固定收益证券投资：分析和估值(二)及答案解析.doc

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1、固定收益证券投资：分析和估值(二)及答案解析(总分：59.00，做题时间：90 分钟)一、B单项选择题/B(总题数：59，分数：59.00)1.The value of a 5 - year semi-annul zero-coupon bond with a $ 500 maturity value and 9 percent discount rate is closest to: A. $307.87. B. $321.96. C. $500.（分数：1.00）A.B.C.2.Which of the following approaches in measuring interest

2、rate risk is most accurate when properly performed? A. Duration/convexity approach. B. Full Valuation approach. C. Duration approach.（分数：1.00）A.B.C.3.A year ago a company issued a bond with a face value of $1000 with an 8 percent coupon. Now the prevailing market yield is 10 percent. What happens to

3、 the bond? The: A. bond is traded at a market price higher than $1000. B. bond is traded at a market price less than $1000. C. company has to issue a new 2 -percent coupon bond.（分数：1.00）A.B.C.4.The current 4 - year spot rate is 4% and the current 5 - year spot rate is 5.5%. What is the 1 - year forw

4、ard rate in four years? A. 8.62%. B. 9.58%. C. 11.72%.（分数：1.00）A.B.C.5.Assuming a flat term structure of interest rates of 5 percent, the duration of a zero-coupon bond with 5 years remaining to maturity is closest to: A. 5.00. B. 4.35. C. 6.34.（分数：1.00）A.B.C.6.An investor has a 1-year, semiannual,

5、10% coupon bond which is priced at $1025. If the 6-month spot rate on a bond-equivalent basis is 8%, the 1-year theoretical spot rate as a BEY is: A. 6.4%. B. 7.3%. C. 8.0%.（分数：1.00）A.B.C.7.Which of the following bonds has the shortest duration? A bond with a: A. 20-year maturity, 6 percent coupon r

6、ate. B. 10-year maturity, 6 percent coupon rate. C. 10-year maturity, 10 percent coupon rate.（分数：1.00）A.B.C.8.The zero volatility spread (Z-spread) is the spread that: A. is added to the yield to maturity of a similar maturity Treasury bond to equal the yield to maturity of the risky bond. B. is add

7、ed to each spot rate on the Treasury yield curve that will cause the present value of the bonds cash flows to equal its market price. C. results when the cost of the call option in percent is subtracted from the option adjusted spread.（分数：1.00）A.B.C.9.Which of the following statements about duration

8、 is FALSE? A. The numerator of the effective duration formula assumes that market rates increase and decrease by the same number of basis points. B. Effective duration is the exact change in price due to a 100 basis point change in rates. C. For a specific bond, the effective duration formula result

9、s in a value of 8.80%. For a 50 basis point change in yield, the approximate change in price of the bond would be 4.40%.（分数：1.00）A.B.C.10.Suppose that IBM has a $1000 par value bond outstanding with a 12 percent semiannual coupon that is currently trading at 102.25 with seven years to maturity. Whic

10、h of the following is closest to the yield to maturity on the bond? A. 11.21%. B. 11.64%. C. 11.52%.（分数：1.00）A.B.C.11.An investor buys a 15-year, 10 percent annual pay coupon bond for $1000. He plans to hold the bond for 5 years while reinvesting the coupons at 12 percent. At the end of the 5-year p

11、eriod he feels he can sell the bond to yield 9 percent. What is the expected realized (horizon) yield? A. 10.0%. B. 11.8%. C. 11.2%.（分数：1.00）A.B.C.12.A 30-year, 12% bond that pays interest annually is discounted priced to yield 14%. However, interest payments will be invested at 12%. The realized co

12、mpound yield on this bond must be: A. between 12.0% and 14.0%. B. 12.0%. C. 14.0%.（分数：1.00）A.B.C.13.Given the following forward rates, the value of a 4 -year, 11 percent annual pay, $1000 par bond, is closest to: Year Rate1 7.00%2 8.15%3 10.30%4 12.00%Note that the year 1 rate is the current rate (o

13、r spot rate) on a 1 -year security. A. $1060.36. B. $984.25. C. $1052.63.（分数：1.00）A.B.C.14.A $1000 par value, 10% semiannual, 20 - year debenture 1s currently selling for $1100. The bonds current yield is: A. 8.9%. B. 9. 1%. C. 10.0%.（分数：1.00）A.B.C.15.The arbitrage-free bond valuation approach can b

14、est be described as the: A. use of a single discount factor. B. use of a series of spot interest rates that reflect the current term structure. C. arithmetic average of the spot interest rates.（分数：1.00）A.B.C.16.How does the price-yield relationship for a callable bond compare to the same relationshi

15、p for an option-free bond? The price-yield relationship is: A. concave for low yields for the callable bond and always convex for the option-free bond. B. concave for an option-free bond and convex for a callable bond. C. concave for the callable bond and convex for an option-free bond.（分数：1.00）A.B.

