The Numbers Provided by Fourth Bank of Duration Are in Thousands

question 52

Multiple Choice

The numbers provided by Fourth Bank of Duration are in thousands of dollars. Notes: All Treasury bills have six months until maturity. One-year Treasury notes are priced at par and have a coupon of 7 percent paid semiannually. Treasury bonds have an average duration of 4.5 years and the loan portfolio has a duration of 7 years. Term deposits have a 1-year duration and the Interbank deposits duration is 0.003 years. Fourth Bank of Duration assigns a duration of zero (0) to demand deposits. What is the bank's leverage adjusted duration gap?

• A)6.73 years
• B)0.29 years
• C)6.44 years
• D)6.51 years
• E)0 years.

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