1. Mr. sailor funded the brokerage account with $100,000 and purchased 30 yr. t-strip in march 1987, by end of march, i.r. = 8% Account balance is now about ____ ?
2. In 2006, investor purchased 30yr zero coupon treasuries. The strips were trading at a YTM of 5% at time of purchase. 10 yrs later, in mid 2016, the strips were trading at YTM of 2%. Compute realized annualized holding period return...
3. 20yr 5% coupon bond is purchased by an investor who has a 3yr investment horizon. If interest rates permanently increase immediately after the bonds are purchased, the investor's holding period yield will be?
4. Which has the longest duration? (4%,30yr),( 8%,30yr),(0%, 20yr), (4%,20yr)
5. What stage of the business cycle would the term structure be expected to exhibit the steepest upward slope?Downward slope?
6. Treasury portfolio valued at $24M, D = 14.5, YTM = 3%, find value using MD assuming a 100 basis point increase in YTM to 4%