商业银行管理学课后习题答案及解析.doc

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商业银行课后章节习题及参考答案

商业银行课后章节习题及参考答案第一章1．商业银行从传统业务发展到“金融百货公司”说明了什么问题？随着金融竞争的加剧，金融创新成为商业银行发展的关键和动力源。

这不仅表现在银行传统业务市场已被瓜分完毕，需要通过创新来挖掘新的市场和发展机会，而且对传统业务市场的竞争和重新分配也必须借助新的手段和方式。

各家商业银行纷纷利用新的科学技术、借鉴国外商业银行的先进经验，进行技术、制度和经营管理方式创新，全面拓展银行发展空间。

商业银行进行业务扩展可以分散经营风险，减少风险总量；多渠道获取利润；为社会提供全方位的金融服务；符合金融市场的运作要求内在统一性。

2．如何认识现代商业银行的作用？P5信用中介、支付中介、信用创造、金融服务3．银行组织形式有哪些？近年来，银行控股公司为什么发展迅速？P7银行的组织形式有：单一银行制、分行制和银行控股公司制（银行控股公司、非银行控股公司）金融控股公司的发展是随着全球金融自由化、市场竞争和现代信息技术在金融业广泛应用而日益兴隆的，它是现代经济发展的必然产物。

20世纪70年代中后期以来，全球范围内的放松市场监管、企业客户和个人客户的全球化发展，以及信息技术对金融业各个方面的战略性影响，使金融结构和客户结构发生了巨大变化。

各类金融机构开始向其他金融服务领域渗透，主要市场经济国家的金融业开始从分业经营体制向综合经营体制转型。

1.联合经营获得规模效应金融控股集团各子公司虽然是分业经营，但已经不是纯粹意义上的单一经营，而是互相联合起来，共同从事多种金融经营，保证集团整体效益的实现。

金融控股集团的基本作用是形成同一集团在品牌、经营战略、营销网络以及信息共享等方面的协同优势，降低集团整体的经营成本并从多元化经营中获取更多收益。

金融资产的强关联性和弱专用性，决定了其综合经营比其他行业更能形成规模经济和范围经济，而控股公司结构正是发挥这一优势的合适载体。

（产品创新、营销等）2.在当前监管体制下规避风险法人分业的作用是防止不同金融业务风险的相互传递，将风险控制在最小范围内，同时可对关联交易起到一定的遏制作用。

商业银行管理彼得S.罗斯第八版课后答案chapter_01

CHAPTER 1AN OVERVIEW OF BANKS AND THE FINANCIAL-SERVICES SECTORGoal of This Chapter: In this chapter you will learn about the many roles financial service providers play in the economy today. You will examine how and why the banking industry and the financial services marketplace as a whole is rapidly changing, becoming new and different as we move forward into the future. You will also learn about new and old services offered to the public.Key Topics in This Chapter•Powerful Forces Reshaping the Industry•What is a Bank?•The Financial System and Competing Financial-Service Institutions•Old and New Services Offered to the Public•Key Trends Affecting All Financial-Service Firms•Appendix: Career Opportunities in Financial ServicesChapter OutlineI. I ntroduction: P owerful Forces Reshaping the IndustryII. W hat Is a Bank?A. D efined by the Functions It Serves and the Roles It Play:B. B anks and their Principal CompetitorsC. Legal Basis of a BankD. D efined by the Government Agency That Insures Its DepositsIII.The Financial System and Competing Financial-Service InstitutionsA.Savings AssociationsB.Credit UnionsC.Money Market FundsD.Mutual FundsE.Hedge FundsF.Security Brokers and DealersG.Investment BankersH.Finance CompaniesI.Financial Holding CompaniesJ.Life and Property/Casualty Insurance CompaniesIV. T he Services Banks and Many of Their Closest Competitors Offer the PublicA. S ervices Banks Have Offered Throughout History1.Carrying Out Currency Exchanges2.Discounting Commercial Notes and Making Business Loans3.Offering Savings Deposits4.Safekeeping of Valuables and Certification of Value5.Supporting Government Activities with Credit6.Offering Checking Accounts (Demand Deposits)7.Offering Trust ServicesB. S ervices Banks and Many of Their Financial-Service Competitors HaveOffered More Recently1.Granting Consumer Loans2.Financial Advising3.Managing Cash4.Offering Equipment Leasing5.Making Venture Capital Loans6.Selling Insurance Policies7.Selling Retirement PlansC. Dealing in Securities: Offering Security Brokerage and Investment Banking Services1. Offering Security Underwriting2. Offering Mutual Funds and Annuities3. Offering Merchant Banking Services4. Offering Risk Management and Hedging ServicesV. Key Trends Affecting All Financial-Service FirmsA. S ervice ProliferationB. R ising CompetitionC. G overnment DeregulationD. A n Increasingly Interest-Sensitive Mix of FundsE. T echnological Change and AutomationF. C onsolidation and Geographic ExpansionG. C onvergenceH. G lobalizationVI. T he Plan of This BookVII. S ummaryConcept Checks1-1. What is a bank? How does a bank differ from most other financial-service providers?A bank should be defined by what it does; in this case, banks are generally those financial institutions offering the widest range of financial services. Other financial service providers offer some of the financial services offered by a bank, but not all of them within one institution.1-2. Under U.S. law what must a corporation do to qualify and be regulated as a commercial bank?Under U.S. law, commercial banks must offer two essential services to qualify as banks for purposes of regulation and taxation, demand (checkable) deposits and commercial loans. More recently, Congress defined a bank as any institution that could qualify for deposit insurance administered by the FDIC.1-3.Why are some banks reaching out to become one-stop financial service conglomerates? Is this a good idea in your opinion?There are two reasons that banks are increasingly becoming one-stop financial service conglomerates. The first reason is the increased competition from other types of financial institution s and the erosion of banks’ traditional service areas. The second reason is the Financial Services Modernization Act which has allowed banks to expand their role to be full service providers.1-4. Which businesses are banking’s closest and toughest com petitors? What services do they offer that compete directly with banks’ services?Among a bank’s closest competitors are savings associations, credit unions, money market funds, mutual funds, hedge funds, security brokers and dealers, investment banks, finance companies, financial holding companies, and life andproperty-casualty insurance companies. All of these financial service providers are converging and embracing each other’s innovations. The Financial Services Modernization Act has allowed many of these financial service providers to offer the public one-stop shopping for financial services.1-5. What is happening to banking’s share of the financial mark etplace and why? What kind of banking and financial system do you foresee for the future if present trends continue?The Financial Services Modernization Act of 1999 allowed many of the banks’ closest competitors to offer a wide array of financial services thereby taking away market share from “traditional” banks. Banks and their closest competitors are converging into one-stop shopping for financial services and this trend should continue in the future1-6. What different kinds of services do banks offer the public today? What services do their closest competitors offer?Banks offer the widest range of services of any financial institution. They offer thrift deposits to encourage saving and checkable (demand) deposits to provide a means of payment for purchases of goods and services. They also provide credit through direct loans, by discounting the notes that business customers hold, and by issuing credit guarantees. Additionally, they make loans to consumers for purchases of durable goods, such as automobiles, and for home improvements, etc. Banks also manage the property of customers under trust agreements and manage the cash positions of their business customers. They purchase and lease equipment to customers as an alternative to direct loans. Many banks also assist their customers with buying and selling securities through discount brokerage subsidiaries, the acquisition and sale of foreign currencies, the supplying of venture capital to start new businesses, and the purchase of annuities to supply future funding at retirement or for other long-term projects such as supporting a college education. All of these services are also offered by their closest competitors. Banks and their closest competitors are converging and becoming the financial department stores of the modern era.1-7. What is a financial department store? A universal bank? Why do you think these institutions have become so important in the modern financial system? Financial department store and universal bank refer to the same concept. A financial department store is an institution where banking, fiduciary, insurance, and security brokerage services are unified under one roof. A bank that offers all these services is normally referred to as a universal bank. These have become important because of convergence and changes in regulations that have allowed financial service providers to offer all services under one roof1-8. Why do banks and other financial intermediaries exist in modern society, according to the theory of finance?There are multiple approaches to answering this question. The traditional view of banks as financial intermediaries sees them as simultaneously fulfilling the financial-service needs of savers (surplus-spending units) and borrowers(deficit-spending units), providing both a supply of credit and a supply of liquid assets. A newer view sees banks as delegated monitors who assess and evaluate borrowers on behalf of their depositors and earn fees for supplying monitoring services. Banks also have been viewed in recent theory as suppliers of liquidity andtransactions services that reduce costs for their customers and, through diversification, reduce risk. Banks are also critical in the payment system for goods and services and have played an increasingly important role as a guarantor and a risk management role for customers.1-9. How have banking and the financial services market changed in recent years? What powerful forces are shaping financial markets and institutions today? Which of these forces do you think will continue into the future?Banking is becoming a more volatile industry due, in part, to deregulation which has opened up individual banks to the full force of the financial marketplace. At the same time the number and variety of banking services has increased greatly due to the pressure of intensifying competition from nonbank financial-service providers and changing public demand for more conveniently and reliably provided services. Adding to the intensity of competition, foreign banks have enjoyed success in their efforts to enter countries overseas and attract away profitable domestic business and household accounts.1-10. Can you explain why many of the forces you named in the answer to the previous question have led to significant problems for the management of banks and other financial firms and their stockholders?The net result of recent changes in banking and the financial services market has been to put greater pressure upon their earnings, resulting in more volatile returns to stockholders and an increased bank failure rates. Some experts see banks' role and market share shrinking due to restrictive government regulations and intensifying competition. Institutions have also become more innovative in their service offerings and in finding new sources of funding, such as off-balance-sheet transactions. The increased risk faced by institutions today, therefore, has forced managers to more aggressively utilize a wide array of tools and techniques to improve and stabilize their earnings streams and manage the various risks they face. 1-11. What do you think the financial services industry will look like 20 years from now? What are the implications of your projections for its management today? There appears to be a trend toward continuing consolidation and convergence. There are likely to be fewer financial service providers in the future and many of these will be very large and provide a broad range of financial services under one roof. In addition, global expansion will continue and will be critical to the survival of many financial service providers. Management of financial service providers willhave to be more technologically astute and be able to make a more diverse set of decisions including decisions about mergers, acquisitions and global expansion as well as new services to add to the firm.Problems and Projects1. You have just been hired as the marketing officer for the new First National Bank of Vincent, a suburban banking institution that will soon be serving a local community of 120,000 people. The town is adjacent to a major metropolitan area with a total population of well over 1 million. Opening day for the newly chartered bank is just two months away, and the president and the board of directors are concerned that the new bank may not be able to attract enough depositors and good-quality loan customers to meet its growth and profit projections. There are 18 other financial-service competitors in town, including two credit unions, three finance companies, four insurance agencies, and two security broker offices. Your task is to recommend the various services the bank should offer initially to build up an adequate customer base. You are asked to do the following:a.Make a list of all the services the new bank could offer, according to current regulations.b.List the type of information you will need about the local community tohelp you decide which of the possible services are likely to have sufficientdemand to make them profitable.c.Divide the possible services into two groups--those you think are essentialto customers and should be offered beginning with opening day, and thosethat can be offered later as the bank grows.d. Briefly describe the kind of advertising campaign you would like to run tohelp the public see how your bank is different from all the other financialservice providers in the local area. Which services offered by the nonblankservice providers would be of most concern to the new bank’smanagement?Banks can offer, if they choose, a wide variety of financial services today. These services are listed below. However, unless they are affiliated with a larger bank holding company and can offer some of these services through that company, it may be more limited in what it can offer.Regular Checking Accounts Management Consulting Services NOW Accounts Letters of CreditPassbook Savings Deposits Business Inventory Loans Certificates of Deposit Asset-Based Commercial Loans Money Market Deposits Discounting of Commercial Paper Automobile Loans Plant and Equipment Loans Retirement Savings Plans Venture Capital LoansNonauto Installment Loans to IndividualsResidential Real Estate Loans Leasing Plans for Business Property and EquipmentHome Improvement Loans Security Dealing and Underwriting Personal Trust Management Services Discount Security BrokerageCommercial Trust Services Institutional Trust Services Foreign Currency Trading and ExchangePersonal Financial Advising Personal Cash-Management ServicesInsurance Policy Sales (Mainly Credit-Life)Insurance Today (Except in Some States)) Standby Credit Guarantees Acceptance FinancingTo help the new bank decide which services to offer it would be helpful to gather information about some of the following items in the local community:School Enrollments and Growth in School EnrollmentsEstimated Value of Residential and Commercial PropertyRetail SalesPercentage of Home Ownership Among Residents in the AreaNumber and Size (in Sales and Work Force) of Local Business Establishments Major Population Locations (i.e., Major Subdivisions, etc.) and Any Projected Growth AreasPopulation Demographics (i.e., Age Distribution of the Area)Projected Growth Areas of Industries in the AreaEssential services the bank would probably want to offer right from the beginning includes:Regular Checking Accounts Home Improvement Loans Automobile and other Consumer-type Money Market Deposit Accounts Installment Loans Retirement Savings PlansNOW Accounts Business Inventory LoansPassbook Savings Deposits Discounting of High-QualityCommercial NotesResidential Real Estate LoansCertificates of DepositAs the bank grows, opportunities for the profitable sale of additional services usually increase, especially for trust services for individuals and smaller businesses and personal financial advising as well as some commercial (plant and equipment) loans and leases. Further growth may result in the expansion of commercial trust services as well as a widening variety of commercial loans and credit guarantees.The bank would want to develop an advertising campaign that sends a message to potential customers that the new bank is, indeed, different from its competitors. Small banks often have the advantage of offering highly personalized services in which their customers are known and recognized and services are tailored to each individual customer's special financial needs. Quality and reliability of banking service are often more important to individual customers than is price. A new bank must try to sell prospective customers, most of who will come from other banks in the area, on personalized services, quality, and reliability - all three of which should be emphasized in its advertising program.2. Leading money center banks in the United States have accelerated their investment banking activities all over the globe in recent years, purchasing corporate debt securities and stock from their business customers and reselling those securities to investors in the open market. Is this a desirable move by these banking organizations from a profit standpoint? From a risk standpoint? From the public interest point of view? How would you research their question? If you were managing a corporation that had placed large deposits with a bank engaged in such activities, would you be concerned about the risk to your company's funds? What could you do to better safeguard those funds?In the 1970's and early 1980's investment banking was so profitable that commercial bankers were lured into the investment banking business largely because of its greater profit potential than possessed by more traditional commercial banking activities. Later foreign banks, particularly the British and Japanese banking firms, began to attract away large corporate customers from U.S. banks, who were restrained by regulation from offering many investment banking services. Thus, U.S. banks ran into severe difficulty in simply trying to hold onto their traditional corporate credit and deposit accounts because they could not compete service-wise in the investment banking field. Today, banks are allowed to underwrite securities through either a subsidiary or through a holding company structure. This change occurred as part of the Gramm-Leach-Bliley Act (Financial Services Modernization Act).Unfortunately, if investment banking is more profitable than traditional banking product lines, it is also more risky, consistent with the basic tenet of finance that risk and return are directly related. That is why the Federal Reserve Board has placed such strict limits on the type of organization that can offer these services. Currently, the underwriting of most corporate securities must be done through a subsidiary or as a separate part of the holding company so that, in theory at least, the bank is not responsible for any losses incurred. For this reason there may be little reason for depositors (including large corporate depositors) to be concerned about risk exposure from investment banking. Moreover, the ability to offer such services may make U.S. banks more viable in the long run which helps their corporate customers who depend upon them for credit.On the other hand, opponents of investment banking powers for bank operations inside the U.S. have some reasonable concerns that must be addressed. There are, for example, possible conflicts of interest. Information gathered in the investment banking division could be used to the detriment of customers purchasing other bank services. For example, a customer seeking a loan may be told that he or she must buy securities from the bank's investment banking division in order to receive a loan. Moreover, banks could gain effective control over some nonblank industrial corporations which might subject them to added risk exposure and place industrial firms not allied with banks at a competitive disadvantage. As a result theGramm-Leach-Bliley Act has built in some protections to prevent this from happening.3. The term bank has been applied broadly over the years to include a diverse set of financial-service institutions, which offer different financial service packages.Identify as many o f the different kinds of “banks” as you can. How do the “banks” you have identified compare to the largest banking group of all – the commercial banks? Why do you think so many different financial firms have been called banks? How might this terminological confusion affect financial-service customers?The general public tends to classify anything as a bank that offers some sort of financial service, especially deposit and loan services. Other institutions that are often referred to as a bank without being one are savings associations, credit unions, money market funds, mutual funds, hedge funds, security brokers and dealers, investment banks, finance companies, financial holding companies and life and property/casualty insurance companies. All of these institutions offer some of the services that a commercial bank offers, but generally not the entire scope of services. Since providers of financial services are normally called banks by the general public they are able to take away business from traditional banks and it is of utmost importance for commercial banks to clarify their unique position among financial services providers.4. What advantages can you see to banks affiliating with insurance companies? How might such an affiliation benefit a bank? An insurer? Can you identify any possible disadvantages to such an affiliation? Can you cite any real world examples of bank-insurer affiliations? How well do they appear to have worked out in practice?Before Glass-Steagall banks used to sell insurance services to their customers on a regular basis. in particular, banks would sell life insurance companies to loan customers to ensure repayment of the loan in case of death or disablement. These reasons still exist today and the right to sell insurances to customers again benefits banks in allowing them to offer their customers complete financial packages from financing the home or car to insure it, from giving investment advice to selling life insurance policies and annuities for retirement planning. Generally, a bank customer who is already purchasing a service from a bank might feel compelled to purchase an insurance product, as well. On the other hand, insurance companies sometimes have a negative image, which makes it more difficult to sell certain insurance products. Combining their products with the trust that people generally have in banks will make it easier for them to sell their products. The most prominent example of a bank-insurer affiliation is the merger of Citicorp and Traveler’s Insurance to Citigroup. However, given that Citigroup has sold Traveler’s Insurance indicates that the anticipated synergy effects did not materialize.5. Explain the difference between consolidation and convergence. Are these trends in banking and financial services related? Do they influence each other? How? Consolidation refers to increase in the size of financial institutions and the decline in the number of small independently owned banks and financial service providers. Convergence is the bringing together of firms from different industries to createconglomerate firms offering multiple services. Clearly, these two trends are related. In their effort to compete with each other, banks and their closest competitors have acquired other firms in their industry as well across industries to provide multiple financial services in multiple markets.6. What is a financial intermediary? What are their key characteristics? Is a bank a type of financial intermediary? Why? What other financial-services companies are financial intermediaries? What important role within the financial system do financial intermediaries play?A financial intermediary is a business that interacts with deficit spending individuals and institutions and surplus spending individuals and institutions. For that reason any financial service provider (including banks) is considered a financial intermediary. In their function as intermediaries they act as a bridge between the deficit and surplus spending units by offering financial services to the surplus spending individuals and then loaning those funds to the deficit spending individuals. Financial intermediaries accelerate economic growth by increasing the pool of available funds and lowering the risk of investments through diversification.。

