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Assume u have a portfolio of 10,000,000 in Bonds and u buy a CDS with principal of 20,000,000 and spread duration of 2.5. How much

Assume u have a portfolio of 10,000,000 in Bonds and u buy a CDS with principal of 20,000,000 and spread duration of 2.5. How much by the spread will have to move so that ur new portfolio market value will become 10,000,000? Assume the bonds aren't sensitive to spread.

+2%

-2%

+1.5%

-1.5%

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