The Numbers Provided by Fourth Bank of Duration Are in Thousands

Multiple Choice

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. Term deposits have a 1-year duration and the Interbank deposits 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.