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8 9 0 1 32 B3 34 Sector Bond Clean Price Dirty Price Yield to Maturity Modified duration Paramound ($mm) Total Market Value ($mm)

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8 9 0 1 32 B3 34 Sector Bond Clean Price Dirty Price Yield to Maturity Modified duration Paramound ($mm) Total Market Value ($mm) DV01 per $1mm par Total DV01 Benchmark DV01 Excess DV01 Cash 0 0 150 0 1-0.5 yr 1.5-2.5 yr 2 yr: T 2.625 3/31/2025 97.64 97.72 5.14 0.94 128.7 125.77 92 11,840 11,838 2 yr: T 4.5 3/31/2026 99.22 99.35 4.92 1.86 160 158.96 185 29,600 29,592 2.5-4 yr 3 yr: T 4.5 4/15/2027 99.33 99.33 4.74 2.77 188.2 186.94 275 51,755 51,754 4-6 yr 5 yr: T 4.125 3/31/2029 98.13 98.26 4.55 4.43 190.2 186.89 436 82,927 82,932 -5 6-8.5 yr 7 yr: T4.125 3/31/2031 97.59 97.72 4.53 5.97 118.1 115.41 584 68,970 68,976 8.5-15 yr 10 yr: T4 2/15/2034 96.06 96.68 4.5 7.96 60.4 58.39 770 46,508 46,520 281562 15-25 yr > 25 yr 20 yr: T 4.5 2/15/2044 97.38 98.07 4.7 12.84 174.3 170.94 1259 219,444 219,384 60 30 yr: T 4.25 2/15/2054 94.56 95.22 4.59 16.32 96.1 91.51 1554 149,339 149,318 21 Total 5.3 1,244.80 660,384 660,314 70 The market views and the tasks are as follows: 1. The Fed is expected to lower rates this year. You want to implement a long duration trade. a. Based on the 20 year Bond: Task#1. You will risk $8,000 DV01. Calculate the par amount to trade. b. Based on the 20 year futures contract, under Task#1. You want to risk $8,000 DV01. Calculate how many bond contracts to trade. 2. You want to implement a steepening yield curve trade. a. Based on the 5/20 year bond, under Task#2. Implement this trade with risk $10,000 DV01. Calculate the par amounts of the buy security and the sell security. Be sure that the amount of risk on both legs are roughly equal. b. Based on the 5/20 year futures contract, under Task#2. Implement this trade with $10,000 DV01. Calculate how many contracts to buy andsell. [Note: You cannot buy or sell a fraction of a contract, so choose the closestwhole number of contracts to buy and sell so that the two sides have roughly the same risk]. Futures Contract Ticker 20 Year Bond USM4 5 Year Note FVM4 Price 115.53 105.22 Contract Size $100,000 DV01/Contract Modified Duration $100,000 $128 $42 12.8 4.2

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