全性指的是银行投入的信用资金在不受损失的情况下能如期收回。

二、简答题1. 试述商业银行的性质与功能。

2. 如何理解商业银行管理的目标？3. 现代商业银行经营的特点有哪些？4. 商业银行管理学的研究对象和内容是什么？5. 如何看待“三性”平衡之间的关系？三、论述题1. 论述商业银行的三性目标是什么，如何处理三者之间的关系。

2. 试结合我国实际论述商业银行在金融体系中的作用。

第一章习题参考答案一、判断题1.√2.×3.×4.√5.×6.√7.×8.√9.√二、略；三、略。

第二章商业银行资本金管理习题一、判断题1. 新巴塞尔资本协议规定，商业银行的核心资本充足率仍为4％。

2. 巴塞尔协议规定，银行附属资本的合计金额不得超过其核心资本的50%。

3. 新巴塞尔资本协议对银行信用风险提供了两种方法：标准法和内部模型法。

4. 资本充足率反映了商业银行抵御风险的能力。

5. 我国国有商业银行目前只能通过财政增资的方式增加资本金。

6. 商业银行计算信用风险加权资产的标准法中的风险权重由监管机关规定。

二、单选题1. 我国《商业银行资本充足率管理办法》规定，计入附属资本的长期次级债务不得超过核心资本的。

《商业银行管理》课后习题答案IMChap6

《商业银⾏管理》课后习题答案IMChap6CHAPTER 6ASSET/LIABILITY MANAGEMENT: DETERMINING AND MEASURING INTEREST RATES AND CONTROLLING A BANK’S INTEREST-SENSITIVE GAP Goals of This Chapter: To learn how to measure a bank's exposure to interest-rate risk and how to reduce that risk exposure through coordinated management of bank assets and liabilities.Key Terms Presented In This ChapterAsset-liability Management Yield to Maturity (YTM)Asset Management Bank Discount RateLiability Management Net Interest MarginFunds Management Interest-Sensitive Gap ManagementInterest Rate RiskChapter OutlineI. Introduction: The Necessity for Coordinating Bank Asset and Liability ManagementDecisionsII. Asset/Liability Management StrategiesA. Asset Management StrategyB. Liability Management StrategyC. Funds Management StrategyIll. Interest Rate Risk: One of the Banker's Greatest ChallengesA. Nature of Interest-Rate RiskB. Forces Determining Interest RatesC. The Measurement of Interest Rates1. Yield to Maturity2. Bank Discount RateD. The Components of Interest RatesE. Bankers' Response to Interest Rate RiskIV. One of the Goals of Interest-Rate HedgingA. The Net Interest MarginB. Interest-Sensitive Gap Management1. Asset-Sensitive Position2. Liability-Sensitive Position3. Calculation of a Bank's Interest-Sensitive Gap4. Impact of Changing Interest Rates on the Gap5. Decisions that need to be Made Concerning Gap Management6. Computer Techniques for Managing Gap7. Cumulative Gap8. Strategies in Gap Management9. Limitations of Interest-Sensitive Gap Management10. Weighted Interest-Sensitive GapV. Summary of the ChapterConcept Checks6-1. What do the following terms mean: Asset management? Liability management? Funds management?Asset management refers to a banking strategy where management has control over the allocation of bank assets but believes the bank's sources of funds (principally deposits) are outside its control. Liability management is a strategy of control over bank liabilities by varying interest rates offered on borrowed funds. Funds management combines both asset and liability management approaches into a balanced liquidity management strategy.6-2. What factors have motivated banks to develop funds management techniques in recent years?The necessity to find new sources of funds in the 1970s and the risk management problems encountered with troubled loans and volatile interest rates in the 1970s and 1980s led to the concept of planning and control over both sides of a bank's balance sheet -- the essence of funds management.6-3. What forces cause interest rates to change? What kinds of risk do bankers face when interest rates change?Interest rates are determined, not by individual banks, but by the collective borrowing and lending decisions of thousands of participants in the money and capital markets. They are also impacted by changing perceptions of risk by participants in the money and capital markets, especially the risk of borrower default, liquidity risk, price risk, reinvestment risk, inflation risk, term or maturity risk, marketability risk, and call risk.Bankers can lose income or value no matter which way interest rates go. Rising interest rates can lead to losses on bank security instruments and on fixed-rate loans as the market values of these instruments fall. Falling interest rates will usually result in capital gains on fixed-rate securities and loans but a bank will lose income if it has more rate-sensitive assets than liabilities. Rising interest rates will also cause a loss to bank income if a bank has more rate-sensitive liabilities than rate-sensitive assets.6-4. What makes it so difficult for banks to forecast interest rate changes?Interest rates cannot be set by an individual bank or even by a group of banks; they are determined by thousands of investors trading in the credit markets. Moreover, each market rate of interest has multiple components--the risk-free interest rate plus various risk premia. A change in any of these rate components can cause interest rates to change. To consistently forecast market interest rates correctly would require bankers to correctly anticipate changes in the risk-free interest rate and in all rate components. Another important factor is the timing of the changes. To be able to take full advantage of their predictions, they also need to know when the changes will take place.6-5. What is the yield curve and why is it important for bankers to know about its shape or slope?The yield curve is a graphical description of the distribution of market interest rates by maturity of financial instrument. The slope of the yield curve determines the spread between long-term and short-term interest rates. In banking most of the long-term rates apply to loans and securities (i.e., bank assets) and most of the short-term interest rates are attached to bank deposits and money market borrowings. Thus, the shape or slope of the yield curve has a profound influence on a bank's net interest margin or spread between asset revenues and liability costs.6-6. What is it that a bank wishes to protect from adverse movements in interest rates?A bank wishes to protect both the value of bank assets and liabilities and the revenues and costs generated by both assets and liabilities from adverse movements in interest rates.6-7. What is the goal of hedging in banking?The goal of hedging in banking is to freeze the spread between asset returns and liability costs and to offset declining values on certain assets by profitable transactions so that a target rate of return is assured.6-8. First National Bank of Bannerville has posted the following financial statement entries: Interest revenues $63 millionInterest costs $42 millionTotal earning assets $700 millionThe bank's net interest margin must be:Net Interest = $63 mill. - $42 mill. = 0.03 or 3 percentMargin $700 mill.If interest revenues and interest costs double while earning assets grow by 50 percent, the net interest margin will change as follows:($63 mill. - $42 mill.) * 2 = 0.04 or 4 percent$700 mill. * (1.50)Clearly the net interest margin increases--in this case by one third.6-9. Can you explain the concept of gap management?Gap management involves determining the maturity distribution and the repricing schedule for a bank's assets and liabilities. When more assets are subject to repricing or will reach maturity in a given period than liabilities or vice versa, the bank has a GAP and is exposed to loss from adverse interest-rate movements based on the gap's size.6-10 When is a bank asset sensitive? Liability sensitive?A bank is asset sensitive when it has more interest-rate sensitive assets maturing or subject to repricing during a specific time period than rate-sensitive liabilities. A liability sensitive position, in contrast, would find the bank having more interest-rate sensitive deposits and other liabilities than rate-sensitive assets for a particular planning period.6-11. Commerce National Bank reports interest-sensitive assets of $870 million andinterest-sensitive liabilities of $625 million. Because interest-sensitive assets are larger than liabilities by $245 million the bank is asset sensitive.If interest rates rise, the bank's net interest margin should rise as asset revenues increase by more than the resulting increase in liability costs. On the other hand, if interest rates fall, the bank's net interest margin will fall as asset revenues decline faster than liability costs.6-12. First National Bank has a cumulative gap for the coming year of + $135 million and interest rates are expected to fall by two and a half percentage points. What is the expected change in First National's net interest income?ExpectedChange in = $135 million * (-0.025) = -$3.38 millionNet Interest IncomeWhat change will occur in net interest income if interest rates rise by one and a quarter percentage points?Expected Changein Net Interest = $135 million * (+0.0125) = +$1.69 millionIncome6-13 How do you measure a bank’s dollar interest-sensitive gap? Its relative interest-sensitive gap? What is the interest-sensitivity ratio?The dollar interest-sensitive gap is measured by taking the repriceable (interest-sensitive) assets minus the repriceable (interest-sensitive) liabilitiies over some set planning period. Common planning periods include 3 months, 6 months and 1 year. The relative interest-sensitive gap is the dollar interest-sensitive gap divided by some measure of bank size (often total assets). The interest-sensitivity ratio is just the ratio of interest-sensitive assets to interest sensitive liabilities. Regardless of which measure you use, the results should be consistent. If you find a positive (negative) gap for dollar interest-sensitive gap, you should also find a positive (negative) relative interest-sensitive gap and a interest sensitivity ratio greater (less) than one. 6-14 Suppose Carroll Bank and Trust reports interest-sensitive assets of $570 million and interest-sensitive liabilities of $685million. What is the bank’s dollar interest-sensitive gap? Its relative interest-sensitive gap and interest-sensitivity ratio? Dollar Interest-Sensitive Gap = Interest-Sensitive Assets – Interest Sensitive Liabilities= $570 - $685 = -$115Relative Gap = $ IS Gap = -$115 = -0.2018 or -20.18 percent Bank Size $570Interest-Sensitivity = Interest-Sensitive Assets =$570 = .8321 Ratio Interest-Sensitive Liabilities $6856-15 Explain the concept of weighted interest-sensitive gap. How can this concept aid bank’s real interest-sensitive gap risk exposure?Weighted interest-sensitive gap is based on the idea that not all interest rates change at the same speed. Some are more sensitive than others. Interest rates on bank assets may change more slowly than interest rates on liabilities and both of these may change at a different speed than thoseinterest rates determined in the open market. In, the weighted interest-sensitive gap methodology all interest-sensitive assets and liabilities are given a weight based on their speed (sensitivity) relative to some market interest rate. Fed Funds loans, for example, have an interest rate which is determined in the market and which would have a weight of 1. All other loans, investments and deposits would have a weight based on their speed relative to the Fed Funds rate. To determine the interest-sensitive gap, the dollar amount of each type of asset or liability would be multiplied by its weight and added to the rest of the interest-sensitive assets or liabilities. Once the weighted total of the