What will be this bank leverage-adjusted duration gap

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Reference no: EM132057424

1. A bank has an average asset duration of 5 years and an average liability duration of 9 years. This bank has total assets of $1,000 million and total liabilities of $850 million. Currently, market interest rates are 5 percent. What will be this bank's leverage-adjusted duration gap?

A. -4 years

B. 4 years

C. 2.65 years

D. -2.65 years

E. 3.65 years

2. An investor purchases one September T-bond futures contract at 115-110. The settlement price for the contract on next day is 117-225. What is the marked-to-market gain/loss for the investor?

A. $2,359

B. -$2,359

C. $236

D. -$2,115

E. $2,115

Reference no: EM132057424

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