HW#3 Intro to FI Valuation: FIN240 Fixed Income - SECTION 90

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2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 1 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 HW: Intro to FI Valuation Due Feb 25 at 11:59pm Points 12 Questions 12 Time Limit None Allowed Attempts 3 Attempt History Attempt Time Score LATEST Attempt 1 13 minutes 10 out of 12 Answers will be shown after your last attempt Score for this attempt: 10 out of 12 Submitted Feb 5 at 4:07pm This attempt took 13 minutes. Take the Quiz Again 1 / 1 pts Question 1 An investor is considering the following six annual coupon payment government bonds:
2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 2 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 Based on the relationships between bond prices and bond characteristics, which bond will go up in price the most on a percentage basis if all yields go down from 5.00% to 4.90%? Bond D Bond B Bond C Bond A Bond F Bond E 1 / 1 pts Question 2 An investor is considering the following six annual coupon payment government bonds:
2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 3 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 Based on the relationships between the bond prices and bond characteristics, which bond will go down in price the least on a percentage basis if all yields go up from 5.00% to 5.10%? Bond E Bond F Bond B Bond A Bond C Bond D 1 / 1 pts Question 3 A 6% German corporate bond is priced for settlement on 18 June 2019. The bond makes semiannual coupon payments on 19 March and 19 September of each year and matures on 19 September 2030. The
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2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 4 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 corporate bond uses the 30/360 day-count convention for accrued interest and the settlement date is 89 days since the last coupon date. What is the full price if the stated annual yield-to-maturity is 5.80%? 103.108764 103.108770 101.625437 1 / 1 pts Question 4 A 6% German corporate bond is priced for settlement on 18 June 2019. The bond makes semiannual coupon payments on 19 March and 19 September of each year and matures on 19 September 2030. The corporate bond uses the 30/360 day-count convention for accrued interest and the settlement date is 89 days since the last coupon date. What is the flat price if the stated annual yield-to-maturity is 6.00%? 100 99.988918 101.472251 1 / 1 pts Question 5
2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 5 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 A 6% German corporate bond is priced for settlement on 18 June 2019. The bond makes semiannual coupon payments on 19 March and 19 September of each year and matures on 19 September 2030. The corporate bond uses the 30/360 day-count convention for accrued interest and the settlement date is 89 days since the last coupon date. What is the accrued interest if the stated annual yield-to-maturity is 6.20%? 1.5327778 1.4836957 1.4833333 1 / 1 pts Question 6 An analyst needs to assign a value to an illiquid four-year, 4.5% annual coupon payment corporate bond. The analyst identifies two corporate bonds that have similar credit quality: One is a three-year, 5.50% annual coupon payment bond priced at 107.500 per 100 of par value, and the other is a five-year, 4.50% annual coupon payment bond priced at 104.750 per 100 of par value. Using matrix pricing, the estimated price of the illiquid bond per 100 of par value is closest to: 106.125. 104.991.
2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 6 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 103.895. 0 / 1 pts Question 7 Incorrect Incorrect A five-year, 4.50% semiannual coupon payment government bond is priced at 98 per 100 of par value. What is its annual yield-to-maturity stated on a semiannual bond basis, rounded to the nearest basis point? 5.02% 4.93% 4.96% 0 / 1 pts Question 8 Incorrect Incorrect What is the equivalent annual yield-to-maturity, stated on a quarterly basis, of an annual yield-to-maturity of 4.96%, stated on a semiannual basis? 5.02% 4.93% 4.96%
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2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 7 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 1 / 1 pts Question 9 Suppose that a money market investor observes quoted rates on the following four 180-day money market instruments: Which instrument offers the investor the highest rate of return if the credit risks are the same? Bond D. Bond B. Bond A. Bond C. 1 / 1 pts Question 10 Suppose that an investor observes the following prices and yields-to- maturity on zero-coupon government bonds:
2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 8 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 The prices are per 100 of par value. The yields-to-maturity are stated on a semiannual bond basis. What is the “1y1y” implied forward rate, stated on a semiannual bond basis? 2.707%. 3.419%. 1.710%. 1 / 1 pts Question 11 Suppose that an investor observes the following prices and yields-to- maturity on zero-coupon government bonds: The prices are per 100 of par value. The yields-to-maturity are stated on a semiannual bond basis.
2/5/24, 4 : 10 PM HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90 Page 9 of 9 https://csus.instructure.com/courses/117655/quizzes/539413 The investor has a three-year investment horizon and is choosing between (1) buying the two-year zero and reinvesting in another one- year zero in two years and (2) buying and holding to maturity the three- year zero. The investor decides to buy the two-year bond. Based on this decision, which of the following is the minimum yield-to-maturity the investor expects on one-year zeros two years from now? 2.983% 2.707% 2.548% 1 / 1 pts Question 12 1-, 2-, and 3-year spot rates on Treasuries are 4%, 8.167%, and 12.377%, respectively. The YTM of a 3-year Treasury is 12%. Consider a 3-year, 9% annual coupon corporate bond trading at 89.464. What is the G-spread of the corporate bond? 167 bps 150 bps 133 bps Quiz Score: 10 out of 12
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