《商业银行管理学》课后习题参考答案

《商业银行管理学》习题参考答案第一章1．金融制度对现代经济体系的运行起到了什么作用？（1）配置功能（2）节约功能（3）激励功能（4）调节功能2．商业银行在整个金融体系中有哪些功能？（1）金融服务功能（2）信用创造功能3．美国、英国、日本和德国的商业银行制度特征是什么？比较英美和日德的银行制度差异。

美国：是金融制度创新和金融产品创新的中心，拥有健全的法律法规对银行进行管制；竞争的激烈，使得美国商业银行具有完善的管理体系和较高的管理水平；受到双重银行体系的管制，即联邦和州权力机构都掌握着管制银行的权利。

英国：成立最早，经验丰富，实行分支行制；银行系统种类齐全、数量众多，按英国的分类，英国的银行主要包括清算银行，商人银行，贴现行，其他英国银行和海外银行等机构；不存在正式的制度化的银行管理机构，惟一的监管机构是作为中央银行的英格兰银行；典型的实行分业经营的国家。

日本：货币的统一发行集中到中央银行－日本银行；商业银行按区域划分的，具体可分为两大类型，即都市银行和地方银行；受到广泛的政府管制；二战前仿效英国业务分离的做法，之后随着环境的变化和经济的发展日本银行从1998年开始实行混业经营。

德国：由统一的中央银行－德意志联邦银行，统一发行货币，且德意志联邦银行被认为是欧洲各国中最具有独立性的中央银行。

德国银行高度集中，实行全能化的银行制度，密集程度是欧盟各国中最高的。

区别：英美在其业务上侧重存款的管理，而日德则侧重在贷款方面。

英美制度完善，有利于银行之间的竞争，日德法律体系发展相对缓慢。

4．根据你对我国银行业的认识，讨论我国银行业在国民经济中的地位以及制度特征。

答：地位：（1）我国的商业银行已成为整个国民经济活动的中枢（2）我国的商业银行的业务活动对全社会的货币供给具有重要影响（3）商业银行已经成为社会经济活动的信息中心（4）商业银行已经成为国家实施宏观经济政策的重要途径和基础（5）商业银行成了社会资本运动的中心制度特征：建立商业银行原则，有利于银行竞争，有利于保护银行体系安全与稳定，使银行保持适当规模。

《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。

商业银行经营管理每章习题及答案

商业银行经营管理每章习题及答案第一章商业银行概述单选：1．早期银行业产生于哪个国家？ A A．英国 B．美国 C．意大利 D．德国2． 1694年英国政府为了同高利贷作斗争，以维护新生的资产阶级发展工业和商业的需要，决定成立一家股份制银行是什么？ AA．英格兰银行 B．曼彻斯特银行 C．汇丰银行 D．利物浦银行 3．1897年在上海成立了什么银行，标志着中国现代银行的产生 C A．交通银行 B．浙江兴业 C．中国通商银行 D．北洋银行 4．英国式的商业银行传统提供资金融通方式主要有哪些? A A．短期为主 B．长期为主 C．债券 D．股票5．现代商业银行的发展方向是什么？ A A．金融百货公司 B．贷款为主C．吸收存款为主 D．表外业务为主6．商业银行是以什么为经营对象的信用中介机构？ B A．实物商品 B．货币C．股票 D．利率7．商业银行的哪项资产被称为第一级准备? D A．贷款资产 B．证券资产C．股票资产 D．速动资产8．商业银行的性质主要归纳为以追求什么为目标? B A．追求最大贷款额B．追求最大利润 C．追求最大资产 D．追求最大存款9．政府对银行业的监管要以谨慎监管为原则，即著名的“CAMELS（原则）”，其中“C\是指什么？ A A．资本 B．资产 C．管理 D．收益10．政府对银行业的监管要以谨慎监管为原则，即著名的“CAMELS（原则）”，其中“L\是指什么？ B A．资本 B．清偿能力C．管理 D．收益11．政府对银行业的监管要以谨慎监管为原则，即著名的“CAMELS（原则）”，其中“M\是指什么？ C A．资本 B．清偿能力 C．管理 D．收益12．政府对银行业的监管要以谨慎监管为原则，即著名的“CAMELS（原则）”，其中“S\是指什么？ B A．资本B．银行对市场风险的敏感程度 C．管理 D．收益13．我国的中央银行是哪家银行？ B A．工商银行 B．中国人民银行 C．建设银行 D．招商银行14．银行对挤兑具有天然的敏感性，挤兑会造成银行的困难主要为哪种？ A A．流动性 B．盈利性 C．准备金率 D．贷款总额15．以下什么不是商业银行股东大会的权限？ D A．选举和更换董事、监事并决定有关的报酬事项B．审议批准银行各项经营管理方针和对重大议案进行表决 C．修改公司章程D．审核银行业的监管制度16．最常见的导致银行破产的直接原因是什么？ B A．丧失营利性 B．丧失流动性C．贷款总额下降 D．准备金比率提高17．存款保险制度保护的存款者类型为什么？ A A．小额存款人 B．大额存款人C．中额存款人 D．公司存款人 18．从存款保险制度问世以来，理论界和实务界不断努力试图采取恰当的监管措施来消除其逆向激励，其适当的措施是什么？ B A．准备金制度B．资本充足性管制C．利率管制D．分业经营管制19．下列说法不正确的是（）： B A．银行的普通股股东拥有表决权。

