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HELP!! 17. 12 Marks You will open a position in a 5yr bond that currently has a 5%s/a Act/Act coupon, and a market price that
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17. 12 Marks You will open a position in a 5yr bond that currently has a 5%s/a Act/Act coupon, and a market price that implies a YTM of 8%. You want to create a position with a DV01 exposure of $10,000. How much par value of the bond do you need for this position? Give the numerical answer on page 10 and explain briefly (mathematically, or fewer than 35 words) how you arrived at this answer. A. \$26.7 million B. $23.5 million C. $21.2 million D. $29.8 million 8. 8 Marks On Monday 14 Sep2023, a trader places $10m cash on 1 -day repo against a borrowed $10m par value 3.5% annual Act/365 coupon 10-year bond (maturing June 2033) that she has sold short at par (100.00). The repo rate is 4.5% daily/act 360 . The next day, on Tuesday morning, she covers the short position at price of 99.80 , and returns the bond in the back-leg of the repo. Which of the following are correct statements? A. The change in the clean price has caused the trader a loss of $20,000 B. The accrued coupon on the bond has cost the trader approximately $959 C. The trader's carry on this trade is a net positive cash flow D. Both of B and C are correct E. All of A,B, and C are correctStep by Step Solution
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