6). Consider the following information (10 points)

Assets	Amount	Duration
Loans	$3,500 mil.	1.5 years
Treasuries	$1,500 mil.	4.0 years
Liabilities
Time deposits	$1,260 mil.	2.0 years
CDS	$3,240 mil.	3.0 years

a. what is the average duration of assets?

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b. what is the average duration of liabilities?

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c. Calculate the leverage adjusted duration gap and state the FIs interest rate risk

exposure (i.e. whether the FIs value will be negatively affected by an interest

rate increase or a decrease)

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d. If all interest rates increase such that (DR/1+R) is 1.2%, calculate the

change in the market value of equity.

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