How Can a Negative Duration Gap of 0

question 30

Multiple Choice

How can a negative duration gap of 0.21 years be interpreted?

• A)The FI is exposed to decreasing interest rates because it has a negative duration gap of 0.21 years.
• B)The FI is exposed to increasing interest rates because it has a negative duration gap of 0.21 years.
• C)The FI is not exposed to interest rate changes since it is running a matched book.
• D)The FI's exposure will depend on its maturity gap.

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