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New bond portfolio dollar value under the two cases

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A bond fund manager is holding a $120 million bond portfolio with a modified duration of 5.9 and a convexity of 93. The manager considers a parallel shift in the yield curve. Compute the new bond portfolio dollar value under the following two cases. Keep 4 decimal places in millions, e.g., $99.1234 million.

1. The yield curve shifts up by 35 basis points.

2. The yield curve shifts down by 70 basis points.

Show your work.

Clearly state answer 1 =

Clearly state answer 2 =

Reference no: EM132506219

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