Question 4

Calculate the leverage adjusted duration gap (DGAP) of a financial intermediary with the following asset and liability portfolio:

$250 million in assets with duration of 4.5 years

$500 million in assets with a duration of 11 years

$350 million in liabilities with duration of 0.75 years

$300 million in liabilities with duration of 3 years

A. 7.283

B. 4.81

C. 11.75

D. 7.045