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Assume that you are a bond portfolio manager holding $ 1 0 0 million market value of short - term bonds that have modified duration

Assume that you are a bond portfolio manager holding $100 million market value of short-term bonds that have modified duration of 12 months or 1 year. Assume instead that your market analysis predicts an unexpected decline in intrest rates thus you wish to change your market exposure in such a way that your modifie duraion becomes 15 months. What action would you take using 3-month SOFR?

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