《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IMChap21

CHAPTER 21PRICING CONSUMER AND REAL ESTATE LOANSGoal of the Chapter: To learn how consumer and real estate loan rates may be determined and to see the options a bank loan officer has today in pricing loans to individuals and families.Key Terms Presented in This ChapterAnnual percentage rate (APR) Compensating deposit balanceSimple interest Fixed rate mortgages (FRMs)Discount rate method Adjustable-rate mortgages (ARMs)Add-on method PointsRule of 78sChapter OutlineI. Introduction: The Challenge of Pricing Consumer and Real Estate LoansII. The Interest Rate Attached to Nonresidential Consumer LoansA. Cost-Plus Loan Rate ModelB. Annual Percentage RateC. Simple InterestD. The Discount Rate MethodE. The Add-On Loan Rate MethodF. Rule of 78sG. Compensating Balance RequirementsIII. Use of Variable Rates on Consumer LoansIV.Interest Rates on Home Mortgage LoansA.Fixed Rated MortgagesB.Variable Rate MortgagesC.Charging the Customer Mortgage PointsV Summary of the ChapterConcept Checks21-1. What options does a bank loan officer have in pricing consumer loansMost consumer loans, like most business loans, are priced off some base or cost rate, with a profit margin and compensation for risk added on. The rate on a consumer loan may be figured from the cost-plus model or the base-rate model. Most installment and lump-sum payment loans are made with fixed interest rates. However, due to the volatility of interest rates in the 1 970’s and 1980's, a greater number of floating rate consumer loans have appeared.21-2. Suppose a customer is offered a loan at a discount rate of 8 percent and pays $75 in interest at the beginning of the term of the loan. What net amount of credit did this customer receive?The relevant formula is:Then the net amount of credit received must be $75/.08 or $937.50.Suppose you are told that the effective rate on this loan is 12 percent. What is the average loan amount the customer had available during the year?In this instance:Interest Owed $75Effective loan ratio = Average Loan Amount During the Year= x = 0.12Then the average loan amount during the year must be:x = $75 = $625.0.1221-3. See if you can determine what APR you are charging a consumer loan customer using the tables inside the back cover of this text if you grant the customer a loan for 5 (payable in monthly installments) years which carries a finance charge per $100 of $42.74.The terms quoted mean that the customer must pay an APR of 15 percent according to the Annual Percentage Rate Table in the tables inside the text's back cover.21-4. A customer is quoted an APR of 16 percent on a loan of $10,000, lasting for 4 and payable in monthly installments years.According to the Table in Appendix B the Finance charge per $100 of amount financed must be $36.03 or $36.03 *100 = $3603 in total finance charges.Problems21-1. William Crenshaw, who owns a small retail business, has requested a personal loan of $4500 for one year. He asks for a lump-sum loan with no installment payments; the loan, as requested, will be repaid at the end of the year plus interest. However, the bank wants monthly payments at an annual interest rate of 13 percent.If Crenshaw had received the loan under his preferred terms he would pay:Discount Interest Owed $75 loan rate = Net Amount = x = 0.08 of Credit ReceivedInterest Owed = Principal *Rate * Time = $4500 * 0.13 * 1 = $585.On the other hand, if the loan is repaid in 12 equal monthly installments (of $375 apiece) theinterest owed would be:First Month: $4500 x 0.13 x 1/12 = $48.75Second Month: $4125 x 0.13 x 1/12 = $44.69Third Month: $3750 x 0.13 x 1/12 = $40.62Fourth Month: $3375 x 0.13 x 1/12 = $36.56Fifth Month: $3000 x 0.13 x 1/12 = $32.50Sixth Month: $2625 x 0.13 x 1/12 = $28.44Seventh Month: $2250 x 0.13 x 1/12 =$24.37Eighth Month: $1875 x 0.13 x 1/12 = $20.31Ninth Month: $1500 x 0.13 x 1/12 = $16.25Tenth Month: $1125 x O.13 x 1/12 = $12.19Eleventh Month: $750 x 0.13 x 1/12 = $ 8.12Twelfth Month: $375 x 0.13 x 1/12 = $ 4.06Total Interest Paid $316.86In straight dollar terms it appears that Crenshaw pays less interest ($316.86 versus $585) with the loan paid back in monthly installments rather than repayment of a lump sum at the end. However, because Crenshaw has use of only about half the loan's balance (or $2250) on average over the year when repayment is in 12 equal installments he pays an approximate effective interest rate of $316.86/$2250 or 14.08% with the installment loan which significantly exceeds the loan contract rate of 13% under the lump-sum loan contract. (Note: We emphasize the word approximate.)As an alternative solution to this problem, we could prepare an amortization schedule for this loan, which would look like the following:For a $4,500 loan with a 13% annual interest rate and repayment on a monthly basis, the payment each month would be $401.85.Interest PrincipalBeginning Balance Payment Portion Portion Ending Balance$4,500.00 $401.85 $48.75 $351.10 $4,148.90$4,148.90 $401.85 $44.95 $356.90 $3,792.00$3,792.00 $401.85 $41.08 $360.77 $3,431.23$3,431.23 $401.85 $37.17 $364.68 $3,066.55$3,066.55 $401.85 $33.22 $368.63 $2,697.92$2,697.92 $401.85 $29.23 $372.62 $2,523.30$2,523.30 $401.85 $25.19 $376.66 $2,146.64$2,146.64 $401.85 $23.26 $378.59 $1,768.05$1,768.05 $401.85 $19.15 $382.70 $1,385.35$1,385.35 $401.85 $15.01 $386.84 $ 998.51$ 998.51 $401.85 $10.82 $391.03 $ 607.48$ 607.48 $401.85 $ 6.58 $395.27 $ 212.21$ 212.21 $214.51* $ 2.30 $212.21 $ 0.00Total Interest Paid $336.71* The final payment will equal the balance remaining before the last payment plus the interest on that balance. In most, if not all cases, this payment will be different from the regular payment.21-2. Frank Petrel plans to start an auto repair shop and has requested a $10,000 new-venture loan. The bank wishes to make a discount-rate loan at prime plus 2 percentage points or 14.5 percent.This means Petrel will receive net loan proceeds of $10,000 - $10,000 * 0.145 = $8550.Using this net figure as a base, Petrel will pay an effective interest rate of$1450 / $8550 or 16.96%.Alternative Scenario 1:Would Mr. Petrel be better off if he were able to get a $10,000 personal loan with a 12.5% add-on rate for one year? Why or why not?Solution:In this instance, Petrel would have to repay the $10,000 plus $10,000 x 0.125 in interest or $1250. He would be asked to make monthly installment payments of ($10,000 + $1250) / 12or $937.50 per month for 12 months. Because Petrel would have only $5,000 in borrowed funds on average to use over a 12-month period, the approximate effective interest rate he would pay under the add-on rate method would be $1250 / $5000 or about 25 percent. (A financial calculator solution gives us an effective rate of 22.32%.) Clearly this effective rate would be much higher than the interest rate on the discount business loan.Alternative Scenario 2:What happens to the effective rate on Mr. Petrel's loan if the prime rate changes to 10 percent?Solution:The rate on Mr. Petrel's discounted loan would be 12 percent (10% + 2%).The net proceeds from the loan would, therefore, be$10,000 - ($10,000 * .12) = $10,000 - $1,200 = $8,800.The effective cost of the loan would then be$1,200 / $8,800 = .1364 or 13.64%. (Declines from 16.96%)Alternative Scenario 3:How does the effective rate on this loan change if the prime rate increases to 13 percent?Solution:The rate on Mr. Petrel's discounted loan would be 15 percent (13% + 2%).The net proceeds from the loan would be$10,000 - ($10,000 *.15) = $10,000 - $1,500 = $8,500.The effective cost of the loan would then be$1,500 / $8,500 = .1765 or 17.65%. (Increases from 16.96%)Alternative Scenario 4:Suppose Mr. Petrel is able to raise personal equity to put into the new business in the amount of $2,500 from his accumulated savings and from a small loan extended by a close friend. The bank will then lend him just $7,500 at a discount rate of prime plus one-and-one-half percentage points (currently prime is 12 percent). What is the effective interest rate on the loan in this case?Solution:The rate on Mr. Petrel's discounted loan would be 13.5 percent (12% + 1.5%).The net proceeds from the loan would be$7,500 - ($7,500 *.135) = $7,500- $1,012.50 = $6,487.50.The effective cost of the loan would then be$1,012.50 / $6,487.50 = .1561 or 15.61%.21-3. The Robbins family has asked for a 20-year mortgage in the amount of $60,000 to purchase a home. At a 10 percent loan rate, what is the required monthly payment?Solution:$579.01 1- 0.10/12) 1(0.10/12) (1 * 0.10/12 * 60,000$12*2012*20=++Because of the computational problems in the above formula, an easier approach is to use the tables inside the text's back cover to find the:Total Finance Charge Per $100 Financed = $131.61Total Finance Charge on the Loan Amount Requested =($60,000 / $100) x $131.61 = $78,966Required Monthly Payment = Total Finance Charge + Loan AmountNumber of Payments= [$78,966 + $60,000] / 240 = $ 579.03Alternative Scenario 1:If the Robbinses' home mortgage loan rate is adjustable and rises to 11 percent at the beginning of the second year of the loan, what will the required monthly payment be?Solution:$628.48 1- 0.11/12) 1(0.11/12) (1 * 0.11/12 * 000,60$12*1912*19=++Note that we assume the first-year loan rate is 10 percent and then rises to 11 percent for theremaining 19 years (or 228 months) of the 20 year loan. Also, for ease of calculations, we assume that there has been no significant reduction in the principal amount of the loan. In reality, the Robbins will have reduced the principal to approximately $59,000 at the end of the first year. Interpolation in the tables inside the text's back cover for an 11percent loan for 228 remaining monthly payments gives:Total Finance Usage Per $100 Financed = $104.59) - ($147.73 * 180- 240180-228 104.59$+= $104.59 + $34.51 = $139.10Total Finance Charge on Remainder of Loan = ($60,000/$100) * $139.10 = $83,460Required Monthly Payment = $59,000)on ($618 $629.21 228$60,000 $83,460=+Alternative Scenario 2:Suppose the rate on the Robbinses' home mortgage declines to 9 percent at the beginning of the loan's second year. What happens to the required monthly payment?Solution:Note: Since Table 3 in the Appendix does not have 9 percent, we will calculate the required monthly payment using a financial calculator.Required Monthly Payment for $60,000 at 9 percent (.75% per month) for 19 years/(228 months)= $550.14 ($540.97 for $59,000)Alternative Scenario 3:Would the Robbins family be better off under all of the above scenarios if they took out a 15-year mortgage instead of a 20-year mortgage? What would they gain and what would they give up with this mortgage loan of a shorter maturity?Solution:The answer to this question depends upon the Robbinses' ability to make the higher payments that would be required on a shorter term mortgage.In each case, the Robbinses would have a higher monthly payment; however, their total payments would be less, their home would be paid for in less time, and they would accumulate equity in the home more quickly.21-4. James Alters received a $1500 loan last month with the intention of repaying the loan in 12 months. However, Alters now discovers he has the cash to repay the loan right now after making just one payment. What percentage of the total finance charge is Alters entitled toreceive as a rebate and what percentage of the loan's finance charge is the bank entitled to keep?The Rule of 78s applies here. James Alters is entitled to receive back as an interest rebate:percent 63.33 = 100x 78671211...2111 + . . . + 2 + 1=++++of the total finance charges on the loan: the lender is entitled to keep 36.67 percent of the finance charges associated with this loan.21-5. Constance Homer asks for a $10,000 loan. Slidell Corners State Bank agrees to give her immediate use of $9400 and to deduct $600 in interest up front. The effective discount rate on this loan is:6.38% $9400$600 Received Credit of Amount Net Owed Interest ==21-6. The Lindal family wants to borrow $2500 for a year to finance a European vacation. If the family must pay a 12 percent add-on loan rate, how much in interest will they pay?Interest Paid = Loan principal * Loan Rate = $2500 * 0.12 = $300What is the amount of each required monthly payment?Amount of Monthly Payment = $233.33 12$300 $2500=+What is the effective loan rate in this case?Effective Loan Rate = 24%or 0.24 $1250$300 Year the During Amount Average Owed Interest ==21-7. The APR for Joseph Nework's $10,000, 3-year automobile loan can be determined from the annual percentage rate table for monthly payment plans inside the back cover of the text.If Joseph must pay $2217 in total finance charges over 36 months, the table tells us he is paying100$2217$ or $22.17 per $100 or an APR of 13.50 percent.21-8. If Kyle Ellisor is to receive a 30-year mortgage loan in the amount of $225,000 at an APR of 14%, he will pay finance charges of $326.55 per $100 borrowed over the life of this loan (see the annual percentage rate tables inside the back cover of the text). Therefore, he will pay in total finance charges$100$225,00* $326.55 = $734,737.50.21-9. The Quisling family asks to borrow $1800 at 11 percent simple interest for one year. It will pay the following interest bill:I = P * r * t = $1800 * 0.11 * l = $198Therefore, they must pay back a total of $1998 in principal and interest.21-10. Mary Perland will pay the following in interest on her $1200 loan for one year at 8 percent simple interest:First Quarter: I = $1200 x 0.08 x 1/4 = $24Second Quarter: I = $900 x 0.08 x 1/4 = $18Third Quarter: I = $600 x 0.08 x 1/4 = $12Fourth Quarter: I = $300 x 0.08 x 1/4 = $6Total Interest owed = $24 + $18 + $12 + $6 = $60.If Mary were offered the $1200 loan at a 6 percent simple interest rate and the loan is paid in lump sum at maturity, she will pay total interest of:$1200 * 0.06 x 1 = $72.She clearly would pay more in interest but would have the full $1200 available for her use for one year.21-11. The Tielman family has asked for a $2500 loan for one year to complete home repairs. First National Bank assesses an 8 percent rate of interest and requires a $500 minimum compensating balance left in a deposit. The effective interest rate on this loan must be:10%or 0.10 $2000$200 $500 - $25000.08 * $2500 Amount Loan Net Owed Interest ===Actually 10 percent is the minimum loan rate. If the Tielman's keep a deposit balance larger than the minimum $500 required the effective loan rate will climb higher.21-12. Bill and Sue Rogers are negotiating with their local bank for a home mortgage loan in the amount of $80,000. The bank levies an up-front fee of 1.5 points on this loan. The dollar amount of points they must pay upfront is:Dollar Value of Points = $80,000 * 0.015 = $1200.The Rogers will have available for their use only $78,800 or $80,000 less $1200.21-13 As a loan officer you quote Mr. and Mrs. Coldner an APR of 14 percent on a two year loan to remodel their kitchen. The loan amount is $6000. Using the APR tables inside the back cover of the text determine the total finance charge on this loan.$913.80 15.23 x $100$6000= is the total amount in finance charges the Coldner’s wi ll pay.If they insist on a 12 percent loan$778.80 12.98 x $100$6000= is the total amount in finance charges the Coldner’s will payThe bank will lose $13521-14. Dresden bank’s personal loan department quotes Mr. Angelo a finance charge of $6.06 for each $100 in credit the bank is willing to extend to him for a year (assuming the balance of the loan will be paid off in 12 equal installments). What APR is Mr. Angelo being quoted by the bank? How much would he save per $100 borrowed if he could retire the loan in 6 months?The APR on this loan is 11 percent. If he could retire the loan in 6 months the finance charges per $100 would be $3.23. He would save $2.83 per $100 borrowed.21-15. Would you expect loan interest rates on new cars to be higher than on used cars? Why or why not? Would you expect a personal loan to carry a higher interest rate than an automobile loan? Why or why not?I would expect the interest rate on the new car loan to less than the interest rate on a used car loan. In general, newer cars are easier to sell than used cars and the bank would stand a better chance of getting their money back in the event of default on the loan. However, this may depend on the make and model of the car and the market for used cars.I would expect the interest rate on the personal loan to be higher than the interest rate on the automobile loan. In the personal loan there may not be any specific and identifiable assets pledged as collateral on the loan. In the case of the automobile loan the car purchased is generally used as collateral. In the event of default it may be more difficult for the bank to get their funds back on the personal loan.Web Site Problems1. What methods are in greatest demand today to aid in the pricing of consumer loans and real estate (particularly housing) credit? How can the world wide web be of help in this area? What web sites look especially good?I believe that the most common method for calculating consumer loan interest rates and payments is the APR. Since this is the method that banks must report by law, it is now the most often used method for calculating payments on consumer loans. The web can help because there are a number of places on the web where can find information about prevailing interest rates on consumer loans and a number of places that will calculate your payments based on a particular APR and amount borrowed. For examplehttp://moneysense.quicken.ca/eng/auto/calculators/payments/index.phtml is a place to calculate automobile loans. There are many other places on the web where you can make the same calculation.2. Why is credit scoring useful in helping to price consumer and home mortgage loans? Where can you go to get good credit-scoring information?The demand for consumer loans has expanded exponentially in recent years. As a result the need for a quick and reliable way to determine whether an individual will pay back a loan was needed. This led to the development of credit scoring. There are many web sites that discuss credit scoring and the advantages and disadvantages of these models. One web site that I found is/article1.htm. This web site is good because it does give a history of why credit scoring models have developed and a very basic description of how it works and the advantages and disadvantages. In addition there are several web sites where you can get an estimate of your credit score.3. Why is regulation so important in the personal loan area? How can you use the web to stay abreast of rule changes in the consumer loan field?Regulations are needed in this important field because it is very easy to take advantage ofill-informed individuals by charging them excessive interest rates and fees. Because of the changing technology and increased consumer demand for loans there have been a number of changes in regulations for consumer lending in recent years and changes will continue to be made in the future. There are a number of sites out on the web to help individuals keep up with these changes. One place to check is with the regulatory agencies overseeing banks (OCC, FDIC, FRS) as these agencies regularly post updates to the laws. In addition, as a banker there are several web sites that advertise seminars and classes on consumer lending which would include a discussion of the latest laws and regulations in this important area. One web site that lists several classes in this area is the web site of the American Bankers Association (ABA) at/Conferences+and+Education/onlinecourse8.htm.。

