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26. The following balance sheet information is available (amounts in $ thousands and duration in...

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Accounting

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26. The following balance sheet information is available (amounts in $ thousands and duration in years) for a financial institution Treasury bonds are 5-year maturities paying 6 percent semi-annually and selling at par. a. What is the duration of the T-bond portfolio? b. What is the average duration of all the assets? c. What is the average duration of all the liabilities? d. What is the leverage-adjusted duration gap? What is the interest rate risk exposure? e. If the entire yield curve shifted upward by 50 basis points [i.e., R/(1+R)= 0.0050], what would be the impact on the FI's market value of equity? f. If the entire yield curve shifted downward by 25 basis points [i.e., R/(1+R)= 0.0025], what would be the impact on the FI's market value of equity? g. What variables are available to the financial institution to immunize the balance sheet? How much would each variable need to change to get DGAP equal to 0

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