I need help with this finance problem. any assistance would be great

E 3B 'H L'Einll 41% I 7:23 PM 0 https://e|earn.memphis.edu; V FIR 4720/6720 Management oi Financial Institutions 21 October 2018 Quiz 9 Name: (20 Points) Angus Bank has assets of $1 million invested in a 30-year, 3.25 percent semiannual coupon Treasury bond selling at par. The assets are financed with equity and a $900,000, two-year, 2.25 percent semiannual coupon capital note selling at par. a. What is the duration of this Treasury Bond (please attach an Excel spreadsheet for your calculation of duration). b. What is the duration of the capital note? "halo-year Capital Note (values in thousands of $5) Par value = $900 Coupon rate = 2.25% Semiannual payments R = 2.25% Maturity = 2 years 4 EL DF CF. 1: DF1 CF, x DF, x t 0.5 11.250 1 11.250 1.5 11.250 2 911.250 Duration = 3 $900.00 = years c. What is the leverage adjusted duration gap of Angus Bank? The leverage-adjusted duration gap can be found as follows: Leverage-adjusted duration gap: [DA D k]=DA DL($900,0001'$1,DOO,000)= d. What is the impact on equity value if the relative change in all market interest rates is a increase of 50 basis points? Note: The relative change in interest rates is DR/(1+Rl2) = 0.0050. The change in net worth using leverage adjusted duration gap is given by: AE=r[DA -D._ k] A (AR/(1+Rf2) What would the duration of the assets need to be to immunize the equity from ,L,,;,, ,7 724,22 27.2224 "2.2:. 1137-, a,,,,,,,s,u 1L, 22,42" L,, ,L,, 4,, t, What would the duration of the assets need to be to immunize the equity from changes in market interest rates? Hint: Immunizing the equity from changes in interest rates requires that the DGAP be 0. Thus, AE=D=-[D,.. -D._ k]=0 I] D,\\ = DLk, or DA =