Reading 68: Yield Measures, Spot Rates, and Forward Rates

答案和详解如下：

31．mon Moving has a 13.25 percent coupon semiannual coupon bond currently trading in the market at $1,229.50. The bond has eight years remaining until maturity, but only two years until first call on the issue at 107.50 percent of $1,000 par value. Which of the following is closest to the yield to first call on the bond?

A)   5.16%.

B)   9.14%.

C)   4.72%.

D)   4.21%.

The correct answer was C)

To compute yield to first call, enter: FV=$1,075, N=2x2=4, PMT=$66.25, PV= –1,229.50, and solve for I/Y=2.36%, annualized as (2.36)(2) = 4.72%.

32．&E has a bond outstanding with a 7 percent semiannual coupon that is currently priced at $779.25. The bond has remaining maturity of 10 years but has a first put date in 4 years at the par value of $1,000. Which of the following is closest to the yield to first put on the bond?

A)   14.92%.

B)   7.73%.

C)   11.26%.

D)   14.46%.

The correct answer was D)

To compute yield to first put, enter: FV=$1,000, N=2x4=8, PMT=$35, PV=-$779.25, and solve for I/Y=7.23%, annualized as (7.23)(2) = 14.46%.

33．ond is selling at a discount relative to its par value. Which of the following relationships holds?

A)   yield to maturity < coupon rate < current yield.

B)   current yield < coupon rate < yield to maturity.

C)   coupon rate < current yield < yield to maturity.

D)   current yield < yield to maturity < coupon yield.

The correct answer was C)

When a bond is selling at a discount, it means that the bond has a larger YTM (discount rate that will equate the PV of the bond's cash flows to its current price) than its current yield (coupon payment/current market bond price) and coupon payment.

34．culate the current yield and the Yield-to-first Call on a bond with the following characteristics:

§ 5 years to maturity

§ $1,000 face value

§ 8.75% semi-annual coupon

§ Priced to yield 9.25%

§ Callable at $1,025 in two years

A)                                        8.93%    11.02%

B)                                        9.83%    19.80%

C)                                        12.67%  11.02%

D)                                        8.93%    5.51%

The correct answer was A)

To calculate the CY and YTC, we first need to calculate the present value of the bond: FV = 1,000, N = 10 = 5*2, PMT = 43.75 =(1000*0.0875)/2, I/Y = 4.625 (9.25 / 2), Compute PV = -980.34 (negative sign because we entered the FV and payment as positive numbers). Then, CY = (Face value * Coupon) / PV of bond = (1,000 * 0.0875) / 980.34 = 8.93%.

And the YTC calculation is: FV = 1,025 (price at first call), N = 4 (2*2), PMT = 43.75 (same as above), PV = –980.34 (negative sign because we entered the FV and payment as positive numbers), Compute I/Y = 5.5117 (semi-annual rate, need to multiply by 2) = 11.02%.

35．n a bond's coupon rate is greater than its current yield, and its current yield is greater than its yield to maturity, the bond is a:

A)   par value bond.

B)   discount bond.

C)   premium bond.

D)   zero-coupon bond.

The correct answer was C)

For a premium bond, coupon rate > current yield > yield to maturity.
For a par bond, coupon rate = current yield = yield to maturity.
For a discount bond, coupon rate < current yield < yield to maturity.