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Posted on Jul 26, 2024

Let's compare each bond's change in value given some change in rates, to its value change predicted by Modified Duration For a given Sobps backup

Let's compare each bond's change in value given some change in rates, to its value change predicted by Modified Duration For a given Sobps backup in rates, let's compute a new plie, bond value). That is a Full Revalution And let's compare those figures to those estimated by Modified Duration ham SELL 2626 w MW 190.000000 1,000,000 SON ONE A Soupon 100.00 15 2008 S 13.000.00 20 7208 1.000.000 10 TO 10,000.00 BALBALATONI OO ww LUN ES T, BAN 361 ELIMU VO 365 2.10 20 SON ISTIMATED SYRIRATION MV-M wy OLDUS . 11,475 GRLIN CM2445.675 NISSAN 5,21.606 L. 2. (ES NO SO SE wy 100 MO 43.000.000 Our DOO SSC SP $ $ - For a ven Soprally in rates, compute a new PILE band value) using Full Revolution And compare those are to those estimated by Modified Duration ESTIMATEDERATION MVD coup Viele TIL HVALTION METHOD NwMY . MVC WAN MAN PA GOOD SON 40 M 11/30000,000 311 VANS 12,000,000 11/22 000,000 30 LUV Quin LE ott WOTE NO NOSE NO 2 2.90 14 100.00 100003 300.00 10000 12.000.000 3.000.000 VORE 302 e Son EN NO 3 Port 2,000,000 wythagavad Parallel Bear Yield Curve Shift Bond Term Change 1.9 A B Maturity Par 2 11/6/20235 10,000,000 S 11/6/2026 $ 12,000,000 7 11/6/2028 5 5,000,000 10 11/6/2031 $20,000,000 Coupon 1.65% 2.10 2.90 3.45% Yield 165 2.10% 2.90 3.45% Price Market Value 100.00 5 10,000,000 100.00 $ 12,000,000 100.00 5.000.000 100.00 20,000,000 547.000.000 Yield Shift 1.00% 100% 1.00% 100% New Yield 265 3.10N 3.90 4.45 New Price New MV 98.06 S 9.806,453 95:40 S 11.418.137 93 93 9 4,696,276 92.00 S 18,399.812 SE44,350,673 61 BON 5.6 D Portfolio Bear Steepening Yield Curve Shift Term Bond A Maturity Par 2 11/6/20335 10,000,000 11/6/2026 $ 12,000,000 711/6/2028 5 5.000.000 10 11/6/20315 20.000.000 Coupon 165 2.10% 290 2455 Yield 1.65% 2.10% 2.00 3.45 ave Price Market Value 100.00 10.000.000 100.00 S 12.000.000 100005 5.000.000 100.00 $ 20.000.000 5 47.000.000 Yield Shit 0.25% OSON 02 1000 Change OS 23 468 80 CON New Yield New Price New MV 1.90 99.51 S 9.951,165 2.60 37.67 11720,10 165% 95.40 4.770.187 4.45 97.00 18.399.812 $4.841544 C D Portfolio Bear Flattening Yield Curve Shift Bond Term <. maturity par s coupon yield price market value do oson on new mv change lon c d portfolio parallel bull curve shift pri question questions bond a b term shine low flattening> 11/6/2023 S 10,000,000 5 11/6/2026 S 12,000,000 11/6/20285 5,000,000 10 11/6/2031 $ 20,000,000 Coupon 1.65% 2,10% 2.90 3.65 Vield 165 2.10 9.90 3.45% Price Market Value 100.00 $ 10,000,000 100.00 5 12.000.000 100.00 5.000.000 100.00 20.000.000 547.000,000 Yield 0. -0.SON -0.19% 100 On Portfolio TO Bull Steepening Yield Curve Shift New Yled New Price New MV Change Bond A Term Maturity 2 11/6/20225 5: 11/6/20265 7 11/6/2028 S 10 11/6/2031 9 Question 16 Question 17 Question 1 Question 19 Question 20 Par 10,000,000 12,000,000 5.000.000 20.000.000 Coupon 165 12.10% 2.00 31454 Yield 16 2.10 Price 100.00 100.00 10000 100.00 5 Market Value 10 