The Following Is an FI's Balance Sheet ($Millions)

Multiple Choice

The following is an FI's balance sheet ($millions) . Notes to Balance Sheet: Munis are 2-year 6 percent annual coupon municipal notes selling at par. Loans are floating rates, repriced quarterly. Spot discount yields for 91-day Treasury bills are 3.75 percent. GICs are 1-year pure discount certificates of deposit paying 4.75 percent.
What is the duration of the municipal notes (the value of x) ?

A) 1.94 years.
B) 2.00 years.
C) 1.00 years.
D) 1.81 years.
E) 0.97 years.