Consider the prices of the following three Treasury issues as of February 24, 2021: Maturity Bid Change Yield May 2025 Ask 118:16 118:18 103:16 103:18 -15 5.34 May 2025 5.30 May 2025 5.38 Coupon 6.920 8.370 12.180 -5 134:20 134:26 -15 The bond in the middle is callable in February 2022. What is the implied value of the call feature? (Hint: Is there a way to combine the two non-callable issues to create an issue that has the same coupon as the callable bond?) (Do not round intermediate calculations. Round the final answer to 2 decimal places. Omit $ sign in your response.) Call value 19.41

Consider the prices of the following three Treasury issues as of February 24, 2021: Maturity Bid Change Yield May 2025 Ask 118:16 118:18 103:16 103:18 -15 5.34 May 2025 5.30 May 2025 5.38 Coupon 6.920 8.370 12.180 -5 134:20 134:26 -15 The bond in the middle is callable in February 2022. What is the implied value of the call feature? (Hint: Is there a way to combine the two non-callable issues to create an issue that has the same coupon as the callable bond?) (Do not round intermediate calculations. Round the final answer to 2 decimal places. Omit $ sign in your response.) Call value 19.41

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter6: Fixed-income Securities: Characteristics And Valuation

Section: Chapter Questions

Problem 20P

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Consider the prices of the following three Treasury issues as of February 24, 2021: Bid Change Yield -12 Ask 110:10 110:12 103:10 103:12 134:25 134:31 Coupon 7.270 8.470 12.330 Maturity May 2025 May 2025 May 2025 Call value -6 -20 The bond in the middle is callable in February 2022. What is the implied value of the call feature? (Hint: Is there a way to combine the two non-callable issues to create an issue that has the same coupon as the callable bond?) (Do not round intermediate calculations. Round the final answer to 2 decimal places. Omit $ sign in your response.) $ 12.74 5.39 5.35 5.43
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