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8. Eastern Bank Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on
8. Eastern Bank 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 $ 300 million 30-day Treasury bills $ 550 million 90-day Treasury bills $ 700 million 2-year Treasury notes $ 180 million 180-day municipal notes Liabilities $ 1,150 million 14-day repos $ 560 million 1-year commercial paper $ 20 million equity a. What is the duration of the assets? b. What is the duration of the liabilities? c. What is the leverage-adjusted duration gap
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