The following information relates to Questions bond G, described in the exhibit below, is sold for settlement on 16 June 2020. \(\begin{array} { l l } \text { Annual Coupon } & 5 \% \\ \text { Coupon Payment Frequency } & \text { Semi-annual } \\ \text { Interest Payment Dates } & 10 \text { April and } 10 \text { October } \\ \text { Maturity Date } & 10 \text { October } 2022 \\ \text { Day Count Convention } & 30 / 360 \\ \text { Annual Yield-to-Maturity } & 4 \% \end{array}\) -The flat price for bond G on the settlement date of 16 June 2020 is closest to:

A) 102.18. B) 103.10. C) 104.02. A) 102.18. B) 103.10. C) 104.02.

Consider the following two bonds that pay interest annually: \(\begin{array} { l c c } \hline \text { Bond } & \text { Coupon Rate } & \text { Time-to-Maturity } \\ \hline \text { A } & 5 \% & 2 \text { years } \\ \text { B } & 3 \% & 2 \text { years } \\ \hline \end{array}\) At a market discount rate of 4%, the price difference between bond A and bond b per 100 of par value is closest to:

A) 3.70. B) 3.77. C) 4.00. A) 3.70. B) 3.77. C) 4.00.

A corporate bond offers a 5% coupon rate and has exactly 3 years remaining to maturity. Interest is paid annually. The following rates are from the benchmark spot curve: \(\begin{array} { l c } \text { Time-to-Maturity } & \text { Spot Rate } \\ \hline 1 \text { year } & 4.86 \% \\ 2 \text { years } & 4.95 \% \\ 3 \text { years } & 5.65 \% \\ \hline \end{array}\) The bond is currently trading at a Z-spread of 234 basis points. The value of the bond is closest to:

A) 92.38. B) 98.35. C) 106.56. A) 92.38. B) 98.35. C) 106.56.

The following information relates to Questions \(\begin{array} { l c } \text { Time Period } & \text { Forward Rate } \\ \hline \text { "0y1y" } & 0.80 \% \\ \text { "1y1y" } & 1.12 \% \\ \text { "2y1y" } & 3.94 \% \\ \text { "3yly" } & 3.28 \% \\ \text { "4yly" } & 3.14 \% \\ \hline \end{array}\) All rates are annual rates stated for a periodicity of one (effective annual rates). -The value per 100 of par value of a two-year, 3.5% coupon bond, with interest payments paid annually, is closest to:

A) 101.58. B) 105.01. C) 105.82. A) 101.58. B) 105.01. C) 105.82.

A 3-year bond offers a 10% coupon rate with interest paid annually. Assuming the follow- ing sequence of spot rates, the price of the bond is closest to: \(\begin{array} { l c } \text { Time-to-Maturity } & \text { Spot Rates } \\ \hline 1 \text { year } & 8.0 \% \\ 2 \text { years } & 9.0 \% \\ 3 \text { years } & 9.5 \% \\ \hline \end{array}\)

A) 96.98. B) 101.46. C) 102.95. A) 96.98. B) 101.46. C) 102.95.

\(\begin{array}{l} \text { The following information relates to Questions } 15 - 17\\ \begin{array} { l c c c c } \hline \text { Bond } & \text { Coupon Rate } & \text { Time-to-Maturity } & \text { Time-to-Maturity } & \text { Spot Rates } \\ \hline \mathrm { X } & 8 \% & 3 \text { years } & 1 \text { year } & 8 \% \\ \mathrm { Y } & 7 \% & 3 \text { years } & 2 \text { years } & 9 \% \\ \mathrm { Z } & 6 \% & 3 \text { years } & 3 \text { years } & 10 \% \\ \hline \end{array} \end{array}\) All three bonds pay interest annually. -based upon the given sequence of spot rates, the price of bond x is closest to:

A) 95.02. B) 95.28. C) 97.63. A) 95.02. B) 95.28. C) 97.63.

An analyst evaluates the following information relating to floating rate notes (FRns) is- sued at par value that have 3-month libor as a reference rate: \(\begin{array} { l c c } \hline \text { Floating Rate Note } & \text { Quoted Margin } & \text { Discount Margin } \\ \hline \mathrm { X } & 0.40 \% & 0.32 \% \\ \mathrm { Y } & 0.45 \% & 0.45 \% \\ \mathrm { Z } & 0.55 \% & 0.72 \% \\ \hline \end{array}\) based only on the information provided, the FRn that will be priced at a premium on the next reset date is:

A) FRn x. B) FRn Y. C) FRn Z. A) FRn x. B) FRn Y. C) FRn Z.

