Use the data provided for Gotbucks Bank, Inc., to answer this question. (LG 22-3) Gotbucks Bank, Inc. (in $ millions) Assets Liabilities and Equity Cash $ 30 Core deposits $ 20 Federal funds 20 Federal funds 50 Loans (floating) 105 Euro CDs 130 Loans (fixed) 65 Equity 20 Total assets $220 Total liabilities and equity $220 Notes to the balance sheet: Currently, the fed funds rate is 8.5 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. 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?

b. If the average duration of GBI's floating-rate loans (includ- ing fed fund assets) is .36 year, what is the duration of the bank's assets? (Note that the duration of cash is zero.)

c. What is the duration of GBI's core deposits if they are priced at par?

d. If the duration of GBI's Euro CDs and fed fund liabili- ties is 401 years, what is the duration of the bank's liabilities?

e. What is GBI's duration gap? What is its interest rate risk exposure? If all yields increase by 1 percent, what is the impact on the market value of GBI's equity? (That is, AR/(1+R) = .01 for all assets and liabilities.)