A bank only asset is a peculiar 3-year, 6% $100 million bond where payments are paid at the end of year 2 and 3. The Term structure is flat with all yields equal to 6%. The banks liability includes 1 year debt that promises to pay out $84.8 after a year, implying that the debt value today is 84.8/1.06 = $80. The leverage-adjusted duration gap is, which of the following?

a) in exactly 2 years

b) in slightly more than 1 year but less than 1.23 years

c) in a bit more than 2 years but less than 3 years

d) in exactly 3 years

e) is approximately zero