The following two tables give information on treasury prices and the holdings in a portfolio managed by Bob Smith

Term Structure
Maturity	Type	Par Coupon Rate	Treasury Price	B spread on Treasury Zeroes
1	Treasury	5.23%	$100.00	3%
2	Treasury	4.89%	$100.00	3%
5	Treasury	4.44%	$100.00	3%
10	Treasury	4.44%	$100.00	3%

Portfolio Values and Risk Management:

2. Given the discount rates (zero coupon curve) in Q1 above, compute the price of each asset in the portfolio using the asset cash flows through time. Assume that the B-rated bond cash flows are discounted at a spread of 3% to the zero-coupon curve.
4. Compute the total dollar value of each asset and of the total holdings and weight in each asset.
6. Compute DV01 and modified duration of each asset and for the entire portfolio. Assume that cash flows to the mortgage do not change with an increase/decrease of discount rates by small amounts.
8. Discuss in a couple of lines the interest rate risk of the portfolio (using the modified duration).

Answer rating: 100% (QA)

Portfolio Analysis for Bob Smith Based on the information provided we can analyze Bob Smiths portfolio and its interest rate risk 1 Asset Pricing We n... View the full answer