1) Utilize the balance sheet information given below to answer problem:
Balance Sheet ($ thousands) and Duration (in years)
T-bills 0.5 90
T-notes 0.9 55
T-bonds 4.393 176
Loans 7 2724
Deposits 1 2092
Federal Funds 0.01 238
i) Find out the average duration of all assets?
ii) Determine the average duration of all liabilities?
iii) Compute the FI’s leverage-adjusted duration gap? Find the FI’s interest rate risk exposure?
iv) If whole yield curve shifted upward 0.5 percent (i.e., ΔR/(1 + R) = .0050), find out the impact on the FI’s market value of equity?
v) If whole yield curve shifted downward 0.25 percent (i.e., ΔR/(1 + R) = −.0025), find out the impact on the FI’s market value of equity?