A Bank with Total Assets of $271 Million and Equity

Multiple Choice

A bank with total assets of $271 million and equity of $31 million has a leverage adjusted duration gap of +0.21 years.One-year maturity notes are currently priced at par and are paying 4.5 percent annually.Two-year maturity notes are currently priced at par and are paying 5 percent annually.The terms of a swap of $100 million notional value of liabilities' payments are 4.95 percent annual fixed payments in exchange for floating rate payments tied to the annual discount yield. What is the forward one-year discount yield expected next year?

A) 5.013 percent.
B) 5.530 percent.
C) 4.500 percent.
D) 5.000 percent.
E) 4.950 percent.