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Consider a bond with the following features and a hypothetical settlement date of 10 October 2019. Annual Coupon 5% Coupon Payment Frequency Semiannual Interest Payment

Consider a bond with the following features and a hypothetical settlement date of 10 October 2019.

Annual Coupon

5%

Coupon Payment Frequency

Semiannual

Interest Payment Dates

30 December and 30 June

Maturity Date

30 December 2020

Day-Count Convention

30/360

Annual Yield-to-Maturity

6%

What is the bond's approximate modified duration assuming a 10 bp change in its annual yield-to-maturity? Remember to annualize your answer and round to three decimal places.

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