Required: a) The Chief Risk Officer ("CRO") for JCUS Bank has the following Asset/Liability profile (in US$ billions). If the CRO wants a duration gap of 3.5, how much should the bank raise in savings accounts? Assets US$ Liabilities US$ Bonds 75 (Duration - 10) Current Accounts (Duration - 2) 85 Saved Consumer Loans 176 (Duration - 3) Savings Accounts (Duration -1.5) Corporate Loans 155 (Duration - 6) (10 marks) b) A bank issues a $100,000 fixed-rate 30-year mortgage with a nominal annual rate of 4.5%. If the required rate drops to 4.0% immediately after the mortgage is issued, what is the impact on the value of the mortgage? c) (5 marks) Calculate the duration of a $100,000 fixed-rate 30-year mortgage with a nominal annual rate of 7.0%. What is the expected percentage change in value if the required rate drops to 6.5% immediately after the mortgage is issued? (5 marks)