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1、固定收益证券投资：分析和估值(一)(总分：53.00，做题时间：90 分钟)一、B单项选择题/B(总题数：1，分数：53.00)The investor would prefer the municipal bond because thetaxable-equivalent yield is greater than the yield on the corporate bond:6.4%6.375%.（分数：53.00）(1).Assume a city issues a$5 million bond to build a new arena.The bond pays 8 percent
2、 semiannualinterest and will mature in 10 years.Current interest rates are 9 percent.What is the pres entvalue of this bond and what will the bonds value be in seven years from today?Present ValueValue in 7 Years from Today A.4674802 4931276 B.5339758 4871053 C.4674802 4871053 A.B.C.（分数：1.00）A.B.C.D
3、.解析：Since the current interest rate is above the coupon rate the bond will be issued at a discount.FV=$5000000,N=20,PMT=0.045 million=$200000,I/Y=4.5,CPT PV=$-4674802.Since the currentinterest rate is above the coupon rate the bond will be issued at a discount.FV=$5000000,N=6,PMT=0.045 million=$2000
4、00,I/Y=4.5,CPT PV=$-4871053.(2).An investor has the following options available to them:They can buy a 10%semi annual coupon,10-year bond for$1000.The coupons can be reinvested at 12%.They estimate the bond will be sold in 3 years$1050.Based on this information,what would be the average annual rate
5、of return over the 3 years?A.11.5%.B.13.5%.C.10.0%.（分数：1.00）A.B.C.D.解析：The FV of the coupons and interest on interest:N=32=6;I=12/2=6;PMT=50;FV=348.77.Thevalue of the bond at the end of 3 years is given,1050.00.FV=1398.77(348.77+1050.00),PV=1000,N=6;I=5.752=11.5%.(3).A bond has a par value of$1000,a
6、 time to maturity of 20 years,a coupon rate of 10 percentwith interest paid annually,a current price of$850,and a yield to maturity(YTM)of 12 percent.If the interest payments are reinvested at 10 percent,the realized compounded yield on this bondis:A.10.00%.B.12.0%.C.10.9%.（分数：1.00）A.B.C.D.解析：The re
7、alized yield would have to be between the reinvested rate of 10%and the yield tomaturity of 12%.(4).A non-callable bond with 18 years remaining maturity has an annual coupon of 7 percent anda$1000 par value.The current yield to maturity on the bond is 8 percent.Which of the followingis closest to th
8、e effective duration of the bond?A.9.63.B.11.89.C.8.24.（分数：1.00）A.B.C.D.解析：First,compute the current price of the bond as:FV=$1000,PMT=$70,N=18,I/Y=8%,computePV=$906.28.Then compute the price of the bond if rates rise by 50 basis points to 8.5%as:FV=$1000,PMT=$70,N=18,I/Y=8.5%,compute PV=$864.7.Then
9、 compute the price of the bond if rates fallby 50 basis points to 7.5%as:FV=$1000,PMT=$70,N=18,I/Y=7.5%,compute PV=-$951.47.The formulafor effective duration is:(V_-V+)/(2V0y).Therefore,effective duration is:($951.47-$864.17)/(2$906.280.005)=9.63.(5).If a bond has a convexity of 120 and a modified d
10、uration of 10,what is the convexity adjustmentassociated with a 25 basis point interest rate decline?A.-2.875%.B.-2.125%.C.+0.075%.（分数：1.00）A.B.C.D.解析：Con adj=+(120)(-0.0025)(-0.0025)=+0.000750 or 0.075%.(6).If interest rates fall,the:A.callable bonds price rises faster than that of a noncallable bu
11、t otherwise identicalbond.B.callable bonds price rises more slowly than that of a noncallable but otherwiseidentical bond.C.value of call option embedded in the callable bond fails.（分数：1.00）A.B.C.D.解析：When a callable bonds yield falls to a certain point,the price will increase at a decreasingrate as
