Question

What is the Duration Gap for the bank balance sheet shown below?

Assets	Amount	Duration		Liabilities and Equity	Amount	Duration
Cash	80	0.00		Non-interest deposits	150	0.00
Securities	300	4.00		NOW checking	150	1.50
Loans, net	570	5.00		MMDA	300	0.25
Fed funds sold	0			CDs	170	2.00
Non-earning assets	50			Fed Funds purchased	150	0.00
	$1,000			Equity	80
					$1,000

	A.	4.05 years
	B.	3.41 years
	C.	0.70 years
	D.	3.35 years
	E.	5.25 years

Answer 1

Given,

Total assets = $ 1000

Total liabilities = $ 1000 - $ 80 = $ 920

Solution :-

The option 'B' is correct. Duration gap for the bank is 3.41 years.