Suppose that the change in a portfolio value for a 1-basis-point shift in the 3-month, 6-month, 1-year, 2-year, 3-year, 4-year, and 5-year rates are (in

$million) +5, —3, — 1, +2, +5, +7, and +8, respectively. Estimate the delta of the portfolio with respect to the first three factors in Table 4.9.

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