Bank of Brooks Brothers (BBB) reports $800 assets and $50 equity on its balance sheet. Based on your estimation, the durations of BBB's assets and liabilities are 1.21 years and 0.25 years, respectively. What is BBB's leverage-adjusted duration gap?

	A.	0.885 years
	B.	0.901 years
	C.	0.961 years
	D.	0.976 years

4 points

QUESTION 2

The current price of a corporate bond issued by TMV is $1,030 with annual coupon payments. The YTM on TMV's bond is 8%. Using the duration model, you estimate that when the YTM increases to 8.1%, the price of the bond will go down to $1,020. What is the duration of TMV's bond?

	A.	10.5 years
	B.	9.5 years
	C.	8.5 years
	D.	7.5 years

4 points

QUESTION 3

You work as a risk manager for Fuji Mountain Bank (FMB) which has liabilities of a 2-year, $8 million bank note, currently selling at par, with a 6% semi-annual coupon rate. What is the duration of FMB's liabilities?

	A.	3.83 years
	B.	1.76 years
	C.	1.91 years
	D.	1.69 years