《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ROSEe课后答案chapter

CHAPTER 4CREATING AND MANAGING SERVICE OUTLETS:NEW CHARTERS, BRANCHES, AND ELECTRONIC FACILITIESGoal of This Chapter: The purpose of this chapter is to learn how new banks are chartered by state and federal authorities in the United States, to determine what makes a good site for a new branch office, to recognize how the role of branch offices is changing, and to explore the advantages and disadvantages of automated banking facilities.Key Topics in This ChapterChartering New Financial Service InstitutionsPerformance of New BanksEstablishing Full Service BranchesIn-Store BranchingEstablishing Limited Service FacilitiesATMs and Telephone CentersThe Internet and Online BankingChapter OutlineI. IntroductionA. The Importance of Convenience and Timely Access to CustomersB. Service Options Available Today1. Chartering New (De Novo) Financial Institutions2. Establishing New Full-Service Branches3. Setting Up Limited-Service FacilitiesII.Chartering a New Bank or Other Financial Service InstitutionsIII.The Bank Chartering Process in the United StatesA. The Chartering Authorities in the U.S.B. Benefits of Applying for a National CharterC. Benefits of Applying for a State CharterIV. Questions Regulators Usually Ask the Organizers of a New BankV. Factors Weighing on the Decision to Seek a New Bank CharterA. External Factors1. Level of Economic Activity2. Growth of Local Economic Activity3. The Need for a New Bank4. Strength and Character of Local Competition in SupplyingFinancial ServicesB. Internal Factors1. Qualifications and Contacts of the Organizers2. Management Quality3. Pledging of Capital and Funds to Cover the Cost of Filinga Charter Application and Getting UnderwayVI. Volume and Characteristics of New Bank ChartersA. Numbers of New ChartersB. Characteristics of New Charter MarketsVII. How Well Do New Banks Perform?A. New Bank Financial PerformanceB. Pro-Competitive Effects on Service Offerings and Service Pricing VIII. Establishing Full-Service Branch Offices: Choosing Locations and Designing New BranchesA. Advantages of Full-Service BranchesB. Trends in the Design of New BranchesC. Desirable Sites for New BranchesD. Expected Rate of ReturnE. Geographic DiversificationF. Branch RegulationG. The Changing Role of BranchesH. In-Store BranchingIX. Establishing and Monitoring Automated Limited-Service Facilities X. Point-of-Sale TerminalsXI. Automated Tellers (ATMs)A. History of ATMsB. ATM ServicesC. Fee Structures for ATM UsageD. Customer Service Limitations of ATMsE. Example of the ATM Capital-Budgeting DecisionXII. Home and Office Online BankingA. Telephone Banking and Call CentersB. Internet Banking1. Services Provided Through the Internet2. Challenges in Providing Internet Services3. The Net and Customer Privacy and SecurityXIII. Financial Service Facilities of the FutureXIV. Summary of the ChapterConcept Checks4-1. Why is the physical presence of a bank still important to many bank customers despite recent advances in long-distance communications technology?Many customers still prefer the personal attention and personal service that contact with bank employees provides. Moreover, for those services where problems can arise that require detailed information and explanation-for example, when a checking account is overdrawn and checks begin to bounce-the customer needs quick access and, often, the personal attention to his or her problem on the part of one or more employees.4-2. Why is the creation (chartering) of new banks closely regulated? What about nonblank financial firms?The creation of new banks is regulated to insure the safety and soundness of existing banks and to avoid excessive numbers of bank failures. The same arguments are usually made for non-bank financial firms. Financial-Service firms hold the public’s savings, are the heart of the payment system and create money. The failure of these firms could disrupt the economy and too many could mean in excessive growth in the money supply and inflation.4-3. What do you see as the principal benefits and costs of government regulation of the number of financial service charters issued?While control over the entry of new banks may reduce the number of failures, it also limits competition, so that the public may receive a smaller volume or lower quality of services at excessive prices.4-4. Who charters new banks in the United States? New thrift institutions? New banks are chartered by the banking commissions of the individual states or, at the federal level, by the Comptroller of the Currency. Thrift institutions are chartered by the states or at the federal level by the Office of Thrift Supervision.4-5. What key role does the FDIC play in the chartering process?The FDIC exercises some control over state bank charter activity as well as federal charters because most states insist that their new banks qualify for federal deposit insurance before they can open for business.4-6. What are the advantages of having a national bank charter? A state bank charter?The benefits of a national charter are:a.)It brings prestige due to stricter regulations and may helpattract more customersb.)In times of trouble the technical assistance given may be betterensuring a better chance of long run survivalThe benefits of a state charter are:a.)It may be easier and less costly to get a state charterb.)The bank does not have to join the Federal Reserve and thereforeavoids buying and holding low yield stock of the Federal Reservec.)Many states let a bank lend more to one borrowerd.)State chartered banks may be able to make types of loans thata nationally chartered bank cannot4-7. What kinds of information must the organizers of new national banks provide the Comptroller of the Currency in order to get a charter? Why might this required information be important?The Comptroller of the Currency asks for information on the number of competing banks and bank-like institutions in the service area of the proposed bank. More competitive market situations limit the profit potential and perhaps the growth potential of a new bank. Also requested is information about shopping centers, retail and wholesale business activity, recent population growth, traffic counts, and personal income levels - all viewed as indicators of potential demand for banking services in the service area of the proposed new bank. Applicants must also provide background information on the organizers and proposed management of a new bank so the Comptroller can decide if these people are qualified, law-abiding, and trustworthy to manage the public's funds as well as their own.4-8. Why do you think the organizers of a new financial firm are usually expected to put together and submit to the chartering authority a detailed business plan, including marketing, management, and financial components? This demonstrates to regulators that the organizers of the bank have the expertise, experience and skills necessary to be successful in managing the new bank. If the organizers of a bank do not know where they are going, they are unlikely to be successful. In addition, it demonstrates whether the organizers of the new bank have a realistic picture of the community they are planning on serving and whether the organizers have a realistic view of the profit potential in the new bank.4-9. What are the key factors the organizers of a new financial firm should consider before deciding to seek a charter?While a variety of factors are examined by different business people interested in establishing a new bank, most look at some or all of the following factors.1. External Factorsa. The level of local economic activity.b. Growth of local economic activity.c. The need for a new bank.d. The strength and character of local competition insupplying financial services.2. Internal Factorsa. Qualifications and contacts of the new bank's organizers.b. Management quality.c. Pledging of capital and funds to cover the cost of filinga charter application and begin operations.4-10. Where are most new banks chartered in the United States?New charters tend to be concentrated in large urban areas where expected rates of return on the organizers investments are likely to be the highest. As the population increases relative to the number of financial firms, the number of new charters increases. The success of local banks already in the area suggests that new financial firms would also be successful. Places where the concentration ratio for new banks has increased tend to have fewer new bank charters.4-11. How well do most new banks perform for the public and for their owners?Most new banks succeed, especially those whose organizers can bring in new deposits and loan accounts during the first year of the bank's operation. Most are profitable within two to three years of opening. There is some evidence that newly c harted banks are financially ‘fragile’ and more prone to failure than existing banks. They appear to be more vulnerable to real estate crises than established banks. New banks tend to under perform their competitors until they have been around for a while and new banks are more closely supervised than established banks.4-12. Why is the establishment of new branch offices usually favored over the chartering of new financial firms as a vehicle for delivering financial services?The chartering of a new financing corporation is normally a lengthy and expensive process, requiring the completion of elaborate federal or state application forms, while the branch application process is normally far simpler and less costly. Moreover, with the increase in the number of failures in recent years regulatory-imposed capital requirements for new charters have increased substantially, while new branch offices usually carry significantly lower capital requirements. Moreover, branch offices themselves are often much less elaborate and costly to build and maintainthan are the headquarters' facility of a new institution where some duplicate facilities can be eliminated (for example, checking processing, credit analysis, and records departments).4-13. What factors are often considered in evaluating possible sites for new branch offices?Bankers first need to decide the goals and objectives of a new facility. Often this means assessing whether the proposed new branch is aimed at selling one or more particular services, such as deposits or loans, and also deciding how closely correlated cash flows and returns from the new branch office may be with cash flows and returns from the other facilities operated by the bank. If returns or cash flows through the proposed new institution are negatively correlated or display low positive correlation with the institution's other facilities, they may be able to lower the variance of its returns or cash flows by proceeding to establish the new office.Other considerations revolve around the economic strength of the proposed branch office site-whether there is adequate traffic volume, large numbers of stores and shops, older or younger age populations who often require slightly different menus of services, recent area population growth, density and income, the occupational and residential makeup of the proposed new branch area, a large enough population to generate enough customers to breakeven and the number and size of facilities operated by competitors. Generally, for branches designed to attract and hold deposits key factors to consider usually revolve around individual and family incomes, concentrations of retail stores and shops, older-than-average residents, and homeowners rather than renters. For branch facilities emphasizing credit services residential areas with substantial new construction activity, heavy traffic flow, and high concentrations of stores and shopping centers are typically desirable for consumer and retail loan demand, while central city office locations are often chosen as locations for commercial loan facilities.4-14. What changes are occurring in the design of, and the roles played by, branch offices? Please explain why these changes are occurring.Bank branches are increasingly becoming selling platforms in which more and more fee-based services are attractively and prominently advertised in order to maximize the fee-income generating potential of each branch. Moreover, branches are becoming increasingly automated to reduce personnel and other operating costs and improve speed, efficiency, and accuracy in handling a growing service volume. Branch design has come to reflect these trends with automated facilities placed at easy access points, along with information booths to speedily direct customers to the service areas they need. Human tellers may be placed deeper inside branch facilities so that customers mustpass by other service departments and conspicuous advertising in order to encourage customers to become aware of and avail themselves of other bank services.4-15. What laws and regulations affect the creation of new bank and thrift branches and the closing of existing branches? What advantages and what problems can the closing of a branch office create?The opening of new branch offices must be approved b y a bank's or thrift’s principal federal or state supervisor. Closing a branch office has become much more complicated in recent years as the result of several new laws and regulations. For example, the FDIC Improvement Act requires 90 days advance notice of branch closings to both customers and the principal supervisory agency and a posting on the branch site at least 30 days prior to closing. Banks and thrifts must also make an "affirmative effort" to reach all segments of their communities without discrimination under the terms of the Community Reinvestment Act which raises the danger of customer protests against closings if it appears the bank is under-serving certain groups of customers. Finally, the Community Reinvestment Act can be used as a vehicle to prevent U.S. banks and thrifts from branching expansion when they have a poor record of serving all segments of their communities.Closing selected branch offices can reduce operating costs and divert resources from less profitable to more profitable uses. However, they risk alienating good customer relationships unless it can serve those same customers with its remaining facilities.4-16. What new and innovative sites have been selected for new branch offices in recent years? Why have these sites been chosen by financial firms? Do you have any ideas about other sites that you believe should be considered? Rapid increases in new branches located in grocery stores, shopping centers, and inside other businesses and facilities where the public frequently gathers have helped to reduce branch construction costs and promotecross-selling of goods and financial services. Other branches have been opened in apartment complexes, senior citizen centers, and other customer-convenient locations as bankers come to realize they must adjust their service locations and service hours to conform to customer needs in an intensely competitive financial-services environment.4-17. What are POS terminals and where are they usually located?Point-of-sale terminals are set up to accommodate customer purchases of goods and services. These computer terminals normally are located in retail stores, gasoline stations, and similar places with a link to the banks’own computer records. When a customer of the bank makes a purchase, the amount of the transaction is deducted from the customer's deposit account and added to the store's account. Because the customer immediately loses funds many bank customers have been hesitant to use the service as opposed to paying by check or credit card where payment is delayed for a few days. However, this depends on whether the POS terminal is an offline or online terminal. An offlineterminal accumulates all transactions until the end of the day when all transactions are subtracted from a custome r’s account. This type of terminal is less costly for the bank to operate. An online terminal subtracts the transactions immediately from the customer’s account and reduces the chance of an overdraft occurring but is more expensive for the bank to operate. Consumer reluctance to use POS terminals appears to be fading and as fees for other services rise this reluctance will continue to disappear.4-18. What services do ATMs provide? What are the principal limitations of ATMs as a service provider? Should ATM carry fees? Why?The earliest ATMs provided a convenient mechanism for cashing checks, making deposits, and verifying checking account balances, often at hours when the full-service branch offices were closed. Today, ATMs frequently provide a wide menu of old and new services, including bill paying, transfer of funds between accounts, and the purchase of tickets for travel and entertainment. Most authorities expect ATM usage to grow rapidly as these machines offer more services and as bankers increasingly move to restrict customer access to more costly human tellers and other bank personnel, often by charging extra fees for personal service.ATMs do have some significant limitations that bankers will have to work to overcome. They break down and need to be replaced, sometimes quite frequently and annoyingly for customers, and as technology changes often become quickly outdated. Customer activity around ATMs, particularly at night, has invited criminals to steal money and injure customers, sometimes creating liability for banks. Moreover, not all customers make use of these facilities due to a preference for personalized service, fear of crime, or unfamiliarity with how the machines work. Customer education and better service pricing are two important tools that could help with these problem areas in the future. In addition, ATMs do not rank high in their ability to sell peripheral services. Some banks have found that there has been a sharp decline in their ability to sell other services. Finally, ATMs are not necessarily profitable for all banks. Because they are available 24 hours, some customers may make more frequent and smaller withdrawals from the machine than they would with a human teller, driving up the costs. In addition, these same customers will often still demand a human teller to deposit their pay check, making the bank keep both tellers and ATM machines.Whether ATM should carry a fee is rather controversial. Recently, two of the largest ATM networks have decided to let owners of ATMs chargenon-customers a surcharge. Several regional have begun to charge fees as well. These fees reflect the usage of ATMs. About 85% of all ATM transactions consist of cash withdrawals and only about 10 percent represent incoming deposits. In addition, in many places, ATM usage has declined as customers pass over ATMs in favor of credit and debit cards, onsite terminals and the internet.4-19. What are self-service terminals and what advantages do they have for financial institutions and their customers?Self-service terminals include ATMs and other computer-basedlimited-service facilities that permit a customer to call up informationabout his or her account and recent transactions with the institution or information about different services that the customer might be interested in purchasing. Many are accessible 24 hours a day or are easier to get to rather than wait for the help of personnel. They can save on resources by saving on staff time. Many institutions are adding telephones and video screens so that customers with problems can dial up an employee day or night with problems. This is also saving money because they can avoid duplication of staff at each branch.4-20. What financial services are currently available from banks on the internet? What problems have been encountered in trying to offer internet services?Customers can make payments, check on account balances, move funds between accounts and get applications for loans, deposits and other services. In addition banks can advertise on the web. Some of the problems include protecting customers’ privacy and heading off crime. In addition, the web does not make it easy for a bank to get to know their customers personally. The cost may also be prohibitive to some customers.4-21. How can financial firms better promote internet services?They need to emphasize the safety of their internet services. They need to promote their home page at every opportunity and update it frequently to keep customers’ interest. They need to surve y customers about their satisfaction with the services and encourage dialogue via e-mail to resolve problems. They can also provide programs to download to act as screen savers (and advertisements) and also information about the institution and the services it provides.Problems4-1. A group of businessmen and women from the town of Mathews are considering filing an application with the state banking commission to charter a new bank. Due to a lack of current banking facilities within a 10-mile radius of the community, the organizing group estimates that the initial banking facility would cost about $3.2 million to build along with another $700,000 in other organizing expenses and would last for about 20 years. Total revenues are projected to be $510,000 the first year, while total operating expenses are projected to reach $180,000 in year 1. Revenues are expected to increase 6 percent annually after the first year, while expenses will grow an estimated 5 percent annually after year 1. If the organizers require a minimum of a 10 percent annual rate of return on their investment of capital in the proposed new bank, are they likely to proceed with their charter application given the above estimates?Year Revenues Op Expense Net Profits1$510,000$180,000$330,0002$540,600$189,000$351,6003$573,036$198,450$374,5864$607,418$208,373$399,0465$643,863$218,791$425,0726$682,495$229,731$452,7647$723,445$241,217$482,2288$766,851$253,278$513,5739$812,863$265,942$546,92110$861,634$279,239$582,39511$913,332$293,201$620,13112$968,132$307,861$660,27113$1,026,220$323,254$702,96614$1,087,793$339,417$748,37715$1,153,061$356,388$796,67316$1,222,245$374,207$848,03817$1,295,579$392,917$902,66218$1,373,314$412,563$960,75119$1,455,713$433,191$1,022,52220$1,543,056$454,851$1,088,205Initial Investment$3,900,000Required Rate of Return0.10Present Value of FutureCash Flows$4,491,642Net Present Value ofInvestment$591,642Given the above information, the organizers are likely to proceed given that the net present value of this investment is positive. The return they are going to earn is greater than the 10% they need to earn.4-2. Andover Savings Bank is considering the establishment of a new branch office at the corner of Lafayette and Connecticut Avenues. The savings association’s Economics Department projects annual operati ng revenues of $1.75 million from services sold to generate fee income and annual branching operating expenses of $880,000. The cost of procuring the property is $2.5 million and branch construction will total an estimated $2.32 million; the facility is expected to last 16 years. If the savings bank has a minimum acceptable rate of return on its invested capital of 12 percent, will Andover likely proceed with this branch office project?Year Revenues Op Expenses Net Profits1$1,750,000$880,000$870,000 2$1,750,000$880,000$870,000 3$1,750,000$880,000$870,000 4$1,750,000$880,000$870,0005$1,750,000$880,000$870,0006$1,750,000$880,000$870,0007$1,750,000$880,000$870,0008$1,750,000$880,000$870,0009$1,750,000$880,000$870,00010$1,750,000$880,000$870,00011$1,750,000$880,000$870,00012$1,750,000$880,000$870,00013$1,750,000$880,000$870,00014$1,750,000$880,000$870,00015$1,750,000$880,000$870,00016$1,750,000$880,000$870,000Initial Investment$4,820,000Required Rate of Return0.12Present Value of FutureCash Flows$6,067,368Net Present Value ofInvestment$1,247,368Andover is likely to proceed with this project because the net present value is positive. This means that the interest rate that Andover will earn on this project is higher than the 12% they need to earn.4-3. Jackson Bank of Commerce estimates that building a new branch office in the newly developed Guidar residential township will yield an annual expected return of 13 percent with an estimated standard deviation of 5 percent. The bank’s marketing department estimates that cash flows from the proposed Guidar branch will be mildly correlated (with a correlation coefficient of +0.3) with the bank’s other sources of cash flow. The expected annual return from the bank's existing facilities and other assets is 10 percent with a standard deviation of 3 percent. The branch will represent just 10 percent of Jackson’s total assets. Will the proposed branch increase Sullivan's overall rate of return? Its overall risk?The estimated total rate of return would be:E (R) = 0.10 (13%) + 0.90 (10%) = 10.3%The risk attached to this overall return rate would be:Thus ? ? 2.89% and the branch will slightly increase the bank's expected return but slightly decrease its overall risk. The bank should proceed with this project.4-4. The following statistics and estimates were compiled by First Savings Bank of Talbot regarding a proposed new branch office and the bank itself: Branch Office Expected Return 16%Standard Deviation of Return = 7%Ban k’s overall expected return= 10%Standard deviation of bank’s return= 3%Branch Asset Value as a Percentof Total Bank Assets = 15%Correlation of Cash Flows = + 0.27What will happen to the Talbot’s total expected return and overall risk if the proposed new branch is adopted?The bank's total expected return is:E (R) = 0.15 (16%) + 0.85 (10%) = 10.9%The bank's risk exposure is:And thus .0301 or 3.01%σ=The proposed project raises the savings banks expected return slightly and does not affect the risk of the bank. This is a good project.4-5. First National Bank of Yukon is considering installing 3 ATMs in its westside branch. The new machines are expected to cost $48,000 apiece. Installation costs will amount to about $16,000 per machine. Each machine has a projected useful life of 10 years. Due to rapid growth in the westside district these three machines are expected to handle 180,000 transactions per year. On average, each cash transaction is expected to save $0.32 per transaction in check processing costs. If First National has a 12% cost of capital, should the bank proceed with this investment project?Year Savings1$57,600(.32*180,000)2$57,6003$57,6004$57,6005$57,6006$57,6007$57,6008$57,6009$57,60010$57,600Initial Investment192000(48,000*3+16,000*3)Required Rate of Return0.12Present Value of FutureCash Flows$325,452.85Net Present Value$133,452.85The net present value of this project is positive. First National Bank of Yukon should add the ATM machines to the Westside.4-6. First State Security Bank is planning to set up its own web page to advertise its location and services on the Internet and to offer customers selected service options, such as paying recurring household bills, verification of account balances, and dispensing deposit account and loan application forms. What factors should First State take into account as it plans its own web page and Internet service menu? How can the bank effectively differentiate itself from other banks currently present on the Internet? How might the bank be able to involve its own customers in designing its web site and pricing its Internet service package?The bank should remember that while the internet is a relatively low cost way of expanding and allows customers to find the bank rather than the bank having to find customers, there are serious concerns about privacy. In addition, the Internet is not limited by geography and while there are thousands of potential customers, there are also many financial institutions around the world competing for customer deposits and loans. The bank needs to be aware that there are many bank web pages out there and that they will need to invest in employees with the technical expertise to manage the new web site well. One of the first things the bank needs to do is to take steps to protect its customers and let its customers know what its privacy and security policies are. Another step the bank can take is to start with a customer survey to find out what its customers want and need from the bank’s Internet services. They can run this as a contest and give away some small items to the customer with the best ideas for the web page and Internet service. This should help get customers involved in the design and implementation of the web page and may help the bank start building an online customer base.。

