Consider the following portfolio with the following exposures:

1) a long position of $50 million on 8-month instruments

2) a short position of $25 million on 2.5-month instruments

3) a long position of $5 million of 7.5-year instruments

4) a short position of $25 million of 11-year instruments

Assuming big coupons, calculate the capital requirement of this portfolio

bigggg coupons "estimation"