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E G R H Par Years 15 points Market Earnin Total Value Mix Mix Mat YTM Dur. Assets 3 YR Com DF DCF Duration CF 100 $1.000 % Coup Assets Cash 100 Earning assets 3-yr Commercial loan 4.00% 6.yr Treasury bond 250 3.50% Total Earning Assets 900 9 Non-cash earning asse 100 10 Total assets 1100 650 3 6 0.00 0.00 5.00% 6323 3.26% 253.36 0.00% 885.66 100 0.00% 1085.7 0% % of Earning Assets DUR 0% 0.00 % of total 6-YRT-Bond 1.00% 2.00% 1 3 0.00 0.00 16 IT 450 600 1050 0 1050 50 1100 2 Liabilities 13 Interest bearing liabs. 14 1 yr Time deposit 3.yr Certificate of depot Tot. Int Bearing Llabs. Tot. non-int, bearing th Total liabilities 19 Total equity 20 Total liabs & equity 20 Duration Gap Calculations Duration of Assets Duration of Liabilities TS Liabilities Assets ratio 200% 445.59 1.75% 604.35 0.00% 1049.9 0 0.00% 1049.9 35.722 1085.7 0% 0.00 DUR Liabilities LYR Time Dep DUR 3. YR COD 27 DGAP.Dur assets-(assetsby"Du hab DGAP = Ducassets - Dus lab 24 Approximate Impact from a Change in Rates 31 Expected change in rates Average rate on Eaming Assets 13 Average rate on Int Bearing Lab 1.00% 0 00 0.0019 DUR Approximate Impact from a Change in Rates 31 Expected change in rates Average rate on Eaming Assets 33 Average rate on Int Beaning Liab 34 Approx Change in Mkt Value of Assets Approx Change in Mkt Value of Liabilities Approx Change in Mkt Value of Equity (Difference) 1.001% 0.00% 0.00% DUR an 40 Approx Change in Mkt Value of Equity using Duration GAP method