Duration Amount T-bills 0.5 $ 500 T-notes 0.8 $ 50 T-bonds 4.5 $ 200 Loans 7 $3,000 Deposits 1 $2,750 Federal funds 0.01 $250 Equity $75 If the entire yield curve shifted upward 0.25 percent (i.e., AR/(1+R) = 0.0025), what is the change in the FI's market value of equity? Hint: The duration of a portfolio of assets or liabilities is the market value weighted average of the durations of the component of the portfolio. DGAP = DA-KDL where k = L/A = Measure of the FI's leverage (i.e. the amount of borrowed funds or liabilities rather than owner's equity used to fund its asset portfolio.) AMVE =- Leverage adjusted duration gap x Asset Size x Interest Rate Shock In other words, AMVE = -DGAP* (A) * AR/(1+R) O -174.94 0-97.19 0 -29.16 0 -145.78 O-48.59