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Question
A bank has an average asset duration of 5 years and an average liability duration of 9 years. This bank has total assets of $1,000 million and total liabilities of $850 million. Currently, market interest rates are 5 percent. What will be this bank's leverage-adjusted duration gap?
A. -4 years
B. 4 years
C. 2.65 years
D. -2.65 years
E. 3.65 years
Answer
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