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3 pts You add to your portfolio a AAA rated corporate bond, and you hedge 100% of the duration risk by selling 10yr futures contracts.

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3 pts You add to your portfolio a AAA rated corporate bond, and you hedge 100% of the duration risk by selling 10yr futures contracts. a.) The net effect of these two trades is to leave your portfolio long [Select] risk. b.) Assuming a parallel shift higher in the risk free curve (i.e. the general level of interest rates), you would expect this trade to Select) c.) Assuming AAA credit spread tighten, you would expect this trade to [ Select) 4 You add to your portfolio a AAA rated corporate bond, and you hedge 100% of the duration risk by selling 10yr futures contracts. a. The net effect of these two trades is to leave your portfolio long [Select ] interest rate prepayment credit spread gher in the risk free curve (i.e. the general level of interest rates), you would expect this trade to Select] risk. c.) Assuming AAA credit spread tighten, you would expect this trade to [ Select + You add to your portfolio a AAA rated corporate bond, and you hedge 100% of the duration risk by selling 10yr futures contracts. a.) The net effect of these two trades is to leave your portfolio long [Select] e risk. b.) Assuming a parallel shift higher in the risk free curvedie, the general level of interest [Select rates), you would expect this tradet lose money make money c.) Assuming AAA credit spread tigh break even to [ [ Select) dill you neage 100% of the duration risk by selling 10yr futures contracts. a.) The net effect of these two trades is to leave your portfolio long [ Select) risk. b.) Assuming a parallel shift higher in the risk free curve (i.e. the general level of interest rates), you would expect this trade to Select] c) Assuming AAA credit spread tighten, you would expect this trade to [Select ] lose money make money break even

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