2. What is the duration of the assets? (3)

3. What is the duration of the liabilities? (3)

4. What is the duration gap? (3)

5. If all rates increase by 2%, what is the approximate percentage change in equity? (3)

For problems 2 through 5 refer to the following balance sheeet: ASSETS Cash Fed funds Loans (floating) Loans (fixed) TOTAL 30 80 LIABILTIES Core Deposits Fed funds Euro CDs Equity 170 The fixed rate loans are 10 year, 8% (annual) coupon bonds with a yield of 6%. Cash and fed funds have a 0 duration. Floating loans have a duration of 1.0. All liabilities have a duration of 0.50