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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 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.
a. Find weighted average duration for all assets and liabilities
b. Find weighted average duration of liabilities
c. Find leverage-adjusted duration gap
Answer
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