Question: 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

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 FIs leverage-adjusted duration gap? What is the FIs interest rate risk exposure?
D )If the entire yield curve shifted upward 0.5 percent (i.e., R/(1 + R) = 0.0050), what is the impact on the FIs market value of equity?
E) If the entire yield curve shifted downward 0.25 percent (i.e., R/(1 + R) = 0.0025), what is the impact on the FIs market value of equity?

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