16、C.17.The table below summarizes the yields and corresponding price for a hypothetical 15 -year option-free bond that is initially priced to sell at 7% yield:Yield (%) Price ($)6.90% 100.92547.00 % 100.00007.10% 99.0861Using a 10 basis point rate shock, the effective duration for this bond closest to

17、: A. 4.6 years. B. 7.5 years. C. 9.2 years.（分数：1.00）A.B.C.18.Reynaldo and Apple are training a new analyst, Norah Spears. They ask Spears what she knows about duration and convexity. Spears replies with four statements: Statement 1: Modified duration is a better measure than effective duration for b

18、onds with embedded options.Statement 2: The convexity adjustment corrects for the error embedded in the duration.Statement 3: Modified duration ignores the negative convexity of a callable bond.Statement 4: Convexity of option-free bonds is always added to duration to modify the errors in calculatin

19、g price volatility.Which of the following regarding Spears statements is TRUE? A. Spears is correct with respect to all four statements. B. Spears is correct with respect to Statement 2, but incorrect with respect to Statement 4. C. Spears is correct with respect to Statement 3, but incorrect with r

20、espect to Statement 1.（分数：1.00）A.B.C.19.An investor purchased a 6 - year annual interest coupon bond one year ago. The coupon interest rate was 10 percent and the par value was $1000. At the time he purchased the bond, the yield to maturity was 8 percent. If he sold the bond after receiving the firs

21、t interest payment and the yield to maturity continued to be 8 percent, his annual total rate of return on holding the bond for that year would have been: A. 6.00%. B. 9.95%. C. 8.00%.（分数：1.00）A.B.C.20.Georgia-Pacific has $1000 par value bonds with 10 years remaining maturity. The bonds carry a 7.5

22、percent coupon that is paid semi-annually. If the current yield to maturity on similar bonds is 8.2 percent, what is the current value of the bonds? A. $1123.89. B. $569.52. C. $952.85.（分数：1.00）A.B.C.21.For a bond currently priced at $1018 with an effective duration of 7.48, if rates moved down 75 b

23、asis points, the new price would be approximately: A. $942. B. $961. C. $1075.（分数：1.00）A.B.C.22.With respect to an option-free bond, when interest-rate changes are large, the duration measure will overestimate the: A. fall in a bonds price from a given increase in interest rates. B. increase in a bo

24、nds price from a given increase in interest rates. C. final bond price from a given increase in interest rates.（分数：1.00）A.B.C.23.What happens to bond durations when coupon rates increase and maturities increase? As coupon rates increase, duration: As maturities increase, duration: A. decreases decre

25、ases B. decreases increases C. increases increases A. B. C. （分数：1.00）A.B.C.24.If interest rates and risk factors are constant over a given period, then a fixed income bond trading at a discount will have a: A. positive current yield, only. B. negative current yield and a positive capital gain yield.

26、 C. positive current yield and a positive capital gain yield.（分数：1.00）A.B.C.25.An investor gathers the following information about three U. S. Treasury annual coupon bonds: Bond 1 Bond 2 Bond 3Maturity 2 - year 1 - year 2 - yearPrice $10000 $384.62 $9660Coupon 4% 0% 0%Par Value $10000 $400 $10400Giv

27、en the above information, how can the investor generate an arbitrage profit? A. Purchase bond 1 while selling bonds 2 and 3. B. Purchase bonds 2 and 3 and selling bond 1. C. Purchase bonds 1 and 3 while selling bond 2.（分数：1.00）A.B.C.26.Which of the following statements about the effects of interest

28、rate volatility on value of bonds with embedded options is least accurate? A. As yield volatility increases, the value of a put-able bond increases. B. A put-able bonds value is its straight bond value plus the value of the embedded put option. C. A callable bonds value is its straight bond value pl

29、us the value of the embedded call option.（分数：1.00）A.B.C.27.Which of the following statements concerning the arbitrage-free valuation of non-Treasury securities is TRUE? The credit spread is: A. only a function of the bonds default risk. B. only a function of the bonds term to maturity. C. a function

30、 of default risk and the term to maturity.（分数：1.00）A.B.C.28.Do measures that take into account how the expected cash flows from a bond may change as yields change include: Modified duration Modified convexity A. No No B. No Yes C. Yes No A. B. C. （分数：1.00）A.B.C.29.Which of the following statements r

31、egarding yield spreads is least accurate? The: A. option cost in percentage terms can be computed by subtracting the OAS from the zero-volatility spread. B. nominal yield spread measures the difference between the YTM on a risky bond and the YTM on a Treasury bond of similar maturity. C. zero-volati

32、lity spread is the constant spread that is added to each Treasury spot rate to equate the present value of a bonds cash flows to the price of an otherwise identical option-free bond.（分数：1.00）A.B.C.30.The following interest rate information is observed: Spot Rates 1 year 10%2 years 11%3 years 12%Base

33、d on this data, the 2 - year forward rate one year from now is closest to: A. 11%. B. 12%. C. 13%.（分数：1.00）A.B.C.31.An analyst determines that an 8% option-free bond, maturing, in 2015, would experience a 3% change in price if market interest rise by 50 basis points. If market interest rates instead

