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Calculate The Duration Of Treasury Notes And Leverage Adjusted Duration Gap

Question

The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year.

Assets

Liabilities

$ 300 million 30-day Treasury bills

$ 1,150 million 14-day repos

$ 550 million 90-day Treasury bills

$ 560 million 1-year commercial paper

$ 700 million 2-year Treasury notes

$   20 million equity

$ 180 million 180-day municipal notes

 


1. What is the duration of the assets?
    a.    0.708 years.
    b.    0.354 years.
    c.    0.350 years.
    d.    0.955 years.
    e.    0.519 years.

2. What is the duration of the liabilities?
    a.    0.708 years.
    b.    0.354 years.
    c.    0.350 years.
    d.    0.955 years.
    e.    0.519 years.

3. What is the leverage-adjusted duration gap?
    a.    0.605 years.
    b.    0.956 years.
    c.    0.360 years.
    d.    0.436 years.
    e.    0.189 years.

Summary

These short questions belong to Finance and the questions deal with assets comprising of treasury notes and liabilities of an FI. The duration of the assets and liabilities and the leverage adjusted duration gap need to be calculated.

Total Word Count 107

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