87. The following information is about current spot rates for Second Duration Savings' assets (loans) and liabilities (CDs). All interest rates are fixed and paid annually. Assets Liabilities 1-year loan rate: 7.50 percent 1-year CD rate: 6.50 percent 2-year loan rate: 8.15 percent 2-year CD rate: 6.65 percent What is the duration of the two-year loan (per $100 face value) if it is selling at par? A. 2.00 years B. 1.92 years C. 1.96 years D. 1.00 year E. 0.91 years 100 8.15 + 100 D = Ez, PV- x t (1.0815)1 X 1] + (10815): X 2] 100 = 1.92