商业银行管理彼得S.罗斯第八版课后答案

商业银行管理彼得S.罗斯第八版课后答案第一章现代商业银行的概述1.解释现代商业银行的定义和特点。

商业银行是一种金融机构，主要从事存款、贷款、支付和其他与金融活动相关的业务。

其特点包括但不限于：收取利息和手续费、进行风险管理、提供信贷和储蓄服务、发行货币等。

2.列举现代商业银行的主要功能。

现代商业银行的主要功能包括但不限于：存款业务、贷款业务、国际业务、支付结算、外汇交易、信用和担保、投资银行业务、资金运作等。

3.商业银行与其他金融机构的区别是什么？和其他金融机构相比，商业银行的最大区别在于其可以发行货币，并具有相应的存储和支付功能。

此外，商业银行还可以从中央银行和其他金融机构获得流动性支持。

此外，商业银行还拥有广泛的客户群体和网络，可以提供多样化的金融产品和服务。

第二章商业银行的治理结构1.解释商业银行的治理结构。

商业银行的治理结构是指银行内各个决策层级和机构之间相互关系的安排和管理方式。

这包括董事会、监事会、高级管理层等。

2.详细描述商业银行治理结构中各种角色的职责和权力。

•董事会：负责制定银行的战略方向和政策，监督高级管理层的工作表现。

•监事会：负责审计和监督董事会和高级管理层的工作，确保其合法、合规。

•高级管理层：负责银行的日常经营管理，执行董事会决策，负责风险管理和业绩目标的实现。

•内部控制机构：负责制定和实施内部控制制度，保障银行运营的合规性和风险控制。

3.商业银行的治理结构有哪些挑战和改进措施？商业银行的治理结构面临的主要挑战包括：信息不对称、利益冲突、监管合规等。

为了改善这些问题，银行可以采取以下措施：加强内部控制机制、设立独立董事、加强风险管理和合规审查等。

第三章商业银行的资本管理1.商业银行为什么需要资本？商业银行需要资本来保证其业务的顺利运作。

资本可以用于覆盖银行风险、偿还债务、承担损失等。

同时，一定水平的资本也是银行移植的法定要求。

2.商业银行的资本可以来源于哪些渠道?商业银行资本的主要来源有：股东投资、利润留存、债务融资、政府注资等。

商业银行管理学课后题答案(第三版全)

商业银行：商业银行是以追求利润最大化为目标，以多种金融负债筹集资金，以多种金融资产为其经营对象，能利用负债进行信用创造，并向客户提供多功能、综合性服务的金融企业。

信用中介：是指商业银行通过负债业务，把社会上各种闲散货币资金集中到银行，通过资产业务，把它投向需要资金的各部门，充当有闲置资金者和资金短缺者之间的中介人，实现资金的融通。

作用：使闲散的货币转化为资本、使闲置资本得到充分利用、续短为长，满足这会对长期资本的需要。

支付中介：是指商业银行利用活期存款账户，为客户办理各种货币结算、货币收付、货币兑换和转移存款等业务活动。

CAMELS：美国联邦储备委员会对商业银行监管的分类检查制度，这类分类检查制度的主要内容是把商业银行接受检查的范围分为六大类：资本（capital）、资产（asset）、管理（management）、收益（earning）、流动性（liquidity）和对市场风险的敏感性（sensitivity）。

分行制：分行制银行是指那些在总行之下，可在本地或外地设有若干分支机构，并可以从事银行业务的商业银行。

这种商业银行的总部一般都设在大都市，下属所有分支行须由总行领导指挥。

优点：第一，有利于银行吸收存款，有利于银行扩大资本总额和经营规模，能取得规模经济效益。

第二，便于银行使用现代化管理手段和设备，提高服务质量，加快资金周转速度。

第三有利于银行调节资金、转移信用、分散和减轻多种风险。

第四，总行家数少，有利于国家控制和管理，其业务经营受地方政府干预小。

第五，由于资金来源广泛，有利于提高银行的竞争实力。

缺点：容易加速垄断的形成；并且由于其规模大，内部层次较多，使银行管理的难度增加等。

流动性：指资产变现的能力，商业银行保持随时能以适当的价格去的可用资金的能力，以便随时应付客户提存以及银行其他支付的需要。

其衡量指标有两个：一是资产变现的成本，二是资产变现的速度。

4.建立商业银行制度的基本原则有哪些？为什么要确立这些原则？答：（一）有利于银行业竞争。

商业银行管理学练习及答案

商业银行管理学练习第六章1、解：补全损益表的空缺项目：计算过程：总利息收入=贷款利息与服务费收入+证券利息与股利=65+12=77利息总支出=存款利息支出+非存款借款的利息支出=49+6=55利息净收入=总利息收入-利息总支出=77-55=22非利息总支出=工资和雇员福利+营业费用+其他非利息开支=12+5+3=20税前经营收入=利息净收入-贷款损失准备金+（非利息收入和服务费收入-非利息净支出）=22-2+（7-20）=7税前净经营收入=税前经营收入+证券收益=7+1=8净运营收入=税前净经营收入-税赋=8-1=7净收入=净运营收入+特别项目净收入=7-1=6ROE=NI/TE=6/80=7.5%ROA=NI/TA=6/980=0.61%利息净收益=NII/TA=22/980=2.24%资产利用率=总收益/总资产=（77+7）/980=8.57%权益乘数=总资产/权益资本-980/80=12.25税收管理效率=净利润/税前净经营利润=6/8=75%（中文书p142页公式与PPT略有不同）非利息净收益=-13/980=-1.33%经营净收益=净经营收益/总资产=7/980=0.71%收益率=（利息收入/生息资产）-（利息支出/付息债务）=（77/830）-（55/650)）=0.82%净利润率=净利润/总收益=6/(77+7)=7.14%支出控制效率=税前净经营收入/总收益=8/84=9.52%资产管理效率=总收益/总资产=84/980=8.57%基金管理效率=总资产/权益资本=12.25运营效率比率=总营业费用/总营业收入=78/85=91.76%分析：该家银行运营效率较高，且在税收管理上有一定的成效，但是的ROA不高，在非利息净收益这块为负，所以银行需要考虑在利息收入外拓展业务经营面，且从资产负债表中看出定期存款占据的比重较大，银行应该要考虑一定的流动性安全的问题。

2、解：根据表格，可知：ROE=(2100-1400+21-16+700-900-100)/(30000-27000)=405/3000=13.5%ROA=(2100-1400+21-16+700-900-100)/30000=1.35%净利息收益率=(2100-1400)/30000=2.33%每股收益=405/5000=0.081非利息净收益率=(700-900)/30000= -0.67%净运营收益率=(2100+700-1400-900-100)/30000=1.33%（1）若都上升5%ROA=（2205-1470+21-16+735-945-100）/(30000-27000)=430/3000=14.33ROE=（2205-1470+21-16+735-945-100）/30000=430/30000=1.43%每股收益=430/5000=0.086三个指标都有所上升（2）若都下降5%ROA=(1995-1330+21-16+665-855-100)/(30000-27000)=380/3000=12.67%ROE=(1995-1330+21-16+665-855-100)/30000=1.27%每股收益=380/5000=0.076三个指标都有所下降第七章1、答：由题意可知：该银行的缺口GAP=RSA-RSL=8.7-6.25=2.45（亿美元）所以该银行的类型是资产敏感型。

《商业银行经营管理》习题与答案

《商业银行经营管理》习题与答案（解答仅供参考）一、名词解释1. 商业银行：商业银行是指依照《商业银行法》设立的，以吸收公众存款、发放贷款、办理结算为主要业务，以追求利润最大化为目标，并接受国家金融监管的金融机构。

2. 资产负债管理：资产负债管理是商业银行在经营活动中，通过对资产、负债和表外业务的规模、结构、风险等方面的统筹规划和动态调整，以实现安全性、流动性和盈利性的最佳组合的管理活动。

3. 流动性风险：流动性风险是指商业银行无法及时获得充足资金或无法以合理成本及时变现资产，以应对到期债务支付或新的合理信贷要求的风险。

4. 贷款五级分类制度：贷款五级分类制度是我国商业银行按照贷款风险程度将贷款划分为正常、关注、次级、可疑、损失五类的一种风险管理方法。

5. 风险资本：风险资本是商业银行为了抵补其非预期损失而需要持有的最低资本量，它是基于银行资产的风险程度计算得出，用于满足监管机构对银行稳健运营的要求。

二、填空题1. 商业银行的核心业务包括______、______和______。

答案：吸收公众存款、发放贷款、办理结算。

2. 商业银行进行信用风险管理时，通常会采用______、______和限额管理等手段。

答案：风险分散、风险转移（或风险对冲）、信用评级。

3. 商业银行的资本充足率等于______除以______。

答案：核心一级资本+其他一级资本+二级资本；风险加权资产。

4. 根据巴塞尔协议III，商业银行需设置______和______，以增强抵御经济周期波动的能力。

答案：留存超额资本、逆周期资本缓冲。

5. 商业银行在开展个人住房贷款业务时，主要考虑的风险因素包括______风险、______风险和操作风险。

答案：信用风险、市场风险。

三、单项选择题1. 下列哪一项不属于商业银行的“三性原则”？A. 安全性B. 流动性C. 盈利性D. 公益性答案：D2. 在商业银行的资产中，通常被认为风险相对较低的是：A. 企业贷款B. 个人消费贷款C. 存放中央银行款项D. 股票投资答案：C3. 下列哪种情况可能导致商业银行的流动性风险增加？A. 大量短期存款客户突然集中提取存款B. 商业银行增加长期优质贷款投放C. 商业银行提高资本充足率D. 商业银行扩大同业拆借规模答案：A4. 下列关于商业银行资本的说法错误的是：A. 商业银行的资本可以分为核心一级资本、其他一级资本和二级资本B. 商业银行资本的主要功能是吸收可能发生的损失C. 商业银行的资本充足率不得低于8%D. 商业银行资本越多越好，无需考虑资本成本问题答案：D5. 关于商业银行的表外业务，下列说法正确的是：A. 表外业务不计入资产负债表，因此不存在任何风险B. 票据发行便利属于典型的表外业务C. 表外业务不会影响银行的当期损益D. 承诺类业务由于不涉及实际资金的运用，故无信用风险答案：B四、多项选择题1. 下列哪些属于商业银行的负债业务？A. 吸收公众存款B. 发行金融债券C. 贷款D. 代理买卖外汇E. 同业拆借答案：ABE2. 商业银行在进行信用风险控制时，可以采取的策略包括：A. 风险转移B. 风险分散C. 风险对冲D. 风险补偿E. 风险规避答案：ABCDE3. 关于商业银行的资本管理，以下说法正确的是：A. 资本充足率是衡量银行资本充足状况的关键指标B. 根据巴塞尔协议III，商业银行需设立储备资本和反周期资本缓冲C. 资本不仅用于吸收非预期损失，还可以提高银行信誉度和市场竞争力D. 经济资本是指银行为了应对极端不利情况下的潜在损失而需要持有的资本E. 商业银行应通过优化资本结构和提高资本使用效率来实现其资本管理目标答案：ABCDE4. 下列哪些业务属于商业银行的中间业务？A. 代客理财B. 信用卡业务C. 承兑汇票D. 结算业务E. 咨询服务答案：ABCDE5. 在商业银行经营管理中，流动性风险管理的重要措施有：A. 建立科学合理的流动性风险管理体系B. 保持充足的备付金水平C. 建立健全流动性风险监测与预警系统D. 制定有效的流动性应急计划E. 实施严格的贷款审批程序答案：ABCD五、判断题1. 商业银行主要通过存贷款利差获取利润，因此，扩大贷款规模是提升盈利能力的主要途径。

