固定收益证券投资：分析和估值及答案解析.doc

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1、固定收益证券投资：分析和估值及答案解析(总分：118.00，做题时间：90 分钟)一、B单项选择题/B(总题数：117，分数：118.00)1.James Waiters, CFA, is an active fixed income portfolio manager. He manages a portfolio of fixed income securities worth $ 7500000 for an institutional client. Waiters expects a widening yield spread between intermediate and lon

2、g term securities. He would like to capitalize on his expectations and considers several transactions in a number of different securities. On 01/31/ 06, Waiters expects the yield of the 2 - Year Treasury Note to decrease by 10 basis points and the yield of the 30 - Year Treasury Bond to increase by

3、11 basis points. The characteristics of these two fixed income securities are shown in Table 1. Prices are quoted as a percentage of par value and the Price Value of a Basis Point is per $1 million par amount.（分数：1.00）A.Table 1 Security CharacteristicsB.C.2 - Year T - NoteD.30 - Year T - BondE.Matur

4、ityF.01/31/08G.11/15/35H.Bid-Ask Spread (basis points)I.5.0J.5.0K.CouponL.5.375%M.6.125%N.Bid PriceO.99.7236P.104.6086Q.Ask PriceR.99.7736S.104.6586T.Yield to MaturityU.5.51%V.5.80%W.Price Value of a Basis PointX.186.6484Y.1461.17332.In capital markets, stock dividends and bond coupons generally pro

5、vide what is referred to as:（分数：1.00）A.A. current yield. B.B. capital gain yield. C.C. internal yield.3.If market rates do not change, as time passes the price of a zero-coupon bond will:（分数：1.00）A.A. approach zero. B.B. approach the purchase price.C.C. approach par.4.The face value of a $1000000 T-

6、bill with 78 days to maturity is priced at $987845. What is the bank discount yield (annualized) quote for the T-bill?（分数：1.00）A.A. 5.160%. B.B. 5.750%. C.C. 5.610%.5.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-spre

7、ad will equal the nominal spread if the term structure of interest rates is flat. C. The nominal spread is the difference of specific securitys yield-to-maturity (YTM) and the YTM of a Treasury security of similar maturity.（分数：1.00）A.B.C.6.The value of a 5 - year semi-annul zero-coupon bond with a $

8、 500 maturity value and 9 percent discount rate is closest to:（分数：1.00）A.A. $307.87. B.B. $321.96. C.C. $500.7.Which of the following statements about duration and convexity is FALSE? A. duration to first call is longer than duration to maturity. B. convexity of a callable bond is always lower than

9、that of a noncallable bond when rates fall. C. callable bonds convexity can be negative.（分数：1.00）A.B.C.8.Why should effective duration, rather than modified duration, be used when bonds contain embedded options? A. Effective duration considers expected changes in cash flows. B. Modified duration con

10、siders expected changes in cash flows. C. Either could be used if the bond has embedded options.（分数：1.00）A.B.C.The investor would prefer the municipal bond because the taxable-equivalent yield is greater than the yield on the corporate bond: 6.4%6.375%.（分数：2.00）(1).Assume a city issues a $ 5 million

11、 bond to build a new arena. The bond pays 8 percent semiannual interest and will mature in 10 years. Current interest rates are 9 percent. What is the pres ent value of this bond and what will the bonds value be in seven years from today? Present Value Value in 7 Years from Today A. 4674802 4931276

12、B. 5339758 4871053 C. 4674802 4871053（分数：1.00）A.A. B.B. C.C. (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 informa

13、tion, what would be the average annual rate of return over the 3 years?（分数：1.00）A.A. 11.5%. B.B. 13.5%. C.C. 10.0%.9.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 y

14、ield and a positive capital gain yield. C. positive current yield and a positive capital gain yield.（分数：1.00）A.B.C.10.Which of the following describes the yield to worst? The: A. lowest of all possible prices on the bond. B. yield given default on the bond. C. lowest of all possible yields to call a

15、nd yields to put.（分数：1.00）A.B.C.11.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 of default risk and the

16、 term to maturity.（分数：1.00）A.B.C.12.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:（分数：1.00）A.A. down 1.46%. B.B. up 4.00%. C.C. up 1.46%.13.How does the convexity of a bond influence the yield on the bond?

