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B E F G H I Example 1a on Ch.4 handout A D 1 Inputs Output 2 Settlement 9/30/2020 Yield to maturity 3 Maturity 9/30/2030 Yield to first call 4 Annual Coupon rate 7.00% Yield to put 5 Maturity value, % of par 100 Macaulay Duration 6 Current price, % of par 103.25 Modified Duration 7 Call price, % of par 105 Price value of basis point 8 First callable on 9/30/2023 9 Put price, % of par 95 10 Putable on 9/30/2025 11 Coupons per year 2 12 Basis 1 13 14 Information to compute yield value of price change 15 Price change, % of par - 1.200 Yield value of price change 16 17 18 Information to compute total return Total return computation 19 Number of reinvested cou FV of reinvested coupons, % of par 20 Annual coupon reinvest.r 4.60% Total accumulated, % of par 21 Selling price, % of par 102.50 Annualized total return 22 23 Example 1b on Ch.4 handout Total Return Example I j K L M N o F G H Period CFW CFX CFy CFz CF PORTFOLIO B D E 1 Find the annual bond equivalent yield on the portfolio of the four bonds 2 from Problem 5 after Chapter 3 in the text (reproduced below). 3 All coupons are paid semiannually. 0 Portfolio YTM 1 2 4 3 4 8 7 5 4 6 5 Bond Coupon Rate (%) Yrs. to Maturity Price (par is $1,000) 6 W 6 7 5 $884.20 7 X $948.90 8 Y 9 $967.70 9 Z 0 10 $456.39 10 11 NOTE: Portfolio YTM is NOT the weighted average of individual bonds' YTMs. 12 Finding a portfolio YTM is discussed on pp.44-45 in the text. 13 14 15 7 8 9 10 11 12 13 14 16 17 15 16 17 18 19 20 21 18 19 20 22 23 24