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Suppose that the change in a portfolio value for a one-basis-point shift in the 1-, 2-, 3-, 4-, 5-, 7-, 10-, and 30-year rates are

Suppose that the change in a portfolio value for a one-basis-point shift in the 1-, 2-, 3-, 4-, 5-, 7-, 10-, and 30-year rates are (in $ million) +5, -3, -1, +2, +5, +7, +8, and +1, respectively. Estimate the delta of the portfolio with respect to the first three factors in Table 8.7 (below).

Quantify the relative importance of the three factors for this portfolio.

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