1. A bank has assets of $100M invested in loans and securities, and it estimates that the mean annual return is 5% (0.05) and standard deviation is 10% (0.10). The bank also has liabilities of $95M on which it pays an annual fixed rate of 3%. What is the mean and standard deviation in $ of the banks $5M of capital that is caused by the returns on assets and liabilities? Hint: C = A L.