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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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Q-18.

A fixed-income portfolio manager currently holds a bullet 7-year US Treasury position with USD 60 million face value. The manager would like to create a cost-matching barbell portfolio by purchasing a combination of a 2-year Treasury and a 15-year Treasury that would have the same duration as the 7-year US Treasury position. The data for the three US Treasuries are listed below:

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