12、 the yields continue to fall.Compare this to a noncallable bond where,as the yield fallsthe price rises at an increasing rate.(7).For an option-flee bond,if yields increase by 200 basis points,the parts of the totalestimated percentage price change attributable to duration and the convexity adjustme
13、nt,respectively,will most likely be:Part of the total estimated percentage price changeattributable to duration Part of the total estimated percentage price change attributable to theconvexity adjustment A.Negative Positive B.Negative Negative C.Positive Positive A.B.C.（分数：1.00）A.B.C.D.解析：The total
14、estimated price change for the bond is composed of the estimation based on theconvexity.An option-free bond will exhibit positive convexity(gains will be greater than lossesgiven a change in yields)making the reduction price less than that implied by duration alone.(8).An investor gathered the follo
15、wing information about two 7 percent annual-pay,option-freebonds:Bond R has 4 years to maturity and is priced to yield 6 percentBond S has 7 years to maturity and is priced to yield 6 percentBoth bonds have a par value of$1000.Given a 50 basis point parallel upward shift in interest rates,what is th
16、e value of the two-bondportfolio?A.$2044.B.$2030.C.$2086.（分数：1.00）A.B.C.D.解析：Given the shift in interest rates,Bond R has a new value of$1017(N=4,PMT=70,FV=1000,I/Y=6.50%,CPT PV=1017).BondSs new value is$1027(N=7,PMT=70,FV=1000,L/y=6.50%,CPT PV=1027).After the increase in interest rates,the new valu
17、e of the two-bond portfolio is$2044(1017+1027).(9).The six-month Treasury bill has a yield to maturity of 5 percent.The one-year Treasury bill,with zero coupon,has a yield to maturity of 6 percent.If a Treasury note with a maturity of1.5 years and a coupon rate of 6 percent is priced at 97.32,whats
18、the implied spot rate of 1.5years?A.7.00%.B.7.50%.C.8.00%.（分数：1.00）A.B.C.D.解析：97.32=3/1.025+3/(1.03)+103/(1+r/2)97.32=2.93+2.83+103/(1+r/2)91.56=103/(1+r/2)(1+r/2)=1.125r=0.08 or 8%(10).Which of the following statements concerning arbitrage-free bond prices is FALSE?33323A.The riskier the bond,the g
19、reater is its credit spread.B.It is not possible to strip coupons from U.S.Treasuries and resell them.C.The determination of spot rates is usually done using risk-free securities.（分数：1.00）A.B.C.D.解析：It is possible to both strip coupons from U.S.Treasuries and resell them,as well as toaggregate strip
20、ped coupons and reconstitute them into U.S.Treasury coupon bonds.Therefore,arbitrage arguments ensure that U.S.Treasury securities sell at or very near their arbitragefree values.(11).Consider a$1000-facevalue,12-year,8%,semiannual coupon bondwith a YTM of 10.45%.The change in value for a decrease i
21、n yield of 38 basis points is:A.$21.18B.$22.76.C.$23.06.（分数：1.00）A.B.C.D.解析：With YTM=10.45%(I/Y=5.225),PMT=40,N=24,FV=1000,PV=$834.61.With YTM=10.07%(I/Y=5.035),PV=$857.67,an increase of$23.06.(12).If a$1000 bond has a 14 percent coupon rate and a current market price of 950,what is thecurrent marke
22、t yield?A.14.74%.B.14.00%.C.15.36%.（分数：1.00）A.B.C.D.解析：141000=$140 coupon,140/950100=14.74.(13).If market rates do not change,as time passes the price of a zero-coupon bond will:A.approach zero.B.approach the purchase price.C.approach par.（分数：1.00）A.B.C.D.解析：A bonds value may differ substantially fr
23、om its maturity value prior to maturity.Butas maturity draws nearer the bonds value converges to its maturity value.This statement istrue for regular bonds as well as zero-coupon bonds.(14).The 3-year annual spot rate is 7%,the 4-year annual spot rate is 7.5%,and the 5-year annualspot rate is 8%.Bas
