Notes to the balance sheet: Currently, the fed funds rate is 8.9 percent. Variable-rate loans are priced at 5 percent over LIBOR (currently at 12 percent). Fixed-rate loans are selling at par and have five-year maturities with 13 percent interest paid annually. Assume that fixed rate loans are non-amortizing. Core deposits are all fixed rate for two years at 9 percent paid annually. Euro CDs currently yield 10 percent.

A) What is the duration of Gotbucks Banks (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 GBIs floating-rate loans (including fed fund assets) is .40 year, what is the duration of the banks 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 GBIs 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 GBIs Euro CDs and fed fund liabilities is .405 years, what is the duration of the banks liabilities? (Do not round intermediate calculations. Round your answer to 4 decimal places. (e.g., 32.1616))

E-1) What is GBIs 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 100 basis points? (Enter your answer in dollars not in millions. Negative amount should be indicated by a minus sign. Do not round intermediate calculations.)

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.)

Use the data provided for Gotbucks Bank, Inc., to answer this question Gotbucks Bank, Inc. (in millions) Assets Liabilities and Equity 35 34 Core deposits Cash Federal funds 24 Federal funds 134 Loans (floating) 109 Euro CDs Loans (fixed) 69 Equity 13 236 Total assets S 236 Total liabilities and equity