Calculate the Dirty Price - Finance Assignment Help

Assignment Task :

1.- Calculate the Dirty Price, Accrued Coupon and Clean Price of a bond with the  following characteristics: 

Settlement date: 16/12/2020 

Annual Coupons paid every March 16th 

Coupon: 2.5%, Act/365, Adjusted 

Last coupon paid on 16/03/2020 

Maturity: 16/03/2023 

YTM: 1.25%, Act/365 Adjusted 

2.- You Bought a Bond at a clean price of 107.25 on January 15th, 2020, 3 months later  you sold it at a clean price of 107.55. Last coupon was paid on May 15th, 2019. The Bond  pays annual coupons of 5% Act/Act Unadjusted (you can calculate accrued interest on a  monthly basis).  

Calculate the Total Return, The Price Return and the Income Return. 

3.- You have Treasury Bills (Nominal per TB is 1,000 USD) on your Portfolio with Market  price of 99.25 for a Nominal amount of 500,000,000 USD. You need extra liquidity for  the next month and you decide to Borrow money through a REPO using the Treasury Bill as collateral. If REPO RATE is quoted at 0.45% Act/360 in a Period of 1 month (31 days). 

Calculate the terms of the REPO transaction: Initial Cash, Initial Price, Final Cash and  final price and indicate the Cash Flows. 

4.- As a portfolio Manager you are Long in a Nominal of 500,000,000 USD of a Corporate  Bond on ABC Corp with a Sensitivity of 6.5 bp. After attending a research conference  where some Macro threatens are described for ABC Sector, you decide to “switch” the  ABC Bond for a Treasury Bond with a Sensitivity of 6.1 bp.  

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