An FI Has Financial Assets of $800 and Equity of $50.If

question 128

Multiple Choice

An FI has financial assets of $800 and equity of $50.If the duration of assets is 1.21 years and the duration of all liabilities is 0.25 years, what is the leverage-adjusted duration gap?

• A)0.9000 years.
• B)0.9600 years.
• C)0.9756 years.
• D)0.8844 years.
• E)Cannot be determined. Leverage-adjusted duration gap
• \[- \left[ D _ { A } - D _ { L } k \right] = - \left[ 1.21 - 0.25 \times \left( \frac { 800 - 50 } { 800 } \right) \right] = - [ 1.21 - 0.234375 ] = - 0.9756\]

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