A UK bank has assets and liabilities that are traded at par and pay interest semi- annually with principal due at maturity. Assets (millions) 4-Year FR loan @ 8% Liabilities & Equity 600 Equity 7-Year FR Bond @ 6% 50 550 Total 600 Total 600 a) What is the NII of the above FI? b) Is the NII protected over the first four years? c) What is the IR GAP over the first four years? d) Derive the formula that explains how the value of an institution's equity is affected when interest rates change. e) What is the impact on NII of a 1% decrease in loan rates after the fourth year? A) Based on part (d), could you derive the duration of equity? Explain whether the value of equity is protected over the first three years? ) in market yields on 1) the value of equity? Derive the conditions for protecting the value of a Fl's NII