There are five notes and one bond. Theoretical (not based on actual rates) ontherun Treasury yields for a 2/15/22 settlement date are given with the maturities. Assume each security is priced at par ($100).

Base Delta Y used for the below Duration/Convexity calculation is 10 basis points (0.10%)

Portfolio 1

Weight	Note/Bond	Yield/Coupon	Duration	Convexity
0	2 - Year Note	1.25%	1.97	4.88
.25	3 - Year Note	1.75%	2.91	10.02
.5	5 - Year Note	2.25%	4.7	25.16
.25	7 - Year Note	3.00%	6.27	44.85
0	10 - Year Note	3.40%	8.42	82.28
0	30 - Year Bond	4.20%	16.97	405.89

Portfolio Duration: 4.647

Portfolio Convexity: 26.29

Portfolio Yield: 2.31%

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Portfolio 2

Weight	Note/Bond	Yield/Coupon	Duration	Convexity
.73	2 - Year Note	1.25%	1.97	4.88
0	3 - Year Note	1.75%	2.91	10.02
0	5 - Year Note	2.25%	4.7	25.16
0	7 - Year Note	3.00%	6.27	44.85
.16	10 - Year Note	3.40%	8.42	82.28
.11	30 - Year Bond	4.20%	16.97	405.89

Portfolio Duration: 4.65

Portfolio Convexity: 61.37

Portfolio Yield: 1.92%

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QUESTION

1 ) Assume a 6month holding period and that you collect semiannual 1 coupon payment. Calculate the returns for portfolios 1 and 2 under the following 6 parallel yield curve shift scenarios:

Delta Y: +1.50%, +1.00%, +0.50%, 0.50%, 1.00%, 1.50%