ASSETS	LIABILITIES
Cash 20	core Deposits 60
Fed funds 30	Fed funds 50
loans (floating) 80	Euro CDs 30
loans (fixed) 40	Equity 30
Total 170	Total 170

For problems 2 through 5 refer to the following balance sheet:

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.

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)