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A bank has 3 0 year fixed rate mortgage loans with an at issue value of $ 6 0 million. The mortgages were originated with

A bank has

30

year fixed rate mortgage loans with an at issue value of $

60

million. The mortgages were originated with a

7 %

coupon and yield rate, but now current mortgage rates are

6 % .

The mortgages are expected to all be prepaid in exactly

11

years. What is the duration of the mortgages?

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