## 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 semiannual 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 10year US Treasury? How about
for the most recent 30 yr US Treasury? (5p)

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.

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3.2. Using Bloomberg, derive the clean bond price, dirty price and accrued
interest and attach screenshots of the cash flows and price calculation?

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?

4.2.What was the CUSIP Number ?

4.3.What was the Issue Price?

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4.4.What type of bond was it?

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
these covenants mean?

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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

5.2. Modified Duration

5.3. Benchmark Risk

5.4. Convexity

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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:?

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

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.

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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?

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

6.4. What is the duration of the REPO?

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

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

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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 fixedfloat SWAP given the following: Notional = 100 Million,
Currency: USD, Tenor: 5 years, Leg 1: Pay fixed, Pay Frequency: SemiAnnual,
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?

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

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