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A bank has assets with a total value of $14.260 billion, $14.170 billion of which are rate sensitive. The market value of the banks liabilities
A bank has assets with a total value of $14.260 billion, $14.170 billion of which are rate sensitive. The market value of the banks liabilities totals $12.333 billion. All liabilities are rate sensitive. The average duration of the banks assets and liabilities are 5.240 years and 2.936 years, respectively.
What is the banks leverage adjusted duration gap?
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