Assume a $100 million AUM credit strategy fund manager enters into the following trades at the beginning and end of the year. Bought $250 million FACE value of MBS at PAR with a coupon of 3% at the beginning of the year, weighted average maturity of 15 years and a duration of 10 years. Price at year end is 102.5. Sold 250 million FACE value of 10 treasury notes at PAR with a beginning of the year with a coupon of 2%. End of year price unchanged. Margin requirement is 2% of the gross market value of the long and short positions. Assume debt, credit, repo and reverse repo rates of 4%, 3%, 1.50% and 1.25%.

1) What is the margin required for this trade?

1. 2) What is the fund return, excluding all copuon and financing income and expense, as a percentage of AUM?
2. 3) What is the leverage of the fund?
3. 4) What is the portfolio duration?