Use the following balance sheet information to answer this question.

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

$750

If the entire yield curve shifted upward 0.5 percent (i.e., R/(1 + R) = 0.0050), what is the change in the FIs 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 FIs leverage (i.e. the amount of borrowed funds or liabilities rather than owners equity used to fund its asset portfolio.)

MVE = - Leverage adjusted duration gap x Asset Size x Interest Rate Shock

In other words,

MVE = -DGAP * (A) * R/(1 + R)

Group of answer choices

-29.16

-145.78

-97.19

-174.94

-48.59

Use the following balance sheet information to answer this question. 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 $750 If the entire yield curve shifted upward0.5 percent (i.e., AR/(1+R) = 0.0050), 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-KD 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) -29.16 0 -145.78 O -97.19 0 -174.94 O-48.59