PORTFOLIO DURATION

(a) What is the duration of a portfolio that consists of the following bonds?

Bond Market Value Duration

A $100,000,000 2.83

B $250,000,000 4.11

C $75,000,000 3.45

D $50,000,000 5.25

E $125,000,000 7.05

F $55,000,000 2.88

G $65,000,000 4.02

H $25,000,000 11.34

I $105,000,000 17.54

J $150,000,000 7.07

(b) if rates change by 150bp, approximately what is the change in the market value of the portfolio?

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