($ million) Liabilities: 1 year Certificates of Deposit $ 825m 5 year Bonds 70m Bank of Baruch Assets: 91 day US Treasury bills $ 150m 2 year commercial loans $ 75m Fixed rate, 9% p.a. annually 10 year corporate loans-floating rate: LIBOR+50bp, semiannual roll date $ 505m 10 year floating rate mortgages quarterly roll dates $ 600m Overnight Fed Funds 91-day Commercial Paper Equity 100m 270m 65m Notes: Commercial paper is a pure discount instrument. The 5 year bonds pay 8.5% p.a. semiannually with a yield of 7.5% p.a. and have a duration of 4.2 years. The 1 year Certificates of Deposit pay 2.75% p.a. annually. All values are market values. 1. What is the impact on the bank's capital value if the value of the bank's assets declines by 10%? a. No change in the bank's equity value. b. Equity decreases to - $68 million. c. Equity increases to $68 million. d. Equity decreases to $52 million. e. Equity increases to $78 million