The following table shows yields to maturity on U.S. Treasury securities as of January 1, 2018: Term to Maturity Yield to Maturity 1 year 3.30% 2 years 4.20% 3 years 4.80% 5.20% 6.00% 6.70% 4 years 5 years 10 years Based on the data in the table, calculate the implied forward one-year rate of interest at January 1, 2021. Do not round intermediate calculations. Round your answer to two decimal places.
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- The table shows term to maturity of Australian bonds and their respective yields on 22 April 2021. Using this information answer the following questions. Will the market interest rate increase or decrease in the future? Explain clearly. Term to Maturity Bond Yield 1 year 0.07% 2 years 0.07% 5 years 0.70% 10 years 1.66% 20 years 2.42% 30 years 2.64%U.S. Treasury STRIPS, close of business February 15, 2019: Maturity Feb 2020 Price 97.123 Maturity Price Feb 2023 90.066 Feb 2021 94.770 Feb 2024 Feb 2022 92.424 Feb 2025 87.528 85.410 a. According to the pure expectations theory of interest rates, how much do you expect to pay for a five-year STRIPS on February 15, 2020? (Do not round intermediate calculations. Enter your answer as a percent rounded to 3 decimal places.) Price b. According to the pure expectations theory of interest rates, how much do you expect to pay for a two-year STRIPS on February 15, 2022? (Do not round intermediate calculations. Enter your answer as a percent rounded to 3 decimal places.) Pricealculate the market price of each bond on 23rd April 2021 that issued by AAA Ltd., using the data provided in the table below. What is the current total value of minimum application? Time to Maturity U.S. Treasury Bond Yield1 Yr 0.12%2 Yr 0.14%3 Yr 0.20%4 Yr 0.25%5 Yr 0.27%7 Yr 0.46%10 Yr 0.67% Corporate Bonds Fact SheetIssuer: AAA Company Ltd.Issuing date: 23rd April 2021Bond expiration date: 25th April 2025Face value: $ 1000 per bond.Minimum application: 50 Bonds ($ 50,000)Interest rate: Floating Interest Rate. The Interest Rate isthe sum of the Market Rate plus the Margin.Coupon rate (annual): Central Government Bond Yield + 1.86%p.a.Coupon payment: Annually (coupon payment is paid on 10thJuly every year)Market Yield :4.00%
- Today is Jan. 1, 2019. Below is a Treasury Strip quote: Treasury Bond, Stripped Principal Maturity Bid Asked Change Ask Yield 2,022 Jan 1 ????? ????? -0.125 6.689 What is the Asked Quote? Do not round intermediate calculations. Round your answers to 3 decimal places. (e.g., 32.164))Determinants of Interest Rate for Individual Securities The Wall Street Journal reports that the rate on 3-year Treasury securities is 7.40 percent, and the 6-year Treasury rate is 7.65 percent. From discussions with your broker, you have determined that expected inflation premium is 2.90 percent next year, 3.15 percent in Year 2, and 3.35 percent in Year 3 and beyond. Further, you expect that real interest rates will be 3.70 percent annually for the foreseeable future. What is the maturity risk premium on the 6-year Treasury security?1. The following table shows the yield to maturity (YTM) of various types of bonds on March 15, 2022. 2-year 5-year 10-year U.S. Treasury Corp. AAA Corp. AA 2.216% 2.704% 3.159% 1.852% 2.107% 2.146% 2.117% 2.535% 2.942% The YTM of a 3-month T-bill is 0.46%. a. What is the expected yield of a three-year Treasury two years from the date above according to the pure expectations theory? b. What is the risk premium of a 5-year T-note? c. What explains the 0.428% difference in YTM between a 5-year U.S. Treasury and a 5-year AAA corporate bond?
- On December 8, 2021, the yields on Treasury bonds with different maturities were as follows: Maturity 1 Month 1 Year 2 Years 5 Years 10 Years YTM 0.04% 0.29% 0.68% 1.27% 1.52% 30 Years 1.87% Which of the following statements is an appropriate interpretation of these data? The market is expecting future short-term rates to decrease. The market is expecting a recession in the near future. The market is not expecting future short-term rates to decrease. The risk of default is rising over time. The market demands a short-term risk premium.Calculate the modified duration? Issue Price Yield to maturity US Treasury bond 15 4/5% maturing 3 July, 2030 1000 15.8% No of years = 5 years ( July 3, 2025) One US Treasury bonds futures contract is a claim on $ 1,000,000 par value long-term US Treasury bondsU.S. Treasury STRIPS, close of business February 15, 2019: Maturity Price Maturity Feb 2020 97.123 Feb 2021 94.770 Feb 2022 92.424 Feb 2023 Feb 2024 Feb 2025 STRIPS Feb 20 STRIP: Feb 21 STRIP: Feb 22 STRIP: Feb 23 STRIP: Feb 24 STRIP: Feb 25 STRIP: a. Calculate the quoted yield for each of the STRIPS given in the table above. (Input all amounts as positive values. Do not round intermediate calculations. Enter your answers as a percent rounded to 3 decimal places.) Quoted yield Price 90.066 87.528 85.410 % % % % % % +