Consider the following balance$-$sheet:

a$.$ What is the FI's duration gap?

b$.$ What is the impact on the FI's equity value if interest rate increases by $1\%?$ Assume

current interest rate is $6\%$

c$.$ Suppose that the FI macrohedges in part $($c$)$ using Treasury bond futures that are

currently priced at $96.$ Should the bank buy or sell futures contract? Why? Assume the

deliverable Treasury bond has a duration of $9$ years, how many Treasury bond futures

contracts would be needed?