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Eastern Bank Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on all

Eastern Bank Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year.

a. What is the duration of the assets?

b. What is the duration of the liabilities?

c. What is the leverage-adjusted duration gap?

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