Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Given this, please calculate the change in bond prices on Feb 4, 2022 relative to the corresponding prices on Feb 3, 2022. Assuming an expected
Given this, please 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? Produce a snippet of your Excel calculations here as your answer. Is there a positive or negative relationship between bond prices and interest rate?
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
★★★★★
3.46 Rating (149 Votes )
There are 3 Steps involved in it
Step: 1
SOLUTION To calculate the change in bond prices on February 4 2022 relative to the corresponding prices on February 3 2022 we subtract the prices on F...Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started