4. The managers of Bay View Bank asks for a performance/risk analysis, and asks you to answer the following questions. The Bay View Bank's balance sheet is as follows: Assets Securities Long-term Loans 5% rate $200 million S 800 million Ave. Duration 2 vear 5 years 2% rate Total Assets S1000 million Liabilities & Equity Short-term Deposits.% rate $500 million Certificates of Deposit 2% rate 400 million 1 year 2 year Total Liabilities Equity Total Liab Equity S900 million 100 millio 1000 million What is the bank's 1-year income (funding) gap (Rate Sensitive Assets (RSA) for 1 year - Rate Sensitive Liabilities (RSL) for 1 year? Funding Gap a. e. Given this funding gap if rates go up by 1%, what is the expected change in the bank's NII S? [Hint: Change NIIS = Funding Gap x Change Rate Expected Change in NII e. What is the Bank's Duration gap (D-Gap)? D-GAP = Duration of Assets-{[Total LiabSATotal Assets] x Duration Labs.) Hint: Duration of Assets-Sum {[Each type of asset /Total Assets] x its Duration) Duration of Liabilities Sum Each type of Liability/Total Liabs.] x its Duration) Duration of Assets Duration of Liabilities Duration Gap f, what is the expected % change in the value of equity with a rise in rates of 1%? Expected Change in Value of Equity =-D-GAP x {(Chgrate/ (1+ Ave loan rate)] (UseAA0% as the average loan rate). Expected %Cgin the value of the Bank's Equity