商业银行管理答案

商业银行管理重点习题答案P1275-11∵总利息收入=2*总利息支出净利息收入=总利息收入-总利息支出=净利息支出=800∴总利息收入= 2*($800) = $1600 总利息支出= $800∵非利息收入=0.75*非利息支出净非利息收入=非利息收入-非利息支出=-0.25*非利息支出=-500∴总非利息收入= 0.75*($2000) = $1500 总非利息支出= $2000∵贷款损失预提=0.01*总利息收入∴贷款损失预提= .01*($1600) = $16所得税=0.3*未缴所得税前净收入=0.3*372=111.6∵税后净收入=未缴所得税前净收入-所得税=372-111.6=260.4= -股利∴股利=税后净收入-未分配利润增加额=260.4-200=60.4P1396-12ROE = 0.80*12 = 9.60 %∵ROE=ROA*股本乘数∴股本乘数=9.6/0.6=166-13ROE=净收入/股本=12/50=24%赋税管理效率=净收入/税前净收入=12/15=80%成本控制效率=税前净收入/运营收入=15/100=15%资产管理效率=运营收入/资产=100/600=16.67%资金管理效率=资产/股本=600/50=12P1506-4（题目“资产负债表”内数据有误，书中已改）空格填写：1.总利息收入=贷款利息与服务费收入+证券利息与股利=50+6=562.利息总支出=存款利息支出+非存款借款的利息支出=40+6=463.利息净收入=总利息收入-利息总支出=56-46=104.非利息总支出=工资和雇员福利+营业费用+其他非利息开支=10+5+2=175.税前经营收入=利息净收入-贷款损失准备金+非利息收入和服务费收入-非利息总支出=10-5+20-17=86.税前净经营收入=税前经营收入+证券收益（损失）=8+2=107.净运营收入=税前净经营收入-税赋=10-2=88.净收入=净运营收入+特别项目净收入=8+（-1）=7指标计算：1.ROE=净收入/总资本=7/80=8.75%2.ROA=净收入/总资产=7/980=0.71%3.利息净收益=利息净收入/总资产=10/980=1.02%4.资产利用率=总运营收入/总资产=（总利息收入+非利息收入和服务费收入）/总资产=（56+20）/980=76/980=7.76%5.权益乘数=总资产/总资本=980/80=12.256.税收管理效率=净收入/税前净经营收入=7/10=70%7.非利息净收益=非利息净收入/总资产=（非利息收入和服务费收入-非利息总支出）/总资产=（20-17）/980=0.31%8.经营净收益=（总运营收入-总运营成本）/总资产=[76-（46+5+17）]/980=8/980=0.82%9.收益率=总利息收入/总盈利资产-总利息支出/（生息存款+余额+留存收益）=56/860-46/710=0.033%10.净利润率=净收入/总运营收入=7/76=9.21%11.支出控制效率=税前净经营收入/总运营收入=10/76=13.16%12.资产管理效率=总运营收入/总资产=76/980=7.76%13.基金管理效率=总资产/总资本=980/80=12.2514.运营效率比率=总运营支出（含税收）/总运营收入=（46+5+17+2）/76=92.11%P1526.13今年ROA=（利息总收入-利息支出+非利息收入-非利息支出-贷款损失准备-收入税+证券净收益）/总资产=（40-24+4-8-2-1+2）/885=11/885=1.24%一年以前ROA=（利息总收入-利息支出+非利息收入-非利息支出-贷款损失准备-收入税+证券净收益）/总资产=（41-25+4-7-1-1+2）/880=13/880=1.48%两年以前ROA=（利息总收入-利息支出+非利息收入-非利息支出-贷款损失准备-收入税+证券净收益）/总资产=（42-26+3-7-1-0+1）/875=12/875=1.37%三年以前ROA=（利息总收入-利息支出+非利息收入-非利息支出-贷款损失准备-收入税+证券净收益）/总资产=（43-27+2-6-0-1+0）/860=10/860=1.16%四年以前ROA=（利息总收入-利息支出+非利息收入-非利息支出-贷款损失准备-收入税+证券净收益）/总资产=（44-28+1-5-0-0+0）/850=12/850=1.41%表各年份ROA变化趋势可以看出，该银行从四年前至今利息总收入在不断增加，利息支出在不断减少，但是净利息收入保持不变；非利息收入和非利息支出均在不断增加，非利息净收入基本维持稳定；贷款损失准备、证券净收益不断上升；总体来看，净收入基本保持稳定，总资产逐年上升，使得银行ROA波动下降，这可能是由于银行正在逐年增加资产。

《商业银行管理》课后习题答案IMChap17

CHAPTER 17BANK LENDING: POLICIES AND PROCEDURESGoal of This Chapter: To discover the features and characteristics of a sound bank loan policy and to examine some of the characteristics of problem bank loans.Key Terms Presented in This ChapterReal Estate Loans Cash flowFinancial Institutions Loans NoteAgriculture Loans Loan Commitment AgreementCommercial and Industrial Loans CollateralLoans to individuals Restrictive CovenantsWholesale lenders WarrantiesRetail Credit Events of DefaultCAMELS Rating Loan reviewCash Loan WorkoutsChapter OutlineI. Introducing Lending - The Principal Reason for the Existence of Banks and the Center ofBank RiskII. Types of Loans Made by Banks (Classified by Purpose)A. Real Estate LoansB. Financial Institutions LoansC. Agricultural LoansD. Commercial and Industrial LoansE. Loans to IndividualsF. Miscellaneous LoansG. Lease Finance ReceivablesIll. Factors Determining the Growth and Mix of Bank LoansA. Profile Characteristics of a Bank's Market AreaB. Role of Loan ParticipationsC. Role of Bank Size (Wholesale vs. Retail Lenders)D. Experience and Expertise of ManagementE. Bank's Loan PolicyF. Expected Yield to the BankIV. The Regulation of LendingA. The Loan Limit RuleB. Limitation on Real Estate LendingC. The Community Reinvestment ActD. Truth-in-Lending LawsE. Equal Credit Opportunity Laws221F. International Lending RulesG. Condition Ratings of Banks (The CAMELS)H. Examiner Loan RatingsV. Establishing A Written Loan PolicyA. Benefits of a Written Bank Loan PolicyB. Contents of a Written Bank Loan PolicyVI. Steps in the Lending ProcessA. The Sources of Loan Requests and Customer Contact ReportsB. Interviewing the Credit Customer and the Character IssueC. Site VisitsD. Processing the Loan RequestE. Monitoring Compliance With the Terms of a LoanVII. Credit Analysis: What Makes a Good Loan?A. Is the Borrower Credit Worthy?1. Character2. Capacity3. Capital (and Cash Flow)4. Collateral5. Conditions6. ControlB. Can the Loan Agreement Be Properly Structured and Documented?C. Can the Bank Perfect Its Claim Against the Borrower's Collateral?1. Reasons for Taking Collateral2. Common Types of Loan Collateral3. Other Safety Devices to Protect a LoanVIII. Sources of Information About Loan CustomersA. Credit BureausB. Publications of Financial InformationC. Information on Economic ConditionsIX. Parts of A Typical Loan AgreementA. The NoteB. Loan Commitment AgreementC. CollateralD. Covenants (Affirmative and Negative)E. Borrower Guaranties or WarrantiesF. Events of DefaultX. Loan ReviewA. The Purpose of Loan ReviewB. Elements of a Good Loan ReviewXI. Handling Problem Loan SituationsA. Signs of a Developing Problem Loan SituationB. Steps in Maximizing the Recovery of Bank Funds from a Problem Loan (the LoanWorkout Problem)XII. Summary of the Chapter222Concept Checks17-1. In what ways does a bank's lending function affect the economy of a local area or region?Bank credit is one of the most important sources of capital that fuels local economic growth and development. When banks make loans to support the development of new businesses and to aid the growth of existing businesses, new jobs are created and there is a greater flow of income and spending throughout the local economy.17-2. What are the principal types of loans made by banks?Bank loans are usually classified by the purpose of the loans. The most common classifications are real estate loans, commercial and industrial loans, loans to financial institutions, credit-card and other loans to individuals, and agricultural production loans Bank loans may also be classified by maturity - over one year and one year or less.17-3. What factors appear to influence the growth and mix of bank loans?The particular mix of any bank's loan portfolio is shaped by the characteristics of its market area, the expected yield and cost associated with each type of loan, bank size, the experience of management, the bank's written loan policy and regulations.17-4 A bank's cost accounting system reveals that its losses on real estate loans average 0.45 percent of loan volume and its operating expenses from making these loans average 1.85 percent of loan volume. If the gross yield on real estate loans is currently 8.80 percent, what is the bank's net yield on these loans? Suppose that the same bank reports operating expenses of 2.95 percent and losses of 0.70 percent on loan volume and a net yield of 6.30 percent on commercial loans. What is the bank's gross yield on commercial loans?The bank's net yield on real estate loans must be:Net Yield on Real Estate Loans = 8.80% - 0.45% - 1.85% = 6.50%The gross yield on commercial loans would be:Gross Yield on Commercial Loans = 2.95% + 0.70% + 6.30% = 9.95%17-5. Why is bank lending so closely regulated by state and federal authorities?Bank lending is closely regulated because it is the center of risk for most banks. National banks in the U.S. are limited in the loans they can make to a single borrower by the size of each bank's capital and surplus. They also must limit their real estate loans based on the size of the bank's total time and savings deposits or capital. Discrimination against borrowers on the basis of their age, sex, religion, or national origin is prohibited by U.S. law. U.S. banks also cannot discriminate against borrowers from certain neighborhoods in their service areas.22317-6. What is the CAMELS rating and for what is it used?The CAMELS is a system used by federal bank examiners for evaluating the overall condition of a bank based upon the adequacy of its capital, the quality of its asset portfolio, its management quality, the adequacy of its earnings, its liquidity and its sensitivity to market risk.17-7. What should a good written bank loan policy contain?A good written bank loan policy should specify the goals of the bank's loan portfolio and program, describe an ideal loan portfolio for the bank and indicate the types of loans the bank normally will refuse to make, specify who has the authority to approve loans of varying type and size, the documentation requirements of different types of loans, and supply guidelines on loan pricing and collateralization for loan officers.17-8. What are the typical steps in a loan request from a customer?A loan officer usually takes or receives such a request initially and passes it along to the credit analysis division for technical review. Usually the recommendations of both the credit analyst and the loan officer are directed to a loan supervisor or loan committee for approval.17-9. What three major questions or issues are considered in evaluating nearly all loan requests?The three key issues with every loan:1. is the borrower credit worthy?2. can the loan agreement be properly structured and documented?3. can the bank perfect its claim against the borrower's collateral?17-10. Explain the meaning of the following terms: character, capacity, cash, collateral, conditions, and control?a. Character -- is the borrower serious about the purpose of a loan and intends to repay?b. Capacity -- does the borrower have the legal authority to sign and commit to a binding loanagreement?c. Capital -- does the borrower generate sufficient income or cash flow to properly service aloan?d. Collateral -- does the borrower possess assets of sufficient quality and value to backstop aloan?e. Conditions -- does the outlook for the economy and industry where a borrower is situatedadd strength to a loan?224f. Control -- does the proposed loan meet the bank's own quality standards and the standardsof bank examiners?17-11. A business borrower reports net profits of $2.1 million in the current year compared to $2.7 million the preceding year. Depreciation and other noncash expenses amounted to $0.7 million versus $0.6 million the previous year. Accounts payable for the current year amount to $20.9 million compared to $24.2 million the year before, while inventories total $8.4 million during the most recent year versus $7.8 million the previous year. In contrast, accounts receivable rise from $16.8 million the previous year to $20.1 million at the conclusion of the current year. The firm's projected cash flow can be estimated by either of two methods discussed in the text: Cash Flow Estimate A = $2.1 million + $0.7 million +($20.9 million - $24.2 million)for the Current Year - ($8.4 million - $7.8 million) –($20.1 million – $16.8 million)= - $4.4 million.Cash Flow Estimate B = $2.1 million + $0.7 million = $2.8 millionfor the Current YearThe previous year the cash flows amounted to:Cash Flow Estimate A = Not enough information to estimate thisfor the Previous YearCash Flow Estimate B = $2.7 million + $0.6 million = $3.3 millionFor the Previous YearClearly the firm's cash flow is falling, which suggests that the bank needs to find out the reasons for this decline before committing any of the bank's funds.17-12. What sources of information are available today for bank loan officers and credit analys ts to use in evaluating a customer loan application?Among the most widely used sources of information used in evaluating loans are financial statements supplied by the borrower and industry-wide performance ratios for comparison purposes supplied by such organizations as Dun and Bradstreet and Risk Management Associates (RMA).17-13. What are the principal parts of a loan agreement? What is each part designed to do?The most important parts of loan agreements include a signed note, a listing of covenants, documents specifying loan collateral, and a section describing what events or happenings will trigger default.17-14. What is loan review? How should a loan review be conducted?225Loan review is a process of periodic investigation of outstanding loans on a bank's books to make sure each loan is paying out as planned, all necessary documentation is present, and the bank's loan officers are following the institution's loan policy. While banks today use a variety of different loan review procedures, a few general procedures are followed by nearly all banks. These include:1. Carrying out reviews of all types of loans on a periodic basis.2. Structuring the loan review process carefully to make sure the most importantfeatures of each loan are checked.3. Reviewing the largest loans most frequently.4. Conducting more frequent reviews of troubled loans.5. Accelerating the loan review schedule if the economy slows down or if industries inwhich the bank has made a substantial portion of its loans develop significantproblems.Loan review is not a luxury but a necessity for a sound bank lending program. It not only helps management spot problem loans more quickly but also acts as a continuing check on whether loan officers are adhering to a bank's loan policy. For this reason, as well as to promote objectivity in the loan review process, many of the largest banks separate their loan review personnel from the loan department itself. Loan reviews also aid senior management and the bank's board of directors in assessing the bank's overall exposure to risk and its possible need for more capital in the future.17-15. What are some warning signs to bank management that a problem loan may be developing?Problem loans are often characterized by reduced communication between borrower and lender, delays in receiving financial reports, evidence of reevaluations of assets (such as inventory or pension-plan assets), declining stock prices, changes in management, or the restructuring of other loans the borrower has taken out.17-16. What steps should a banker go through in trying to resolve a problem loan situation?The most important first step is to move quickly to contact the borrower, to ascertain if the borrower understands the nature of the loan problem, to explore for creative solutions to the problem, and to get the borrower to reach a decision on the best solution possible.Problems17-1. Karakee V. Corporation, seeking renewal of its $12 million credit line, has the following cash flow estimates (in millions of dollars) based upon the data recently reported by the company to Whelington National Bank:Proj. for19X1 19X2 19X3 19X4 Next Year226Cash Flow Estimate 1(Net Profit + Noncash Expenses) $15.6 $15.8 $16.0 $15.1 $14.5Cash Flow Estimate 2(Net Profits + Noncash Expenses+ Added Accounts Payable –Added Accounts Receivableand Added Inventories) - $15.7 $16.1 $15.2 $14.2Clearly, under both measures of cash flow Karakee is experiencing a significant decline in its actual and estimated cash flow, which suggests a careful look at the firm's financial statements and operations before renewing its credit line for the full amount requested. Of special concern is the steady buildup in accounts receivable and inventory as well as the firm's growing reliance on its suppliers for credit (accounts payable).17-2. Silsbee Manufacturing and Service Company has an appliance inventory currently valued at $16,357,422 and accounts receivable of $8,452,867. The text says that inventory loans commonly amount to 30 percent to 80 percent of the inventory's estimated market value and account-receivable based loans commonly amount to 40 to 90 percent of estimated market value.These figures suggest that the minimum size credit line available would be:Minimum-Size Credit Line Available = 0.30 x $16,357,422 + 0. 40 x $8,452,876= $4,907,227 + $3,381,147= $8,288,374.The maximum sized credit line available would be:Maximum-Size Credit Line Available = 0.80 x $16,357,422 + 0.90 x $8,452,876= $13,085,938 + $7,607,588= $20,693,526.17-3. The particular C of credit represented by each piece of information presented in this problem was as follows:a. Collateralb. Controlc. Characterd. Cashe. Capacityf. Conditionsg. Character h. Cash i. Conditionsj. Control k. Capacity l. Collateral17-4. ButelI Manufacturing has an outstanding $11 million loan with Citicenter Bank. Selected items reported to the bank by the company do indicate the possible development of a problem loan situation. For one thing, Butell's cash account has fallen sharply in the latest month after several months of a substantial uptrend and the firm's liquidity ratio of current assets to current liabilities has declined significantly in the last 3 months. Decreases in the firm's liquidity position may be signaling declining sales and/or difficulty in maintaining enough cash to meet near-term liabilities.227Another possible cause for concern centers around Butell's capital structure as its ratio of equity capital relative to debt financing is falling, indicating that creditors (including Citicenter Bank) are providing a larger share of the firm's capitalization. Thus, each creditor is becoming less well secured. However, these changes in liquidity and capital structure may only reflect normal seasonal pressures and may not be real problems for the bank, especially because other aspects of Butell's recent performance--its stock price, earnings before interest and taxes, and ROA seem to be improving.Perhaps of greater moment is the decline of sales revenue below Butell's projections. As of the latest month sales revenue reached $290 million versus a projection of $298 million. Citicenter Bank must determine the causes of this sales shortfall to see if the firm is encountering increasing resistance to sales of its product lines. However, even this trend may not be cause for alarm because sales may be so volatile in Butell's industry that few analysts put any faith in sales projections. The bank's loan officer needs to review the customer's earlier sales projections and sales revenue to determine if there is a real cause for concern.Butell has indicated a recent switch in inventory and depreciation accounting methods. Citicenter's loan officer would do well to inquire into the reasons for these changes because they may reflect an attempt by the firm to offset actual or potential future losses in some aspect of its operations.17-5. Which of the following restrictive loan covenants are affirmative or negative covenants?a. Restrictions on payment of dividends represent negative loan covenants.b. A requirement to insure selected assets is an affirmative loan covenant.c. Restrictions against taking on new debt represent negative loan covenants.d. The requirement 6f filing periodic financial statements with the bank is anaffirmative loan covenant.e. A requirement of securing bank approval before adding to a borrower's stock offixed assets is considered a negative loan covenant.f. Requiring a borrowing customer to maintain a current ratio -- a liquidity measure--no lower than 1 .5x is an affirmative loan covenant.g. The stipulation that prior bank approval of a proposed merger must be obtained is anegative loan covenant.16-6. The particular C of lending which applies to each loan factor is listed below:Character Capacity Cash Collateral Conditions ControlCredit rating Corporateresolution LiquidreservesInsurancecoverageCompetitiveclimate forcustomersproductAdequatedocumentationExperience of other lenders Driver’slicenseExpensecontrolAssetspecializationExpectedmarket shareWritten loanpolicyPurpose of Social Inventory Guarantees Business Changes in228loan security card turnover andwarrantees cycle accountingstandardsPayment record History offirmProjectedcash flowsAssetliquidationPerformanceof comparablefirmsBanking lawsand regulationsCustomeridentityPrice earningsratioChanges intechnologyIndustryoutlookPartnershipagreementCoverageratiosObsolescence InflationoutlookManagementqualityLiens Wages in thelabor marketLeverage FuturefinancingneedsEconomists’ForecastsAccountsReceivablesTurnoverAccountsPayableTurnoverWeb Site Problems1. If you wanted to find out about regulations applying to bank lending where would you look on the web? Why do you think this area has become so important lately?Most of the banking regulatory agencies have information about lending regulations. One place that I found that listed the latest regulations on the web was the Kansas City Federal Reserve at /bs&s/finalreg/regsmain.htm. I think bank lending has become important recently for several reasons. One reason is that the economy has been doing so well and many individuals and businesses have increased their borrowing. However, since the economy is starting to cool this area will continue to be important as bankruptcies and loan losses rise.2. Are you interested in becoming a loan officer? A credit analyst? Where on the world wide web could you find information on new job listings in banking?There are many places that list banking jobs. One place that I found after doing a search was /. On this web site you could search by state or look at all states. People can post resumes on this site as well as look for a job or look for a potential employee.3. Suppose you were hired as a consultant by a bank’s loan department to look at their controls to minimize loan risk. You know the bank is concerned that their principal government supervisory agency is going to take a hard look shortly at how their loan department is managed and the risks in its loan portfolio. Where on the Internet could you look to find some guideline on how to control and manage bank credit risk? List two or three suggestions for credit risk control that you found at the web site or sites you investigated.229The Basel Committee has a list of publications which include several documents related to improving a bank’s credit risk management at /bcbs/publ.htm. Many of these publications provide detailed advice as to how to deal with credit risk. For example in the Basel Committee’s publication of Principles for the Management of Credit Risk, they mention the areas that this publicat ion can help with. This publication of the Basel Committee states “The sound practices set out in this document specifically address the following areas: (i) establishing an appropriate credit risk environment; (ii) operating under a sound credit-granting process; (iii) maintaining an appropriate credit administration, measurement and monitoring process; and (iv) ensuring adequate controls over credit risk. This publication can be read for more specific information about each of these areas. This should help the consultant address these issues for their bank.230。

