Third Duration Investments Has the Following Assets and Liabilities on Its

question 9

Multiple Choice

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.

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