Challenge Bank is a regional Bank based in Queensland. Which of the following statements is

FALSE in relation to its interest rate risk of the bank?

Select one:

a$.$ The bank has made a significant investment in a zero$-$coupon bond. The

duration of this investment does not depend on the market interest rate.

b$.$ An increase in the spread between the asset rate and the liability rate leads

to an increase in the net interest income.

c$.$ In the first repricing bucket, the GAP is always equal to the CGAP.

d$.$ If the bank has only positive CGAPs and a zero CGAP in the last maturity

bucket, it indicates that the liabilities reprice earlier than the assets on

average.

e$.$