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A hedge fund currently holds $10 billion of non-agency mortgage-backed securities (MBS) that have a duration of 7. Which of the following is closest to

A hedge fund currently holds $10 billion of non-agency mortgage-backed securities (MBS) that have a duration of 7. Which of the following is closest to how much money the fund would gain or lose if yields increased by 3%?

Group of answer choices

Lose $0.3 billion

Gain $2.1 billion

Lose $0.7 billion

Gain $3 billion

Lose $2.1 billion

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