24、ed on the pure expectations theory of interest rates,the 1-year implied forwardrate in four years is closest to:A.10.00%.B.7.75%.C.9.00%.（分数：1.00）A.B.C.D.解析：4r1=(1+R5)/(1+R4)-1=(1.08)/(1.075)-1=1.47/1.335-1=0.10 or 10%.(15).A bond with an 8 percent semi-annual coupon and 10-year maturity is currentl
25、y priced at$904.52 to yield 9.5percent.If the yielddeclines to 9 percent,the bonds price will increaseto$934.96,and if the yield increases to10 percent,the bonds price will decrease to$875.38.Estimate the percentage price change for a 100 basis point change in rates.5454A.4.35%.B.2.13%.C.6.58%.（分数：1
26、.00）A.B.C.D.解析：(price when yields fall-price when yields rise)/2(initialprice)0.005=($934.96-875.38)/2$904.520.005=$59.58/$9.05=6.58.(16).A bond with a 12 percent coupon,10 years to maturity and selling at 88 has a YTM of:A.between 10%and 12%.B.between 13%and 14%.C.over 14%.（分数：1.00）A.B.C.D.解析：PMT=1
27、20,N=10,PV=-880,FV=1000;I=14.3.(17).Consider a 10 percent,10-year bond sold to yield 8 percent.One year passes and interestrates remained unchanged(8 percent).What will have happened to the bonds price during thisperiod?A.It will have decreased.B.It will have increased.C.It will have remained consta
28、nt.（分数：1.00）A.B.C.D.解析：The bond is sold at a premium,as time passes the bonds price will move toward par.Thusit will fall.N=10;FV=1000,PMT=100;I=8;CPT PV=1134.N=9;FV=1000,PMT=100;I=8;computePV=1125.(18).Why should effective duration,rather than modified duration,be used when bonds containembedded op
29、tions?A.Effective duration considers expected changes in cash flows.B.Modified duration considers expected changes in cash flows.C.Either could be used if the bond has embedded options.（分数：1.00）A.B.C.D.解析：Modified duration assumes that the cash flows on the bond will not change(i.e.,thatwe are deali
30、ng with non-callable bonds).This greatly differs from effective duration,whichconsiders expected changes in cash flows that may occur for bonds with embedded options.(19).Which of the following statements concerning the current yield is CORRECT?It:A.is of great interest to conservative bond investor
31、s seeking current income.B.is of great interest to aggressive bond investors seeking capital gains.C.shows the rate of return an investor will receive by holding a bond to maturity.（分数：1.00）A.B.C.D.解析：The current yield of a bond only considers interest income.The capital gains/losses andreinvestment
32、 income are not considered.The formula for current yield is the annual cash couponpayment divided by the bond price.(20).Three years ago,at the advice of her financial planner,an investor purchased a$1000 face,4.50%,semiannual coupon bond with seven years to maturity priced to yield 6.50%for$888.94.
33、The reinvestment income that must be generated over the life of the bond for the investor to realizea yield of 6.5%is closest to:A.$72.B.$76.C.$80.（分数：1.00）A.B.C.D.解析：Semiannual compound rate is 0.065/2=0.0325.Ending value must be$888.94(1.0325)=$1391.02.The sum of the coupon payments is 10002.25%14
34、=315.So,thereinvestment income is$1391.02-$1000-$315=$76.(21).Suppose you have a three-security portfolio containing bonds A,B and C.The effectiveportfolio duration is 5.9.The market values of bonds A,B and C are$60,$25 and$80,respectively.The durations of bonds A and C are 4.2 and 6.2,respectively.
