Please provide answers for parts d, e-1. e-2, and e-3. Clearly show answers!
Please provide answers for parts a through c
Use the data provided for Gotbucks Bank, Incorporated, to answer this question. Gotbucks Bank, Incorporated (dollars in millions) Assets Liabilities and Equity Cash $ 41 Core deposits $ 45 Federal funds 31 Federal funds 61 Loans (floating) 116 Euro CDs 141 Loans (fixed) 76 Equity 17 Total assets $ 264 Total liabilities and $ 264 equity Notes to the balance sheet: Currently, the fed funds rate is 9.6 percent. Variable-rate loans are priced at 2 percent over LIBOR (currently at 10 percent). Fixed-rate loans are selling at par and have five-year maturities with 11 percent interest paid annually. Assume that fixed rate loans are non-amortizing. Core deposits are all fixed rate for two years at 7 percent paid annually. Euro CDs currently yield 8 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 0.47 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 answer to 3 decimal places. (e.g., 32.161)) d. If the duration of GBI's Euro CDs and fed fund liabilities is 0.412 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 by 300 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. e-1. Duration Duration (assets) Duration (deposits) Duration (liabilities) Duration gap Expected change in equity value New market value 4.100 years 1.440 years 1.930 years years years e-2. e-3. Consider the following balance sheet for Watchover Savings Incorporated (in millions): Assets Floating-rate mortgages (currently 13% per annum) 30-year fixed-rate loans (currently 10% per annum) $ 108 Liabilities and Equity Now deposits (currently 9% per $ 66 annum) 5-year time deposits (currently 9% 93 per annum) Equity $ 159 Total 18 33 $ 159 Total a. What is Watchover's expected net interest income at year-end? (Enter your answer in millions rounded to 2 decimal places. (e.g., 32.16)) b. What will be the net interest income at year-end if interest rates rise by 2 percent? (Enter your answer in millions rounded to 2 decimal places. (e.g., 32.16)) c. Using the one-year cumulative repricing gap model, what is the change in the expected net interest income for a 2 percent increase in interest rates? (Negative amount should be indicated by a minus sign. Enter your answer in millions rounded to 2 decimal places. (e.g., 32.16)) a. Net interest income b. Net interest income Change in net interest C. income million million million
