Problem 4 (4 marks) A commercial bank has $100 million of floating rate loans yielding the T-Bills rate plus 5% These are financed with $100million fixed rate depo sitcosting 8%. A savings bank has S 100 million of mortgages with a fixed rate of 1 1 %. They are financed with $100 million in CDs with a variable rate of r bill rate plus 3 percent loans a) What is the risk exposure of the commercial bank? b) What is the risk exposure of the savings Bank? c) What would be the cash flow goal of each company if they entered into a SWAP agreement? Give an example of a swap agreement between the two banks