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Based on the below corporate bond data, help to calculate the followings, Bond Ticker CUSIP Company Name Rating Amount Issued Amount Outstanding Issue Date Date
Based on the below corporate bond data, help to calculate the followings,
Bond Ticker | CUSIP | Company Name | Rating | Amount Issued | Amount Outstanding | Issue Date | Date of Maturity | Embeded Option | Call Date | Call Price | Call Amount | Coupon | Coupon Freq | Annual YTM |
DKS 4.1 01/15/52 | 253393AG7 | Dick's Sporting Goods | BBB - | 750 | 750 | 1/14/2022 | 1/15/2052 | Call | 7/15/2051 | 100 | Full | 4.10% | SA | 5.15% |
F 3 1/4 02/12/2032 | 345370DA5 | Ford Motor Company | BB+ | 2500 | 2500 | 12/11/2021 | 12/2/2031 | Call | 12/11/2031 | 100 | Full | 3.25% | SA | 4.82% |
AAPL 1.8 09/11/24 | 037833DM9 | Apple Inc | AA+ | 750 | 750 | 11/9/2019 | 11/9/2024 | Call | 11/8/2024 | 100 | Full | 1.80% | SA | 2.42% |
CAT 1.7 01/08/27 | 14913R2U0 | Caterpillar Finl Service | AA+ | 500 | 500 | 10/1/2022 | 8/1/2027 | No | 1.70% | SA | 2.87% | |||
BK 2 1/2 01/26/32 | 06406RBB2 | Bank of NY Mellon Corp | AA | 450 | 450 | 1/26/2022 | 1/26/2032 | Call | 10/26/2031 | 100 | Full | 2.50% | SA | 3.41% |
DELL 6.2 07/15/30 | 24703TAH9 | Dell International LLC | BBB- | 750 | 750 | 7/15/2021 | 7/15/2030 | Call | 4/15/2030 | 100 | Full | 6.20% | SA | 4.23% |
BIGBRS 6 5/8 01/31/29 | 08949LAB6 | Big River Steel/ BRS Fin | BB- | 900 | 720 | 1/31/2021 | 1/31/2029 | Call | 9/15/2023 | 103.313 | Full | 6.63% | SA | 5.91% |
9/15/2024 | 101.656 | Full | ||||||||||||
9/15/2025 | 100 | Full |
- Corporate Bond Portfolio
- Calculate the following analytics for each of the corporate bond
- Flat Price
- Accrued Interest
- Full Price
- Yield To Call
- Duration if there is a 100bps shift (Both an upward shift and downward shift) in the YTM
- Convexity if there is a 100bps shift (Both an upward shift and downward shift) in the YTM
- Price of each bond if there is a 100bps shift (Both an upward shift and downward shift) in the YTM
- Bond Portfolio
- Assume that you've been given $1M to allocate to a set of 7 corporate bonds. Choose the allocation of your choice in increments of $1000.
- Calculate the following for the portfolio
- Average Coupon
- Portfolio YTM
- Portfolio Duration
- Portfolio Convexity
- Check the sensitivity of the portfolio to 100bps shift (both upwards and downwards) in the yields
Please provide the proper calculations for the derived values.
Step by Step Solution
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Here are the calculations for the individual bonds Bond 1 DKS 41 011552 Flat price 9498 derive from ...Get Instant Access to Expert-Tailored Solutions
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