A three-month forward contract exists on a zero-coupon corporate bond with a current price per £100 nominal of £42.60. The yield available on three-month government securities is 6% pa effective. Calculate the forward price.
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- D3) You decide that you will issue floating rate bonds on 15 May 2021. The bonds have a face value of $1,000 anually semi-annual coupon payments at a rate based on BBSW plus a margin of 1.6%. The day fraction count to be Actual/365. If the BBSW is 3.1% on 15 May 2021 and 4.4% on 15 November 2021, how much interest will be payable on 15 November 2021?You enter into a forward contract to buy a 10-year, zero coupon bond that will be issued in one year. The face value of the bond is $1,000 and the 1-year and 11-year spot interest rates are 5.3 percent and 7.3 percent, respectively. a. What is the forward price of your contract? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) b. Suppose both the 1-year and 11-year spot rates unexpectedly shift downward by 1.5 percent. What is the new price of the forward contract? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Answer is complete but not entirely correct. a. Forward price 585.92 X b. New forward price 682.87 X $ $Assume that a 6-month forward contract on a zero-coupon bond with market face value of Php12,000 and is currently priced at Php8,000. With an annual risk-free interest rate of 5.0625%, the forward contract price under the no-arbitrage principle is Php8,000. Php7,794.87. Php7,500. Php8,200.
- You enter into a forward contract to buy a 10-year, zero coupon bond that will be issued in one year. The face value of the bond is $1,000 and the 1-year and 11-year spot interest rates are 5.3 percent and 7.3 percent, respectively. a. What is the forward price of your contract? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) b. Suppose both the 1-year and 11-year spot rates unexpectedly shift downward by 1.5 percent. What is the new price of the forward contract? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) a. Forward price b. New forward priceConsider a 1-year treasury bill that currently earns 3.25%. The increase in rates for the above bill is shown as follows: Year Increase in rate 1 year from now 3.6% 2 years from now 3.85% The liquidity premium is as follows: 2-year securities 3-year securities 0.07% 0.15% Assume that if the liquidity premium theory is correct. Calculate the current rate on 3-year Treasury securities.A bond, described in the exhibit below, is sold for a settlement on 8 April 2021.Annual Coupon rate:12%Coupon payment frequency: monthlyMaturity date*: Your ID number(4521) + Settlement dateDay count convention : 30 / 360Annual yield to maturity:9%Face value:1,000 USDCalculate the dirty price (full price), clean price (flat price) and accrued interest (AI). (* Example if your ID number 9876, then 8 April 2021 + 9876 days = 22 April 2048)
- A ten-year floating-rate note (FRN) has coupons referenced to 3-month pound LIBOR, and pays coupon interest quarterly. Assume that the current 3-month LIBOR is 4 percent. If the risk premium above LIBOR that the issuer must pay is 12.5 basis points, the next period's coupon payment on a £1,000 face value FRN will be Group of answer choices £31.25. £82.50. £165.00. £10.31.A bond, described in the exhibit below, is sold for a settlement on 8 April 2021.Annual Coupon rate:12%Coupon payment frequency: monthlyMaturity date*: 11396 + Settlement dateDay count convention : 30 / 360Annual yield to maturity:9%Face value:1,000 USDCalculate the dirty price (full price), clean price (flat price) and accrued interest (AI). * Example if your ID number 9876, then 8 April 2021 + 9876 days = 22 April 2048Assume that a 6-month forward contract on a zero-coupon bond with market face value of Php12,000 and is currently priced at Php8,000. With an annual risk-free interest rate of 5.0625%, the forward contract price under the no-arbitrage principle is a. Php8,000. b. Php7,794.87. c. Php7,500. d. Php8,200. Let's pretend the forward contract is truly worth Php8,300 instead of the no-arbitrage price determined above. This bond must be delivered 6 months from now due to a short position in the forward contract. In this case, the arbitrage entails borrowing Php8,000 at the risk-free rate of 5.0625%, purchasing the bond for Php8,000, and simultaneously taking a short position in the forward contract on the zero-coupon bond, obligated to deliver the bond for the forward price and receive Php8,300 at the contract's expiration. We can fulfill our forward contract obligations at the settlement date by delivering the zero-coupon bond for payment of Php8,300, regardless of its…
- A 10-year government bond has face value of OR 200 and a coupon rate of 6% paid semiannually. Assume that the interest rate is equal to 8% per year. What is the bond’s price? What is the reason for the difference in price on an annual and semiannually basis? Discuss the role of financial managers.A company must make a payment of $2500 in 5 years. Four-year zero coupon bonds and seven-year zero coupon bonds are available for investment. These bonds could be purchased in any quantity and the yield rate is 3% effective. Let A and B be the face values of the 4-year and 7-year zero-coupon bonds, respectively, that are purchased to satisfy full immunization against any changes in interest rates. Find A. Possible Answers A 1262 1431 C 1618 D 1725 E 19627. Suppose a bond is purchased with a settlement date of October 15 and the next coupon payment is on December 1. The par amount purchased on the bond is $100,000, and its annual coupon rate is 4% paid semiannually. (1) What is the accrued interest using the 30/360-day count convention? (2) What is the accrued interest using the actual/actual day count convention?