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Question
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.
Use the duration model to approximate the change in the market value (per $100 face value) of two-year loans if interest rates increase by 100 basis points.
A. -$1.756
B. -$1.775
C. +$98.24
D. -$1.000
E. +$1.924
Answer
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