An FI Has a Leverage-Adjusted Duration Gap of 1

Multiple Choice

An FI has a leverage-adjusted duration gap of 1.21 years, $60 million in assets, 7 per cent equity to assets ratio, and market rates are 8 per cent. What is the impact on the dealer's market value of equity per $100 of assets if the relative change in all interest rates is an increase of 0.5 per cent [i.e., R/(1+R) = 0.5 per cent]?

A) +$336 111
B) -$0.605
C) -$336 111
D) +$0.605