Question Four A bank has provided you with the following balance sheet information: Balance Sheet (in millions) and Duration (in vcars DurationAmount $900 5,550 1,760 27,240 20,920 2,380 7,150 T-Bills T-notes T-bonds 0.5 0.9 4.393 Loans Deposits Money market funds Bought . Equity 0.01 Reguired i) Calculate the average duration of all the assets i) What is the average duration of all the liabilities ii) Calculate the bank's leverage adjusted duration gap. What is the institutions interest rate (7 marks) (3 marks) (5 marks) risk exposure. iv) If the entire yield curve shifted upwards 0.5% (ie. AR/(1+R,-0.005), what is the impact on the bank's market value of equity? (5 marks) If the entire yield curve shifted downwards 0.25%, what is the impact on the buink's markct value of equity? v) (5 marks) Total: 25 marks Page 3 of 3