Cash Federal funds Loans (floating) Loans (fixed) Total assets Assets Liabilities and Equity $ 50 Core deposits 125 Euro CDs 85 Equity $ 50 30 Federal funds 70 $ 290 Total liabilities and equity 150 20 $ 290 Notes to the balance sheet: Currently, the fed funds rate is 10.5 percent. Variable-rate loans are priced at 3 percent over LIBOR (currently at 13 percent). Fixed-rate loans are selling at par and have five-year maturities with 14 percent interest paid annually. Assume that fixed rate loans are non-amortizing. Core deposits are all fixed rate for two years at 10 percent paid annually. Euro CDs currently yield 11 percent. a. What is the duration of Gotbucks Bank's (GBI) fixed-rate loan portfolio if the loans are priced at par? (Do not round intermediate calculations. Round your answer to 3 decimal places. (e.g., 32.161)) b. If the average duration of GBI's floating-rate loans (including fed fund assets) is 0.56 year, what is the duration of the bank's assets? (Note that the duration of cash is zero.) (Do not round intermediate calculations. Round your answer to 3 decimal places. (e.g., 32.161)) c. What is the duration of GBI's core deposits if they are priced at par? (Do not round intermediate calculations. Round your answer to 3 decimal places. (e.g., 32.161)) d. If the duration of GBI's Euro CDs and fed fund liabilities is 0.421 year, what is the duration of the bank's liabilities? (Do not round intermediate calculations. Round your answer to 4 decimal places. (e.g., 32.1616)) e-1. What is GBI's duration gap? (Do not round intermediate calculations. Round your answer to 4 decimal places. (e.g., 32.1616)) e-2. What is the expected change in equity value if all yields increase by 200 basis points? (Enter your answer in dollars not in millions. Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to the nearest dollar amount.) e-3. Given the equity change in e-2, what is the expected new market value of equity after the interest rate change? (Enter your answer in dollars not in millions. Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to the nearest dollar amount.)