Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Calculate the change in bond prices on Feb 4, 2022 relative to the corresponding prices on Feb 3, 2022. Assuming an expected change in interest

Calculate the change in bond prices on Feb 4, 2022 relative to the corresponding prices on Feb 3, 2022. Assuming an expected change in interest rate of 0.25%, what will be the sensitivity of the change in price to the change in interest rate the interest rate risk of each type of the Treasury security? Show your Excel calculations. Is there a positive or negative relationship between bond prices and interest rate? For the calculations, theres no need to convert the normalized prices to actual prices.

Date Maturity Maturity Date CUSIP Security Type Coupon Rate Price
2/3/2022 1 Mo 3/8/2022 912796S75 Treasury Bill 0 99.997333
2/3/2022 2 Mo 4/5/2022 912796T74 Treasury Bill 0 99.98
2/3/2022 3 Mo 5/3/2022 912796U72 Treasury Bill 0 99.956
2/3/2022 6 Mo 8/4/2022 912796S67 Treasury Bill 0 99.758667
2/3/2022 1 Yr 1/31/2023 91282CBG5 Treasury Note 0.00125 99.3125
2/3/2022 2 Yr 1/31/2024 9128285Z9 Treasury Note 0.025 102.5625
2/3/2022 3 Yr 1/31/2025 912828Z52 Treasury Note 0.01375 99.875
2/3/2022 5 Yr 1/31/2027 912828Z78 Treasury Note 0.015 99.25
2/3/2022 7 Yr 1/31/2029 91282CDW8 Treasury Note 0.0175 99.78125
2/3/2022 10 Yr 11/15/2031 91282CDJ7 Treasury Note 0.01375 96.03125
2/3/2022 20 Yr 2/15/2042 912810QU5 Treasury Bond 0.03125 115.34375
2/3/2022 30 Yr 11/15/2051 912810TB4 Treasury Bond 0.01875 94.0625
2/4/2022 1 Mo 3/8/2022 912796S75 Treasury Bill 0 99.996778
2/4/2022 2 Mo 4/5/2022 912796T74 Treasury Bill 0 99.979417
2/4/2022 3 Mo 5/3/2022 912796U72 Treasury Bill 0 99.948056
2/4/2022 6 Mo 8/4/2022 912796S67 Treasury Bill 0 99.728056
2/4/2022 1 Yr 1/31/2023 91282CBG5 Treasury Note 0.00125 99.21875
2/4/2022 2 Yr 1/31/2024 9128285Z9 Treasury Note 0.025 102.3125
2/4/2022 3 Yr 1/31/2025 912828Z52 Treasury Note 0.01375 99.5
2/4/2022 5 Yr 1/31/2027 912828Z78 Treasury Note 0.015 98.6875
2/4/2022 7 Yr 1/31/2029 91282CDW8 Treasury Note 0.0175 99.03125
2/4/2022 10 Yr 11/15/2031 91282CDJ7 Treasury Note 0.01375 95.125
2/4/2022 20 Yr 2/15/2042 912810QU5 Treasury Bond 0.03125 113.6875
2/4/2022 30 Yr 11/15/2051 912810TB4 Treasury Bond 0.01875 92.28125

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Successful Fundraising For Arts And Cultural Organizations

Authors: Carolyn S. Friedman, Karen B. Hopkins

2nd Edition

1573560294, 978-1573560290

More Books

Students also viewed these Finance questions