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10. The following balance sheet information is available (amounts in thousands of dollars and duration in years) for a financial institution Amount ($Mil) Duration (Years)

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10. The following balance sheet information is available (amounts in thousands of dollars and duration in years) for a financial institution Amount ($Mil) Duration (Years) Assets T-bills 100 0.5 T-notes 150 6 T-bonds 300 12 Loans 100 6 Liabilities Deposits 300 Fed funds 200 0.5 Subordinated debt 350 a) What is the average duration of all the assets? (2 points) b) What is the average duration of all the liabilities? (2 points) c) What is the leverage adjusted duration gap? (2 points) d) What is the forecasted impact on the market value of equity caused by a relative upward shift in the entire yield curve of 0.6 percent [i.e., AR/(1+R) = 0.0060]? (2 points)

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