An FI wants to evaluate the credit risk of a $10 million loan with a maturity of 6 years and a duration of 5.5 years to a AA borrower. There ar currently 100 publicly traded bonds in that class (i.e., bonds issued by firms with a AAA rating). The current average level of rates ( R ) on AAA bonds is 8 percent. The largest increase in credit risk premiums on AAA loans, the 99 percent worst-case scenario, over the last year was equal to 1.2 percent. The projected (one-year) spread on the loan is 0.4 percent and the FI charges 0.3 percent of the face value of the loan in fees. The FI's return of equity (ROE) is 12 percent. If the FI uses the RAROC model to evaluate the loan, it finds out that it should not approve the loan to the borrower. Assuming that the FI can only change the duration of the loan in order for this loan to be approved, the new duration of the loan is A. 5.50 years B. 5.25 years C. 5.00 years D. 5.8 years E. 5.75 years An FI wants to evaluate the credit risk of a $10 million loan with a maturity of 6 years and a duration of 5.5 years to a AA borrower. There ar currently 100 publicly traded bonds in that class (i.e., bonds issued by firms with a AAA rating). The current average level of rates ( R ) on AAA bonds is 8 percent. The largest increase in credit risk premiums on AAA loans, the 99 percent worst-case scenario, over the last year was equal to 1.2 percent. The projected (one-year) spread on the loan is 0.4 percent and the FI charges 0.3 percent of the face value of the loan in fees. The FI's return of equity (ROE) is 12 percent. If the FI uses the RAROC model to evaluate the loan, it finds out that it should not approve the loan to the borrower. Assuming that the FI can only change the duration of the loan in order for this loan to be approved, the new duration of the loan is A. 5.50 years B. 5.25 years C. 5.00 years D. 5.8 years E. 5.75 years