Why would the swap described here shorten the duration

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Reference no: EM133264480

Question: The following excerpt is taken from an article titled "Denver Investment to Make $800 Million Treasury Move," that appeared in the December 9, 1991, issue of BondWeek, p. 1:

"Denver Investment Advisors will swap $800 million of long zero-coupon Treasuries for intermediate

Treasuries. . . . The move would shorten the duration of its $2.5 billion fixed-income portfolio. . . ."

Why would the swap described here shorten the duration of the portfolio?

Reference no: EM133264480

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