U have a corporate portfolio with spread duration of 4 years. Assuming the portfolio appreciated...

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Accounting

  1. U have a corporate portfolio with spread duration of 4 years. Assuming the portfolio appreciated by 2% what was the spread movement to cause this appreciation? ( spread duration formula solve for the spread change!!)

    -50 bps

    +50 bps

    +65 bps

    -65 bps

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