assets and liabilities is determined, a weighted interest-sensitive gap can be determined by subtracting the interest-sensitive liabilities from the interest-sensitive assets. This weighted interest-sensitive gap should be more accurate than the unweighted interest-sensitive gap. The interest-sensitive gap may change from negative to positive or vice versa and may change significantly the interest rate strategy pursued by the bank.Problems6-1. A government bond is currently selling for $900 and pays $80 per year in interest for 5 years when it matures. If the redemption value of this bond is $1,000, what is its yield to maturity if purchased today for $900. The yield to maturity equation for this bond would be:$900 = $80(1YTM)1+ + $80(1YTM)2+ + $80(1YTM)3+ + $80(1YTM)4++ $80(1YTM)5+ + $1,000(1YTM)5+At an YTM of 10 percent the bond's price is $924.28, while at 12 percent its price becomes $864.40. Thus, the true YTM lies between 10% and 12%. To find the true YTM we use: 10% + 40.864$28.924$900$28.924$-- * 2% ≈ 10.81%6-2. Suppose the government bond described in problem #1 is held for 3 years and then the bank acquiring the bond decides to sell it at a price of $950. Can you figure out the average annual yield the bank will have earned for its 3-year investment in the bond?In this instance the yield-to-maturity equation can be modified slightly to find the correct holding-period yield that the bank would earn. Specifically,$900 = $80(1HPY)1+ + $80(1HPY)2++ $80(1HPY)3+ + $950(1HPY)3+At an HPY of 10% the bond's price becomes $912.31, while at 12% the bond's price is $868.56.The true holding period yield must be:10% + 912.31900912.31868.56--x 2% ≈10.56%.6-3. U.S. Treasury bills are available for purchase this week at the following prices (based upon $100 par value) and with the indicated maturities:a. $97.25, 182 days.b. $96.50, 270 days.c. $98.75, 91 days.The discount rates and equivalent yields to maturity (bond-equivalent or coupon-equivalent yields) on each of these Treasury bills are:Discount Rates Equivalent Yields to Maturitya.(10097.25)100- * 360182 = 5.44% (365x.0544)[360(0.0544x182)]- = 19.856350.1 = 5.67% b.(10096.50)100- * 360270 = 4.67% (365x.0467)[360(.0467x270)]- = 17.046347.39 = 4.91% c. (10098.75)100- * 36091 = 4.95% (365x.0495)[360(.0495x91)]- = 18.07355.5 = 5.08%6-4. The First State Bank of Ashfork reports a net interest margin of 3.25 percent in its most recent financial report with total interest revenues of $88 million and total interest costs of $72 million. What volume of earning assets must the bank hold? The relevant formula is:Net Interest Margin = .0325 = AssetsEarning mil. $72mill. $88-Then Earning Assets = $492.31 million.Suppose the bank's interest revenues rise by 8 percent and its interest costs and earning assets increase 10 percent. What will happen to Ash Fork's net interest margin?Substituting in the correct formula we have:New Net Interest Margin = .10)million(1 $492.3.10)million(1 $72.08)(1 million $88++-+= million$541.53million $79.20million $95.04-= 0.0293 or 2.93 percent.6-5. If a bank's net interest margin, which was 2.85 percent, doubles and its total assets, which stood originally at $545 million, rise by 40 percent, what change will occur in the bank's net interest income?The correct formula is:.0285 * 2 = .4)(1*million 545$Income Interest Net +or Net Interest Income = 0.057 * $763 million= $43.49 million.6-6. The cumulative interest-rate gap of Snidal State Bank and Trust Company doubles from an initial figure of -$35 million. If market interest rates fall by 25 percent from an initial level of 6 percent, what change will occur in Snidal Bank's net interest income?The key formula here is:Change in the Bank's = Change in interest rates (in percentage points) * cumulative gap Net Interest = 0.06 * -.25 x (-$35 mill.) * 2Income = 1.05Thus, the bank's net interest income will rise by 5 percent.6-7. Given: Merchants State Bank has recorded the following financial data for the past three years (dollars in millions):Current Year Previous Year Two Years Ago Interest revenues $57 $56 $55 Interest expenses 49 42 34 Loans (Excluding nonperforming) 411 408 406 Investments 239 197 174 Total deposits 487 472 467 Money market borrowings 143 118 96 Solution:Net interest margin (NIM) = Net Interest Income/Earning Assets, whereNet Interest Income = Net Interest Revenues - Net Interest ExpensesEarning Assets = Loans + InvestmentsNIM(Current) = ($57-49)/(411 + 239) = 8/650 = 0.0123 or 1.23%NIM(previous) = ($56-42)/(408 + 197) = 14/605 = 0.0231 or 2.31%NIM(Two years ago) = ($55-34)/(406 + 174) = 21/580 = 0.0362 or 3.62%The net interest margin has been declining steadily and significantly. Probable causes include greater increases in interest expenses relative to interest income due to shifts in funding mix with greater dependence on borrowed funds (more expensive sources) relative to deposits (less expensive sources). Additionally, the mix in earning assets, with greater growth in lower yielding investment securities than in higher yielding loans, is another contributor to the steadily declining net interest margin.Management needs to reevaluate its funding strategies and its loan and investment strategies. If slower loan growth is related to external forces -- for example, a weaker economy -- then less borrowing should be considered. If the slower loan growth is more internal, then more aggressive loan management would be appropriate.6-8 The First National Bank of Wedora, California has the following interest-sensitive gaps:Coming WeekNext30 DaysNext31-90 DaysMore Than90 DaysInterest - $144 $110 $164 $184 Sensitive +29 +19 29 8 Assets = $173 $129 $193 $192 Interest - $232 $ --- $ --- $ ---Sensitive 98 84 196 35 Liabilities = 36 6 --- ---$366 $90 $196 $35 GAP - $193 + $39 - $3 + $157 Cumulative GAP - $193 - $154 - $157 $0First National has a cumulative zero gap and therefore is not vulnerable to loss if interest rates rise. It does have a positive gap in two periods--the next 30 days and more than 90 days. During these particular periods a rise in interest rates would produce a short-run gain.6-9 First National Bank of Barnett currently has the following interest-sensitive assets and liabilities on its balance sheet:Interest-Sensitive Assets Interest-Sensitive LiabilitiesFederal fund loans $65Security holdings $42 Interest-bearing deposits $185Loans and leases $230 Money-market borrowings $78What is the bank’s current interest-sensitive gap? Suppose its Federal funds loans carry an interest-rate sensitivity weight of 1.0 while its investments have a rate-sensitivity weight of 1.15 and its loans and leases display a rate-sensitivity weight of 1.35. On the liability side First National’s rate-sensitivity weight is 0.79 for interest-bearing deposits and 0.98 for itsmoney-market borrowings. Adjusted for these various interest-rate sensitivity weights, what is the bank’s weighted interest-sensitive gap? Suppose the Federal funds interest rate increases or decreases one percentage point. How will the bank’s net interest income be affecte d (a) given its current balance sheet make up and (b) reflecting its weighted balance sheet adjusted for the foregoing rate-sensitivity weights?Solution:Dollar IS Gap = ISA - ISL = ($65 + $42 + $230) - ($185 + $78) = $337 - $263 = $74 Weighted IS Gap = [(1)($65) + (1.15)(42) + (1.35)(230)] - [(.79)($185) + (.98)($78)] = $65 + $48.3 + $310.5 - $146.15 + $76.44= $423.8 - $222.59= $201.21a.) Change in Bank’s Income = IS Gap * Change in interest rates= ($74)(.01) = $.74 millionUsing the regular IS Gap, net income will change by plus or minus $740,000b.) Change in Bank’s Income = Weighted IS Gap * Change in interest rates= ($201.21)(.01) = $2.012Using the weighted IS Gap, net income will change by plus or minus $2,012,0006-10 McGraw Bank and Trust has interest-sensitive assets of $225 million and interest-sensitive liabilities of $168 million. What is the bank’s dollar interest-sensitive gap? What is McGraw’srelative interest-sensitive gap? What is the value of its interest-sensitivity ratio? Is the bank asset sensitive or liability sensitive? Under what scenario for market interest rates will the bank experience a gain in net interest income? A loss in net interest income?Dollar Interest-Sensitive Gap = ISA – ISL = $225 - $168 = $57Relative Interest-Sensitive Gap = ISA – ISL = $57 = 0.2533Bank Size $225Interest-Sensitivity Ratio = ISA = $225 = 1.3393ISL $168This bank is asset sensitive. More assets will be repriced during this time period than liabilities. This means that if interest rates rise, the interest earned on assets will rise relative to the interest paid on liabilities and net interest margin will rise. However, if interest rates fall, interest earned on assets will fall more than interest paid on liabilities and net interest margin will fall.Web Site Problems1. Suppose you want to know what types of banks make the greatest use of asset-liability management tools and what their biggest ALM problems are? Where would you go on the web to try to get answers to these questions?Almost all banks are required by regulators to have some kind of ALM management in place. These techniques can be as simple as the interest sensitive gap discussion in this chapter or the duration gap management in the next chapter. However, there are many consulting firms out there that have developed specific models for managing ALM. One way to see what is out there is to do a search on bank ALM management and see some of the sites that are out there. These sites range from sites for the consulting firms to more general sites that provide a good definition and description of ALM management. Two sources that are available at this time for general information on asset-liability management are/doc/48e316c54028915f804dc2e4.html /glossaryassetliabilitymanagement.htm and/doc/48e316c54028915f804dc2e4.html /Products/nccb_asset.htm. However if you want a good discussion of specific models and the problems people are having with ALM management, one good source appears to be /doc/48e316c54028915f804dc2e4.html /. This site has several discussion groups on various ALM topics.2. If a new web model to apply ALM techniques to a bank’s risk exposure is developed, at what web site are you most likely to find a discussion of that new ALM model?The best place to get information about a new ALM model would be the/doc/48e316c54028915f804dc2e4.html / site mentioned above. If a promising new model were developed it would be sure to show up in the discussion groups mentioned above.3. If you need guidance on how to prepare bank forecasts and measure risk as part of a bank’s ALM activities which web site could be most helpful to you?If you are not willing to go to a consultant about how to develop bank forecasts and measure risk, the/doc/48e316c54028915f804dc2e4.html / web site would probably be the most helpful site. There are many discussions there about how to deal with specific measurement issues and how to find information to determine the risk of your bank compared to peer institutions.。

