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Download and read this document by clicking on 1. What are the

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1.      What are the underlying assets in Asset-Backed Commercial Paper? List 2 or more.

2.      Is Asset-Backed Commercial Paper (ABCP) secured or unsecured?

3.      Why does offer higher yields than traditional commercial paper to investors ?

4.      What is the role of ABCP conduit?

5.      Given an example of seller in the ABCP conduit (listed in the graph on page 2)

6.      What is the role of credit enhancement provider?

You would need your financial calculator for Chapter 03 lecture and assignments

Bond Interest Rate Risk

bond A

Coupon rate


Payment frequency/year


Face value


Current required rate of return


Time to Maturity (year)


Bond Price


rate rises


Bond Price (new)


Percentage change in bond price


rate falls


Bond Price (new)


Percentage change in bond price


A semi-annual coupon paying bond,

Annual Coupon Rate


Payment per year


Face Value

Years to maturity



Required return (APR)


Duration = 5.152 years

1.      If the market rate rises by 0.25%, use TVM to compute new bond price, and % change in bond price

2.      Use to calculate % change in bond price

3.      Compare 1 vs. 2

4.      If the market rate rises by 0.75%,, use TVM to compute % change in bond price

5.      Use to calculate % change in bond price

6.      Compare 3 vs. 4

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