Third Duration Investments Has the Following Assets and Liabilities on Its

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.