Allright Insurance has total assets of $140 million consisting of $50 million in 2-year,6 percent Treasury notes and $90 million in 10-year,7.2 percent fixed-rate Baa bonds.These assets are funded by $100 million 5-year,5 percent fixed rate GICs and equity.

The duration of the T-notes,Baa bonds,and GICs is 1.93 years,6.9 years,and 4.5 years respectively.What is the leverage-adjusted duration gap for Allright?

Question

Allright Insurance has total assets of $140 million consisting of $50 million in 2-year,6 percent Treasury notes and $90 million in 10-year,7.2 percent fixed-rate Baa bonds.These assets are funded by $100 million 5-year,5 percent fixed rate GICs and equity.

The duration of the T-notes,Baa bonds,and GICs is 1.93 years,6.9 years,and 4.5 years respectively.What is the leverage-adjusted duration gap for Allright?

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The Answer of Allright Insurance has total assets of $140 million consisting of $50 million in 2-year,6 percent Treasury notes and $90 million in 10-year,7.2 percent fixed-rate Baa bonds.These assets are funded by $100 million 5-year,5 percent fixed rate GICs and equity.

The duration of the T-notes,Baa bonds,and GICs is 1.93 years,6.9 years,and 4.5 years respectively.What is the leverage-adjusted duration gap for Allright?

Allright Insurance Has Total Assets of $140 Million Consisting of $50