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The following questions are related to a bond portfolio and current market conditions which are both in the Appendix. - Please model up all the
The following questions are related to a bond portfolio and current market conditions which are both in the Appendix. - Please model up all the bonds in Excel, exactly the way we did in class, before attempting the problems. You need to figure out each bond's tenor to price it to the correct Reference UST. You need to determine the appropriate credir spread based on tenor and rating. - It is strongly recommended you build this model from scratch, like you will have to do on an exam, and not just use the models from class to solve the homework. - While Bond Value is an output of your model, Bond Value has been provided here so that you can verify that your model is working properly before you attempt the questions. - For all problems, assume a settlement date of 2/25/2022 9 What is the YTM of the portfolio (expressed to three decimals xx.xxx%) ? 10 What is the credit spread of the portfolio (expressed in bps to no decimals xbps )? 11 What is the modified duration of the portfolio (expressed to two decimals x.xx )? 12 What is the weighted-average credit rating of the portfolio? 13 What % of the portfolio is investment-grade debt (expressed to no decimals xx% )? The following questions are related to a bond portfolio and current market conditions which are both in the Appendix. - Please model up all the bonds in Excel, exactly the way we did in class, before attempting the problems. You need to figure out each bond's tenor to price it to the correct Reference UST. You need to determine the appropriate credir spread based on tenor and rating. - It is strongly recommended you build this model from scratch, like you will have to do on an exam, and not just use the models from class to solve the homework. - While Bond Value is an output of your model, Bond Value has been provided here so that you can verify that your model is working properly before you attempt the questions. - For all problems, assume a settlement date of 2/25/2022 9 What is the YTM of the portfolio (expressed to three decimals xx.xxx%) ? 10 What is the credit spread of the portfolio (expressed in bps to no decimals xbps )? 11 What is the modified duration of the portfolio (expressed to two decimals x.xx )? 12 What is the weighted-average credit rating of the portfolio? 13 What % of the portfolio is investment-grade debt (expressed to no decimals xx% )
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