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An analyst specializing in fixed-income securities is conducting an evaluation of the profit and loss (P&L) for a bond over a six-month period. This bond, which carries a semi-annual 2% coupon rate, had two years remaining until its maturity at the beginning of the analysis period. The following table provides relevant data about the bond's prices and the market rates, both compounded semi-annually:
Beginning | Ending | Bond price (SGD) | Bond spread (bps) | Forward rates (periods in years) |
---|---|---|---|---|
100.35 | 30 | 0-0.5 | ||
0.5 - 1 | ||||
1 - 1.5 | ||||
1.5-2 | ||||
101.24 | 20 | 0.8% | ||
1.4% | ||||
1.8% | ||||
2.1% | ||||
2.0% |
The analyst computed the carry roll-down of the bond and determined the ending value to be SGD 100.55, using the forward rate assumption for this calculation. Based on this information, determine the portion of the bond's P&L attributable to rate fluctuations over the six-month period.