Suppose that the change in a portfolio value for a one-basis-point shift in the 1-, 2-, 3-, 4-, 5-, 7-, 10-, and 30-year rates are (in $ million) +5, –3, –1, +2, +5,

+7, +8, and +1, respectively. Estimate the delta of the portfolio with respect to the first three factors in Table 8.7. Quantify the relative importance of the three factors for this portfolio.

AppendixLO1