James Waiters, CFA, is an active fixed income portfolio manager. He manages a portfolio of fixed income securities worth $ 7500000 for an institutional client. Waiters expects a widening yield spread between intermediate and long term securities. He would like to capitalize on his expectations and considers several transactions in a number of different securities. On 01/31/ 06, Waiters expects the yield of the 2 - Year Treasury Note to decrease by 10 basis points and the yield of the 30 - Year Treasury Bond to increase by 11 basis points. The characteristics of these two fixed income securities are shown in Table 1. Prices are quoted as a percentage of par value and the Price Value of a Basis Point is per $1 million par amount.（）
A．$185.65.
B．$196.65.
C．$186.65.
参考答案：C
解析：
The change in value is computed as follows:
Change in ValueT-Note = Price Value of a Basis Point/10 × (-Yield Change)
So we have Price ChangeT-Rond = 186.6484/10×(-10 bp)=-$186.65.