The Numbers Provided by Fourth Bank of Duration Are in Thousands

question 116

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 duration of the bank's Treasury portfolio?

• A)1.07 years.
• B)1.00 year.
• C)0.98 years.
• D)0.92 years.
• E)Insufficient information.

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