You are managing CitiBank's interest rate exposure to the anticipated increased in interest rates by the Federal Reserve. CitiBank has the following capital structure 75% deposits (zero duration), 15% 15-year zero-coupon bonds and 10% equity. The value of all the companies capital structure is $1.75 trillion. This is also the sum of the company's assets (Remember that Assets = Liabilities + Share Holder's Equity). The following table shows the value of the company's assets as a percent of this total value along with their duration. Asset Duration % of Asset Portfolio US Mortgages 18 60% Other Loans 4 25% US Government Debt 1 15% Assume that the yield curve is flat at 1%. a. What is the duration of the portfolio of assets? b. What is your estimate in the change in the dollar value of the portfolio of these assets if interest rates at all maturities rise by 1%? c. What happens to CitiBank's equity value in dollars if interest rates across all maturities rise by 1%? (Hint: Assets = Liabilities + Share Holder's Equity.) You are managing CitiBank's interest rate exposure to the anticipated increased in interest rates by the Federal Reserve. CitiBank has the following capital structure 75% deposits (zero duration), 15% 15-year zero-coupon bonds and 10% equity. The value of all the companies capital structure is $1.75 trillion. This is also the sum of the company's assets (Remember that Assets = Liabilities + Share Holder's Equity). The following table shows the value of the company's assets as a percent of this total value along with their duration. Asset Duration % of Asset Portfolio US Mortgages 18 60% Other Loans 4 25% US Government Debt 1 15% Assume that the yield curve is flat at 1%. a. What is the duration of the portfolio of assets? b. What is your estimate in the change in the dollar value of the portfolio of these assets if interest rates at all maturities rise by 1%? c. What happens to CitiBank's equity value in dollars if interest rates across all maturities rise by 1%? (Hint: Assets = Liabilities + Share Holder's Equity.)