QUESTION 16 Bank ABC's balance sheet is as below (in millions of dollars): Assets Interest Average Average rate Interest rate duration of duration of MV of Assets attached lattached to each Llability and MV of category each category assets to each equity capital abilities each liability of liability (in of assets (in category category years) of assets years) U.S. Treasury securities 90 1096 7.49 Negotiable CDs 100 6% 1.943 Municipal bonds 20 6 1.5 7.2 2.75 Other time 125 deposits Subordinated 50 notes Commercial loans 100 12 10.6 9 3.918 Consumer loans 50 15 (1.2 Total 275 liabilities Stockholders' 25 equity capital Real estate loans 40 13 2.25 1. (6 pts) What is the weighted average duration of Bank ABC's asset portfolio and liability portfolio? 1. (6 pts) What is its leverage adjusted duration gar? 1. (6 pts) Assume that interest rates fall from 8% to 696, what is the change of the bank's net worth