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Question
A bank has an average duration for its asset portfolio of 5.5 years. The bank has total assets of $1,000 million and total liabilities of $750 million. If this bank's leverage-adjusted duration gap is zero, what must be the duration of its liabilities portfolio?
A. 7.33 years
B. 4.125 years
C. 7.5 years
D. 5.5 years
E. None of the options is correct.
Answer
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