Question: Assume u have a portfolio of 10,000,000 in treasury Bonds and u buy a CDS with principal of 20,000,000 and spread duration of 2.5. by

Assume u have a portfolio of 10,000,000 in treasury Bonds and u buy a CDS with principal of 20,000,000 and spread duration of 2.5.

by How much by the spread will have to move so that ur new portfolio market value will become 12,000,000?

Hint: Treasury aren't sensitive to spreads!

+4%

+2%

+1.5%

-1.5%

please show work

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