ch11immexm_i - 5yrHP 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16...

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5yrHP Page 1 Holding Period Immunization Example: YTM 0.12 Mar Price 1111.93 Coupon R 0.14 Maturity 7 Par Value 1000 Holding P 5 Duration 5 If Rates Increase by 200 basis points If Rates Increase by 100 basis points Rate 0.14 Rate 0.13 FV of CPS 917.74 FV of CPS 899.7 SalesP 1006.95 SalesP 1023.82 Total 1924.69 Total 1923.52 IRR 0.12 IRR 0.12 If Rates Decrease by 200 basis points If Rates Decrease by 100 basis points Rate 0.1 Rate 0.11 FV of CPS 847.6 FV of CPS 864.64 SalesP 1077.15 SalesP 1058.9 Total 1924.74 Total 1923.53 IRR 0.12 IRR 0.12 A B C D E F G H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
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Sol 1 - 7 year HP Page 2 Immunization Example: YTM 0.13 Mar Price 1052.33 Coupon R 0.14 Maturity 14 Par Value 1000 Holding P 7 Duration 7 If Rates Increase by 200 basis points If Rates Increase by 100 basis points Rate 0.15 Rate 0.14 FV of CPS 1557.17 FV of CPS 1509.84 SalesP 951.85 SalesP 993.04 Total 2509.02 Total 2502.89 IRR 0.13 IRR 0.13 If Rates Decrease by 200 basis points
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ch11immexm_i - 5yrHP 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16...

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