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Consider a scenario where multiple portfolios have the same current market value. In the event of a sudden and widespread market downturn, which portfolio is most likely to experience the highest potential loss due to unforeseen risks?
A
A portfolio of US Treasury notes with 2 to 5 years to maturity.
B
A portfolio of long stock positions in an international large cap stock index combined with long put options on the same index.
C
A portfolio of mezzanine tranche MBS structured by a large regional bank.
D
A short position in futures for industrial commodities such as copper and steel.
