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What is the duration of the floating rate mortgages? 0.25 years 10 years 2 years 0.5 years There is not enough information to answer the

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  1. What is the duration of the floating rate mortgages?
    1. 0.25 years
    1. 10 years
    2. 2 years
    3. 0.5 years
    4. There is not enough information to answer the question.
Bank of Baruch Assets: 91 day US Treasury bill 2 vear commercial loans million Liabilities: 1 year Certificates of Deposit 5 year Bonds $150m 75m $825n 70n Fixed rate, 9% pa. annually 10 year corporate loans-iloating rate: LIBOR+50bp, semiannual roll date Overnight Fed Funds 91-day Commercial Paper Equity 100n 270r 65n 505m 1o 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 4.2 years. The 1 year Certificates of Deposit pay 2.75% pa. annually. All values are market values

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