The Duration of a Soon to Be Approved Loan of $10

Multiple Choice

The duration of a soon to be approved loan of $10 million is four years.The 99^th percentile increase in risk premium for bonds belonging to the same risk category of the loan has been estimated to be 5.5 percent. If the minimum RAROC acceptable to the bank is 8 percent, what should be its expected percentage fee income in order for it to approve the loan?

A) .157 percent.
B) .331 percent.
C) .471 percent.
D) .531 percent.
E) .571 percent.