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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 |
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