商业银行与信用风险管理专业中南财大第二章

1
存款工具的营销过程：1.研究确定客户的金融需要；2.规划新的服务或改善原有服务；3.定价和促销。
2
（一）存款工具的营销
以成本为基础定价
交易账户的定价公式
金融市场存款账户的定价
（二）存款工具的定价
1999年8月30日，九届全国人大常委会第十一次会议通过了《关于修改个人所得税法的决定》，将“储蓄存款利息”从免征个人所得税项目中删除。
输入标题
第一节商业银行负债的构成
输入标题
输入标题
输入标题
第四节负债成本管理
2
第二节存款业务
第三节借款业务
1
4
3
第二章商业银行负债业务
01
银行负债的概念
02
银行负债的作用
03
银行负债的构成
第一节商业银行负债的构成
银行负债有广义和狭义之分（P34）。
03
银行负债的三个基本特点（P34）。
储蓄存款的分流效应将更加明显。
对股市和国债市场产生积极作用。
05
增加财政收入。2000-2001、2004-2005年利息税收入分别为150亿、279亿、320.76亿、356.61亿元。
利息税的影响
不变。
取消。2005年11月，全国政协委员、天津财经学院经贸系副主任梁燕君提出，目前的经济形势已由当年的持续通货紧缩演变为轻度和局部的通货膨胀，因此年内应该取消储蓄存款利息税。2007年“两会 ”期间政协委员联名提案建议取消利息税。
30334.32
6.7%
对国际金融机构负债
947.28
0.2%
其他
22110.18
4.7%
项目
余额
占比

《商业银行管理学》课后习题答案及解析

四、论述题
1、试论述现阶段我国商业银行提高资本金得策略、
1。［题解］商业银行提高资本金有两种策略,即内源资本策略与外源资本策略。内源资本策略就是指增加内源资本,即增加以留存收益方式形成得资本;外源资本策略就是指通过发行普通股、发行优先股、发行长期次级债券等形式来增加资本。
第三章商业银行负债业务管理
Ａ、 20% Ｂ、 5０％
C. 7０％ D. 1０0％
2. 商业银行用于弥补尚未识别得可能性损失得准备金就是。
A、一般准备金 B。专项准备金
C。特殊准备金 D。风险准备金
３、《巴塞尔协议》规定商业银行得核心资本与风险加权资产得比例关系、
Ａ。≧8% Ｂ. ≦８％
C、≧４％Ｄ. ≦4%
三、简答题
7。我国目前资本市场利率仍然就是市场利率与计划利率并存。
8、负债就是商业银行资金得全部来源。
二、单项题
１、商业银行存款管理得目标不包括。
A、保持存款得稳定性 B. 降低存款得成本率
C、降低存款得流动性Ｄ. 提高存款得增长率
2。存款按存款资金性质及计息范围划分为财政性存款与、
Ａ. 个人存款 B. 定期存款
《商业银行管理学》课后习题及题解
第一章商业银行管理学导论
习题
一、判断题
1、《金融服务现代化法案》得核心内容之一就就是废除《格拉斯—斯蒂格尔法》。
2。政府放松金融管制与加强金融监管就是相互矛盾得、
3. 商业银行管理得最终目标就是追求利润最大化。
4、在金融市场上,商业银行等金融中介起着类似于中介经纪人得角色、
C、一般性存款 D. 单位存款
3. 使商业银行负债成本最低得存款为。
A。同业存款 B、有奖存款

商业银行经营管理答案..

