4. You are managing a portfolio comprising of positions a number of Fixed Income Securities

with maturities of 1, 3, 5 and 10 years to maturity and has a weighted average an effective

duration of 5.30 Years.

Consider the scenario where the slope of the yield curve, as defined by the difference in the

yields on the 10 and 3 year bonds, decreases from 1.54% to 0.76% and the weighted average

Yield to maturity of the portfolio falls by 0.26%. Under this scenario, the contribution to

return from the change in interest rates:

A. +1.38%

B. +4.13%

C. -4.13%

D. -1.38%

E. Cannot be estimated using the information provided above.