Answer: CNY 9.33

## Explanation **Forward Bucket '01 Calculation** The forward bucket '01 measures the change in a bond's value when forward rates in a specific time bucket increase by 1 basis point (0.01%). ### Step 1: Calculate Current Bond Value - Annual coupon = 5% × CNY 100,000 = CNY 5,000 - Flat forward rate curve at 3% - Maturity = 3 years Current bond value: $$ \frac{5,000}{1.03} + \frac{5,000}{1.03^2} + \frac{105,000}{1.03^3} = 105,657.22 $$ ### Step 2: Apply 1 bp Shift to 2-3 Year Forward Bucket When forward rates in the 2-3 year bucket increase by 1 bp: - Year 1 forward rate remains at 3% - Year 2 forward rate becomes 3.01% - Year 3 forward rate becomes 3.01% Bond value after shift: $$ \frac{5,000}{1.03} + \frac{5,000}{1.03 \cdot 1.0301} + \frac{105,000}{1.03 \cdot 1.0301 \cdot 1.0301} = 105,647.89 $$ ### Step 3: Calculate Forward Bucket '01 $$ \text{Forward Bucket '01} = 105,657.22 - 105,647.89 = \text{CNY } 9.33 $$ ### Why Other Options Are Incorrect - **B (CNY 19.11)**: Incorrectly calculates the bond value after shift as 105,638.11 - **C (CNY 20.04)**: Incorrectly applies the shift to wrong periods - **D (CNY 27.98)**: Incorrectly applies the shift only to the final cash flow This calculation demonstrates how forward bucket '01 isolates the interest rate sensitivity of cash flows in specific forward time periods.

Author: LeetQuiz .