Problem: After extensive fundamental research, you decide to go long the bonds of SuperRocket Inc. (SRI) which is a start-up company interested in space exploration. The company has one bond: a 12-year unsecured bond, with an 8% annual coupon paid semi-annually. This bond currently trades at $95. You decide to invest $10mm into the SRI bond (i.e., to buy bonds having a market value of $10 million). While you think the SRI bond is a good investment, you are concerned that the current Fed tightening cycle will result in an increase in yields on all bonds, corporate and Treasury bonds included. To hedge out the risk that interest rates rise, you decide to go short a 10-year Treasury note with a 3% coupon that trades at par, also with semi-annual coupons.