A contractual commitment to make a loan up to a stated amount at a given interest rate in the future is a loan commitment. 

Suppose there are two ratings categories: A and B, along with default. The ratings-migration probabilities look like this for a B-rated loan:   Rating in 1 year Probability A 0.07 B 0.92 Default 0.01     The yield on A rated loans is 4%; the yield on B rated loans is 5%. All term structures are flat (i.e. forward rates equal spot rates). A loan in default pays off 40% of its face value (e.g. $40) You have one loan in your portfolio, B-rated, 3-year, 5% coupon (paid annually), with $100 face value.   Compute next year’s expected value for the loan.

ST loans (6 months) $50M Demand Deposits $300M LT loans (5 years) $200M 3-Month CD $100M 3 month Treasuries $100M Equity $50M 30-year (fixed rate) mortgage $100M   Consider the above bank balance sheet. Using the Repricing (Funding GAP) Model using a 1-year horizon, what is the impact of a 1% rate increase on the net interest income of the bank? How does the assumption about whether demand deposits are rate sensitive impact this effect?

  The above figure documents the total amount of bank lending around the 2008 crisis. Why did bank lending increase during this crisis? (Write 1-3 sentences)

If the duration gap (ADA-LDL) is zero, then the balance sheet of a bank is immunized against interest rate risk.

How are shadow banks able to originate mortgages without using any deposits?

The hydraulic cylinder CF, which partially controls the position of rod DE, has been locked in the position shown. Knowing that θ = 60°, determine a) the force P for which the tension in link AB is 410 N, b) the corresponding force exerted on member BCD at point C.     Include labels and units in your answers below. _______ _______

What is the main difference between a pass-through and a tranched securitization vehicle?

The bracket shown is homogeneous. Locate the x, y and z coordinates of the center of gravity.    Include labels and units in your answers below. _______ _______ _______

The economic meaning of duration is the interest elasticity of a financial assets price.