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Assume u have a portfolio with 22,000,000 in MV and u buy a CDS with SD of 3 years and principal of 10,000,000. If the

Assume u have a portfolio with 22,000,000 in MV and u buy a CDS with SD of 3 years and principal of 10,000,000. If the SD of the portfolio is 10 years and the spread moves up by 100 bps what will be the change in the overall MV of the entire package?

-1,900,000

-3,200,000

+1,500,000

NONE OF THE ABOVE?

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