An overnight repurchase agreement, of course, has a duration of 0. Suppose a portfolio contains 5 of T and 500 in a repurchase agreement. What is its modified duration?

T o Ni TI two-year note five-year note seven-year note zero-coupon bond perpetuity money market instrument M bond T F S z P M maturity, yrs 2 5 7 5 oo 3 months price 100 99.5 99 duration 1.9 4.0 5.7 yield, % 2.5 3 3.3 3.1 3.9 2 All securities above have face value 100. The durations above are not Modified. T o Ni TI two-year note five-year note seven-year note zero-coupon bond perpetuity money market instrument M bond T F S z P M maturity, yrs 2 5 7 5 oo 3 months price 100 99.5 99 duration 1.9 4.0 5.7 yield, % 2.5 3 3.3 3.1 3.9 2 All securities above have face value 100. The durations above are not Modified