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Assets (market values) Liabilities (market values) $150 million 30 day TB $575 million 14 day repos $275 million 91 day TB $290 million 1 year

Assets (market values) Liabilities (market values)

$150 million 30 day TB $575 million 14 day repos

$275 million 91 day TB $290 million 1 year commercial paper

$350 million 2 year Treasury notes

$90 million 180 day municipal notes

a.Calculate the dealers maturity gap. Assume 360 days in a year.

b.How can the dealer reduce the interest rate exposure of its portfolio? Be specific.

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