21. Consider the following balance sheet (in millions) for an FI: Assets Liabilities Duration- 10 years $950 Duration 2 years Equity $860 90 a. What is the FI's duration gap? b. What is the FI's interest rate risk exposure? c. How can the FI use futures and forward contracts to put on a macrohedge? d. What is the impact on the Fl's equity value if the relative change in interest rates is an increase of 1 percent? That is, R/(1 + R-001. e. Suppose that the FI macrohedges using Treasury bond futures that years. f. If the FI wants to macrohedge, how many Treasury bond futures c are cur rently priced at 96. What is the impact on the FTs futures position if the Hd cLr change in all interest rates is an increase of 1 percent? That is, AR/(1R Assume that the deliverable Treasury bond has a duration of nine s position if the rel relative /(1 + R) = 0.01. does it need