Assume that an investor is holding the following bond portfolio:

If you assume annual coupon payments and no accrued interest,

a. What is the modified duration of the portfolio?

b. Which bond has the highest money duration?

Bond Time-To- Maturity Coupon Rate Yield-To- Maturity Modified Duration Price Per $100 of Par Value 85.00 80.00 85.78 A B 6 years 10 years 9 years 2.00% 2.40% 3.00% 4.95% 4.99% 5.00% 5.42 8.54 7.54 Bond Time-To- Maturity Coupon Rate Yield-To- Maturity Modified Duration Price Per $100 of Par Value 85.00 80.00 85.78 A B 6 years 10 years 9 years 2.00% 2.40% 3.00% 4.95% 4.99% 5.00% 5.42 8.54 7.54