2 Section One: Easy (10 points each) What is the price of UST 2% 5yr UST? 1 See Market Data: Syr UST yield is 2.77%... What is the price of UST 3% 10yr UST? See Market Data: 10yr UST yield is 2.97%... What is the price of Apple (AA Rated) AAPL 3% 10yr? See Market Data: we know it is priced to 10yr UST yield (2.97%) plus credit spread (30 bps) for a total YTM of 3.27%... What is the price of JP Morgan (AA Rated) JPM 2X 3yr? See Market Data: we know it is priced to 3yr UST yield (2.55%) plus credit spread (15 bps) for a total YTM of 2.70%... What is the price of a zero coupon UST, maturing 10 years from today? See Market Data: it is priced to the 10yr UST yield of 2.97%... 3 4 5 Section Two: Intermediate (7 points each) You own $1 mil Par Amount of the UST 3% 30yr bond. What is the dollar value of this holding? 6 7 If UST yields fall 25 bps... What is the new dollar value of the $1 mil Par Amount of UST 3X 30yr bond? 2 Section One: Easy (10 points each) What is the price of UST 2% 5yr UST? 1 See Market Data: Syr UST yield is 2.77%... What is the price of UST 3% 10yr UST? See Market Data: 10yr UST yield is 2.97%... What is the price of Apple (AA Rated) AAPL 3% 10yr? See Market Data: we know it is priced to 10yr UST yield (2.97%) plus credit spread (30 bps) for a total YTM of 3.27%... What is the price of JP Morgan (AA Rated) JPM 2X 3yr? See Market Data: we know it is priced to 3yr UST yield (2.55%) plus credit spread (15 bps) for a total YTM of 2.70%... What is the price of a zero coupon UST, maturing 10 years from today? See Market Data: it is priced to the 10yr UST yield of 2.97%... 3 4 5 Section Two: Intermediate (7 points each) You own $1 mil Par Amount of the UST 3% 30yr bond. What is the dollar value of this holding? 6 7 If UST yields fall 25 bps... What is the new dollar value of the $1 mil Par Amount of UST 3X 30yr bond