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U have a portfolio of mv 30,000,000 USD duration of 4.5 and Spread duration of 6 years. Ur spread drop by 100 bps while ur

  1. U have a portfolio of mv 30,000,000 USD duration of 4.5 and Spread duration of 6 years.

    Ur spread drop by 100 bps while ur interest rate duration drops by 50 bps. What is the new MV approximate of the portfolio?

    2,475,000

    3,100,000

    -5,000,000

    -3,000,000

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