A 10-year annual coupon bond is currently selling for its par value of $1,000 with an annual yield of 5%. If the bond is callable at par, what is the effective duration of the bond, if the interest rates change by 1%? The price of the bond at a 6% interest rate equals $926.40. 3.68 years What is the bank's duration gap? Market Value Duration (Years) Assets Rate Rate Liabilities Duration and Market (Years) Equity Value Time Deposits S 500 2.50 CDS S 400 5.00 Equity 100 1,000 4% 6% 1.25 3.00 Cash Loans T-Bonds Total S 150 S 675 S 175 $1,000 10% 5% olu 0.73