Please, use the following information for questions 21-33:

Suppose there are two ratings categories: A and B, along with default. The ratings-migration probabilities look like this for a B-rated loan:

The yield on A rated loans is 5%; the yield on B rated loans is 10%. All term structures are flat (i.e. forward rates equal spot rates). A loan in default pays off 50%.

You havetwoloans in your portfolio, both are B-rated, 3-year, 10% coupon bonds (paid annually), each with $100 face value. Compute the possible prices of the loans next yearin the rating bucket A(just before the first coupon is paid).