Calculate the leverage-adjusted duration gap

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Reference no: EM132002207

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. Assets Liabilities & Equity $300 million 30-day Treasury bills $1,150 million 14-day repos $550 million 90-day Treasury bills $560 million 1-year commercial paper $700 million 2-year Treasury notes $20 million equity $180 million 180-day municipal notes 2-1. Calculate the duration of the assets. 2-2 If the duration of the liabilities is 0.354 years, calculate the leverage-adjusted duration gap.

Reference no: EM132002207

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