1. The balance sheet for Gotbucks Bank, Inc. (GBI), is presented below ($ millions): Assets Cash Federal funds Liabilities and Equity $30 Core deposits 20 Federal funds Loans (floating) 105 Euro CDs Loans (fixed) 65 Equity Total assets $220 Total liabilities and equity $20 50 130 20 $220 Notes to the balance sheet: The fed funds rate is 8.5 percent, the floating loan rate is LIBOR (London Interbank Offered Rate) + 4 percent, and currently LIBOR is 11 percent. Fixed-rate loans have five-year maturities, are priced at par, and pay 12 percent annual interest. The principal is repaid at maturity. Core deposits are fixed rate for two years at 8 percent paid annually. The principal is repaid at maturity. Euro CDs currently yield 9 percent. a. What is the duration of the fixed-rate loan portfolio of Gotbucks Bank? b. If the duration of the floating-rate loans and fed funds is 0.36 year, what is the duration of GBI's assets? c. What is the duration of the core deposits if they are priced at par? d. If the duration of the Euro CDs and fed funds liabilities is 0.401 duration of GBI's liabilities? year, what is the e. What is GBI's duration gap? What is its interest rate risk exposure? f. What is the impact on the market value of equity if the relative change in all interest rates is an increase of 1 percent (100 basis points)? Note that the relative change in interest rates is AR/ (1+R)=0.01. g. What is the impact on the market value of equity if the relative change in all interest rates is a decrease of 0.5 percent (-50 basis points)? h. What variables are available to GBI to immunize the bank? How much would each variable need to change to get DGAP equal to zero?