If unreadable please use transcribed text below as all the work is there. Also please snapshot and post the image of what you see or cant see to comments. The submitter can see all parts of the problem, and is not sure why the experts are having and issue with this. Thanks!

Please answer all parts and show your work. Also in part b. # of future contracts to be either bought or sold. Please select and identify one of these two options along with the # of contracts for part b. answer. Thanks!

To comment regarding no clear face value: The problem mentions treasury bond futures (based on $100,000 face value of 20-Year T-Bonds having an 8% semi-annual coupon.) This is provided in the problem below the table, hope this provided the needed data.

Thanks!

1. This is the entire problem in the picture, there is nothing I can add to this. 2. When you say no clarity please be specific in what is unclear. I have uploaded the entire problem and see no issue with this as I can view everything on my end. Thank you for your time!

Problem 15-04 A bond speculator currently has positions in two separate corporate bond portfolios: a long holding in Portfolio 1 and a short holding in Portfolio 2. All the bonds have the same credit quality. Other relevant information on these positions includes: Portfolio Bond Market Value (Mil.) $7.0 Coupon Rate 0.0% 0.0 Compounding Frequency Annual Annual Annual Maturity 3 yrs 13 yrs 7 yrs Yield to Maturity 9.19% 9.19 9.19 3.0 2 C 12.5 4.6 Treasury bond futures (based on $100,000 face value of 20-year T-bonds having an 8% semi-annual coupon) with a maturity exactly six months from now are currently priced at 109-24 with a corresponding yield to maturity of 7.081%. The "yield betas" between the futures contract and Bonds A, B, and C are 1.15, 1.03, and 1.02, respectively. Finally, the modified duration for the T-bond underlying the futures contract is 10.355 years. a. Calculate the modified duration (expressed in years) for each of the two bond portfolios. Do not round intermediate calculations. Round your answers to three decimal places. Modified duration (Portfolio 1): years Modified duration (Portfolio 2): years What will be the approximate percentage change in the value of each if all yields increase by 80 basis points on an annual basis? Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Change in the value of Portfolio 1: % Change in the value of Portfolio 2: b. Assuming the bond speculator wants to hedge her net bond position, what is the optimal number of futures contracts that must be bought or sold? Start by calculating the optimal hedge ratio between the futures contract and the two bond portfolios separately and then combine them. Do not round intermediate calculations. Round your answer to the nearest whole number. futures contracts must be -Select- 7. Problem 15-04 A bond speculator currently has positions in two separate corporate bond portfolios: a long holding in Portfolio 1 and a short holding in Portfolio 2. All the bonds have the same credit quality. Other relevant information on these positions includes: Portfolio Bond Market Value (Mil.) $7.0 Coupon Rate 0.0% 0.0 Compounding Frequency Annual Annual Annual Maturity 3 yrs 13 yrs 7 yrs Yield to Maturity 9.19% 9.19 9.19 3.0 2 C 12.5 4.6 Treasury bond futures (based on $100,000 face value of 20-year T-bonds having an 8% semi-annual coupon) with a maturity exactly six months from now are currently priced at 109-24 with a corresponding yield to maturity of 7.081%. The "yield betas" between the futures contract and Bonds A, B, and C are 1.15, 1.03, and 1.02, respectively. Finally, the modified duration for the T-bond underlying the futures contract is 10.355 years. a. Calculate the modified duration (expressed in years) for each of the two bond portfolios. Do not round intermediate calculations. Round your answers to three decimal places. Modified duration (Portfolio 1): years Modified duration (Portfolio 2): years What will be the approximate percentage change in the value of each if all yields increase by 80 basis points on an annual basis? Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Change in the value of Portfolio 1: % Change in the value of Portfolio 2: b. Assuming the bond speculator wants to hedge her net bond position, what is the optimal number of futures contracts that must be bought or sold? Start by calculating the optimal hedge ratio between the futures contract and the two bond portfolios separately and then combine them. Do not round intermediate calculations. Round your answer to the nearest whole number. futures contracts must be -Select- 7