What is the institutions leverage-adjusted duration gap

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Question: Use the following market-value balance sheet information to answer the following questions.

What is the institution's leverage-adjusted duration gap?

Now the interest rate is 5%. If next year the interest rate shifts upward 75 basis points (i.e., 0.75%), what is the impact on the FI's market value of equity?

If the bank would like to use the Treasury bond futures to macrohedge its interest rate risk, should the bank buy or sell Treasury bond futures, why?

Suppose that the bank macrohedges using Treasury bond futures that are currently priced at 95. (One Treasury bond futures contract has face value $100,000). Assume the Treasury bond has a duration of 4 years. How many Treasury bond futures contracts would be needed?

Reference no: EM133430279

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