If XYZ bank has $200 million market value of investment grade bonds with a duration of 9.0 years and has $1,000 million market value of commercial loans with a duration of 5.0 years. This bank has $600 million market value of consumer loans with a duration of 2.0 years, market value of deposits of $1,200 million with a duration of 1.0 year and market value of non-deposit borrowings of $200 million with an average duration of .25 years.

Calculate this bank's duration gap?

This bank has a duration gap of 3.55 years.

This bank has a duration gap of - 14.75 years.

This bank has a duration gap of 15.03 years.

This bank has a duration gap of 5.15 years.

This bank has a duration gap of - 3.75 years.