\(\begin{array}{l} \text { The following information relates to Questions } 15 - 17\\ \begin{array} { l c c c c } \hline \text { Bond } & \text { Coupon Rate } & \text { Time-to-Maturity } & \text { Time-to-Maturity } & \text { Spot Rates } \\ \hline \mathrm { X } & 8 \% & 3 \text { years } & 1 \text { year } & 8 \% \\ \mathrm { Y } & 7 \% & 3 \text { years } & 2 \text { years } & 9 \% \\ \mathrm { Z } & 6 \% & 3 \text { years } & 3 \text { years } & 10 \% \\ \hline \end{array} \end{array}\) All three bonds pay interest annually. -based upon the given sequence of spot rates, the price of bond Y is closest to:

A) 87.50. B) 92.54. C) 92.76. A) 87.50. B) 92.54. C) 92.76.

Exam 3: Introduction to Fixed-Income Valuation

A bond offers an annual coupon rate of 4%, with interest paid semi-annually. The bond matures in two years. At a market discount rate of 6%, the price of this bond per 100 of Par value is closest to:

(Multiple Choice)

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(32)

Question 21

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 flat price for bond G on the settlement date of 16 June 2020 is closest to:

(Multiple Choice)

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(40)

Question 22

An investor who owns a bond with a 9% coupon rate that pays interest semi-annually and matures in three years is considering its sale. If the required rate of return on the bond is 11%, the price of the bond per 100 of par value is closest to:

(Multiple Choice)

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Question 23

Consider the following two bonds that pay interest annually: Bond Coupon Rate Time-to-Maturity A 5\% 2 years B 3\% 2 years At a market discount rate of 4%, the price difference between bond A and bond b per 100 of par value is closest to:

(Multiple Choice)

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(24)

Question 24

A bond with two years remaining until maturity offers a 3% coupon rate with interest paid annually. At a market discount rate of 4%, the price of this bond per 100 of par value Is closest to:

(Multiple Choice)

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Question 25

A corporate bond offers a 5% coupon rate and has exactly 3 years remaining to maturity. Interest is paid annually. The following rates are from the benchmark spot curve: Time-to-Maturity Spot Rate 1 year 4.86\% 2 years 4.95\% 3 years 5.65\% The bond is currently trading at a Z-spread of 234 basis points. The value of the bond is closest to:

(Multiple Choice)

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Question 26

Which of the following statements describing a par curve is incorrect?

(Multiple Choice)

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Question 27

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 value per 100 of par value of a two-year, 3.5% coupon bond, with interest payments paid annually, is closest to:

(Multiple Choice)

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(37)

Question 28

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 yield-to-worst is closest to:

(Multiple Choice)

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Question 29

A 3-year bond offers a 10% coupon rate with interest paid annually. Assuming the follow- ing sequence of spot rates, the price of the bond is closest to: Time-to-Maturity Spot Rates 1 year 8.0\% 2 years 9.0\% 3 years 9.5\%

(Multiple Choice)

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Question 30

An option-adjusted spread (oAS) on a callable bond is the Z-spread:

(Multiple Choice)

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Question 31

The following information relates to Questions 15-17 Bond Coupon Rate Time-to-Maturity Time-to-Maturity Spot Rates 8\% 3 years 1 year 8\% 7\% 3 years 2 years 9\% 6\% 3 years 3 years 10\% All three bonds pay interest annually. -based upon the given sequence of spot rates, the price of bond x is closest to:

(Multiple Choice)

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Question 32

The spread component of a specific bond's yield-to-maturity is least likely impacted by changes in:

(Multiple Choice)

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Question 33

A 5-year, 5% semi-annual coupon payment corporate bond is priced at 104.967 per 100 of par value. The bond's yield-to-maturity, quoted on a semi-annual bond basis, is3.897%. An analyst has been asked to convert to a monthly periodicity. under this con-Version, the yield-to-maturity is closest to:

(Multiple Choice)

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(39)

Question 34

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-first-call is closest to:

