Question 2 : 10 points Assume Bank One has the following balance sheet items in millions of dollars: Rate sensitive Asset $20m Rate sensitive Liabilities $50m Fixed Rate Assets $80m Fixed Rate Liablities $40m Capital $10m Also assume the duration of the assets is 2 years and that of its liabilities is 3 years. Assume that interest rates are initially 3%. a. List the above information in a T account. b. What is the income gap for the bank? c. What will happen to the income of the bank if interest decreases by 1%? Explain using gap analysis d. If the bank sells $10m of its fixed rate assets and replaces them with rate sensitive assets. What is the income gap for the bank? e. After event (d) above, what will happen to the income of the bank if interest increases by 1%? Explain using gap analysis c. If interest increases from 3% to 4% calculate the change in the market value of the net worth as a percentage of total assets