The ABC bank is considering a loan of $100M with duration of 10 years. The loan rate discussed is 12%. There is also a fee of . The bank plans to...

The ABC bank is considering a loan of $100M with duration of 10 years. The loan rate discussed is 12%. There is also a fee of .25%. The bank plans to issue large CDs at 9% to finance the loan. According to bank data records, 500 loans of similar features were made by the bank in previous years which have now matured. The bank has sorted the observed changes in the credit risk premium of these 500 loans. The observations are that: the 5th worst case had a credit risk increase of 5.5%, the 25th worst loan had an increase in credit risk premium of 3.75%, and the 50th worst case had an increase of 1.25%: