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Use the balance sheet of a bank below to answer the following. The duration of asset is 1.5 years, the duration of liabilities 2

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Use the balance sheet of a bank below to answer the following. The duration of asset is 1.5 years, the duration of liabilities 2 years. Assets Liabilities Required Reserves 8 m Money Market Deposits 50 m Excess Reserves 7 m 3-year CDs 60 m T-bills 85 m Capital 10 m Mortgages 15m Commercial paper 5m What happens to the value of liability if the interest rate goes down by 1%? O up by 2% down by 2% O down by 1.36% O up by 1.36%

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