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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Definitions:

Demand Characteristics

Cues in an experiment that suggest to participants what the researcher expects to find or how participants are expected to behave.

Statistical Significance

A statistical assessment that indicates whether the observed differences or relationships between datasets are likely to be real or if they occurred by chance.

Demand Characteristics

Cues in an experiment that might inform participants of the purpose of the study or what behaviors are expected from them, potentially influencing the authenticity of their responses.

Random Assignment

A method used to place participants into groups in such a way that each participant has an equal chance of being assigned to any group.