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You manage a $200M bond portfolio and own a bond with an annual coupon of 47.50 with 5 years to maturity. The bond currently trades at a yield to maturity of 5.25%.
1. What is the coupon rate of the bond?
2. What is the price of the bond?
3. At a YTM of 5.25%, what is the current yield on the bond?
Assume the settlement date of the bond is 11/1/20 and the maturity date is 10/31/25. The bond pays interest semi-annually and has a duration of 4.5 years.
4. What is the bond’s modified duration (assume the bond’s current YTM)?
5. If the bond’s yield to maturity is expected to increase to 5.75%, what is the expected percentage change in the price of the bond?