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11. You are the CFO of a savings & loans institution (a traditional bank). The duration of your deposits is 3.5 years. Your task is

11. You are the CFO of a savings & loans institution (a traditional bank). The duration of your deposits is 3.5 years. Your task is to decide on an optimal portfolio of short term and long term loans that will immunize your interest rate risk. More precisely, what fraction of your loan portfolio will be 30-year mortgages and what fraction should be 1-year trade credit? Assume that there are no payments due on either type of loan until they come due. 11. You are the CFO of a savings & loans institution (a traditional bank). The duration of your deposits is 3.5 years. Your task is to decide on an optimal portfolio of short term and long term loans that will immunize your interest rate risk. More precisely, what fraction of your loan portfolio will be 30-year mortgages and what fraction should be 1-year trade credit? Assume that there are no payments due on either type of loan until they come due

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