Small Town Bank Has Total Assets with a Market Value

Multiple Choice

Small Town Bank has total assets with a market value of $14.23 million and a duration of 2.64 years.The bank's liabilities equal $12.87 million and its equity is $1.36 million on a market value basis.To hedge interest rate risk,what duration should the bank seek for its liabilities?

A) 2.86 years
B) 2.78 years
C) 2.39 years
D) 2.48 years
E) 2.92 years