Blue Bank has an inventory of Standard and Poors equivalent AAA-rated, 8-year zero-coupon bonds with a face value of $250 million. The bonds are currently at a yield to maturity in the over-the-counter market of 3.5%.

(i) What is the modified duration of these bonds? (2 marks)

(ii) What is the percentage price volatility if the potential adverse move in yield is 7 basis points? (3 marks)

(iii) What is the DEAR and the VAR if the management of Blue believe that it will take 5 days to liquidate their position? (4 marks)

(iv) If the price volatility is based on a 95 percent confidence limit and a mean historical change in daily yields of 0.0 percent what is the implied standard deviation of daily yield changes measured in basis points? (3 marks)

Question 15 Not yet answered Marked out of 12.00 P Flag question Blue Bank has an inventory of Standard and Poor's equivalent AAA-rated, 8-year zero-coupon bonds with a face value of $250 million. The bonds are currently at a yield to maturity in the over-the-counter market of 3.5% (1) What is the modified duration of these bonds? (2 marks) (ii) What is the percentage price volatility if the potential adverse move in yield is 7 basis points? (3 marks) (iii) What is the DEAR and the VAR if the management of Blue believe that it will take 5 days to liquidate their position? (4 marks) (iv) If the price volatility is based on a 95 percent confidence limit and a mean historical change in daily yields of 0.0 percent what is the implied standard deviation of daily yield changes measured in basis points? (3 marks) Question 15 Not yet answered Marked out of 12.00 P Flag question Blue Bank has an inventory of Standard and Poor's equivalent AAA-rated, 8-year zero-coupon bonds with a face value of $250 million. The bonds are currently at a yield to maturity in the over-the-counter market of 3.5% (1) What is the modified duration of these bonds? (2 marks) (ii) What is the percentage price volatility if the potential adverse move in yield is 7 basis points? (3 marks) (iii) What is the DEAR and the VAR if the management of Blue believe that it will take 5 days to liquidate their position? (4 marks) (iv) If the price volatility is based on a 95 percent confidence limit and a mean historical change in daily yields of 0.0 percent what is the implied standard deviation of daily yield changes measured in basis points