200 500 Balance Sheet of Maryland Bank ($ millions) Cash 200 Checking Accounts (non-interest bearing) 3-Year 8% annual coupon 500 1 Year CDs (4%) Treasury Bonds Trading @ Par 2 Year CDs (6%) 5-Year 12% Interest-Only Mortgages 400 Premises 100 Equity Total Assets 1,200 Total Liabilities + Equity 300 200 1,200 a. What is the duration of each asset and liability of Maryland Bank? (CDs are like zero coupon bonds.) b. What is the average duration of the assets and the average duration of the liabilities? c. What is the leveraged duration gap? d. If relative interest rates (Ar/(1+r)) increase by 1%, then what will be the approximate change in the market value of bank equity? 200 500 Balance Sheet of Maryland Bank ($ millions) Cash 200 Checking Accounts (non-interest bearing) 3-Year 8% annual coupon 500 1 Year CDs (4%) Treasury Bonds Trading @ Par 2 Year CDs (6%) 5-Year 12% Interest-Only Mortgages 400 Premises 100 Equity Total Assets 1,200 Total Liabilities + Equity 300 200 1,200 a. What is the duration of each asset and liability of Maryland Bank? (CDs are like zero coupon bonds.) b. What is the average duration of the assets and the average duration of the liabilities? c. What is the leveraged duration gap? d. If relative interest rates (Ar/(1+r)) increase by 1%, then what will be the approximate change in the market value of bank equity