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Use the following balance sheet information to answer this question. Balance Sheet (dollars in thousands) and...

Use the following balance sheet information to answer this question.
Balance Sheet (dollars in thousands) and Duration (in years)
Duration Amount
T-bills 0.5 90
T-notes 0.9 55
T-bonds 4.393 176
Loans 7 2,724
Deposits 1 2,092
Federal funds 0.01    238
Equity 715
A )What is the average duration of all the assets?
B )What is the average duration of all the liabilities?
C )What is the FI’s leverage-adjusted duration gap? What is the FI’s interest rate risk exposure?
D )If the entire yield curve shifted upward 0.5 percent (i.e., ΔR/(1 + R) = 0.0050), what is the impact on the FI’s market value of equity?
E) If the entire yield curve shifted downward 0.25 percent (i.e., ΔR/(1 + R) = −0.0025), what is the impact on the FI’s market value of equity?

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jeff jeffy answered 1 year ago
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