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Using the Bloomberg YAS screen below, answer the following questions.
(1) Using the nominal spread and Z-spread, tell me whether this bond is undervalued or overvalued? - Overvalued
(2) What is the DV01 of the bond for $1,000 par value?
(3) What is the dollar price change for a 50-basis-point decrease in interest rates for $1,000 par value? You can use the modified duration.
(4) What is the percentage change in price for a 50-basis-point decrease in interest rates for $1,000 par value? You can use the modified duration.
Yield and Spread Analysis 99 Buy 99 Sell 3 NFLX 5% 11/15/28 Corp Settings 121.850/122.372 2.855/2.791 BMRK@ 09:12 No Notes 1 Yield & Spread Graphs 3) Pricing Description S Custom NFLX 5 %. 11/15/28 ( 64110LAT3 ) Risk Spread 213.34 bp vs 10YTO: 08/15/30 Price 122.372 99-22 09:12:35 O M.Dur Dur Yield 2.790981 Wst 0.657598 S/A Risk Wkout 11/15/2028 @ 100.00 Consensus Convexity Settle 09/16/20 09/15/20 DV. 01 on 1MM Benchmark Risk Risk Hedge Proceeds Hedge Spreads Yield Calculations Invoice 11 G-Sprd 226.0 Street Convention 2.790981 Face 12 1-Sprd 224.4 Equiv 1 /Yr 2.810455 Principal 13 Basis -93.7 Mmkt (Act/360) Accrued (121 Days) 14 Z-Sprd 227.9 True Yield 2.790756 Total (USD) 19 ASW 250.5 Current Yield 4.801 10 OAS 229.9 17 TED -223.5 Workout 6.578 8.179 0.525 818 9.568 855M 1,247M OAS 6.617 8.228 0.530 823 9.682 850M 1,000 M 1,223,720.00 19,746.53 1,243,466.53 120 133.7. 3600 BS.2.2018.urope : 2.399 398026178.com sope 314676449-303-31-322 55 EDT GMT+100 Yield and Spread Analysis 99 Buy 99 Sell 3 NFLX 5% 11/15/28 Corp Settings 121.850/122.372 2.855/2.791 BMRK@ 09:12 No Notes 1 Yield & Spread Graphs 3) Pricing Description S Custom NFLX 5 %. 11/15/28 ( 64110LAT3 ) Risk Spread 213.34 bp vs 10YTO: 08/15/30 Price 122.372 99-22 09:12:35 O M.Dur Dur Yield 2.790981 Wst 0.657598 S/A Risk Wkout 11/15/2028 @ 100.00 Consensus Convexity Settle 09/16/20 09/15/20 DV. 01 on 1MM Benchmark Risk Risk Hedge Proceeds Hedge Spreads Yield Calculations Invoice 11 G-Sprd 226.0 Street Convention 2.790981 Face 12 1-Sprd 224.4 Equiv 1 /Yr 2.810455 Principal 13 Basis -93.7 Mmkt (Act/360) Accrued (121 Days) 14 Z-Sprd 227.9 True Yield 2.790756 Total (USD) 19 ASW 250.5 Current Yield 4.801 10 OAS 229.9 17 TED -223.5 Workout 6.578 8.179 0.525 818 9.568 855M 1,247M OAS 6.617 8.228 0.530 823 9.682 850M 1,000 M 1,223,720.00 19,746.53 1,243,466.53 120 133.7. 3600 BS.2.2018.urope : 2.399 398026178.com sope 314676449-303-31-322 55 EDT GMT+100
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