Balance Sheet (in Million Dollars) and Duration (in years)\ \\\\table[[,Duration,Amount],[T-Bills,0.5,90],[T-notes,0.9,55],[T-Bonds,

x

,176],[Loans,7.0,2,724],[Deposits,1.0,2,092],[Federal funds,0.01,238],[Equity,,715]]\ Notes: Treasury Bonds are five year maturities paying

6%

semi-annually and selling at par.\ Total assets

=90+55+176+2,724=3,045

\ Total liability

=2092+238=2,330

\ a. What is the duration of the Treasury bonds portfolio? That is calculate "

x

" in the above balance sheet.\ b. What is the average duration of the assets?\ c. What is the average duration of the liabilities?\ d. What is the bank's leverage adjusted duration gap? What is the bank interest rate risk exposure?\ e. If the entire yield curve shifted upward by 50 basis points (i.e.,

\\\\Delta (R)/(1+R)=0,0050

), what is the impact on the bank's market value of equity?\ f. If the entire yield curve shifted downward by 25 basis points (i.e.,

\\\\Delta (R)/(1+R)=-0.0025

), what is the impact on the bank's market value of equity

Balance Sheet (in Million Dollars) and Duration (in years) Notes: 1 reasury Bonds are five year maturities paying 6% semi-annually and selling at par. Total assets =90+55+176+2,724=3,045 Total liability =2092+238=2,330 a. What is the duration of the Treasury bonds portfolio? That is calculate " X " in the above balance sheet. b. What is the average duration of the assets? c. What is the average duration of the liabilities? d. What is the bank's leverage adjusted duration gap? What is the bank interest rate risk exposure? e. If the entire yield curve shifted upward by 50 basis points (i.e. R/(1+R)=0.0050 ), what is the impact on the bank's market value of equity? f. If the entire yield curve shifted downward by 25 basis points (i.e., R/(1+R)=0.0025 ), what is the impact on the bank's market value of equity