17、 All else the same, for a bond with high convexity investors will require: A. a higher yield. B. a lower yield. C. the same yield as for a low convexity bond.（分数：1.00）A.B.C.14.Current spot rates are as follows: 1- Year: 6.5% 2 - Year: 7.0% 3 - Year: 9.2% Which of the following is TRUE? A. For a 3 -

18、year annual pay coupon bond, all cash flows can be discounted at 9.2% to find the bonds arbitrage-free value. B. The yield to maturity for 3 - year annual pay coupon bond can be found by taking the arithmetic average of the 3 spot rates. C. For a 3 - year annual pay coupon bond, the first coupon can

19、 be discounted at 6.5%, the second coupon can be discounted at 7.0% , and the third coupon plus maturity value can be discounted at 9.2% to find the bonds arbitrage-free value.（分数：1.00）A.B.C.15.A 30-year, 12% bond that pays interest annually is discounted priced to yield 14%. However, interest payme

20、nts will be invested at 12%. The realized compound yield on this bond must be:（分数：1.00）A.A. between 12.0% and 14.0%.B.B. 12.0%. C.C. 14.0%.16.Calculate the current yield and the Yield-to-first Call on a bond with the following characteristics: 5 years to maturity $1000 face value 8.75% semi-annual c

21、oupon Priced to yield 9.25% = Callable at $1025 in two years Current Yield Yield-to-Call A. 8.93% 11.02% B. 9.83% 19.80% C. 12.67% 11.02%（分数：1.00）A.A. B.B. C.C. 17.Negative convexity is most likely to be observed in:（分数：1.00）A.A. callable bonds. B.B. zero coupon bonds. C.C. municipal bonds.18.The pr

22、ice value of a basis point (PVBP) of a bond is $0.75. If the yield on the bond goes up by 1 bps, the price of the bond will:（分数：1.00）A.A. decline by $0.75. B.B. increase by $0.75. C.C. increase or decrease by $0.75.19.An investor has a 1-year, semiannual, 10% coupon bond which is priced at $1025. If

23、 the 6-month spot rate on a bond-equivalent basis is 8%, the 1-year theoretical spot rate as a BEY is:（分数：1.00）A.A. 6.4%. B.B. 7.3%. C.C. 8.0%.20.What is the present value of a 7 percent semi-annual pay corporate bond with a $1000 face value and 20 years to maturity if it is yielding 6. 375 percent?

24、 If a municipal bond is yielding 4.16 percent and an investors marginal tax rate is 35 percent, would the investor prefer the corporate bond or the municipal bond? Value Investor preference A. $1121.23 municipal bond B. $1070.09 corporate bond C. $1070.09 municipal bond（分数：1.00）A.A. B.B. C.C. 21.A n

25、on-callable bond with 18 years remaining maturity has an annual coupon of 7 percent and a $1000 par value. The current yield to maturity on the bond is 8 percent. Which of the following is closest to the effective duration of the bond?（分数：1.00）A.A. 9.63. B.B. 11.89. C.C. 8.24.22.The arbitrage-free b

26、ond valuation approach can best 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.23.What is the present value of a 7% semiannual-pay bond with a

27、$1000 face value and 20 years to maturity if similar bonds are now yielding 8.25%?（分数：1.00）A.A. $1000.00. B.B. $879.52. C.C. $878.56.24.A bond with an 8 percent semi-annual coupon and 10-year maturity is currently priced at $904.52 to yield 9.5 percent. If the yield declines to 9 percent, the bonds

28、price will increase to $934.96, and if the yield increases to 10 percent, the bonds price will decrease to $875.38. Estimate the percentage price change for a 100 basis point change in rates.（分数：1.00）A.A. 4. 35%. B.B. 2. 13%. C.C. 6.58%.25.An international bond investor has gathered the following in

29、formation on a 10 - year, annualpay U. S. corporate bond: Currently trading at par value Annual coupon of 10% Estimated price if rates increase 50 basis points is 96.99% Estimated price is rates decrease 50 basis points is 103.14% The bonds duration is closest to:（分数：1.00）A.A. 6.58. B.B. 0.62. C.C.

