A Bank Has an Average Asset Duration of 1

question 70

Multiple Choice

A bank has an average asset duration of 1.15 years and an average liability duration of 2.70 years.This bank has $250 million in total assets and $225 million in total liabilities.This bank's leverage-adjusted duration gap is a:

• A)negative gap of 1.55 years.
• B)positive gap of 1.28 years.
• C)negative gap of 3.85 years.
• D)negative gap of 1.28 years.
• E)None of the options is correct.

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