Consider a bond issued by the Lee Corporation. The bond matures on March 15, 2041, and pays a 5 percent annual coupon, paid semi-annually. Interest accrues following the 30/360 interest accrual convention. Please assume that the par value of the bond is $100. Lee Corporation has an investment-grade credit rating of A. Today (the settlement date) is 3/8/2021.

A. Suppose that a reasonable risk-free benchmark interest rate for that bonds cash flows would be 4 percent per year. What would the (clean) price of this bond be if this bond were priced at this risk-free benchmark rate?

B. Suppose that the clean price of the bond is 95. What is the yield of this bond?

C. What is the implied spread to the risk-free benchmark described above?

D. What is the accrued interest and dirty price of this bond right now?

E. What is the Macaulay Duration of the bond?

F. What is the Modified Duration of the bond?

G. Use this Modified Duration to calculate an approximate measure of the bonds percent price change if the benchmark yield were to rise 0.5% with no change in spreads.