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 Fed. funds 0.01 238 Equity 715 What is the average duration of all the assets? What is the average duration of all the liabilities? What is the FI’s leverage-adjusted duration gap? What is the FI’s interest rate risk exposure? 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? 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?
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
Fed. funds 0.01 238
Equity 715
What is the average duration of all the assets?
What is the average duration of all the liabilities?
What is the FI’s leverage-adjusted duration gap? What is the FI’s interest rate risk exposure?
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?
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?
Trending now
This is a popular solution!
Step by step
Solved in 6 steps
