Please see the following excel screenshot and help answer the questions. Full solutions please.

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A 1 Butterfly Trade 3 It is April 1, 2020. 5 Consider the following Treasury yield curve: Maturity Coupon Price 8 2-year 3/31/22 2.00% 100-00 95-year 9/30/25 3.50% 100-00 10 10-year 9/15/30 4.75% 100-00 11 12 There are 2 portfolios, each with $100MM market value. 13 Portfolio I: 5-year bullet. 14 Portfolio II: 2-year/10-year barbell. 16 1.) Today, you invest the $100MM in each portfolio, so that the portfolios 17 have the same duration. The trades settle tomorrow, April 2. 18 a.) How much is invested in the 2-year and in the 10-year? 20 21 2.) Suppose you believe that 9 months from today the 2-year yield will be 22 50 basis points higher and the 10-year yield will be 25 basis points lower. 24 a.) Which strategy outperforms on a total rate of return basis? 25 26 3.) Discuss the issues/complexities involved with solving question #2. 28 All your answers must be typed and double spaced. A 1 Butterfly Trade 3 It is April 1, 2020. 5 Consider the following Treasury yield curve: Maturity Coupon Price 8 2-year 3/31/22 2.00% 100-00 95-year 9/30/25 3.50% 100-00 10 10-year 9/15/30 4.75% 100-00 11 12 There are 2 portfolios, each with $100MM market value. 13 Portfolio I: 5-year bullet. 14 Portfolio II: 2-year/10-year barbell. 16 1.) Today, you invest the $100MM in each portfolio, so that the portfolios 17 have the same duration. The trades settle tomorrow, April 2. 18 a.) How much is invested in the 2-year and in the 10-year? 20 21 2.) Suppose you believe that 9 months from today the 2-year yield will be 22 50 basis points higher and the 10-year yield will be 25 basis points lower. 24 a.) Which strategy outperforms on a total rate of return basis? 25 26 3.) Discuss the issues/complexities involved with solving question #2. 28 All your answers must be typed and double spaced