The following data are given on a U.S. bond portfolio. What is the total expected return of this bond portfolio over the next 12 months? Notional principal of portfolio (in

millions)$500 Average bond coupon payment (per $100 par value)$3.50 Coupon frequency Annual Current average bond price$98.50 Expected average bond price in one year (assuming a nunchanged yield curve)$99.50 Average bond convexity18 Average bond modified duration3.25 Expected average yield and yield spread change-0.20% Expected credit losses0.30%