Consider two $50 million portfolios: Portfolio A is fully invested in the 5-year Treasury bond, and Portfolio B is an investment split between the 2-year (58.94%) and the 10-year (41.06%) bonds. The Portfolio B weights were chosen to (approximately) match the 5-year bond duration of 4.88. How will the value of these portfolios change if all three Treasury yields-to-maturity immediately rise or fall by 50 bps?

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Tenor 2y 5y 10y Coupon 0.250% 0.875% 2.000% Price $100 $100 $100 ModDur 1.994 4.880 9.023 Convexity 5.0 26.5 90.8