30、6.15.26.A 3-year option-free bond (par value of $1000) has an annual coupon of 9 percent. An investor determines that the spot rate of year 1 is 6 percent, the year 2 spot rate is 12 percent, and the year 3 spot rate is 13 percent. Using the arbitrage-free valuation approach, the bond price is close

31、st to :（分数：1.00）A.A. $968. B.B. $1000. C.C. $912.27.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 added to each spot rate on the Treasury yield curve that will

32、 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.28.What value would an investor place on a 20 - year, $1000 face value, 10 percent annual coupon bond, if th

33、e investor required a 9 percent rate of return?（分数：1.00）A.A. $879. B.B. $920. C.C. $1091.29.An 11 percent coupon bond with annual payments and 10 years to maturity is callable in 3 years at a call price of $1100. If the bond is selling today for 975, the yield to call is:（分数：1.00）A.A. 14.97%. B.B. 1

34、0.26%. C.C. 10.00%.30.The yield to maturity on an annual-pay bond 5.6 percent, what is the bond equivalent yield for this bond?（分数：1.00）A.A. 5.43%. B.B. 5.60%. C.C. 5.52%.31.Which of the following statements best describes the concept of negative convexity in bond prices? As interest rates: A. fall,

35、 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.32.Given the following forward rates, the value of a 4 -year, 11 percent annual pay, $1000 par bond, is closest to:（分数：1.00）A.

36、YearB.RateC.1D.7.00%E.2F.8.15%G.3H.10.30%I.4J.12.00%33.Which is the bond-equivalent yield given if the monthly yield is equal to 0.7 percent?（分数：1.00）A.A. 8.40%. B.B. 8.58%. C.C. 8.55%.34.Assuming a flat term structure of interest rates of 5 percent, the duration of a zero-coupon bond with 5 years r

37、emaining to maturity is closest to:（分数：1.00）A.A. 5.00. B.B. 4.35. C.C. 6.34.35.The following interest rate information is observed:（分数：1.00）A.Spot RatesB.1 yearC.10%D.2 yearsE.11%F.3 yearsG.12%36.For an option-flee bond, if yields increase by 200 basis points, the parts of the total estimated percen

38、tage price change attributable to duration and the convexity adjustment, respectively, will most likely be: Part of the total estimated percentage price change attributable to duration Part of the total estimated percentage price change attributable to the convexity adjustment A. Negative Positive B

39、. Negative Negative C. Positive Positive（分数：1.00）A.A. B.B. C.C. 37.Which of the following statements about a bonds cash flows is TRUE? The appropriate discount rate 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 pr

40、emium.（分数：1.00）A.B.C.38.What is the probable change in price of a 30-year semiannual 6.5 percent coupon, $1000 par value bond yielding 8 percent when the nominal risk-free rate changes from 5 percent to 4 percent?（分数：1.00）A.A. $106.34. B.B. $107.31. C.C. $102.57.39.A year ago a company issued a bond

41、 with a face value of $1000 with an 8 percent coupon. Now the prevailing market yield is 10 percent. What happens to 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：1.0

42、0）A.B.C.40.A $1000 par value, 10% semiannual, 20 - year debenture 1s currently selling for $1100. The bonds current yield is:（分数：1.00）A.A. 8.9%. B.B. 9. 1%. C.C. 10.0%.41.The distinction between modified convexity and effective convexity is that: A. effective convexity accounts for changes in cash f

43、lows due to embedded options, while modified convexity does not. B. modified convexity becomes less accurate as the change in yield increases, but effective convexity corrects for this. C. modified convexity is only meaningful for positive changes in yield, while effective convexity can be used for

44、either positive or negative changes in yield.（分数：1.00）A.B.C.42.Using the following information about spot rates, what is the price of a three-year bond 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%（分数：1.00）A.A. $97.47. B.B. $9

45、6.33. C.C. $98.87.43.You are considering the purchase of a three-year annual coupon bond with a par value of $1000 and a coupon rate of 5.5 percent. You have determined that the spot rate for year 1 is 5.2 percent, the spot rate for year two is 5.5 percent, and the spot rate for year three is 5.7 pe

46、rcent. What would you be willing to pay for the bond now?（分数：1.00）A.A. $937.66. B.B. $995.06. C.C. $1000.00.44.The current 4 - year spot rate is 4% and the current 5 - year spot rate is 5.5%. What is the 1 - year forward rate in four years?（分数：1.00）A.A. 8.62%. B.B. 9.58%. C.C. 11.72%.45.Which of the

47、 following statements about duration 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, t

48、he effective duration formula results 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.46.An investor purchased a 6 - year annual interest coupon bond one year ago. The coupon interest rate was 10 percent and the par

49、 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 first 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:（分数：1.00）A.A. 6.00%. B.B. 9.95%. C.C. 8.00%.47.Which of the following steps is NOT used in the full valuation approach in measuring interest rate risk? A. Estimate hypothetical changes in required yields. B. Calculate the bonds convexity. C. Recompute bond pri