Duration Bank has the following assets and liabilities as of year-end. All assets and liabilities are currently priced at par and pay interest annually.
-What is the FI's maturity gap?
A)-2.03 years.
B)-2.50 years.
C)-1.07 years.
D)-0.70 years.

Question

Duration Bank has the following assets and liabilities as of year-end. All assets and liabilities are currently priced at par and pay interest annually. 
-What is the FI's maturity gap?
A)-2.03 years. 
B)-2.50 years. 
C)-1.07 years. 
D)-0.70 years.

Quizplus · Accepted Answer

MGAP = M_A - M_L = 2.6 - 3.67 = -1.07 years.

Duration Bank Has the Following Assets and Liabilities as of Year-End