What is the duration of five-year par value zero-coupon bond

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Reference no: EM132044418

1. Consider a security with a face value of $100 000, which is to be repaid at maturity. The security pays an annual coupon of 8% and has a maturity of three years. The current discount rate is 10%. What is the security's duration (round to two decimals)?

a. 2.78 years

b. 3 years

c. 0.36 years

d. 1.94 years

2. What is the duration of a five-year par value zero-coupon bond yielding 10% annually?

a. 0.50 years

b. 2 years

c. 4.40 years

d. 5 years

3. An FI has financial assets of $800 and equity of $50. If the duration of assets is 1.21 years and the duration of all liabilities is 0.25 years, what is the leverage-adjusted duration gap?

a. 0.9000 years

b. 0.9600 years

c. 0.9756 years

d. 0.8844 years

Reference no: EM132044418

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