6. Use the following balance sheet (in millions of dollars) for a bank and assume that 20% of fixed-rate mortgages, 10% of checkable deposits, and 10% of savings deposits are rate-sensitive. Assume all variable-rate mortgages are rate-sensitive. Liabilities (and capital) Assets 10 DUR -0 checkable deposits 100 Reserves DUR 1 Securities l year 20 DUR .3 Savings deposits 100 DUR 2 l year 100 DUR 2 CDs 1 year 70 DUR Mortgages 1 year 20 DUR. Variable-rate 10 DUR 1.5 1.5 Fixed-rate 110 DUR 3.5 Borrowings Commercial loans 1 year 80 DUR. .3 l year 25 DUR. .6 Capital 30 1 year 125 DUR 2 Total assets 400 Total liabilities plus capital 400 Consider assets and liabilities ofless than a year to maturity to be rate- sensitive (one-year maturity bucket. a. Calculate the repricing (funding) gap for a one-year maturity bucket. b. Calculate the change in net interest income in the first year for an increase in interest rate from 5% to 6% (be sure to note whether income increases or decreases) c. Calculate the average duration of assets d. Calculate the average duration of liabilities. e. Calculate the leverage-adjusted duration gap f. Calculate the change in net worth (capital) if the interest rate increases from 5% to 6%