35、Which of the following amountsis closest to the duration of bond B?14A.9.0.B.1.4.C.7.1.（分数：1.00）A.B.C.D.解析：(60/1654.2)+(25/165DB)+(80/1656.2)=5.9,DB=9.0.(22).Consider a bond,par value$100,that pays an annual coupon of 5 percent and that has threeyears remaining until maturity.Suppose the term struct
36、ure of interest rates is flat at 6 percent.How much does the bond price change if the term structure of interest rates shifts down by 1 percentinstantaneously?A.-2.67.B.2.67.C.0.00.（分数：1.00）A.B.C.D.解析：This value is compute as follows:Bond Price Change=New Price-Old Price=100-(5/1.06+5/1.062+105/1.06
37、3)=2.67.-2.67 is the correct value but the wrong sign.The value0.00 is incorrect because the bond price is not insensitive to interest rate changes.(23).What is the duration of a floating rate bond that has six years remaining to maturity andhas semi-annual coupon payments.Assume a flat-term structu
38、re of 6 percent.Which of the followingis closest to the correct duration?A.0.500.B.6.000.C.12.000.（分数：1.00）A.B.C.D.解析：The duration of a floating rate bond is equal to the time until the next coupon paymenttakes place.As the coupon rate changes semi-annually with the level of the interest rate,afloat
39、ing rate bond has the same duration as a pure discount bond with time to maturity equal tothe time to the next coupon payment of the floating rate bond.(24).One of the most commonly used yield spread measures is the nominal spread.Which of thefollowing is a limitation of nominal spread?The nominal s
40、pread assumes:A.an upward sloping yield curve.B.a downward sloping yield curve.C.a flat yield curve.（分数：1.00）A.B.C.D.解析：The nominal spread is the yield to maturity on a bond minus the yield to maturity on a Treasurysecurity of a similar maturity.Because the nominal yield is based on the yield to mat
41、urity,itsuffers the same shortcomings as yield to maturity.The yield measures assume that all cash flowscan be discounted at the same rate(i.e.,assumes a fiat yield curve).They also assume thatall coupon payments will bereceived in a prompt and timely fashion,and reinvested to maturity,at a rate of
42、return that is equal to the appropriate solving rate(i.e.,the bonds YTM orits BEY).(25).A semiannual-pay bond is callable in five years at$1080.The bond has an 8%coupon and 15years to maturity.If an investor pays$895 for thebond today,what are the yield to call(YTC)and the yield to maturity(YTM),res
43、pectively?YTC YTM A.10.77%9.31%B.12.07%9.31%C.10.77%10.21%A.B.C.（分数：1.00）A.B.C.D.解析：YTC:N=10;PV=-895;PMT=80/2=40;FV=1080;CPTI/Y=6.0352=12.07%.YTM:N=30;PV=-895;PMT=80/2=40;FV=1000;CPTI/Y=4.6572=9.31%.(26).Which of the following statements about a bonds cash flows is TRUE?The appropriate discountrate
44、is a function of:A.the risk-free rate plus the return on the market.B.the risk-free rate plus the risk premium.C.only the risk premium.（分数：1.00）A.B.C.D.解析：The return onthe market would be used only when discounting the cash flows of the market.The risk premium reflects the cost of any incremental ri
45、sk incurred by the investor above andbeyond that of the risk-free security.(27).What is the probable change in price of a 30-year semiannual 6.5 percent coupon,$1000 parvalue bond yielding 8 percent when the nominal risk-free rate changes from 5 percent to 4 percent?A.$106.34.B.$107.31.C.$102.57.（分数
46、：1.00）A.B.C.D.解析：Price at 8%is N=60,FV=$1000,I=4%,PMT=$32.50,CPT PV=$830.32;price at 7%is N=60,FV=$1000,I=3.5%,FV=$1000,CPT PV=$937.64.Change in price is$107.31.(28).Assume that an option-free 5 percent coupon bond with annual coupon payments has two yearsto maturity.A callable bond that is the same
47、 in every respect as the option-free bond is pricedat 91.76.With the term structure flat at 6 percent,what is the value of the embedded call option?A.-8.24.B.4.58.C.6.41.（分数：1.00）A.B.C.D.解析：The option value is the difference between the option-free bond price and the correspondingcallable bond price
48、.The value of the option-free bond is computed as follows:PMT=5,N=2,FV=100,I=6,CPT PV=-98.17(ignore sign).The option value=98.17-91.76=6.41.(29).Consider the following two statements about put-able bonds:Statement 1:As yields fall,the price of put-able bonds will rise less quickly than similaroption
49、-free bonds(beyond a critical point)due to the decrease in value of the embedded put option.Statement 2:As yields rise,the price of put-able bonds will fall more quickly than similaroption-free bonds(beyond a critical point)due to the increase in value of the embedded put option.You should:A.agree w
50、ith statement 1 and disagree with statement 2.B.agree with statement 1 and agree with statement 2.C.disagree with statement 1 and disagree with statement 2.（分数：1.00）A.B.C.D.解析：Both statements are false.As yields fall,the value of the embedded put option in a put-ablebond decreases and(beyond a criti