Consider the following portfolio.

Bond Coupon Yield Maturity Spread Par Amount

1 3.35% 3.51% 5 0.78% $12,225,000

2 2.75% 3.12% 3 0.66% $11,435,000

3 3.75% 3.78% 6 1.12% $10,385,000

4 4.25% 3.82% 7 1.11% $9,500,000

5 4.85% 3.95% 9 1.14% $11,250,000

6 3.75% 2.86% 4 0.55% $13,335,000

7 4.00% 3.90% 11 1.06% $9,750,000

8 3.00% 2.85% 2 0.75% $16,665,000

9 0.00% 4.02% 30 2.55% $25,000,000

10 3.25% 3.55% 10 1.34% $15,000,000

(a) What is the DTS for each bond?

(b What is the DTS for the portfolio?

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