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:

$ $300$ million $30-$day Treasury bills

$$550$ million $90-$day Treasury bills

$ $700$ million $2-$year Treasury notes

$$180$ million $180-$day municipal notes

a$.$ What is the duration of the assets? $(4$ points$)$

b$.$ What is the duration of the liabilities? $(4$ points$)$

c$.$ What is the leverage$-$adjusted duration gap? $(3$ 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 $0\mathrm{.}85$ percent $($i$.$e$.,\frac{\text{T}\text{r}\text{i}\text{s}\text{n}\text{g}\text{l}\text{e}\text{R}}{1+R}=0\mathrm{.}85\%?(3$ points$)$

$($show your work$)$

Liabilities:

$ $1,150$ million $14-$day repos

$$560$ million $1-$year commercial paper

$$20$ million equity