12. What is the convexity of the 2 year commercial loans assuming they are selling at par and have annual coupon payments?

a. 5.67

b. 22.68

c. 3.85

d. 1.95

e. 2.0

the correct answer is A but I have no idea how to do it

Bank of Baruch ion Assets: 91 day US Treasury bill 2 year commercial loans $150m 75m Liabilities 1 year Certificates of Deposit 5 year Bonds $825n 70n Fixed rate, 9% pa. annually 10 year corporate loans-floating rate Overnight Fed Funds 91-day Commercial Paper Equity 100n 270r 65n LIBOR+50bp, semiannual roll date 505m 10 year floating rate mortgages quarterly roll dates 600m Notes: Commercial paper is a pure discount instrument. The 5 year bonds pay 8.5% p.a. semiannually with a yield of 7.5% pa. and have a duration of 42 years. The 1 year Certificates of Deposit pay 2.75% pa. annually. All values are market values