What is the price impact of a 10-year corporate bond

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What is the price impact of a 10-year corporate bond with a 5.75% coupon rate priced at par ($100) with an instantaneous 75bps widening in spread due to an issuer's recent announcement that they were adding a significant amount of debt to finance an acquisition which resulted in their debt being downgraded from Aa3 to A2, a 2-notch downgrade. Assume the bond has a Macaulay duration of 7.88 years and its Convexity is 71.375.

Reference no: EM133109484

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