Listed below is a simplified balance sheet showing the dollar value and duration of assets and liabilities held. For ease of calculation, we will assume an average interest rate of 6.00 per cent per annum; that is r = 0.06.

Assets	Millions($)	Duration
Debentures	41	6.885
Euro notes	25	4.420
Government Bonds	10	3.345
Total Assets	76
Liabilities
Short-term Commitments	25	1.485
Long-term Debt Issues	38	5.844
Total Liabilities	63
Equity	13

a. Calculate the duration of the asset portfolio and the duration of the liability portfolio. (Round your answers to 6 decimal places.) Briefly interpret your answers. (5 marks)

b. Calculate the value of the asset portfolio and the value of the liability portfolio if there is a general increase in interest rates of 75 basis points. (Round your answers to 2 decimal places.) Briefly interpret your answers. (10 marks)

c. Calculate the change in equity. Draw a table and reconstruct the new balance sheet showing total assets, total liabilities and equity only. Show all calculations. (Round your answers to 2 decimal places.) (5 marks)