PART B The following is the balance sheet of a VRYSMPL Bank. All the items are recorded based on the book vaiue and they were purchased at par value. Asset Liability 5 year semi-annual 6.45%pa coupon 6 months treasury bills 250 bond 10 year 35% annual coupon bond 3 year semi annual coupon 5.50% bond 200 10 year treasury bond 15 % semi 350 6 year annual coupon (6.30%pa) bond 200 annual coupon _- -- 5. Assume current market yield is flat at 6.5% p.a. What is the duration gap of the bank {6 marks) 6. Using the duration gap estimated from question 6. what will happen to the net worth of the bank if the market yield goes up by 1.5%p.a.? ....................................................... (4 marks)