Spot Curve(Annual Coupon Convention)MaturityAvailable Spot RatesFill Missing Spot Rates10.61%0.61%21.02%1.02%1.31%1.31%1.52%1.52%41.73%1.73%1.90%1.90%6.2.06%2.06%72.12%2.12%8.2.18%2.18%9.2.24%2.24%10

The Z- spread: The Z spread or the zero-volatility spread of a bond is the constant spread that is…

Answered: Spot Curve (Annual Coupon Convention)…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Q1. Price and Yield. Yield (%) Price at required yield ( coupon rate/ maturity) 6% / 5 6% / 20 3%/5 3% / 20 0% / 5 0% / 20 year year year year year year 3.00 4.00 5.50 5.90 5.99 6.00 6.01 6.10 7.50 8.00 Assume face value is $100. a. Plot the table. b. What is the shape of the price-yield relationship? c. Describe the general relationship you observe between changes in bond prices and changes in yield to maturity.
Year 1-Year Forward Rate 1 4.6 % 2 4.9 % 3 5.2 % 4 5.5 % 5 6.8 % What should the purchase price of a 1-year zero-coupon bond be if it is purchased today and has face value of $1,000? A. $945.51 B. $950.21 C. $912.87 D. $966.37 E. $956.02
Determine the 3-year spot rate given the following information about $1000 par value annual coupon bonds maturing at par: Coupon Rate Yield to Maturity Term in Years 1 2 3 Possible Answers A 8.14 B с 6.16 8.64 D 6.25 E 7.91 3.6% 4.1% 4.9% 4% 6% 8%
Maturity Periods Years Yield 1 year 1.00 5.37% 2 years 2.00 5.47% 3 years 3.00 5.65% 4 years 4.00 5.71% 5 years 5.00 5.64% 10 years 10.00 5.75% 20 years 20.00 6.33% 30 years 30.00 5.94%
Question 2 Using the spot rates below, find the price of a two-years to maturity risky bond that pays 2% annual coupon and has a z-spread of 30 bps (assuming Spot Curve face value of $100 and annual convention). Year YTM 1 0.50% 3.00% 5 3.10% Selected Answer: D. $99.73 Answers: A. $98.73 O B. $100.73 C. $97.73 D. $99.73
Use the following information to answer. Coupon Payments are annual unless otherwise indicated! Years Face Coupon Market Security Rating Maturity Value Rate Price Treasury 1 $ 1,000 0.00% $ 965.00 Treasury 3 $ 1,000 1.90% $ 939.06 Treasury 5 $ 1,000 4.30% $ 932.42 Treasury 10 $ 1,000 6.80% $ 1,007.12 Treasury 15 $ 1,000 6.60% $ 908.25 Corp A A 5 $ 1,000 8.10% $ 990.00 Corp B BB 10 $ 1,000 7.90% $ 859.88 Corp C AA 15 $ 1,000 7.00% $ 660.00 What is the default risk premium for a BB debt security (round to two places)
None
A 1.85% Coupon Treasury Inflation Protected Security (TIPS) last principal balance is $103,250. The most recent annual inflation rate is 2.25%. What is the semi-annual coupon interest? a. $976.55 b. $1,161.56 c. $938.88 d. $965.81
What is the result in B12? A 1 Settlement Date 2 Maturity Date 3 First Call Date 4 Time to Maturity (Years) 5 Coupon Rate 6 Required Return 7 Frequency 8 9 10 Basis 11 Value 12 Yield to Call 12 Face Value Call Price O a. 7.39% O b. 12.68% O c. 10.05% O d. 5.58% B 10/23/2020 10/23/2030 10/23/2025 $ $ 10 7.00% 10.00% 2 1,000 1,035 0 $813.07 ?
Based on Table 3, what is the liquidity risk premium? Table 3 Investment 1 2 3 4 5 O 1.25% O 1.50% O 0.25% O 1.12% Maturity 2 2 7 8 8 Liquidity High Low Low High Low Default Risk Low Low Low Low High Interest Rate 1.00% 1.25% 2.25% 2.93% 4.43%

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Spot Curve (Annual Coupon Convention) Maturity Available Spot Rates Fill Missing Spot Rates 1 0.61% 0.61% 1.02% 1.02% 3 1.31% 1.31% 4 1.52% 1.52% 1.73% 1.73% 1.90% 1.90% 6. 2.06% 2.06% 7 2.12% 2.12% 8 2.18% 2.18% 9. 2.24% 2.24% 10