3 years 3. An investment fund contains the following 3 fixed-rate government bonds: Bond A Bond B Bond C Par value $20,000,0 $20,000,000 $40,000,000 00 Coupon rate 7.0% 9.0% 6.0% Time-to- 5 years 7 years maturity Yield-to 7.21% 7.45% 7.71% maturity Market value 19,888,48 21,274,578 36,352,583 (USD) 5 Macaulay 2.757 4.165 5.748 duration Each bond is on a coupon date so that there is no accrued interest. The market values are the full prices given the par value. Coupons on all 3 bonds are paid semiannually. The yields-to-maturity are stated on a semiannual bond basis. The Macaulay durations are annualized. a) Calculate the portfolio's (annual) modified duration using shares of market values as weights. b) Estimate the percentage loss in the portfolio's market value if the annual) yield-to-maturity on each bond goes up by 30 bps. 3 years 3. An investment fund contains the following 3 fixed-rate government bonds: Bond A Bond B Bond C Par value $20,000,0 $20,000,000 $40,000,000 00 Coupon rate 7.0% 9.0% 6.0% Time-to- 5 years 7 years maturity Yield-to 7.21% 7.45% 7.71% maturity Market value 19,888,48 21,274,578 36,352,583 (USD) 5 Macaulay 2.757 4.165 5.748 duration Each bond is on a coupon date so that there is no accrued interest. The market values are the full prices given the par value. Coupons on all 3 bonds are paid semiannually. The yields-to-maturity are stated on a semiannual bond basis. The Macaulay durations are annualized. a) Calculate the portfolio's (annual) modified duration using shares of market values as weights. b) Estimate the percentage loss in the portfolio's market value if the annual) yield-to-maturity on each bond goes up by 30 bps