JAmEs WAitErs,CFA, is An ACtivE FixED inComE portFolio mAnAgEr. HE mAnAgEs A portFolio oF FixED inComE sECuritiEs worth $ 7500000 For An institutionAl CliEnt. WAitErs ExpECts A wiDEning yiElD sprEAD BEtwEEn intErmEDiAtE AnD long tErm sECuritiEs. HE woulD likE to CApitAlizE on his ExpECtAtions AnD ConsiDErs sEvErAl trAnsACtions in A numBEr oF DiFFErEnt sECuritiEs. On 01/31/ 06, WAitErs ExpECts thE yiElD oF thE 2 - YEAr TrEAsury NotE to DECrEAsE By 10 BAsis points AnD thE yiElD oF thE 30 - YEAr TrEAsuryBonD to inCrEAsE By 11 BAsis points. ThE ChArACtEristiCs oF thEsE two FixED inComE sECuritiEs ArE shown in TABlE 1. PriCEs ArE quotED As A pErCEntAgE oF pAr vAluE AnD thE PriCE VAluE oF ABAsis Point is pEr $1 million pAr Amount.
A、TABlE 1 SECurityChArACtEristiCs
B、
C．2 - YEAr T - NotE
D．30 - YEAr T -BonD
E．MAturity
F．01/31/08
G．11/15/35
H．BiD-Ask SprEAD (BAsis points)
I．5.0
J．5.0
K．Coupon
L．5.375%
M．6.125%
N．BiD PriCE
O．99.7236
P．104.6086
Q．Ask PriCE
R．99.7736
S．104.6586
T．YiElD to MAturity
U．5.51%
V．5.80%
W．PriCE VAluE oF ABAsis Point
X．186.6484
Y．1461.1733