HW#3 Intro to FI Valuation: FIN240 Fixed Income - SECTION 90
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HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90
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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
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Attempt 1
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10 out of 12
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1 / 1 pts
Question 1
An investor is considering the following six annual coupon payment
government bonds:
2/5/24, 4
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10 PM
HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90
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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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HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90
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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
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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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HW: Intro to FI Valuation: FIN240 Fixed Income - SECTION 90
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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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Question 7) Annuities & Loans-worth 15% of the grade
The following formulas will be helpful for the problems below, or you may use TVM Solver in your
calculator:
For annuities:
A =
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Use linear interpolation to determine the interest rate j4 at which deposits of $275 at the end of every 3-months will be accumulated to $4780 in 4 years. .
Answer: % .
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Checkpoint: Present Values of Annuities
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