Question 15 A ii) asks for the role of yield in the attribution of the mentioned portfolio. Investor Domestic Currency: Local Currency of Bond Investment: Yen value of investment: Dec 31: 20,976 - >Jan 30: 21,837 The answer gives the Yield with 0.64%. Does anyone know why? Thanks! Dec 31: Nominal Investment Market price (Y) Accr Interest Accrued Int () Govt 2M 91.0% 0.52% 45 EIB 3M 98.5% 3.47% 447 Jan 30: Nominal Investment Market price (Y) Accr Interest Accrued Int () Govt 2M 90.0% 1.04% 94 EIB 3M 96.9% 4.16% 562
Reposted due to the numbers at the bottom being unreadable: Question 15 A ii) asks for the role of yield in the attribution of the mentioned portfolio. Investor Domestic Currency: Local Currency of Bond Investment: Yen value of investment: Dec 31: 20,976 - >Jan 30: 21,837 The answer gives the Yield with 0.64%. Does anyone know why? Thanks! Dec 31: _________Nominal Investment___ Market price (Y) __Accr Interest___ Accrued Int () Govt \_\_\_\_\_\_\_\_\_\_2M \_\_\_\_\_\_\_\_\_\_\_\_91.0%\_\_\_\_\_\_\_\_\_\_\_\_0.52%\_\_\_\_\_\_\_\_\_\_ 45 EIB \_\_\_\_\_\_\_\_\_\_\_3M \_\_\_\_\_\_\_\_\_\_\_\_98.5%\_\_\_\_\_\_\_\_\_\_\_\_3.47%\_\_\_\_\_\_\_\_\_\_\_447 Jan 30: \_\_\_\_\_\_\_\_\_Nominal Investment\_\_\_\_\_ Market price (Y)\_\_\_Accr Interest\_\_Accrued Int () Govt_________2M__________________90.0%_________1.04%_________94 EIB__________3M__________________96.9%_________4.16%_________562
interest with bond = increase in accrued interest of the 2 bonds in local currency = 2 mill x (1.04%-0.52%) + 3 mill x (4.16%-3.47%) = 31100 (yen) yield component = interest / beginning value = 31100 / 4889500 = 0.64% - sticky
Actually I have another question with part (B). How do you get the capital gain of Japanese bond? (1.51%) - sticky
Sticky, you have 96.9 - 98.5 = -1.51