c) Credit risk of BA d) Counterparty Risk 2. Consider a long position in 100mm 10y Treasury zero coupon bond, hedged with a 200mm short position in 5y Treasury zero coupon bond. The biggest risk to this trade is: a) Large parallel movements in interest rate term structure, since duration is an approximation for small changes. b) Term structure steepening appreciably c) Term structure flattening significantly d) The convexity profile of this trade can lead to large losses 3. An investor is long 5 contracts of the June 2015 Eurodollar Future, currently trading at 99.61. Tomorrow, after a speech by Yellen, the expected 3m LIBOR in June 2015 changes to 0.75%. What is the P&L of the investor after this move? a) Profit of $4500 b) Loss of $4500 c) Profit of $900 d) Loss of $900 one year 6% coupon bond sells at par. The one-year spot rate is 6.02% what is the six-month spot rate? 4, A a. 4.32%