商业银行管理-ROSE-7e-课后答案chapter-08

CHAPTER 8USING FINANCIAL FUTURES, OPTIONS, SW APS, AND OTHER HEDGING TOOLS INASSET-LIABILITY MANAGEMENTGoal of This Chapter: The purpose of this chapter is to examine how financial futures, option, and swap contracts, as well as selected other asset-liability management techniques can be employed to help reduce a bank’s potential exposure to loss as market conditions change. We will also discover how swap contracts and other hedging tools can generate additional revenues for banks by providing risk-hedging services to their customers.Key Topics in this Chapter•The Use of Derivatives•Financial Futures Contracts: Purpose and Mechanics•Short and Long Hedges•Interest-Rate Options:Types of Contracts and Mechanics•Interest-Rate Swaps•Regulations and Accounting Rules•Caps, Floor, and CollarsChapter OutlineI. Introduction: Several of the Most Widely Used Tools to Manage Risk ExposureII. Use of Derivative ContractsIII. Financial Futures Contracts: Promises of Future Security Trades at a Set PriceA. Background on FuturesB. Purposes of Financial Futures TradingC. Most Popular Types of Futures ContractsD. The Short Hedge in FuturesE. The Long Hedge in Futures1. Using Long and Short Hedges to Protect Income and Value2. Basis Risk3. Basis Risk with a Short Hedge4 Basis Risk with a Long Hedge5. Number of Futures Contracts NeededIV. Interest Rate OptionsA. Nature of Interest-Rate OptionsB. How They Differ from Futures ContractsC. Most Popular Types of OptionsD. Purpose of Interest-Rate OptionsV. Regulations and Accounting Rules for Bank Futures and Options TradingVI. Interest Rate SwapsA. Nature of swapsB. Quality swapsC. Advantages of Swaps Over Other Hedging MethodsD. Reverse swapsE. Potential Disadvantages of SwapsVII. Caps, Floors, and CollarsA. Interest Rate CapsB. Interest Rate FloorsC. Interest Rate CollarsVIII. S ummary of the ChapterConcept Checks8-1. What are financial futures contracts? Which financial institutions use futures and other derivatives for risk management?Financial futures contacts are contracts calling for the delivery of specific types of securities at a set price on a specific future date. Financial futures contract help to hedge interest rate risk and are thus, used by any bank or financial institution that is subject to interest rate risk.8-2. How can financial futures help financial service firms deal with interest-rate risk?Financial futures allow banks and other financial institutions to deal with interest-rate risk by reducing risk exposure from unexpected price changes. The financial futures markets are designed to shift the risk of interest rate fluctuations from risk-averse investors to speculators willing to accept and possibly profit from such risks.8-3. What is a long hedge in financial futures? A short hedge?A long hedger offsets risk by buying financial futures contracts around the time new deposits are expected, when a loan is to be made, or when securities are added to the bank's portfolio. Later, as deposits and loans approach maturity or securities are sold, a like amount of futures contracts is sold. A short hedger offsets risk by selling futures contracts when the bank is expecting a large cash inflow in the near future. Later, as deposits come flowing in, a like amount of futures contracts is purchased.8-4. What futures transactions would most likely be used in a period of rising interest rates? Falling interest rates?Rising interest rates generally call for a short hedge, while falling interest rates usually call for some form of long hedge.8-5. How do you interpret the quotes for financial futures in The Wall Street Journal?The first column gives you the opening price, the second and third the daily high and low price, respectively. The fourth column shows the settlement price followed by the change in the settlement price from the previous day. The next two columns show the historic high and low price and the last column points out the open interest in the contract.8-6. A futures is currently selling at an interest yield of 4 percent, while yields currently stand at 4.60 percent. What is the basis for these contracts?The basis for these contracts is currently 4.60% – 4% or 60 basis points.8-7. Suppose a bank wishes to sell $150 million in new deposits next month. Interest rates today on comparable deposits stand at 8 percent, but are expected to rise to 8.25 percent next month. Concerned about the possible rise in borrowing costs, management wishes to use a futures contract. What type of contract would you recommend? If the bank does not cover the interest rate risk involved, how much in lost potential profits could the bank experience?At an interest rate of 8 percent:$150 million x 0.08 x30360= $1 millionAt an interest rate of 8.25 percent:$150 million x 0.0825 x30360= $1.031 millionThe potential loss in profit without using futures is $0.0313 million or $31.3 thousand. In this case the bank should use a short hedge.8-8. What kind of futures hedge would be appropriate in each of the following situations?a. A financial firm fears that rising deposit interest rates will result in losses on fixed-rate loans?b. A financial firm holds a large block of floating-rate loans and market interest rates are falling?c. A pro jected rise in market rates of interest threatens the value of the financial firm’s bondportfolio?a. The rising deposit interest rates could be offset with a short hedge in futures contracts (for example, using Eurodollar deposit futures).b. Falling interest yields on floating-rate loans could be at least partially offset by a long hedge in Treasury bonds.c. The bank's bond portfolio could be protected through appropriate short hedges using Treasury bond and note futures contracts.8-9. Explain what is involved in a put option?A put option allows its holder to sell securities to the option writer at a specified price. The buyer of a put option expects market prices to decline in the future or market interest rates to increase. The writer of the contract expects market prices to stay the same or rise in the future.8-10. What is a call option?A call option permits the option holder to purchase specific securities at a guaranteed price from the writer of the option contract. The buyer of the call option expects market prices to rise in the future or expects interest rates to fall in the future. The writer of the contract expects market prices to stay the same or fall in the future.8-11. What is an option on a futures contract?An option on a futures contract does not differ from any other kind of option except that the underlying asset is not a security, but a futures contract.8-12. What information do T-bond and Eurodollar futures option quotes contain?The quotes contain information about the strike prices and the call and put prices at each different strike price for given months.8-13. Suppose market interest rates were expected to rise? What type of option would normally be used?If interest rates were expected to rise, a put option would normally be used. A put option allows the option holder to deliver securities to the option writer at a price which is now above market and make a profit.8-14. If market interest rates were expected to fall, what type of option would a financ ial institution’s manager be likely to employ?If interest rates were expected to fall, a call option would likely be employed. When interest rates fall, the market value of a security increases. The security can then be purchased at the option price and sold at a profit at the higher market price.8-15. What rules and regulations have recently been imposed on the use of futures, options, and other derivatives? What does the Financial Accounting Standards Board (FASB) require publicly traded firms to do in accounting for derivative transactions?Each bank has to implement a proper risk management system comprised of (1) policies and procedures to control financial risk taking, (2) risk measurement and reporting systems and (3) independent oversight and control processes. In addition, FASB introduced statement 133 which requires that all derivatives are recorded on the balance sheet as assets or liabilities at their fair value. Furthermore, the change in the fair value of a derivative and a fair value hedge must be reflected on the income statement.8-16. What is the purpose of an interest rate swap?The purpose of an interest rate swap is to change an institution's exposure to interest rate fluctuations and achieve lower borrowing costs.8-17. What are the principal advantages and disadvantages of rate swaps?The principal advantage of an interest-rate swap is the reduction of interest-rate risk of both parties to the swap by allowing each party to better balance asset and liability maturities and cash-flow patterns. Another advantage of swaps is that they usually reduce interest costs for one or both parties to the swap. The principal disadvantage of swaps is they may carry substantial brokerage fees, credit risk and some basis risk.8-18. How can a financial institution get itself out of a swap agreement?The usual way to offset an existing swap is to undertake another swap agreement with opposite characteristics.8-19. How can financial-service providers make use of interest rate caps, floors, and collars to generate revenue and help manage interest rate risk?Banks and other financial institutions can generate revenue by charging up-front fees for interest rate caps on loans and interest rate floors on securities. In addition, a positive net premium on interest rate collars will add to a bank's fee income. Caps, floors, and collars help manage interest rate risk by setting maximum and minimum interest rates on loans and securities. They allow the lender and borrower to share interest rate risk.8-20. Suppose a bank enters into an agreement to make a $10 million, three-year floating-rate loan to one of its corporate customers at an initial rate of 8 percent. The bank and the customer agree to a cap and a floor arrangement in which the customer reimburses the bank if the floating loan rate drops below 6 percent and the bank reimburses the customers if the loan rate rises above 10 percent. Suppose that, at the beginning of the loan's second year, the floating loan rate drops to 4 percent for a year and then, at the beginning of the third year, the loan rate increases to 11 percent for the year. What rebates must be paid by each party to the agreement?The rebate owed by the bank for the third year must be:(11%-10%) x $10 million = $100,000.The rebate that must be forwarded to the bank for the second year must be:(6%-4%) x $10 million = $200,000.Problems8-1. You hedged your bank’s exposure to declining interest rates by buying one March Treasury bond futures contract at the opening price on November 21, 2005(see exhibit 8-2). It is now January 9, and you discover that on Friday, January 6 March T-bond futures opened at 113-17 and settled at 113-16.a. What are the profits/losses on your long position as of settlement on January 6?Buy at 112-06 or 112 6/32 per contract = 112,187.50Value at settlement on January 6, 113-16 or 113 16/32 = 113,500.Gain = 113,500 – 112,187.50 = $1312.50b. If you deposited the required initial margin on 11/21 and have not touched the equityaccount since making that cash deposit, what is your equity account balance?The equity account balance will increase by the gain in the position,thus $1,150 + $1312.50 = $2,462.508-2 Use the quotes of Eurodollar futures contracts traded on the Chicago Mercantile Exchange on December 20, 2005 to answer the following questions:a. What is the annualized discount yield based on the low IMM index for the nearest Junecontract?The annualized discount yield is 100 – 95.13 = 4.87 percentb. If your bank took a short position at the high price for the day for 15 contracts, whatwould be the dollar gain or loss at settlement on December 20, 2005?Sell at high price: (1,000,000x[1-((4.87/100)x90/360)]x15 = 14,817,375Value at settlement: (1,000,000x[1-((4.86/100)x90/360)]x15 = 14,817,750Loss: 14,817,375 – 14,817,750 = -$375c. If you deposited the initial required hedging margin in your equity account upon takingthe position described in b, what would be the marked to market value of your equityaccount at settlement?Initial margin = $700x15 = $10,500You realize a $375 loss for this transaction.Thus your equity position is: $10,500 - $375 = $10,1258-3. What kind of futures or options hedges would be called for in the following situations?a. Market in terest rates are expected to increase and First National Bank’s asset andliability managers expect to liquidate a portion of their bond portfolio to meetdepositor’s demands for funds in the upcoming quarter.First National can expect a lower price when they sell their bond portfolio unless it uses short futures hedges in which contracts for government securities are first sold and then purchased at a profit as security prices fall provided interest rate really do rise as expected. A similar gain could be made using put options on government securities or on financial futures contracts.b. Silsbee Savings Bank has interest-sensitive assets of $79 million and interest-sensitive liabilities of $88 million over the next 30 days and market interest rates are expected to rise.Silsbee Savings Bank’s interest-sensitive liabilities exceed its interest-sensitive assets by $11 million which means the bank will be open to losses if interest rates rise. The bank could sell financial futures contracts or use a put option on government securities or financial futures contracts approximately equal in dollar volume to the $11 million interest-sensitive gap to hedge their risk.c. A