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Question
Third Duration Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year.
What is the leverage-adjusted duration gap?
A. 0.605 years.
B. 0.956 years.
C. 0.360 years.
D. 0.436 years.
E. 0.189 years.
Answer
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