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Use the attached example to build a model for expected fixed income returns. Once you match your model, use it to reprice the scenario below.
Use the attached example to build a model for expected fixed income returns. Once you match your model, use it to reprice the scenario below. Expected average benchmark yield to maturity change is -100 basis points Expected change in spread +70 basis points Exhibit 11 Portfolio Characteristics and Expectations \begin{tabular}{lc} Notional principal of portfolio (in millions) & 100 \\ Average bond coupon payment (per 100 par value) & 2.75 \\ Coupon frequency & Annual \\ Investment horizon & 1 year \\ Current average bond price & 97.12 \\ Expected average bond price in one year (assuming an unchanged & 97.27 \\ yield curve) & 18 \\ Average bond convexity in one year & 3.70 \\ Average bond modified duration in one year & 0.26% \\ Expected average benchmark yield-to-maturity change & 0.10% \\ Expected change in spread (spread expected to narrow in this & 0.50% \\ scenario) & \end{tabular}
Use the attached example to build a model for expected fixed income returns. Once you match your model, use it to reprice the scenario below.
Expected average benchmark yield to maturity change is -100 basis points
Expected change in spread +70 basis points
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