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What is the average duration of all the assets

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The following balance sheet information is available (amounts in thousands of dollars and duration in years) for a financial institution:

Amount Duration

T-bills $100 0.50

T-notes 150 2.90

T-bonds 750 3.60

Loans 3,000 7.00

Deposits 2,092 1.00

Federal funds 238 0.01

Equity 715

a. What is the average duration of all the assets?

b. What is the average duration of all the liabilities?

c. What is the leverage adjusted duration gap?

d. What is the forecasted impact on the market value of equity caused by a relative upward shift in the entire yield curve of 0.5 percent [i.e., R/(1+R) = 0.0050]?

e. How much would duration of assets need to change to get leverage adjusted duration gap (DGAP) equal to 0?

Reference no: EM133073317

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