5 04. (&p) A financial institution (FI) has the following balance sheet when the interest rate is so Assets millions) Duration (years) A-520 Liabilities. E (millions ) ASSO LS35 6 1545 A-S30 ESIO Calculate the average duration for the assets and the liabilities. b. Calculate the leverage adjusted duration gap. What is the source of risk in this case! What will happen to the equity if the interest rate increases by 90 basis points in this case? d. Assume that the financial institution plans to macrohedge against the interest rate risk via futures contrac when the price of the futures is $96000 and its duration is 11.5 years. How many futures contracts a needed in this case? e. How much is the gain from this macro hedge? What is the net effect (both on and off the balance she items)? Provide a step-by-step solutions. 5 04. (&p) A financial institution (FI) has the following balance sheet when the interest rate is so Assets millions) Duration (years) A-520 Liabilities. E (millions ) ASSO LS35 6 1545 A-S30 ESIO Calculate the average duration for the assets and the liabilities. b. Calculate the leverage adjusted duration gap. What is the source of risk in this case! What will happen to the equity if the interest rate increases by 90 basis points in this case? d. Assume that the financial institution plans to macrohedge against the interest rate risk via futures contrac when the price of the futures is $96000 and its duration is 11.5 years. How many futures contracts a needed in this case? e. How much is the gain from this macro hedge? What is the net effect (both on and off the balance she items)? Provide a step-by-step solutions