The effective duration of the pool was reported by the state auditor as 7.4 years in December 1994.

1. This high duration is the result of two factors:
2. The average duration of individual securities of 2.74 years
3. The leverage of the portfolio, which was 2.7 at the time.
4. In 1994, interest rates went up by about 3%.
5. The loss predicted by the duration approximation stands at $1.6 billion.