商业银行经营管理答案..商业银行经营管理答案1.概述本文档旨在全面介绍商业银行经营管理的相关知识。

商业银行是金融机构的一种，主要提供各种金融服务，包括存款、贷款、汇款、信用卡等。

商业银行经营管理涉及的内容包括组织架构、风险管理、资本管理、营销策略等。

2.组织架构商业银行的组织架构通常包括董事会、监事会和高级管理层等。

董事会负责制定商业银行的整体战略决策，并监督高级管理层的执行情况。

监事会主要负责对商业银行的经营进行监督和审计。

高级管理层负责商业银行的日常经营管理工作。

3.风险管理商业银行经营过程中存在各种风险，包括信用风险、市场风险、操作风险等。

为了有效管理和控制这些风险，商业银行需要制定相应的风险管理策略和政策，并建立风险管理体系。

这包括制定合理的授信政策、建立风险监测和评估体系、加强内部控制等。

4.资本管理商业银行需要维持一定的资本水平以满足监管要求，并保证银行的偿付能力和抵御风险的能力。

资本管理包括资本充足率的计算和监测、资本筹集、资本运用等。

商业银行还需要根据自身的经营风险情况，制定合理的资本管理政策。

5.营销策略商业银行需要制定有效的营销策略来吸引客户、获取利润和增加市场份额。

营销策略包括产品创新、市场定位、客户关系管理等。

商业银行还需要根据市场竞争情况，制定差异化竞争策略和定价策略。

附件：1.商业银行组织架构图2.商业银行风险管理政策3.商业银行资本管理政策4.商业银行营销策略案例分析法律名词及注释：1.董事会：商业银行的最高管理机构，由董事组成，负责制定银行的整体战略决策。

2.监事会：商业银行的监督机构，负责对银行的经营进行监督和审计。

3.高级管理层：商业银行的高级管理人员，负责日常经营管理工作。

4.信用风险：指在借贷活动中，借款人无法履行还款义务的风险。

5.市场风险：指由于市场价格波动导致资产价值下降的风险。

6.操作风险：指由于人为疏忽、系统故障等原因导致的损失的风险。

南开大学智慧树知到“财务管理”《商业银行管理》网课测试题答案4

南开大学智慧树知到“财务管理”《商业银行管理》网课测试题答案（图片大小可自由调整）第1卷一.综合考核(共15题)1.从资产负债平衡的角度去协调银行安全性、流动性、效益性之间的矛盾，使银行经营管理更为科学的理论是()。

A.资产负债综合管理理论B.资产管理理论C.负债管理理论D.预期收入理论2.商业银行抗衡非银行金融机构推出的货币市场基金的结果是出现了()。

A.货币市场存款账户B.协定账户C.信用证D.股金汇票账户3.中央银行可以拆借现金给会员银行，按中央银行确定的贴现率计算利息，并且这一利息固定不能调整。

()A.错误B.正确4.如果同业存款中可投资余额的收益率较高，同业存款的需要量就少一些﹔否则，同业存款的需要量就较多。

()A.错误B.正确5.各国商业银行的传统存款业务有()。

A.活期存款B.定期存款C.储蓄存款D.货币市场存款账户6.世界各国的中央银行，都是向商业银行提供货币的最后贷款者。

其借款的形式有()。

A.贴现B.再贴现C.再贷款D.贷款7.银监会成立后，中国人民银行将只负责货币政策调控等一系列非直接监管金融机构的任务。

()A.错误B.正确8.公众对银行的高度信任仅取决于银行资本的数量。

()A.错误B.正确9.可转换优先股既具有本金安全和收入稳定的特点，又可使股东获得商业银行普通股未来价值增长的实惠，因此对投资者来说较具吸引力。

()A.错误B.正确10.银行库存现金周转时间的长短，受多种因素的影响，主要有()。

A.银行营业网点的分布状况和距离B.交通运输工具的先进程度C.经办人员的配置D.出入库制度与营业时间的相互衔接情况11.信用证结算方式的特点是()。

A.开证行负第一性付款责任B.信用证是一项独立文件C.银行不垫付款项D.信用证业务的处理以单据为准12.商业银行国际业务不仅包括跨国银行在国外的业务活动，也包括本国银行在国内所从事的有关的国际业务。

