A bond issued by General Motors (GM) pays an annual coupon rate of 8%, matures in 5 years, and has a face value (principal) of $1,000. The General Motors bond has a credit rating of BBB.

You also know the following regarding the yields of U.S. Treasury Bonds.

U.S. Treasury bond yield: Time to maturity:

1.00% 1 year

1.25% 3 years

1.50% 5 years

2.00% 10 years

3.00% 20 years

1. If the GM bonds yield to maturity is 6%, what is the value of the bond as of today?

2. Using the data above, identify the size of the spread for this bond as of today.

3a. Calculate the modified duration statistic for this bond.

4. At the end of the day, you see that the value of the bond has changed. The value of the bond is now $1,041. Calculate the change in the bonds spread that would be associated with this change in the bonds value.