Use the data provided for Gotbucks Bank, Incorporated, to answer thes question. Notes to the balance sheet: Currently, the fed funds rate is 8.5 percent. Variable-rate loans are piceed at 4 percent over tigOR (currently at 11 percent). Fored.rate laans are sefling ot par and have five ye ar matualles with 12 percent interest paid annually. Assume that fixed cate loans are non-amortizing Core deposits are ail flxed rate two years at 8 percent paid arnually. Furo CDs currently yield 9 percent. a. Whot is the duration of Gotbecks Bank's (GB) foxed-rate loan portiollo it the loans ate palced at par? (Do not round intermedliate calculetions. Round your answer to 3 decimal places. (e.9. 32.161) b. II the average duration of GBi's floating rate loans (including fed fund assets) is 0.36 yeat, 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 ploces. (e. 9 . 32.1613) c. What is the duration of CBirs core deposits if they are priced at par? (Do not round intermediate calculations. Round your answer to 3 decimol ploces. (e.9.32.161)) d. If the duration of GBI's Euro CDS and fed fund liabillities is 0.401 yeak, what is the duration of the bank's llabilities? (Do not round intermediote calculations. Round your onswer to 4 decimol places, (e.g., 32:1616)) e-1. What is GBI's duration gap? (Do not round intermediate calculotions. Round your nnswer to 4 decimal places. (e.9..32.1616)) e-2. What is the expected change in equity value if all yields increase by 100 basis points? (Enter your answer in dollors nor in millions. Negotive omount should be indiceted by o minus sign. Do not round intermediate calculations. Round your onswer to the nearest dollar omount) neorest doilar omouns. onswer in dollors not in millions, Negotive amount should be indicated by a minus sign. Do not round intermediate colcuiations. 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 ploces. ( e.g. 32.161)) d. If the duration of GBI's Euro CDS and fed fund liabilities is 0.401 year, what is the duration of the bank's llabilities? (Do not round intermediate colculations. Round your answer to 4 decimal ploces. (e.9,32.1616) ) e-1. What is GBl's duration gap? (Do not round intermediate calculations. Round your answer to 4 decimal places. (e.9., 32.1616)) e-2. What is the expected change in equity value if all yields increase by 100 basis points? (Enter your onswer in dollars not in millions. Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to the neorest dollar amount.) e-3. Given the equity change in e-2. What is the expected new market value of equily after the interest rate change? (Enter your answer in doliars not in millions. Negative amount should be indicated by o minus sign. Do not round intermediate colculations. Round your answer to the nearest dollor amount.) Use the data provided for Gotbucks Bank, Incorporated, to answer thes question. Notes to the balance sheet: Currently, the fed funds rate is 8.5 percent. Variable-rate loans are piceed at 4 percent over tigOR (currently at 11 percent). Fored.rate laans are sefling ot par and have five ye ar matualles with 12 percent interest paid annually. Assume that fixed cate loans are non-amortizing Core deposits are ail flxed rate two years at 8 percent paid arnually. Furo CDs currently yield 9 percent. a. Whot is the duration of Gotbecks Bank's (GB) foxed-rate loan portiollo it the loans ate palced at par? (Do not round intermedliate calculetions. Round your answer to 3 decimal places. (e.9. 32.161) b. II the average duration of GBi's floating rate loans (including fed fund assets) is 0.36 yeat, 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 ploces. (e. 9 . 32.1613) c. What is the duration of CBirs core deposits if they are priced at par? (Do not round intermediate calculations. Round your answer to 3 decimol ploces. (e.9.32.161)) d. If the duration of GBI's Euro CDS and fed fund liabillities is 0.401 yeak, what is the duration of the bank's llabilities? (Do not round intermediote calculations. Round your onswer to 4 decimol places, (e.g., 32:1616)) e-1. What is GBI's duration gap? (Do not round intermediate calculotions. Round your nnswer to 4 decimal places. (e.9..32.1616)) e-2. What is the expected change in equity value if all yields increase by 100 basis points? (Enter your answer in dollors nor in millions. Negotive omount should be indiceted by o minus sign. Do not round intermediate calculations. Round your onswer to the nearest dollar omount) neorest doilar omouns. onswer in dollors not in millions, Negotive amount should be indicated by a minus sign. Do not round intermediate colcuiations. 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 ploces. ( e.g. 32.161)) d. If the duration of GBI's Euro CDS and fed fund liabilities is 0.401 year, what is the duration of the bank's llabilities? (Do not round intermediate colculations. Round your answer to 4 decimal ploces. (e.9,32.1616) ) e-1. What is GBl's duration gap? (Do not round intermediate calculations. Round your answer to 4 decimal places. (e.9., 32.1616)) e-2. What is the expected change in equity value if all yields increase by 100 basis points? (Enter your onswer in dollars not in millions. Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to the neorest dollar amount.) e-3. Given the equity change in e-2. What is the expected new market value of equily after the interest rate change? (Enter your answer in doliars not in millions. Negative amount should be indicated by o minus sign. Do not round intermediate colculations. Round your answer to the nearest dollor amount.)
