Multiple Choice
Which of the following is likely to have a negative effective duration?
A) A high coupon, interest only mortgage-backed security that is pre-paying at a high rate.
B) A low coupon U.S. Treasury bond.
C) Fed Funds purchased.
D) Demand deposits
E) None of the above can have a negative effective duration.
Correct Answer:
Verified
Correct Answer:
Verified
Q20: An investor that matches the duration of
Q21: Which of the following is false regarding
Q22: For a bank that has a positive
Q23: Discuss the differences between assets and liabilities
Q24: Discuss why a bank may have to
Q26: For a bank that has a positive
Q27: Effective duration considers a security's embedded options.
Q28: Use the following bank information for
Q29: Duration gap analysis focuses on changes in
Q30: Banks should never assume any interest rate