1. The balance sheet for Gotbucks Bank (GBI) is presented below: ( $ MM ):

Assets Lib & Equity

Cash 30 Core deposits 20

Loans (floating) 125 EURO CDs 180

Loans Fixed 65 Equity 20

Total assets 220 TE + TL 220

Notes: the floating rare is LIBOR + 4%

Current LIBOR = 11%

Fixed rate loans 5 yr maturity priced at par coupon = 12%

Core deposits fixed rate at 8% paid annually

Euros yields 9%

1. What is the duration of the fixed rate loan portfolio of Gotbucks Bank?
2. If the duration of the floating rate loans is 0.3 year, what is the duration of GBI assets?
3. What is the duration of the core deposits if they are priced at par?
4. If the duration of the Euro CDs is 0.401 year, what is the duration of GBIs liabilities?
5. What is GBIs duration gap? What is its interest rate risk exposure?
6. What is the impact on the market value of equity if the relative change in all market interest rate is an increase of 1%?
7. What is the impact on the market value of equity if the relative change in all interest rates is a decrease of 0.5%?
8. What variables are available to GBI to immunize the bank? How much would each variable need to change to get DGAP to equal to zero?