GWU Use Bloomberg Terminal Principle by Coupon Rate Paper

Use Bloomberg Terminal *Screenshots Needed*

Problem 1: Convert a semi-annual yield of 4.123% with a day count of ACT/ACT to an annual yield with a day count of 30/360 and show the 2 screenshots of the Bloomberg functions used:

Start date: January 4, 2016 ; Final date: October 10, 2020 ; Initial Amount: $1,000,000

Problem 2: Attach a screenshot of most recent US Treasury bills, notes and bonds using Thomson Reuter’s Eikon as well as Bloomberg. What is the CUSIP number of the most recent US 10-year US Treasury? How about the most recent 30 –yr US Treasury?

Problem 3: Answer the following questions related to the following German bond.

3.1. What would you have paid for the following bond on the settlement date: November 13, 2020 for 1,000,000 Euro of DBR 1 1/4 08/15/48 to obtain an yield of 1.00%? Draw the Cash Flows timeline and show the Bloomberg functions used.

3.2. Using Bloomberg, derive the clean bond price, dirty price and accrued interest and attach screenshots of the cash flows and price calculation?

Clean price:

Dirty price:

Accrued Interest:

Problem 4: Using Bloomberg, find the bond of Centex Corp. which matured on May 1, 2016 and answer the following questions

4.1. What was the ticker?

4.2.What was the CUSIP Number ?

4.3.What was the Issue Price?

4.4.What were the most recent bond ratings?

4.5.What type of bond was it?

4.6. What Bloomberg function do we use to find out if investors were protected in case of a LBO or event of default? Were there any negative or positive pledges? How about any restrictive covenants? Can you please describe what these covenants mean?

4.7.What would you have paid on settlement date: December 1, 2015 for 1,000,000 USD of the above mentioned bond to obtain an yield of 2.0%? Draw the Cash Flows timeline and attach 2 screenshots of the clean price, dirty price, accrued interest and cash flows?

Dirty Price:

Clean Price:

Accrued Interest:

Problem 5. Using Bloomberg, calculate and explain Macaulay Duration, Modified Duration, Bloomberg Risk, Convexity and DV 01 for 1,000,000 Euro of the DBR 2 1/2 08/15/46 on settlement date: November 13, 2020 given a yield of 1%.

5.1. Macaulay Duration:

5.2. Modified Duration:

5.3. Bloomberg Risk:

5.4. Convexity:

5.5. How much money you can make/lose per 1bpv on your 1,000,000 Euro position on settlement date: 11/13/2020?

Problem 6. Use the RRRA and other relevant functions in Bloomberg to answer the following questions assuming that you would use the US government bond listed below as collateral

6.1. Describe how you can find US Treasury bond’s historical price chart for the above mentioned Treasury bond. Attach a screenshot of all historical prices starting on 11/01/2020 through the present.

6.2. What were the (quoted) bond prices on trade date and settlement date? Which one would you use to calculate the REPO and why?

6.3. What is the accrued interest in dollar amount on settlement date?

6.4. What is the duration of the REPO?

6.5. What is the market value of your collateral on settlement date?

6.6. How much money would the REPO buyer expect to receive on settlement date?

6.7. How much interest would the REPO seller expect to receive on termination the date?

Problem 7-

On the day you get to the Bloomberg terminal, use the SWPM function and start analyzing the fixed-float SWAP given the following: Notional = 100 Million, Currency: USD, Tenor: 5 years, Leg 1: Pay fixed, Pay Frequency: Semi-Annual, Leg 2: Receive Float, Reset Frequency : Quarterly, Pay Frequency: Quarterly, use the interest rates posted on that day.

Attach all the screenshots and answer the following questions:

7.1. What is the swap rate?

7.2. What is the market Value of the SWAP on the date you create the SWAP?

7.3. Attach a screenshot of the Cash Flows for the Leg: Receive Float

7.4. What is the DV01 for the fixed payer? What does it mean?

7.5. If the interest rates go up by 1 basis point what is the impact on the swap market value?

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