Assignment:
A fixed-income portfolio with market value of USD 60 million, modified duration of 2.53 years and yielding 4.7% compounded semiannually. What would be the change in the value of this portfolio after a parallel rate decline of 20 basis points in the yield curve?
a. A loss of USD 607,200
b. A loss of USD 303,600
c. A gain of USD 303,600
d. A gain of USD 607,200