(a) Assume that the ABC-bank has the following balance sheet: Assets Duration Category Market value (mkr) Daily lending to other banks 35 3 months Checking account credits 500 6 months Other short term loans 275 2 years Long term bonds 40 14.8 years Long term household loans 150 Liabilities and Equity 0 years Demand deposits 400 1 years Time deposits 10 years Long-term borrowing 200 Equity 100 Use this information to calculate the duration of assets and liabilities.(1p) 300 Use this information to calculate the duration of assets and liabilities.(1p) (b) The answer to a) should be that the duration measures are the same (rounded to two decimals). This does not imply that the ABC- bank's equity is immune w.r.t. interest rate risk. Explain why it is not. (1p) (c) If the bank wants to immunize its equity, how can it do that if it i) only changes the duration of the liabilities; and ii) if it only changes the duration of the assets? Explain how a change of the level of interest rates by Ar = 0.01 (100 basis points), will change the market values of assets and liabilities, respectively. (2p)