Question: can someone help with question 1-5 Section One: Easy (10 points each) 1 What is the price of UST 2% 5yr UST? See Market Data:

can someone help with question 1-5

Section One: Easy (10 points each) 1 What is the price of UST 2% 5yr UST? See Market Data: 5yr UST yield is 2.77%... What is the price of UST 3X 10yr UST? 2 See Market Data: 10yr UST yield is 2.97%... What is the price of Apple (AA Rated) AAPL 3X 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 Appendix: Market Data UST Yield Curve XOCA Credit Spreads In Bps, for Rating & Maturity 3yr Syr 7yr 10yr 5 10 15 20 15 20 25 30 35 40 45 50 65 70 75 80 AAA AA A BBB 30yr 25 35 55 85 2100 2 2.400 2.200 Credit Spreads are quoted in bps Remember: a bps is 1/100 of 1% For example, 25 bps = 0.25% 2.000 1 2 1 5 30 30 VM 2.250 200 2550 2.670 270 2.8502.910 2.950 2.970 2.970 2970 Matutyan

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