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The CDO has an expected weighted average life of seven years, and the weighted average interest rate on the $348 million of investment grade securities sold is approximately LIBOR plus 0. Seventy Seven percent of interest rate risk due to leverage is hedged using interest rate swaps and floating rate securities that have a weighted average life of 3. Seventy Six percent of interest rate risk due to leverage is hedged using interest rate swaps and floating rate securities that have a weighted average life of 4. |
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