Exam 3: Introduction to Fixed-Income Valuation

A bond offers an annual coupon rate of 5%, with interest paid semi-annually. The bond matures in seven years. At a market discount rate of 3%, the price of this bond per 100 of Par value is closest to:

A two-year Hoating-rate note pays 6-month Libor plus 80 basis points. The Hoater is priced at 97 per 100 of par value. Current 6-month Libor is $1.00 \%$ . Assume a $30 / 360$ day-count convention and evenly spaced periods. The discount margin for the floater in basis points (bps) is closest to:

A portfolio manager is considering the purchase of a bond with a 5.5% coupon rate that pays interest annually and matures in three years. If the required rate of return on the Bond is 5%, the price of the bond per 100 of par value is closest to:

The following information relates to Questions bond G, described in the exhibit below, is sold for settlement on 16 June 2020. Annual Coupon 5\% Coupon Payment Frequency Semi-annual Interest Payment Dates 10 April and 10 October Maturity Date 10 October 2022 Day Count Convention 30/360 Annual Yield-to-Maturity 4\% -The full price that bond G settles at on 16 June 2020 is closest to:

The following information relates to Questions A bond with 5 years remaining until maturity is currently trading for 101 per 100 of par value. The bond offers a 6% coupon rate with interest paid semi-annually. The bond is first callable in 3 years, and is callable after that date on coupon dates according to the following schedule: End of Year Call Price 3 102 4 101 5 100 -The bond's annual yield-to-second-call is closest to:

Suppose a bond’s price is expected to increase by 5% if its market discount rate decreases by 100 basis points. If the bond’s market discount rate increases by 100 basis points, the bond price is most likely to change by:

The following information relates to Questions Time Period Forward Rate "0y1y" 0.80\% "1y1y" 1.12\% "2y1y" 3.94\% "3yly" 3.28\% "4yly" 3.14\% All rates are annual rates stated for a periodicity of one (effective annual rates). -The 3-year implied spot rate is closest to:

The yield spread of a specific bond over the standard swap rate in that currency of the same tenor is best described as the:

When underwriting new corporate bonds, matrix pricing is used to get an estimate of the:

Which bond offers the lowest yield-to-maturity?

A bond with 20 years remaining until maturity is currently trading for 111 per 100 of par value. The bond offers a 5% coupon rate with interest paid semi-annually. The bond's Annual yield-to-maturity is closest to:

Which bond will most likely experience the smallest percent change in price if the market discount rates for all three bonds increase by 100 basis points?

The following information relates to Questions bond G, described in the exhibit below, is sold for settlement on 16 June 2020. Annual Coupon 5\% Coupon Payment Frequency Semi-annual Interest Payment Dates 10 April and 10 October Maturity Date 10 October 2022 Day Count Convention 30/360 Annual Yield-to-Maturity 4\% -The accrued interest per 100 of par value for bond G on the settlement date of 16 June 2020 is closest to:

The annual yield-to-maturity, stated for with a periodicity of 12, for a 4-year, zero-coupon bond priced at 75 per 100 of par value is closest to:

Which bond will most likely experience the greatest percentage change in price if the mar- ket discount rates for all three bonds increase by 100 basis points?

Matrix pricing allows investors to estimate market discount rates and prices for bonds:

The following information relates to Question 42 Bond Coupon Rate Time-to-Maturity Price UK Government Benchmark Bond 2\% 3 years 100.25 UK Corporate Bond 5\% 3 years 100.65 both bonds pay interest annually. The current three-year EuR interest rate swap benchmark is 2.12%. -The G-spread in basis points (bps) on the uK corporate bond is closest to:

The rate, interpreted to be the incremental return for extending the time-to-maturity of an investment for an additional time period, is the:

bond dealers most often quote the:

A zero-coupon bond matures in 15 years. At a market discount rate of 4.5% per year and assuming annual compounding, the price of the bond per 100 of par value is closest to: