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Question
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. Time deposits have a 1-year duration and the Fed funds 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.
Answer
This answer is hidden. It contains 60 characters.
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