The two$-$year Treasury notes are zero coupon assets. Interest payments on all other assets and

liabilities occur at maturity. Assume $360$ days in a year.

Assets:

Liabilities:

$$250$ million $28-$day Treasury bills

$$650$ million $7-$day repos

$ $350$ million $181-$day Treasury bills

$700$ million $1-$year commercial paper

$ $500$ million $2-$year Treasury notes

$$50$ million equity

$$300$ million $270-$day municipal notes

What will be the net worth of the financial institution if interest rate increases by $75$ basis points

$($i$.$e$.,0\mathrm{.}75\%)$ when asset yields are at $8\%?$

$$45\mathrm{.}08$

$$44\mathrm{.}74$

$$45\mathrm{.}18$

$$44\mathrm{.}81$

$$49\mathrm{.}31$