If XYZ bank has $200 million market value of investment grade bonds with a duration of 9.0
Question:
If XYZ bank has $200 million market value of investment grade bonds with a duration of 9.0 years and has $1,000 million market value of commercial loans with a duration of 5.0 years. This bank has $600 million market value of consumer loans with a duration of 2.0 years, market value of deposits of $1,200 million with a duration of 1.0 year and market value of non-deposit borrowings of $200 million with an average duration of .25 years.
Calculate this bank\'s duration gap?
This bank has a duration gap of 5.15 years.
This bank has a duration gap of 15.03 years.
This bank has a duration gap of - 3.75 years.
This bank has a duration gap of 3.55 years.
This bank has a duration gap of - 14.75 years.
Financial Markets and Institutions
ISBN: 978-0077861667
6th edition
Authors: Anthony Saunders , Marcia Cornett