10% leverage equals $4,500,000 in equity and $500,000 of debt.
The duration of the repo is very close to zero.
The duration of the portfolio is calculated as follows:
DE = (DiI - DBB)/E
DE = [(3.1)( 5,000,000) - (0)(500,000)] / 4,500,000 = 3.44
Where:
DE = Duration of equity invested
Di = Duration of invested assets
DB = Duration of borrowed funds
I = amount of invested funds
B = amount of borrowed funds
E = amount of equity invested
