Finance Assignment | Top Essay Writing
March 17th, 2020
Question: Immunising Interest Rate Risk using Duration & a Hedging Portfolio
- Consider a financial institution that raises €250,000 by issuing fixed-income security, 10-year term to maturity, 2% coupon rate, 2% yield to maturity.
- The ECB is expected to cut its rates by 0.25% in the next 3 months
- Construct an Immunisation portfolio using the bonds listed below which are currently trading in the sovereign bond market. – and the bond price fn. , duration, solver fn in excel. Assume settlement 10/2/2020
Maturity |
Coupon |
YLD |
Freq |
15/11/2030 |
2.20% |
1.73% |
1 |
15/04/2032 |
3.10% |
2.10% |
1 |
15/11/2036 |
4.10% |
2.30% |
1 |
01/12/2036 |
5.00% |
2.32% |
1 |
15/10/2038 |
2.60% |
2.40% |
1 |
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