1. If Montes is expecting a 50 bp increase in yields at all points along the yield curve, which of the following trades is he most likely to execute to minimize his risk?

A. Sell $35 million of P2 and reinvest the proceeds in three-year bonds B. Sell $15 million of P2 and reinvest the proceeds in three-year bonds C. Reduce the duration of P2 to 10 years and reduce the duration of P1 to 3 years