A portfolio manager owns $5 million par value of bond ABC The bond is trading at 70 and has a modified duration of 6 The portfolio manager is considering swapping out of bond ABC and into bond XYZ The price of this bond is 85 and it has a modified duration of 3 5 Answer the below questions (a) What...

a The price of bond ABC is 70 with a modified duration of 6 and bond XYZ has a price of 85 with a modified duration of 35 Because modified duration is ...

A portfolio manager owns $5 million par value of bond ABC. The bond is trading at 70

Question:

A manager owns $5 million of bond ABC. The bond is trading at 70 and has a modified duration of 6. The manager is considering swapping out of bond ABC and into bond XYZ. The price of this bond is 85 and it has a modified duration of 3.5.
Answer the below questions.
(a) What is the dollar duration of bond ABC per 100-basis-point change in yield?
(b) What is the dollar duration for the $5 million position of bond ABC?
(c) How much in market value of bond XYZ should be purchased so that the dollar duration of bond XYZ will be approximately the same as that for bond ABC?
(d) How much in of bond XYZ should be purchased so that the dollar duration of bond XYZ will be approximately the same as that for bond ABC? Par Value
Par value is the face value of a bond. Par value is important for a bond or fixed-income instrument because it determines its maturity value as well as the dollar value of coupon payments. The market price of a bond may be above or below par,... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...