survey of Tuskee Bank’s corporate loan customers this month (January) indicates that, on balance, this group of firms will need to draw $165 million from their credit lines in February and March, which is $65 million more than the bank’s management has forecasted and prepared for. The bank’s economist has predicted a significant increase in money market interest rates over the next 60 days.The forecast of higher interest rates means the bank must borrow at a higher interest cost which, other things held equal, will lower its net interest margin. To offset the expected higher borrowing costs the bank's management should consider a short sale of financial futures contracts or a put option approximately equal in volume to the additional loan demand. Either government securities or EuroCDs would be good instruments to consider using in the futures market or in the option market.d. Monarch National Bank has interest-sensitive assets greater than interest sensitive liabilities by $24 million. If interest rates fall (as suggested by data from the Federal Reserve Board) the bank’s net interest margin may be squeezed due to the decrease in loan and security revenue.Monarch National Bank has interest-sensitive assets greater than interest-sensitive liabilities by $24 million. If interest rates fall, the bank's net interest margin will likely be squeezed due to the faster fall in interest income. Purchases of financial futures contracts followed by a subsequent sale or call options would probably help here.e. Caufield Thrift Association finds that its assets have an average duration of 1.5 years and its liabilities have an average duration of 1.1 years. The ratio of liabilities to assets is .90. Interest rates are expected to increase by 50 basis points during the next six months.Caufield Bank and Trust Company has asset duration of 1.5 years and a liabilities duration of 1.1. A 50-basis point rise in money-market rates would reduce asset values relative to liabilities which mean its net worth would decline. The bank should consider short sales of government futures contracts or put options on these securities or on their related futures contracts.8-4. Your bank needs to borrow $300 million by selling time deposits with 180-day maturities. If interest rates on comparable deposits are currently at 4 percent, what is the cost of issuing these deposits? Suppose deposit interest rates rise to 5 percent. What then will be the marginal cost of these deposits? What position and types of futures contract could be used to deal with this cost increase?At a rate of 4 percent the interest cost is:$300 million x 0.04 x 180360= $6,000,000At a rate of 5 percent the interest cost would be:$300 million x 0.05 x 180360= $7,500,000A short hedge could be used based upon Eurodollar time deposits.8-5. In response to the above scenario, management sells 300, 90-day Eurodollar time deposits futures contracts trading at an IMM Index of 98. Interest rates rise as anticipated and your bank offsets its position by buying 300 contracts at an IMM index of 96.98. What type of hedge is this? What before-tax profit or loss is realized from the futures position?Bank sells Eurodollar futures at (1,000,000*[1-((2/100)*90/360)] $995,000 (per contract)Bank buys Eurodollar futures at (1,000,000*[(1-(3.02/100)*90/360]$992,450 (per contract)Expected Before-tax Profit $ 2,550 (per contract)And Total Profit would be 300*$2550 = $765,000In this case the bank has employed a short hedge which partially offsets the higher borrowing costs outlined above.8-6. It is March and Cavalier Financial Services Corporation is concerned about what an increase in interest rates will do to the value of its bond portfolio. The portfolio currently has a market value of $101.1 million and Cavalier’s management intends to liquidate $1.1 million in bonds in June to fund additional corporate loans. If interest rates increase to 6 percent, the bond will sell for $1 million with a loss of $100,000. Cavalier’s management sells 10 June Treasury bond contracts at 109-05 in March. Interest rates do increase, and in June Cavalier’s ma nagement offsets its position by buying 10 June Treasury bond contracts at 100-03.a.What is the dollar gain/loss to Cavalier from the combined cash and futures market operations described above?Loss on cash transaction: $100,000Gain on futures transaction: 109,156.25 – 100,093.75 = 9062.5 (per contract)Loss: 9062.50(10) – 100,000 = -$9,375b. What is the basis at the initiation of the hedge?110,000 – 109,156.25 = 843.75c. What is the basis at the termination of the hedge?100,000 – 100,093.75 = -93.75d. Illustrate how the dollar return is related to the change in the basis from initiation fromtermination?Dollar return = -93.75 – 843.75 = -937.50 per contract or –937.50(10) = -$93758-7. By what amount will the market value of a Treasury bond futures contract change if interest rates rise from 5 to 6 percent? The underlying Treasury bond has a duration of 10.48 years and the Treasury bond futures contract is currently quoted at 113-06 (Remember that Treasury bonds are quoted in 32nds)Change in value = -10.48 x $113,187.50 x .01/(1+.05) = -$11,297.198-8. Trojan National Bank reports that its assets have a duration of 8 years and its liabilities average 3 years in duration. To hedge this duration gap, management plans to employ Treasury bond futures, which are currently quoted at 112-17 and have a duration of 10.36 years. Trojan’s latest financial report shows total assets of $120 million and liabilities of $97 million. Approximately how many futures contracts will the bank need to cover its overall exposure?Number of Futures Contracts Needed = 25.531,112*36.10000,000,120*]3*120978[= 5748-9 You hedged your bank’s exposure to declining interest rates by buying one March call on Treasury bond futures at the premium quoted on December 13th , 2005 (see exhibit 8-4).a. How much did you pay for the call in dollars if you chose the strike price of 110?(Remember that option premiums are quoted in 64ths.)Price per call = 2.625 x 100,000 = $262,500b. Using the following information for trades on December 21, 2005, if yousold the call on 12/21/05 due to a change in circumstances would you havereaped a profit or loss? Determine the amount of the profit/loss.Sell call at: 3.125 x 100,000 = 312,500Gain = 312,500 – 262,500 = $50008-10 Refer to the information given for problem 9. You hedged your bank’s exposure to increasing interest rates by buying one March put on Treasury bond futures at the premium quoted on December 13th, 2005 (see exhibit 8-4).a. How much did you pay for the put in dollars if you chose the strike price of 110?(Remember that premiums are quoted in 64ths.)Price per put = .765625 x 100,000 = $76,562.25b. Using the above information for trades on December 21, 2005, if you soldthe put on 12/21/05 due to a change in circumstances would you have reapeda profit or loss? Determine the amount of the profit/loss.Sell put at: .421875 x 100,000 = $42,187.50Loss = $42,187.50 – 76,562.25 = -$34,374.758-11. You hedged your thrift institution’s exposure to dec lining interest rates by buying one March call on Eurodollar deposits futures at the premium quoted on December 13th, 2005 (see exhibit 8-4).a. How much did you pay for the call in dollars if you chose the strike price of 9525?(remember that premiums are quoted in IMM index terms)Value of the call: 6.25 x $25 = $156.25b. If March arrives and Eurodollar Deposit Futures have a settlement index at expirationof 96.00, what is your profit or loss? (Remember to include the premium paid for thecall option).Payout from settlement: (9600-9525) 75 basis points x $25 = $1,875Net gain: $1,875 –$156.25 = $1,718.758-12. You hedged your bank’s exposure to increasing interest rates by buying one March put on Eurodollar deposit futures at the premium quoted on December 13th, 2005 (see exhibit 8-4).a. How much did you pay for the put in dollars if you chose the strike price of 9,550?(remember that premiums are quoted in IMM index terms)Value of the put: 29.25 x $25 = $731.25b. If March arrives and Eurodollar Deposit Futures have a settlement index at expirationof 96.00, what is your profit or loss? (Remember to include the premium paid for theput option).Payout from settlement: $0 (option is out of the money)Net loss: $0 - $731.25 = -$731.258-13. A bank is considering the use of options to deal with a serious funding cost problem. Deposit interest rates have been rising for six months, currently averaging 5 percent, and are expected to climb as high as 6.75% over the next 90 days. The bank plans to issue $60 million in new money market deposits in about 90 days. It can buy put or call options on 90 day Eurodollar time deposit futures contracts for a quoted premium of .31 or $775 for each million-dollar contract. The strike price is quoted as 9,500. We expect the futures to trade at an index of 93.50 within 90 days. What kind of option should the bank buy? What before tax profit could the bank earn for each option under the terms described?You are trying to protect the bank against rising interest rates, thus you want to buy a put option.Profit on put: payout from settlement = (9500-9350) 150 basis points x $25 = $3,750 Net profit: $3,750 - $775 = $2,975If the bank bought the call option, the value at settlement would be $0 and the bank would loose the call premium of $775.8-14. Hokie Savings Bank wants to purchase a portfolio of home mortgage loans with an expected average return of 8.5 percent. The bank’s management is concerned that interest rates will drop and the cost of the portfolio will increase from the current price of $50 million. In six months when the funds become available to purchase the loan portfolio, market interest rates are expected to be in the 7.5 percent range. Treasury bond options are available today at a quoted price of $79,000 (per $100,000 contract), upon payment of a $700 premium, and are forecast to rise to a market value of $87,000 per contract. What before-tax profits could the bank earn per contract on this transaction? How many options should Hokie buy?Profit per contract: $87,000 - $79,000 -$700 = $7,300Hokie should buy enough options to offset the increase in the price of the loan portfolio. Thus, figure out the price increase and divide that number by 7,300 to get the number of options needed.8-15. A savings and loan’s credit rating has just slipped, and half of its assets are long term mortgages. It offers to swap interest payments with a money-center bank in a $100 million deal. The bank can borrow short term at LIBOR (8.05 percent) and long term at 8.95 percent. The S&L must pay LIBOR plus 1.5 percent on short term debt and 10.75 percent on long term debt. Show how these parties could put together a swap deal that benefits both of them about equally.This SW AP agreement would have the form:Fixed Rate the Floating Rate PotentialBorrower Pays the Borrower Interest-Rateif They Issue Pays on Short- SavingsLong-Term Bonds Term Loans of Each BorrowerS&L 10.75% LIBOR + 1.50% 1.20%Money- 8.95% LIBOR (8.05%) 0.90%Center BankDifference 1.80% 1.50% 0.30%in Rates Due toDifferences inCredit RatingsIf the money-center bank borrows long-term at 8.95 percent and the S&L at LIBOR + 1.50 percent (which is currently 8.05 + 1.50 or 9.55 percent) and they exchange interest payments, both would save if the S&L agreed to pay a portion of the bank’s basic borrowing rate. For example, the S&L could pay 160 basis points to the bank which would more than cover the difference. After the exchange in payments an d basis points the S&L would pay 8.95% +1.6% or 10.55% which is lower than the S&L’s long term rate and the bank would pay 9.55%-1.6% or 7.95% which is less than the bank’s short term rate and each party would get the type of payment they want.8-16. A bank plans to borrow $55 million in the money market at a current interest rate of 4.5 percent. However, the borrowing rate will float with market conditions. To protect itself the bank has purchased an interest-rate cap of 5 percent to cover this borrowing. If money market interest rates on these funds suddenly climb to 5.5 percent as the borrowing begins, how much in total interest will the bank owe and how much of an interest rebate will it receive assuming the borrowing is only for one month?Total Amount Interest Number of Months Interest Owed = Borrowed * Rate Charged * 12= $55 million x 0..055 x1 12= $0.527 million or $252,083.33.How much of an interest rebate will the bank receive for its one-month borrowing?[]12MonthsofNumberxBorrowedAmt.xRateCap-RateInterestMarketRebateInterest == (.055 - .05) x $55 million x1 12= $22,916.67.8-17. Suppose that Jasper Savings Association has recently granted a loan of $2.4 million to Fairhills Farms at prime plus .5 percent for six months. In return for granting Fairhills an interest cap of 8% on its loan, this thrift has received from this customer a floor rate on the loan of 6 percent. Suppose that, as the loan is about to start the prime rate declines to 5.25 percent and remains there for the duration of the loan. How much (in dollars) will Fairhill Farms have to pay in total interest on this six month loan? How much in interest rebates will Fairhills have to pay due to the fall in the prime rate?Total = Amount * Interest * Number of Months Interest Owed Borrowed Rate Charged 12= $2.4 million x (.0525 + .0050) x6 12= $0.069 million or $69,000.Fairhills will have to pay an interest rebate to Exeter National Bank of:[]12MonthsofNumberxBorrowedAmt.xRateInterestCurrent-RebateFloorRebateInterest == (.060 - .0575) x $2.4 million x6 12= $0.003 million or $3,000.。

《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