10. You are the manager of a portfolio consisting of three bonds in equal par amounts of $1 million each. Panel A of the table below shows the market value of the bonds and their durations. (The price includes accrued interest) Panel B of the table contains the market value of the bonds and their durations one year later. Security Price Market Value Duration Dollar Duration Panel A: Initial values Bond 1 107.8 1078000 5.7 ? Bond 2 101.0 1010000 4.2 ? Bond 3 98.5 985000 6.1 ? Panel B: after 1 year Bond 1 105.6 1056000 5.1 ? Bond 2 99.5 995000 3.4 ? Bond 3 98.2 982000 5.4 ? As manager, you would like to maintain the portfolio's dollar duration at the initial level by rebalancing the portfolio. You choose to rebalance using the existing security proportions of one-third each. Calculate: a. The dollar durations of each of the bonds. b. The rebalancing ratio necessary for the rebalancing. c. The cash required for the rebalancing.

4 ll}. You are the manager ni'a purtfulie eeneieting nfthree bends in equal par ameunte of $1 million eaeh. Panel A of the table helnw shows the market value ef the hands and their duratiune. {The price ineludee accrued interest] Panel B hf the table euntaina the market valuenfiehnndeandtheirduratiunanneyearlater. Market Dullar Seeuritg Priee 1|nu'alue Duratien Duration Panel A: Initial Velma Band 1 13?.3 1373393 5.? 1' Renal 131.0 1313-3123] 4.2 ".1 Bend 3 93.5 935 309 6.1 1' Panel B: after 1 year Bend 1 135.15 135154193 5.1 ".1 Bend 2 99.5 995 ma 3.4 ".1 Band 3 93.2 932303 5.4 1' As manager, yarn would like to maintain the partfulin'a dollar duration at the initial level by rehalaneing the portfolin. Yen aha-use tn rehalanee using the existing Scul'ity proportions hf tine-third eaeh. Calculate: a. The dollar dinatinna nf eaeh nf the hands. 1:. The rehalaneing ratio necessary for the rehalaneing. e. The eaeh required for the rehalaneing