金融市场与金融机构基础(第3章)英文版答案

3-1ANSWERSTOQUESTIONSFORCHAPTER3(Questionsareinboldprintfollowedbyanswers.)1.Explainthewaysinwhichadepositoryinstitutioncanaccommodatewithdrawalandloandemand.Adepositoryinstitutioncanaccommodateloanandwithdrawaldemandsfirstbyhavingsufficientcashonhand.Inadditionitcanattractmoredeposits,borrowfromtheFedorotherbanks,andliquidatesomeofitsotherassets.2.Whydoyouthinkadebtinstrumentwhoseinterestrateischangedperiodicallybasedonsomemarketinterestratewouldbemoresuitableforadepositoryinstitutionthanalong-termdebtinstrumentwithafixedinterestrate?Thisquestionreferstoasset-liabilitymanagementbyadepositoryinstitution.Anadjustableratecaneliminateorminimizethemismatchofmaturityrisk.Asinterestratesrise,theinstitutionwouldhavetopaymorefordeposits,butwouldalsoreceivehigherpaymentsfromitsloan.3.Whatismeantby:a.individualbankingb.institutionalbankingc.globalbankinga.Individualbankingisretailorconsumerbanking.Suchabankemphasizesindividualdeposits,consumerloansandpersonalfinancialtrustservices.b.Aninstitutionalbankcatersmoretocommercial,industrialandgovernmentcustomers.Itissuesdepositstothemandtriestomeettheirloanneeds.c.Aglobalbankencompassesmanyfinancialservicesforbothdomesticandforeigncustomers.Itismuchinvolvedinforeignexchangetradingaswellasthefinancialofinternationaltradeandinvestment.4.a.WhatistheBaselCommitteeforBankSupervision?b.Whatdothetwoframeworks,BaselIandBaselII,publishedbytheBaselCommitteeforBankSupervision,addressregardingbanking?a.Itistheorganizationthatplaystheprimaryroleinestablishingriskandmanagementguidelinesforbanksthroughouttheworld.b.Theframeworkssetforthminimumcapitalrequirementsandstandards.3-25.Explaineachofthefollowing:a.reserveratiob.requiredreservesa.Thereserveratioisthepercentageofdepositsabankmustkeepinanon-interest-bearingaccountattheFed.b.Requiredreservesaretheactualdollaramountsbasedonagivenreserveratio.6.Explaineachofthefollowingtypesofdepositaccounts:a.demanddepositb.certificateofdepositc.moneymarketdemandaccounta.Demanddeposits(checkingaccounts)donotpayinterestandcanbewithdrawnatanytime(upondemand).b.CertificatesofDeposit(CDs)aretimedepositswhichpayafixedorvariablerateofinterestoveraspecifiedtermtomaturity.Theycannotbewithdrawnpriortomaturitywithoutasubstantialpenalty.negotiableCDs(largebusinessdeposits)canbetradedsothattheoriginalownerstillobtainsliquiditywhenneeded.c.MoneyMarketDemandAccounts(MMDAs)arebasicallydemandorcheckingaccountsthatpayinterest.Minimumamountsmustbemaintainedintheseaccountssothatatleasta7-dayinterestcanbepaid.Sincemanypersonsfinditnotpossibletomaintainthisminimum(usuallyaround$2500)therearestillplentyoftakersforthenon-interest-bearingdemanddeposits.7.HowdidtheGlass-SteagallActimpacttheoperationsofabank?TheGlass-SteagallActprohibitedbanksfromcarryingoutcertainactivitiesinthesecuritiesmarkets,whichareprincipalinvestmentbankingactivities.Italsoprohibitedbanksfromengagingininsuranceactivities.3-38.Thefollowingisthebookvalueoftheassetsofabank:AssetBookValue(inmillions)U.S.Treasurysecurities$50Municipalgeneralobligationbonds50Residentialmortgages400Commercialloans200Totalbookvalue$700a.Calculatethecreditrisk-weightedassetsusingthefollowinginformation:AssetRiskWeightU.S.Treasurysecurities0%Municipalgeneralobligationbonds20Residentialmortgages50Commercialloans100b.Whatistheminimumcorecapitalrequirement?c.Whatistheminimumtotalcapitalrequirement?a.Theriskweightedassetswouldbe$410BVWeightProductUSTSec.$500%0MB5020%10RM40050%200CL200100%200Total700410b.Theminimumcorecapitalis$28million(.04X700)i.e.,4%ofbookvalue.c.Minimumtotalcapital(coreplussupplementarycapital)is32.8million,.08X410,whichis8%oftherisk-weightedassets.9.Inlaterchapters,wewilldiscussameasurecalledduration.Durationisameasureofthesensitivityofanassetoraliabilitytoachangeininterestrates.Whywouldbankmanagementwanttoknowthedurationofitsassetsandliabilities?a.Durationisameasureoftheapproximatechangeinthevalueofanassetfora1%changeininterestrates.b.Ifanassethasadurationof5,thentheportfolio’svaluewillchangebyapproximately5%ifinterestratechangesby100basispoints.3-410.a.Explainhowbankregulatorshaveincorporatedinterestriskintocapitalrequirements.b.ExplainhowS&Lregulatorshaveincorporatedinterestrateriskintocapitalrequirements.a.TheFDICImprovementActof1991,requiredregulatorsofDItoincorporateinterestrateriskintocapitalrequirements.Itisbasedonmeasuringinterestratesensitivityoftheassetsandliabilitiesofthebank.b.TheOSTadoptedaregulationthatincorporatesinterestrateriskforS&L.Itspecifiesthatifthrifthasgreaterinterestrateriskexposure,therewouldbeadeductionofitsrisk-basedcapital.Theriskisspecifiedasadeclineinnetprofitvalueasaresultof2%changeinmarketinterestrate.11.Whenthemanagerofabank’sportfolioofsecuritiesconsidersalternativeinvestments,sheisalsoconcernedabouttheriskweightassignedtothesecurity.Why?TheBaselguidelinesgiveweighttothecreditriskofvariousinstruments.Theseweightsare0%,20%,50%and100%.Thebookvalueoftheassetismultipliedbythecreditriskweightstodeterminetheamountofcoreandsupplementarycapitalthatthebankwillneedtosupportthatasset.12.