Abankhastwo,3-yearcommercialloanswithapresentvalueof$70million.Thefirstisa$30millionloanthatrequiresasinglepaymentof$37.8millionin3years,withnootherpaymentsuntilthen.Thesecondisfor$40million.Itrequiresanannualinterestpaymentof$3.6million.Theprincipalof$40millionisduein3years,thegenerallevelofinterestratesis8%.
a.Whatisthedurationofthebank’scommercialloanportfolio?
b.Whatwillhappentothevalueofitsportfolioifthegenerallevelofinterestratesincreasedfrom8%to8.5%?
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