()A.错误B.正确13.商业银行决策系统的主要组成部分是()。

商业银行管理第2章习题答案.doc

Chapter 2Analyzing Bank PerformanceChapter Objectives1 • Introduce bank financial statements, including the basic balance sheet and income statement, and discuss theinterrelationship between them.2.Provide a framework for analyzing bank performance over time and relative to peer banks・ Introduce key financialratios that can be used to evaluate profitability and the different types of risks faced by banks・ Focus on the trade-off between bank profitability and risk・3.Identify performance measures that differentiate between small, independent banks (specialty banks) and larger banksthat are part of multibank holding companies or financial holding companies.4.Distinguish between types of bank risk; credit, liquidity, interest rate, capital, operational, and reputational.5・ Describe the nature of and meaning of regulatory CAMELS ratings for banks.6.Provide applications of data analysis to sample banks9 financial in format io n.7.Describe performance characteristics of diffcrcnt-sizcd banks.& Describe how banks can manipulate financial information to 'window-dress^ performance・Key Concepts1・ Bank managers must balance banking risks and returns because there is a fundamental trade-off between profitability, liquidity, asset quality, market risk and solvency. Decisions that increase banking risk must offer above average profits・ The more liquid a bank is and the more equity capital used to fund operations, the less profitable is a bank, ceteris paribus.2.Banks face five basic types of risk in day-to-day operations: credit risk, liquidity risk, market risk, capital/solvency risk, and operational risk. Market risk encompasses interest rate risk, foreign exchange risk and price risk. Each type of risk refers to the potential variation in a bank's net income or market value of stockholders' equity resulting from problems that affect that part of the bank's activities・3.Banks also face risks in the areas of country risk associated with loans or other activity with foreign government units and off-balance sheet activities, which create contingent liabilities. More recently, banks have focused on reputation risk. For example, from 2002-2005 Citigroup, JP Morgan Chase, and Bank of America found that even though they continued to report strong profits, they experienced strong criticism for 1) their roles in facilitating strategies to disguise Enron's true financial status, 2) problems in sub-prime lending programs via the Associates Corp, and their own internal finance company activities, 3) problems with underwriting subsidiaries with analyst conflicts between stock reports and the firm's investment banking relationships; facilitating market timing of stock trades to their detriment of their own mutual fund holders, 4) lack of supervision of trading groups, and 5) facilitating improper borrowing at Parmalat.4.A bank's return on equity (ROE) can be decomposed in terms of the duPont system of financial ratio analysis- This examination of historical balance sheet and income statement data enables an analyst to evaluate the comparative strengths and weaknesses of performance over time and versus peer banks・ The Uniform Bank Performance Report (UBPR) data reflect the basic ratios from this return on equity model.5.Different-sized commercial banks exhibit different operating characteristics and thus performance measures・ Small banks typically report a higher return on assets (ROA) than large banks because they earn higher gross yields on assets and pay less interest on liabilities.6.High performance banks generally benefit from lower interest and non-interest expense and limit credit risk so that loan losses are relatively low. They also operate with above average stockholders' equity・7.Many banks can successfully "window-dress” performance by manipulating the reporting of financial data・ They may accelerate revenue recognition and defer expenses or selectively alter when they take securities gains or losses and time when to charge off loans or report loans as non-performing. As such, they may inappropriately smooth earnings with provisions for loan losses or by other means. Analysts must be careful when evaluating extraordinary transactions that have one-time gain or loss features.Answers to End of Chapter Questions1・ For a large bank, assets consist approximately of marketable securities (20%), loans (70%), and other assets (10%). Liabilities consist of core deposits (40%-60%), noncore, purchased liabilities (20%-40%), and other liabilities (5 %-10%) as a fraction of assets. Small banks typically obtain more funds in the form of core deposits and less in the form of noncore, purchased liabilities. Small banks often invest more in securities as well. Of course, the actual percentages for any bank depend on that bankas business strategy, market competition, and ownership.2.A bank's interest income consists of interest earned on loans and securities while noninterest income includes revenues from deposit service charges, trust department fees, fees from nonbank subsidiaries, etc. Interest expense consists of interest paid on interest-bearing core deposits and noncorc liabilities while noninterest expense is comprised of overhead costs, personnel costs, and other costs. A bankas net interest income equals its interest income minus interest expense・ Note that interest income may be calculated on a tax-equivalent basis in which tax-exempt interest is converted to its pre-tax equivalent.A bankas burden is defined as its noninterest expense minus noninterest income・ This is often quoted as a fraction of total assets. A bank's efficiency ratio is calculated as noninterest expense divided by the sum of net interest income and noninterest income・ The denominator effectively measures net operating revenue after subtracting interest expense・ The efficiency ratio measure the noninterest cost per $lof operating revenue generated・ Analysts often interpret the efficiency ratio as a measure of a bank9s ability to control overhead relative to its ability to generate noninterest income (and overall revenue). A lower number is presumably better because it reflects better cost control compared with revenue generation.3.Balance sheet accounts:a.Increase liability: money market deposit account (+$5,000)Increase asset: federal funds sold (+$5,()()())b.Decrease asset: real estate loanIncrease asset: mortgage loanc.Increase equity: common stock (common and prefened capital)Increase asset: commercial loans4.Income statementInterest on U.S. Treasury & agency securities $44,500Interest on municipal bonds 60,00()Interest and fees on loans 189、700Interest income = $294,20()Interest paid on interest-checking accounts $33,50()Interest paid on time deposits 100,000Interest paid on jumbo CDs 101,000Interest expense = $234,500Net interest income = $59,700Provisions for loan losses = $ 1 &()()()Net interest income after provisions = $41,700Fees received on mortgage originations Service charge receipts $23,000 41,000Trust department incomeNon-interest income =15,000 $79,000Employee salaries and benefits $145,000 Occupancy expense 22,000 Non-interest expense = $167,000Income before income taxes ■$46,30( )Income taxes 15,742Net income = ■$30,558Cash dividends declared 2,500Retained earnings = -$33,058This assumes that expenses associated with the purchase of the new computer are included in occupancy expense .If not, the computer expense (depreciation) will increase the loss for the period・ Also, the bank can receive a tax refund from prior tax payments if the bank made a taxable profit within recent years.5.The primary risks faced by banks are credit risk, liquidity risk, interest rate risk, foreign exchange risk (the latter two represent market risk), operational risk, reputational risk, and capital solvency・ In general, promised, or expected, returns should be higher for banks that assume increased risk. There should also be greater volatility in returns over time.a.Credit risk: Net loan charge-offs/LoansHigh risk ・ high ratio; Low risk - low ratioHigh risk manifests itself in occasional high charge-offs, which requires above average provisions for loan lossses to replenish the loan loss reserve. Thus, net income is volatile over time.b.Liquidity risk: Core deposits/AssetsHigh risk - low ratio; Low risk - high ratioHigh risk manifests itself in less stable funding as a bank relies more on noncore, purchased liabilities that fluctuate over time. These noncore liabilities are also higher cost, which raises interest expense.c.Interesl rate risk: (IRepriceable assets-repriceable liabilitiesl)/AssetsHigh risk ・ high ratio; Low risk ・ low ratioHigh risk banks do not closely match the amount of repriceable assets and repriceable liabilities. Large differences suggest that net interest income may vary sharply over time as the level of interest rates changes・d.Foreign exchange risk: Assets denominated in a foreign currency minus liabilities denominated in the same foreigncurrency ・High risk 一a large difference; Low risk 一a small differenceHigh risk manifests itself when exchange rates change adversely and the value of the bank's net position of assets versus liabilities denominated in a currency changes sharply・e.Operational risk: total assets/number of employeesHigh risk - low ratio; Low risk 一high ratioHigh risk manifests itself when the bank operates at low productivity measured by more employees per amount of assetsf.Capital/solvcncy risk: Stockholders9 cquity/AssctsHigh risk - low ratio; Low risk - high ratioHigh risk manifests itself because fewer assets must go into default before a bank is insolvent and can be closed down by regulators・g.Reputational risk is difficult to measure ex ante・ 11 is more observable by announced problems and issues・6.Equity multiplierBank L: Equity/Asscts = 0.06 indicates Asscts/Equity = 16.67XBank S: Equity/Assets = 0.10 indicates Assets/Equity = 10XIf each bank earns 1.5% on assets (ROA = 0.015), then the ROEs will equal 25% (Bank L) and 15% (Bank S). If, instead, each bank reports a loss with ROA = -0.012, then the ROEs will equal -20% (Bank L) and -15% (Bank S). When banks areprofitable, financial leverage has the positive effect of increasing ROE; when banks report losses, financial leverage increases the magnitude of loss in terms of a negative ROE.7.ROE = net income/stockholders, equityROA = net income/total assetsEM = total assets/stockholders1 equityER = total operating expense/total assetsAU = total revenue/total assetsBalance sheet figures should be measured as averages over the period of time the income number is generated・ROE = ROA x EM ROA = AU - ER - TAXwhere TAX = applicable income tax/total assets.8.Profitability ratios differ across banks of different size as measured by assets. The primary reasons are that different size banks have different asset and liability compositions and engage in different amounts of off-balance sheet activities. Typically, small banks report higher net interest margins because their average asset yields are relatively high while their average cost of funds is relatively low. This reflects loans to higher risk borrowers, on average, and proportionately more funding from lower cost core deposits. ROEs, in turn, are often lower because small banks operate with more capital relative to assets, that is with lower equity multipliers, so that even with comparable ROAs the ROEs are lower. Large banks ROAs are increasing faster over time because large banks operate with lower efficiency ratios as they have been more successful in generating fee income.9.CAMELSa.C =capital adequacy: equity/assetsb.A = asset quality: nonperforming loans/loans; loan charge-offs/loansc.M = management: no single ratio is good, although all ratios indicate overall strategyd.E = earnings: aggregate profit ratios; ROE, ROA, net interest margin, burden, efficiencye.L 二liquidity: core deposits/assets; noncore, purchased liabilities/assets; marketable securities/assetsf.S = sensitivity to market risk; Irepriceable assets-repriceable liabilitiesl/assets; difference in assets and liabilitiesdenominated in the same currency; size of trading positions in commodities, equities and other tradeable assets.10.Lowest to highest liquidity risk: 3-month T-bills, 5-year Treasury bond, 5-year municipal bond (if high quality and froma known issuer), 4-year car loan with monthly payments (receive some principal monthly, may be saleable), 1-year construction loan, 1 -year loan to individual, pledged 3-month T-bill. As stated, the 3-month T-bill that is pledged as collateral is illiquid unless the bank can change its collateral status.11 ・ Comparative credit riska.1 oan to a comer grocery store representing a little known borrower with uncertain financialsb.loan collateralized with inventory (work in process) because the collateral is less liquid and more difficult to value;this assumes that the receivables are still viable and not too aged・c.normally the Ba-rated municipal bond, unless the agency bond is an "exotic” mor tgage backed security, because theagency bond carries an implied guarantee in that Freddie Mac is a quasi-public borrower.d.1-year car loan because the student loan is typically government guaranteed12. For the balance sheet: high core deposits/assets; high equity/assets; low noncore, purchased liabilities/assets; high investment securities/assets; high agriculture loans/assets (the value refers to that for small banks); For the income statement: net interest margin (high); burden/assets (high), efficiency ratio (high); (the descriptor in parentheses refers to the relationship for small banks versus larger banks).13・ Extending a loana.the new loan is typically not classified as nonperforming because no payments are past dueb.often a bank recognizes that the loan is in the problem stage and the borrower renegotiates the terms in its favor; rationaleis that the borrower may default if the loan is not restructured. Note that this restructuring gives theappearance that asset quality is higher.c・ the primary risk is that the bank is throwing more money down a sink hole and will never recover any of its loan.14. Dividend payment: For: the loss is temporary and stockliolders expect the dividend payment. Failure to make the payment will sharply lower the stock price because stockholders will be alienated・ Against: the bank has not generated sufficient cash to make the payment from normal operations・ By paying the cash dividend, the bank is self-liquidating. The cash dividend will lower the bank's capital. What normally decides the issue is whether the loss is truly temporary or more permanent. Management typically errs by assuming that losses are temporary，and thus continues to make dividend payments when it should be reducing or eliminating them.15・ Liquidity risk:Securities classified as held-to-maturity cannot be sold unless there has been an unusual change in the underlying credit quality of the security issuer. A high fraction indicates low liquidity because few securities (just 5% of the total) can be sold.b. A low core deposit base indicates a bank that relies proportionately more on noncore, volatile liabilities that are lessstable and more likely to leave the bank if rates change・ This makes a bank's funding sources less reliable and the bank subject to greater liquidity risk.c. A bank that holds long-term securities (8 years is long term) has assumed significant price risk even if the securities canbe readily sold because they are classified as available-for-sale・ Such securities will fall in value if interest rates rise.This indicates high liquidity risk.d.Assuming that $10 million in securities is sufficient, the fact that none are pledged makes them more liquid and isindicative of lower liquidity risk than if any securities were pledged・Problemsmunity National Bank (CNB)1. Profitability analysis for 2004 using UBPR figures:RATIO Community National Bank Peer BanksROE 8.67% 11.72%ROA 0.63 1.09EM 13.97X 10.67XAU 5.91 6.23ER 4.94 4.73TAX 0.34 0.41a.Aggregate profitability for CNB is substantially lower measured both by both ROE and ROA. Because CNB has less equity relative to assets, it has greater financial leverage. Thus, the greater financial leverage increases CNB's ROE relative to peer banks・ The fact that its ROE is lower, despite the greater leverage, indicates that the higher risk does not produce higher overall profitability. CNB has assumed a riskier profile with its greater financial leverage in that fewer assets can default before the bank is insolvent. CNB's ROA is lower because it earns a lower average yield on assets (AU), pays more in operating expense (ER), offset somewhat by the fact that it pays less in taxes (TAX).b.Risk ComparisonCredit risk: same net charge-offs, much lower nonperforming (more than 90 days past due) and nonaccrual loans, higher provisions for loan losses (.30% versus 0.18%); loan loss reserve is a greater fraction of total loans and leases and a much greater fraction of noncurrent loans. Overall, the ratios indicate below-average risk. Of course, these figures represent only one year of data.Liquidity risk: lower equity to assets suggests higher liquidity risk from a funding perspective, higher available for sale securities and lower pledged securities suggests lower liquidity risk from the asset sale perspective; very high core deposits, low noncore funding (liabilities), low loans and leases and high ST securities suggest lower liquidity risk.Overall, liquidity risk appears lower because the bank has a strong core deposit base, fewer loans and more securitiescan be readily sold. Still, the bank might have difficulty borrowing if loans exhibit low qualityand deposit outflows arise. Conclusion: below-average liquidity risk.Capital Risk: low capital to asset ratios; low equity to assets indicate above average capital risk; bank pays less out in dividends and its growth rate in equity capital is lower. Overall, the bank exhibits greater capital risk. This situation is offset by the bank's apparent higher quality assets.Operational risk: low assets to employees ratio, high personnel expense to employees and high efficiency ratio indicate high operational risk. Of course, these data do not capture the likelihood of fraud and other potential operationalproblems.c. Recommendations:1)Improve the bank's capital position; slow asset growth and pursue greater profits・2)Evaluate credit risk carefully; ensure that loans are adequately diversified and that any default of a single loan or typeof loans cannot place the bank's capital at risk to where regulators will restrict the bank's activities. Slow loan growth until capital base is at target. Implement a formal credit risk review process・3)Improve operating efficiency. Review noninterest expense sources and cut costs where possible・4)The first two suggestions will have the impact of lowering the bank's earnings, ceteris paribus. Therefore,management should focus on growing sources of noninterest income that currently are not being pursued・2.Citibank UBPRa.In 2004, Citibank's ROE equaled 15.26% while its ROA equaled 1.49% versus peers, figures of 14.58% and 1.31%,respectively. Citibank's equity multiplier (EM = ROE/ROA) equaled approximately 10.24X versus 11.13X for peers.Citibank's AU is higher at 8.83% (5.25% + 3.58%) versus 7.69% (4.46% + 3.23%) at peers. Citibank clearly generated higher gross revenues from both interest and noninterest sources・ Citibank^ expense ratio (ER), in turn, equaled 6.27% while ER for peers was much lower for each type of expense and in total at 4.23%・ Based on the profit figures alone, Citibank appears to be a high performance bank and achieves that by generating greater relative revenues.b.Citibank's credit risk (as evidenced only by the ratios provided) appears high as net losses to loans is higher than Peers(1.58% versus 0.25%), as is noncurrent loans and leases as a fraction of loans (1.78% versus 0.59%). The loss allowance(reserve) is a higher fraction of loans, but a much smaller fraction of net losses (charge-offs) and noncurrent loans indicating that more reserves might be appropriate.c.Citibank's liquidity risk appears high as the bank has a lower equity to asset (tier 1 leverage capital) ratio and relies muchmore on noncore liabilities (noncore fund dependence)・ With its greater credit risk, you might expect it to operate with greater equity capital. Similarly, the bank is growing at a fast pace which generally increases overall risk because management cannot easily control risk from growth・d.Recommendations:Carefully assess credit risk; realign portfolio where appropriate・Increase the loan loss reserve.Slow loan growth and/or shift loans to less risky classes・Line up additional sources of liquidity・Review pricing of loans and deposits; identify sources of fccs/nonintcrcst income to see if they arc sustainable・。

