Use the following to answer questions 1-15. Bank of Charub ($ million) Assets: 270 day US Treasury bills $500m 2 year consumer loans Fixed rate, 12% p.a. annually $275m 7 year commercial loans Fixed rate, 9% p.a. annually Liabilities and Net Worth: 1 year Certificates of Deposit $550m Demand Deposits $750m 28. $175m $350m Fixed rate, 7.5% p.a. annually Overnight Fed Funds 2 year Bonds $350m 10 year fixed rate mortgages $675m Fixed rate, 6.5% p.a. monthly 10 year floating rate mortgages $125m LIBOR+50bp, monthly roll date Equity $100m Notes: The 1 year Certificates of Deposit pay 1.95% p.a. annually. The demand deposits are non-interest bearing and have a duration of zero. The 7 year commercial loans have a duration of 4.75 years. The fixed rate mortgages have a duration of 8.3 years. All values are market values. his I mon 7. 8. 9. What is the duration of the bank's liabilities? a. 1.05 years b. 4.24 years c. 0.94 years d. 0.49 years e. 3.85 years What is the bank's duration gap? a. -0.49 years b. +4.24 years c. -0.94 years d. -2.81 years e +3.78 years What is the impact on the bank's equity values if interest rates increase 25 basis points? (That is, AR/(1+R) is equal to an increase of 25 basis points.)