(Multiple Choice)

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(34)

Question 35

An analyst evaluates the following information relating to floating rate notes (FRns) is- sued at par value that have 3-month libor as a reference rate: Floating Rate Note Quoted Margin Discount Margin 0.40\% 0.32\% 0.45\% 0.45\% 0.55\% 0.72\% based only on the information provided, the FRn that will be priced at a premium on the next reset date is:

(Multiple Choice)

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(39)

Question 36

A 365-day year bank certificate of deposit has an initial principal amount of uSd 96.5 million and a redemption amount due at maturity of uSd 100 million. The number of Days between settlement and maturity is 350. The bond equivalent yield is closest to:

(Multiple Choice)

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(32)

Question 37

The following information relates to Questions 15-17 Bond Coupon Rate Time-to-Maturity Time-to-Maturity Spot Rates 8\% 3 years 1 year 8\% 7\% 3 years 2 years 9\% 6\% 3 years 3 years 10\% All three bonds pay interest annually. -based upon the given sequence of spot rates, the price of bond Y is closest to:

(Multiple Choice)

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(31)

Question 38

An investor considers the purchase of a 2-year bond with a 5% coupon rate, with interest paid annually. Assuming the sequence of spot rates shown below, the price of the bond is Closest to: Time-to-Maturity Spot Rates 1 year 3\% 2 years 4\%

(Multiple Choice)

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(33)

Question 39

The bond equivalent yield of a 180-day banker's acceptance quoted at a discount rate of4.25% for a 360-day year is closest to:

(Multiple Choice)

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(35)

Question 40

A bond offers an annual coupon rate of 4%, with interest paid semi-annually. The bond matures in two years. At a market discount rate of 6%, the price of this bond per 100 of Par value is closest to:

An investor who owns a bond with a 9% coupon rate that pays interest semi-annually and matures in three years is considering its sale. If the required rate of return on the bond is 11%, the price of the bond per 100 of par value is closest to:

Consider the following two bonds that pay interest annually: Bond Coupon Rate Time-to-Maturity A 5\% 2 years B 3\% 2 years At a market discount rate of 4%, the price difference between bond A and bond b per 100 of par value is closest to:

A bond with two years remaining until maturity offers a 3% coupon rate with interest paid annually. At a market discount rate of 4%, the price of this bond per 100 of par value Is closest to:

Which of the following statements describing a par curve is incorrect?

A 3-year bond offers a 10% coupon rate with interest paid annually. Assuming the follow- ing sequence of spot rates, the price of the bond is closest to: Time-to-Maturity Spot Rates 1 year 8.0\% 2 years 9.0\% 3 years 9.5\%

An option-adjusted spread (oAS) on a callable bond is the Z-spread:

The spread component of a specific bond's yield-to-maturity is least likely impacted by changes in:

A 5-year, 5% semi-annual coupon payment corporate bond is priced at 104.967 per 100 of par value. The bond's yield-to-maturity, quoted on a semi-annual bond basis, is3.897%. An analyst has been asked to convert to a monthly periodicity. under this con-Version, the yield-to-maturity is closest to:

A 365-day year bank certificate of deposit has an initial principal amount of uSd 96.5 million and a redemption amount due at maturity of uSd 100 million. The number of Days between settlement and maturity is 350. The bond equivalent yield is closest to:

An investor considers the purchase of a 2-year bond with a 5% coupon rate, with interest paid annually. Assuming the sequence of spot rates shown below, the price of the bond is Closest to: Time-to-Maturity Spot Rates 1 year 3\% 2 years 4\%

The bond equivalent yield of a 180-day banker's acceptance quoted at a discount rate of4.25% for a 360-day year is closest to:

Fixed-Income Securities: Defining Elements

Fixed-Income Markets: Issuance, Trading, and Funding

Introduction to Asset-Backed Securities

Understanding Fixed Income Risk and Return

Fundamentals of Credit Analysis

The Term Structure and Interest Rate Dynamics

The Arbitrage-Free Valuation Framework

Valuation and Analysis of Bonds With Embedded Options

Credit Analysis Models

Credit Default Swaps

Overview of Fixed-Income Portfolio Management

Liability-Driven and Index-Based Strategies

Yield Curve Strategies

Fixed-Income Active Management: Credit Strategies

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