000 DOO 12,000,000 5.000.000 20.000.000 47.000.000 Yiel Shift 100 075 0.50% 0.25% 2.90 D Portfolio on 3:45 LOOD Let's compare each bond's change in value given some change in rates, to its value change predicted by Modified Duration For a given Sobps backup in rates, let's compute a new plie, bond value). That is a Full Revalution And let's compare those figures to those estimated by Modified Duration ham SELL 2626 w MW 190.000000 1,000,000 SON ONE A Soupon 100.00 15 2008 S 13.000.00 20 7208 1.000.000 10 TO 10,000.00 BALBALATONI OO ww LUN ES T, BAN 361 ELIMU VO 365 2.10 20 SON ISTIMATED SYRIRATION MV-M wy OLDUS . 11,475 GRLIN CM2445.675 NISSAN 5,21.606 L. 2. (ES NO SO SE wy 100 MO 43.000.000 Our DOO SSC SP $ $ - For a ven Soprally in rates, compute a new PILE band value) using Full Revolution And compare those are to those estimated by Modified Duration ESTIMATEDERATION MVD coup Viele TIL HVALTION METHOD NwMY . MVC WAN MAN PA GOOD SON 40 M 11/30000,000 311 VANS 12,000,000 11/22 000,000 30 LUV Quin LE ott WOTE NO NOSE NO 2 2.90 14 100.00 100003 300.00 10000 12.000.000 3.000.000 VORE 302 e Son EN NO 3 Port 2,000,000 wythagavad Parallel Bear Yield Curve Shift Bond Term Change 1.9 A B Maturity Par 2 11/6/20235 10,000,000 S 11/6/2026 $ 12,000,000 7 11/6/2028 5 5,000,000 10 11/6/2031 $20,000,000 Coupon 1.65% 2.10 2.90 3.45% Yield 165 2.10% 2.90 3.45% Price Market Value 100.00 5 10,000,000 100.00 $ 12,000,000 100.00 5.000.000 100.00 20,000,000 547.000.000 Yield Shift 1.00% 100% 1.00% 100% New Yield 265 3.10N 3.90 4.45 New Price New MV 98.06 S 9.806,453 95:40 S 11.418.137 93 93 9 4,696,276 92.00 S 18,399.812 SE44,350,673 61 BON 5.6 D Portfolio Bear Steepening Yield Curve Shift Term Bond A Maturity Par 2 11/6/20335 10,000,000 11/6/2026 $ 12,000,000 711/6/2028 5 5.000.000 10 11/6/20315 20.000.000 Coupon 165 2.10% 290 2455 Yield 1.65% 2.10% 2.00 3.45 ave Price Market Value 100.00 10.000.000 100.00 S 12.000.000 100005 5.000.000 100.00 $ 20.000.000 5 47.000.000 Yield Shit 0.25% OSON 02 1000 Change OS 23 468 80 CON New Yield New Price New MV 1.90 99.51 S 9.951,165 2.60 37.67 11720,10 165% 95.40 4.770.187 4.45 97.00 18.399.812 $4.841544 C D Portfolio Bear Flattening Yield Curve Shift Bond Term <. maturity par s coupon yield price market value do oson on new mv change lon c d portfolio parallel bull curve shift pri question questions bond a b term shine low flattening> 11/6/2023 S 10,000,000 5 11/6/2026 S 12,000,000 11/6/20285 5,000,000 10 11/6/2031 $ 20,000,000 Coupon 1.65% 2,10% 2.90 3.65 Vield 165 2.10 9.90 3.45% Price Market Value 100.00 $ 10,000,000 100.00 5 12.000.000 100.00 5.000.000 100.00 20.000.000 547.000,000 Yield 0. -0.SON -0.19% 100 On Portfolio TO Bull Steepening Yield Curve Shift New Yled New Price New MV Change Bond A Term Maturity 2 11/6/20225 5: 11/6/20265 7 11/6/2028 S 10 11/6/2031 9 Question 16 Question 17 Question 1 Question 19 Question 20 Par 10,000,000 12,000,000 5.000.000 20.000.000 Coupon 165 12.10% 2.00 31454 Yield 16 2.10 Price 100.00 100.00 10000 100.00 5 Market Value 10 000 DOO 12,000,000 5.000.000 20.000.000 47.000.000 Yiel Shift 100 075 0.50% 0.25% 2.90 D Portfolio on 3:45 LOOD