## BOND ANALYSIS and ANALYTICS WORKSHOP

Financial Services and Information Technology Lab

Homework Assignment (100 points)

Use the Bloomberg terminal to answer the following questions and submit a

hardcopy on the date posted in Blackboard.

Problem 1: Convert a semi–annual yield of 4.123% with a day count of

ACT/ACT to an annual yield with a day count of 30/360 and show the 2

screenshots of the Bloomberg functions used: (5p)

Start date: February 4, 2020

Final date: November 10, 2024

Initial Amount: $1,000,000

Problem 2: Attach a screenshot of most recent US Treasury bills, notes and

bonds using Bloomberg (and Refinitiv Thomson Reuters)? What is the CUSIP

number and the ticker of the most recent US 10–year US Treasury? How about

for the most recent 30 –yr US Treasury? (5p)

Answer:

Problem 3: Answer the following questions related to the following German

bond.(10p)

3.1. What would you pay for the following bond on the settlement date:

November 14, 2023 for 1,000,000 Euro of DBR 1 1/4 08/15/48 to obtain an

yield of 2.50%? Draw the Cash Flows timeline and show the Bloomberg

functions used.

Answer:

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Financial Services and Information Technology Lab

3.2. Using Bloomberg, derive the clean bond price, dirty price and accrued

interest and attach screenshots of the cash flows and price calculation?

Answer:

Clean price:

Dirty price:

Accrued Interest:

Problem 4: Using Bloomberg, find the bond of Centex Corp. which matured on

May 1, 2016 and answer the following questions (20p)

4.1. What was the ticker?

Answer:

4.2.What was the CUSIP Number ?

Answer:

4.3.What was the Issue Price?

Answer:

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4.4.What type of bond was it?

Answer:

4.5. What Bloomberg function do we use to find out if investors were protected

in case of a LBO or event of default? Were there any negative or positive

pledges? How about any restrictive covenants? Can you please describe what

these covenants mean?

Answer:

5

Financial Services and Information Technology Lab

Problem 5. Using Bloomberg, calculate and explain Macaulay Duration,

Modified Duration, Bloomberg Risk, Convexity and DV 01 for 1,000,000 Euro

of the DBR 2 1/2 08/15/46 on settlement date: February 27, 2023 given an

yield of 2.60%. (20p)

5.1. Macaulay Duration

Answer:

5.2. Modified Duration

Answer:

5.3. Benchmark Risk

Answer:

5.4. Convexity

Answer:

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5.5. How much money you can make/lose per 1bpv on your 1,000,000 Euro

position on settlement date:?

Answer:

Problem 6. Use the RRRA and other relevant functions in Bloomberg to

answer the following questions assuming that you would use the US

government bond listed below as collateral (20p)

BOND INFORMATION

CUSIP 912810QZ4

ISIN US912810QZ49

MATURITY 02/15/43

FACE AMOUNT 10 MILLION

COUPON RATE 3 1/8

REPO INFORMATION

TRADE DATE FEB 23, 2023 11:00AM

SETTLEMENT DATE FEB 24, 2023

TERMINATION DATE MARCH 3, 2023

REPO TYPE FIXED RATE

REPO RATE 4.5600%

DAY COUNT TYPE ACT/360

COLLATERAL

PERCENTAGE

103.0000%

6.1. Describe how you can find US Treasury bond’s historical price chart for

the above mentioned Treasury bond. Attach a screenshot of all historical prices

starting on 11/01/2022 through the present.

Answer:

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Financial Services and Information Technology Lab

6.2. What were the (quoted) bond prices on trade date and settlement date?

Which one would you use to calculate the REPO and why?

Answer:

6.3. What is the accrued interest in dollar amount on settlement date?

Answer:

6.4. What is the duration of the REPO?

Answer:

6.5. How much money would the REPO buyer expect to receive on settlement

date?

Answer:

6.6. How much interest would the REPO seller expect to receive on

termination the date?

Answer:

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Financial Services and Information Technology Lab

Problem 7– (20 p)

On the day you get to the Bloomberg terminal, use the SWPM function and

start analyzing the fixed–float SWAP given the following: Notional = 100 Million,

Currency: USD, Tenor: 5 years, Leg 1: Pay fixed, Pay Frequency: Semi–Annual,

Leg 2: Receive Float, Reset Frequency : Quarterly, Pay Frequency: Quarterly, use

the interest rates posted on that day.

Attach all the screenshots and answer the following questions:

7.1. What is the swap rate?

Answer:

7.2. What is the market Value of the SWAP on the date you create the SWAP?

Answer:

7.3. Attach a screenshot of the Cash Flows for the Leg: Receive Float

Answer:

7.4. What is the DV01 for the fixed payer? What does it mean?

Answer:

7.5. If the interest rates go up by 1 basis point what is the impact on the swap

market value?

Answer