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?

A) 5.13 years.

B) 0.63 years.

C) 1.91 years.

D) 1.99 years.

E) 1.0 year.