Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Please complete this and show how. Prefer on excel Use the data provided for Gotbucks Bank, Incorporated. to answer this question. 4 Gotbuck Bank, -

Please complete this and show how. Prefer on excel
image text in transcribed

Use the data provided for Gotbucks Bank, Incorporated. to answer this question. 4 Gotbuck Bank, - neorporated (d01tfOih Cash Federal funds Loans (floating) Loans (fixed) Total assets Assets Liabilities and Equity $ 31 Core deposits 21 Federal funds 106 Euro CDs 66 Equity $ 224 Total liabilities and equity $ 22 51 131 2 $ 224 Notes to the balance sheet: Currently, the fed funds rate is 8.6 percent. Variable-rate loans are priced at 5 percent over LIBOR (currently at 12 percent). Fixed-rate loans are selling at par and have five-year maturities with 13 percent interest paid annually. Assume that fixed rate loans are non-amortizing. Core deposits are all fixed rate for two years at 9 percent paid annually. Euro CDs currently yield 10 percent a. What is the duration of Gotbucks Bank's (GBI) fixed-rate loan portfolio if the loans are priced at par? (Do not round intermediate calculations. Round your answer to 3 decimal places. (e.g., 32.161)) b. If the average duration of GBI's floating-rate loans (including fed fund assets) is 0.37 year, what is the duration of the bank's assets? (Note that the duration of cash is zero.) (Do not round intermediate calculations. Round your answer to 3 decimal places. (e.g., 32.161)) c. What is the duration of GBI's core deposits if they are priced at par? (Do not round intermediate calculations. Round your ansyer to 3 decimal places. (e.g., 32.161)) d. If the duration of GBI's Euro CDs and fed fund liabilities is 0.402 year, what is the duration of the bank's liabilities? (Do not round intermediate calculations. Round your answer to 4 decimal places. (e.g., 32.1616)) e-1. What is GBI's duration gap? (Do not round intermediate calculations. Round your answer to 4 decimal places. (e.g., 32.1616)) e-2. What is the expected change in equity value if all yields increase ly 200 basis points? (Enter your answer in dollars not in millions. Negative amount should be indicated by a minus sign. DO not round intermediate calculations. Round your answer to the nearest dollar amount.) e-3. Given the equity change in e-2, what is the expected new market value of equity after the interest rate change? (Enter your answer in dollars not in millions. Negative amount should be indicated by a minus sign. DO not round intermediate calculations. Round your answer to the nearest dollar amount.) a. b. c. d. Duration Duration (assets) Duration (deposits) Duration (liabilities) Duration gap Expected change in equity value New market value years years years years years

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Entrepreneurial Finance

Authors: Philip J. Adelman, Alan M. Marks

4th Edition

0132434792, 9780132434799

More Books

Students also viewed these Finance questions