34、 fall by 50 basis points, the bonds price would: A. increase by less than 3%. B. increase by more than 3%. C. decrease by less than 3%.（分数：1.00）A.B.C.32.A bond has a modified duration of 6 and a convexity of 62.5. What happens to the bonds price if interest rates rise 25 basis points? It goes: A. do

35、wn 1.46%. B. up 4.00%. C. up 1.46%.（分数：1.00）A.B.C.33.The yield to maturity for a semiannual-pay, 10 -year corporate bond is 5.25 percent. What is the bonds annual equivalent yield? A. 5.00%. B. 5.25%. C. 5.32%.（分数：1.00）A.B.C.34.An analyst gathered the following information about spot rates and a cou

36、pon bond (all rates are annual) issued by Farrili Corporation:Spot rate, six-month aero coupon bond 7.0%Spot rate, one-year zero coupon bond 8.0%One year risk-free rate 6%Price for one-year, 9% coupon bond $1010(semiannual payments, par value $1000)Using the arbitrage-freed approach to valuing bonds

37、, the coupon bond is: A. overvalued. B. properly valued. C. undervalued.（分数：1.00）A.B.C.35.For a given change in yields, the difference between the actual change in a bonds price and that predicted using the duration measure will be greater for: A. a bond with greater convexity. B. a short-term bond.

38、 C. inverse convexity.（分数：1.00）A.B.C.36.Which of the following statements on spreads is FALSE? A. The Z-spread may be used for bonds that contain call options. B. The Z-spread will equal the nominal spread if the term structure of interest rates is flat. C. The nominal spread is the difference of sp

39、ecific securitys yield-to-maturity (YTM) and the YTM of a Treasury security of similar maturity.（分数：1.00）A.B.C.37.How does the convexity of a bond influence the yield on the bond? All else the same, for a bond with high convexity investors will require: A. a higher yield. B. a lower yield. C. the sa

40、me yield as for a low convexity bond.（分数：1.00）A.B.C.38.An international bond investor has gathered the following information on a 10 - year, annualpay U. S. corporate bond:Currently trading at par valueAnnual coupon of 10%Estimated price if rates increase 50 basis points is 96.99%Estimated price is

41、rates decrease 50 basis points is 103.14%The bonds duration is closest to: A. 6.58. B. 0.62. C. 6.15.（分数：1.00）A.B.C.39.Magmyre Investments, Ltd. , hold two bonds: a callable bond issued by Mudd Manufacturing Inc. and a put-able bond issued by Precarious Builders. Both bonds have option adjusted spre

42、ads (OAS) of 135 basis points (bp). Kevin Grisly, a junior analyst at the firm, makes the following statements (each statement is independent). Apparently, Grisly could benefit from a CFA review course, because the only statement that could be accurate is: A. Given a nominal spread for Precarious Bu

43、ilders of 110 bp, the option cost is -25 bp. B. The cost of the call option on the Mudd bond is - 15bp. C. The spread over the spot rates for a Treasury security similar to Mudds bond is 145 bp.（分数：1.00）A.B.C.40.Using the following information about spot rates, what is the price of a three-year bond

44、 with $100 par and annual coupon payments of 5 percent? One-year rate: 4.78% Two-year rate:5.56% Three-year rate: 5.98% A. $97.47. B. $96.33. C. $98.87.（分数：1.00）A.B.C.41.A company has two $1000 face value bonds outstanding both selling for $701.22. The first issue has an annual coupon of 8% and 20 y

45、ears to maturity. The second bond has the same yield as the first bond but has only five years remaining until maturity. The second issue pays interest annually as well. What is the annual interest payment on the second issue? A. $13.59. B. $18.56. C. $37.12.（分数：1.00）A.B.C.42.An investor gathers the

46、 following information about three U. S. Treasury annual coupon bonds: Bond 1 Bond 2 Bond 3Maturity 2 - year 1 - year 2 - yearPrice $10000 $476.19 $9500Coupon 5% 0% 0%Par Value $10000 $500 $10500Misvaluation $o $o 9If bond price converge to their arbitrage-free value, what should happen to the price

47、 of Bond 3? A. Selling pressure should decrease its value. B. Buying pressure should increase its value. C. Selling pressure should increase its value.（分数：1.00）A.B.C.43.Exactly one year ago, an investor purchased a $1000 face value, zero- coupon bond with 11 years remaining to maturity. The YTM was

48、8.0%. Now, one year later, with market rates unchanged, an investor purchases an annuity that pays $ 40 every six months for 10 years. The combined value of the two investments based on the 8% BEY is approximately: A. $966. B. $1000. C. $1007.（分数：1.00）A.B.C.44.Which of the following statements best

49、describes the concept of negative convexity in bond prices? As interest rates: A. fall, the bonds price increases at an increasing rate. B. rise, the bonds price approaches a minimum value. C. fall, the bonds price increases at a decreasing rate.（分数：1.00）A.B.C.45.James Waiters, CFA, is an active fixed incom