商业银行管理第2章习题答案.doc

Chapter 2Analyzing Bank PerformanceChapter Objectives1 • Introduce bank financial statements, including the basic balance sheet and income statement, and discuss theinterrelationship between them.2.Provide a framework for analyzing bank performance over time and relative to peer banks・ Introduce key financialratios that can be used to evaluate profitability and the different types of risks faced by banks・ Focus on the trade-off between bank profitability and risk・3.Identify performance measures that differentiate between small, independent banks (specialty banks) and larger banksthat are part of multibank holding companies or financial holding companies.4.Distinguish between types of bank risk; credit, liquidity, interest rate, capital, operational, and reputational.5・ Describe the nature of and meaning of regulatory CAMELS ratings for banks.6.Provide applications of data analysis to sample banks9 financial in format io n.7.Describe performance characteristics of diffcrcnt-sizcd banks.& Describe how banks can manipulate financial information to 'window-dress^ performance・Key Concepts1・ Bank managers must balance banking risks and returns because there is a fundamental trade-off between profitability, liquidity, asset quality, market risk and solvency. Decisions that increase banking risk must offer above average profits・ The more liquid a bank is and the more equity capital used to fund operations, the less profitable is a bank, ceteris paribus.2.Banks face five basic types of risk in day-to-day operations: credit risk, liquidity risk, market risk, capital/solvency risk, and operational risk. Market risk encompasses interest rate risk, foreign exchange risk and price risk. Each type of risk refers to the potential variation in a bank's net income or market value of stockholders' equity resulting from problems that affect that part of the bank's activities・3.Banks also face risks in the areas of country risk associated with loans or other activity with foreign government units and off-balance sheet activities, which create contingent liabilities. More recently, banks have focused on reputation risk. For example, from 2002-2005 Citigroup, JP Morgan Chase, and Bank of America found that even though they continued to report strong profits, they experienced strong criticism for 1) their roles in facilitating strategies to disguise Enron's true financial status, 2) problems in sub-prime lending programs via the Associates Corp, and their own internal finance company activities, 3) problems with underwriting subsidiaries with analyst conflicts between stock reports and the firm's investment banking relationships; facilitating market timing of stock trades to their detriment of their own mutual fund holders, 4) lack of supervision of trading groups, and 5) facilitating improper borrowing at Parmalat.4.A bank's return on equity (ROE) can be decomposed in terms of the duPont system of financial ratio analysis- This examination of historical balance sheet and income statement data enables an analyst to evaluate the comparative strengths and weaknesses of performance over time and versus peer banks・ The Uniform Bank Performance Report (UBPR) data reflect the basic ratios from this return on equity model.5.Different-sized commercial banks exhibit different operating characteristics and thus performance measures・ Small banks typically report a higher return on assets (ROA) than large banks because they earn higher gross yields on assets and pay less interest on liabilities.6.High performance banks generally benefit from lower interest and non-interest expense and limit credit risk so that loan losses are relatively low. They also operate with above average stockholders' equity・7.Many banks can successfully "window-dress” performance by manipulating the reporting of financial data・ They may accelerate revenue recognition and defer expenses or selectively alter when they take securities gains or losses and time when to charge off loans or report loans as non-performing. As such, they may inappropriately smooth earnings with provisions for loan losses or by other means. Analysts must be careful when evaluating extraordinary transactions that have one-time gain or loss features.Answers to End of Chapter Questions1・ For a large bank, assets consist approximately of marketable securities (20%), loans (70%), and other assets (10%). Liabilities consist of core deposits (40%-60%), noncore, purchased liabilities (20%-40%), and other liabilities (5 %-10%) as a fraction of assets. Small banks typically obtain more funds in the form of core deposits and less in the form of noncore, purchased liabilities. Small banks often invest more in securities as well. Of course, the actual percentages for any bank depend on that bankas business strategy, market competition, and ownership.2.A bank's interest income consists of interest earned on loans and securities while noninterest income includes revenues from deposit service charges, trust department fees, fees from nonbank subsidiaries, etc. Interest expense consists of interest paid on interest-bearing core deposits and noncorc liabilities while noninterest expense is comprised of overhead costs, personnel costs, and other costs. A bankas net interest income equals its interest income minus interest expense・ Note that interest income may be calculated on a tax-equivalent basis in which tax-exempt interest is converted to its pre-tax equivalent.A bankas burden is defined as its noninterest expense minus noninterest income・ This is often quoted as a fraction of total assets. A bank's efficiency ratio is calculated as noninterest expense divided by the sum of net interest income and noninterest income・ The denominator effectively measures net operating revenue after subtracting interest expense・ The efficiency ratio measure the noninterest cost per $lof operating revenue generated・ Analysts often interpret the efficiency ratio as a measure of a bank9s ability to control overhead relative to its ability to generate noninterest income (and overall revenue). A lower number is presumably better because it reflects better cost control compared with revenue generation.3.Balance sheet accounts:a.Increase liability: money market deposit account (+$5,000)Increase asset: federal funds sold (+$5,()()())b.Decrease asset: real estate loanIncrease asset: mortgage loanc.Increase equity: common stock (common and prefened capital)Increase asset: commercial loans4.Income statementInterest on U.S. Treasury & agency securities $44,500Interest on municipal bonds 60,00()Interest and fees on loans 189、700Interest income = $294,20()Interest paid on interest-checking accounts $33,50()Interest paid on time deposits 100,000Interest paid on jumbo CDs 101,000Interest expense = $234,500Net interest income = $59,700Provisions for loan losses = $ 1 &()()()Net interest income after provisions = $41,700Fees received on mortgage originations Service charge receipts $23,000 41,000Trust department incomeNon-interest income =15,000 $79,000Employee salaries and benefits $145,000 Occupancy expense 22,000 Non-interest expense = $167,000Income before income taxes ■$46,30( )Income taxes 15,742Net income = ■$30,558Cash dividends declared 2,500Retained earnings = -$33,058This assumes that expenses associated with the purchase of the new computer are included in occupancy expense .If not, the computer expense (depreciation) will increase the loss for the period・ Also, the bank can receive a tax refund from prior tax payments if the bank made a taxable profit within recent years.5.The primary risks faced by banks are credit risk, liquidity risk, interest rate risk, foreign exchange risk (the latter two represent market risk), operational risk, reputational risk, and capital solvency・ In general, promised, or expected, returns should be higher for banks that assume increased risk. There should also be greater volatility in returns over time.a.Credit risk: Net loan charge-offs/LoansHigh risk ・ high ratio; Low risk - low ratioHigh risk manifests itself in occasional high charge-offs, which requires above average provisions for loan lossses to replenish the loan loss reserve. Thus, net income is volatile over time.b.Liquidity risk: Core deposits/AssetsHigh risk - low ratio; Low risk - high ratioHigh risk manifests itself in less stable funding as a bank relies more on noncore, purchased liabilities that fluctuate over time. These noncore liabilities are also higher cost, which raises interest expense.c.Interesl rate risk: (IRepriceable assets-repriceable liabilitiesl)/AssetsHigh risk ・ high ratio; Low risk ・ low ratioHigh risk banks do not closely match the amount of repriceable assets and repriceable liabilities. Large differences suggest that net interest income may vary sharply over time as the level of interest rates changes・d.Foreign exchange risk: Assets denominated in a foreign currency minus liabilities denominated in the same foreigncurrency ・High risk 一a large difference; Low risk 一a small differenceHigh risk manifests itself when exchange rates change adversely and the value of the bank's net position of assets versus liabilities denominated in a currency changes sharply・e.Operational risk: total assets/number of employeesHigh risk - low ratio; Low risk 一high ratioHigh risk manifests itself when the bank operates at low productivity measured by more employees per amount of assetsf.Capital/solvcncy risk: Stockholders9 cquity/AssctsHigh risk - low ratio; Low risk - high ratioHigh risk manifests itself because fewer assets must go into default before a bank is insolvent and can be closed down by regulators・g.Reputational risk is difficult to measure ex ante・ 11 is more observable by announced problems and issues・6.Equity multiplierBank L: Equity/Asscts = 0.06 indicates Asscts/Equity = 16.67XBank S: Equity/Assets = 0.10 indicates Assets/Equity = 10XIf each bank earns 1.5% on assets (ROA = 0.015), then the ROEs will equal 25% (Bank L) and 15% (Bank S). If, instead, each bank reports a loss with ROA = -0.012, then the ROEs will equal -20% (Bank L) and -15% (Bank S). When banks areprofitable, financial leverage has the positive effect of increasing ROE; when banks report losses, financial leverage increases the magnitude of loss in terms of a negative ROE.7.ROE = net income/stockholders, equityROA = net income/total assetsEM = total assets/stockholders1 equityER = total operating expense/total assetsAU = total revenue/total assetsBalance sheet figures should be measured as averages over the period of time the income number is generated・ROE = ROA x EM ROA = AU - ER - TAXwhere TAX = applicable income tax/total assets.8.Profitability ratios differ across banks of different size as measured by assets. The primary reasons are that different size banks have different asset and liability compositions and engage in different amounts of off-balance sheet activities. Typically, small banks report higher net interest margins because their average asset yields are relatively high while their average cost of funds is relatively low. This reflects loans to higher risk borrowers, on average, and proportionately more funding from lower cost core deposits. ROEs, in turn, are often lower because small banks operate with more capital relative to assets, that is with lower equity multipliers, so that even with comparable ROAs the ROEs are lower. Large banks ROAs are increasing faster over time because large banks operate with lower efficiency ratios as they have been more successful in generating fee income.9.CAMELSa.C =capital adequacy: equity/assetsb.A = asset quality: nonperforming loans/loans; loan charge-offs/loansc.M = management: no single ratio is good, although all ratios indicate overall strategyd.E = earnings: aggregate profit ratios; ROE, ROA, net interest margin, burden, efficiencye.L 二liquidity: core deposits/assets; noncore, purchased liabilities/assets; marketable securities/assetsf.S = sensitivity to market risk; Irepriceable assets-repriceable liabilitiesl/assets; difference in assets and liabilitiesdenominated in the same currency; size of trading positions in commodities, equities and other tradeable assets.10.Lowest to highest liquidity risk: 3-month T-bills, 5-year Treasury bond, 5-year municipal bond (if high quality and froma known issuer), 4-year car loan with monthly payments (receive some principal monthly, may be saleable), 1-year construction loan, 1 -year loan to individual, pledged 3-month T-bill. As stated, the 3-month T-bill that is pledged as collateral is illiquid unless the bank can change its collateral status.11 ・ Comparative credit riska.1 oan to a comer grocery store representing a little known borrower with uncertain financialsb.loan collateralized with inventory (work in process) because the collateral is less liquid and more difficult to value;this assumes that the receivables are still viable and not too aged・c.normally the Ba-rated municipal bond, unless the agency bond is an "exotic” mor tgage backed security, because theagency bond carries an implied guarantee in that Freddie Mac is a quasi-public borrower.d.1-year car loan because the student loan is typically government guaranteed12. For the balance sheet: high core deposits/assets; high equity/assets; low noncore, purchased liabilities/assets; high investment securities/assets; high agriculture loans/assets (the value refers to that for small banks); For the income statement: net interest margin (high); burden/assets (high), efficiency ratio (high); (the descriptor in parentheses refers to the relationship for small banks versus larger banks).13・ Extending a loana.the new loan is typically not classified as nonperforming because no payments are past dueb.often a bank recognizes that the loan is in the problem stage and the borrower renegotiates the terms in its favor; rationaleis that the borrower may default if the loan is not restructured. Note that this restructuring gives theappearance that asset quality is higher.c・ the primary risk is that the bank is throwing more money down a sink hole and will never recover any of its loan.14. Dividend payment: For: the loss is temporary and stockliolders expect the dividend payment. Failure to make the payment will sharply lower the stock price because stockholders will be alienated・ Against: the bank has not generated sufficient cash to make the payment from normal operations・ By paying the cash dividend, the bank is self-liquidating. The cash dividend will lower the bank's capital. What normally decides the issue is whether the loss is truly temporary or more permanent. Management typically errs by assuming that losses are temporary，and thus continues to make dividend payments when it should be reducing or eliminating them.15・ Liquidity risk:Securities classified as held-to-maturity cannot be sold unless there has been an unusual change in the underlying credit quality of the security issuer. A high fraction indicates low liquidity because few securities (just 5% of the total) can be sold.b. A low core deposit base indicates a bank that relies proportionately more on noncore, volatile liabilities that are lessstable and more likely to leave the bank if rates change・ This makes a bank's funding sources less reliable and the bank subject to greater liquidity risk.c. A bank that holds long-term securities (8 years is long term) has assumed significant price risk even if the securities canbe readily sold because they are classified as available-for-sale・ Such securities will fall in value if interest rates rise.This indicates high liquidity risk.d.Assuming that $10 million in securities is sufficient, the fact that none are pledged makes them more liquid and isindicative of lower liquidity risk than if any securities were pledged・Problemsmunity National Bank (CNB)1. Profitability analysis for 2004 using UBPR figures:RATIO Community National Bank Peer BanksROE 8.67% 11.72%ROA 0.63 1.09EM 13.97X 10.67XAU 5.91 6.23ER 4.94 4.73TAX 0.34 0.41a.Aggregate profitability for CNB is substantially lower measured both by both ROE and ROA. Because CNB has less equity relative to assets, it has greater financial leverage. Thus, the greater financial leverage increases CNB's ROE relative to peer banks・ The fact that its ROE is lower, despite the greater leverage, indicates that the higher risk does not produce higher overall profitability. CNB has assumed a riskier profile with its greater financial leverage in that fewer assets can default before the bank is insolvent. CNB's ROA is lower because it earns a lower average yield on assets (AU), pays more in operating expense (ER), offset somewhat by the fact that it pays less in taxes (TAX).b.Risk ComparisonCredit risk: same net charge-offs, much lower nonperforming (more than 90 days past due) and nonaccrual loans, higher provisions for loan losses (.30% versus 0.18%); loan loss reserve is a greater fraction of total loans and leases and a much greater fraction of noncurrent loans. Overall, the ratios indicate below-average risk. Of course, these figures represent only one year of data.Liquidity risk: lower equity to assets suggests higher liquidity risk from a funding perspective, higher available for sale securities and lower pledged securities suggests lower liquidity risk from the asset sale perspective; very high core deposits, low noncore funding (liabilities), low loans and leases and high ST securities suggest lower liquidity risk.Overall, liquidity risk appears lower because the bank has a strong core deposit base, fewer loans and more securitiescan be readily sold. Still, the bank might have difficulty borrowing if loans exhibit low qualityand deposit outflows arise. Conclusion: below-average liquidity risk.Capital Risk: low capital to asset ratios; low equity to assets indicate above average capital risk; bank pays less out in dividends and its growth rate in equity capital is lower. Overall, the bank exhibits greater capital risk. This situation is offset by the bank's apparent higher quality assets.Operational risk: low assets to employees ratio, high personnel expense to employees and high efficiency ratio indicate high operational risk. Of course, these data do not capture the likelihood of fraud and other potential operationalproblems.c. Recommendations:1)Improve the bank's capital position; slow asset growth and pursue greater profits・2)Evaluate credit risk carefully; ensure that loans are adequately diversified and that any default of a single loan or typeof loans cannot place the bank's capital at risk to where regulators will restrict the bank's activities. Slow loan growth until capital base is at target. Implement a formal credit risk review process・3)Improve operating efficiency. Review noninterest expense sources and cut costs where possible・4)The first two suggestions will have the impact of lowering the bank's earnings, ceteris paribus. Therefore,management should focus on growing sources of noninterest income that currently are not being pursued・2.Citibank UBPRa.In 2004, Citibank's ROE equaled 15.26% while its ROA equaled 1.49% versus peers, figures of 14.58% and 1.31%,respectively. Citibank's equity multiplier (EM = ROE/ROA) equaled approximately 10.24X versus 11.13X for peers.Citibank's AU is higher at 8.83% (5.25% + 3.58%) versus 7.69% (4.46% + 3.23%) at peers. Citibank clearly generated higher gross revenues from both interest and noninterest sources・ Citibank^ expense ratio (ER), in turn, equaled 6.27% while ER for peers was much lower for each type of expense and in total at 4.23%・ Based on the profit figures alone, Citibank appears to be a high performance bank and achieves that by generating greater relative revenues.b.Citibank's credit risk (as evidenced only by the ratios provided) appears high as net losses to loans is higher than Peers(1.58% versus 0.25%), as is noncurrent loans and leases as a fraction of loans (1.78% versus 0.59%). The loss allowance(reserve) is a higher fraction of loans, but a much smaller fraction of net losses (charge-offs) and noncurrent loans indicating that more reserves might be appropriate.c.Citibank's liquidity risk appears high as the bank has a lower equity to asset (tier 1 leverage capital) ratio and relies muchmore on noncore liabilities (noncore fund dependence)・ With its greater credit risk, you might expect it to operate with greater equity capital. Similarly, the bank is growing at a fast pace which generally increases overall risk because management cannot easily control risk from growth・d.Recommendations:Carefully assess credit risk; realign portfolio where appropriate・Increase the loan loss reserve.Slow loan growth and/or shift loans to less risky classes・Line up additional sources of liquidity・Review pricing of loans and deposits; identify sources of fccs/nonintcrcst income to see if they arc sustainable・。

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