Use the data provided for Gotbucks Bank, Inc., to answer this question. Gotbucks Bank, Inc. (in $ millions) Assets Liabilities and Equity $ 33 Core deposits Cash Federal funds Loans (floating) Loans (fixed) Total assets $ 30 53 133 16 23 Federal funds 108 Euro CDs 68 Equity $ 232 Total liabilities and equity 232 Notes to the balance sheet: Currently, the fed funds rate is 8.8 percent. Variable-rate loans are priced at 4 percent over LIBOR (currently at 11 percent). Fixed-rate loans are selling at par and have five-year maturities with 12 percent interest paid annually. Assume that fixed rate loans are non-amortizing. Core deposits are all fixed rate for two years at 8 percent paid annually. Euro CDs currently yield 9 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)) Duration 4.037 years b. If the average duration of GBl's floating-rate loans (including fed fund assets) is .39 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)) Duration (assets) 1.403 years 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)) Duration (deposits) 1.926 years Use the data provided for Gotbucks Bank, Inc., to answer this question. Gotbucks Bank, Inc. (in $ millions) Assets Liabilities and Equity $ 33 Core deposits Cash Federal funds Loans (floating) Loans (fixed) Total assets $ 30 53 133 16 23 Federal funds 108 Euro CDs 68 Equity $ 232 Total liabilities and equity 232 Notes to the balance sheet: Currently, the fed funds rate is 8.8 percent. Variable-rate loans are priced at 4 percent over LIBOR (currently at 11 percent). Fixed-rate loans are selling at par and have five-year maturities with 12 percent interest paid annually. Assume that fixed rate loans are non-amortizing. Core deposits are all fixed rate for two years at 8 percent paid annually. Euro CDs currently yield 9 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)) Duration 4.037 years b. If the average duration of GBl's floating-rate loans (including fed fund assets) is .39 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)) Duration (assets) 1.403 years 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)) Duration (deposits) 1.926 years
