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标题: Reading 66: Yield Measures, Spot Rates, and Forward Rates-LOS [打印本页]

作者: 1215 时间: 2011-3-30 15:40 标题: [2011]Session16-Reading 66: Yield Measures, Spot Rates, and Forward Rates-LOS

Session 16: Fixed Income: Analysis and Valuation
Reading 66: Yield Measures, Spot Rates, and Forward Rates

LOS d: Calculate and interpret the bond equivalent yield of an annual-pay bond and the annual-pay yield of a semiannual-pay bond.

Consider a 6-year $1,000 par bond priced at $1,011. The coupon rate is 7.5% paid semiannually. Six-year bonds with comparable credit quality have a yield to maturity (YTM) of 6%. Should an investor purchase this bond?

A)
Yes, the bond is undervalued by $38.

B)
Yes, the bond is undervalued by $64.

C)
No, the bond is overvalued by $64.

FV = 1,000
PMT = 37.5
N = 12
I/Y = 3%
CPT PV = 1,074.66
1,074.66 – 1,011 = 64

作者: 1215 时间: 2011-3-30 15:41

Sysco Foods has a 10-year bond outstanding with an annual coupon of 6.5%. If the bond is currently priced at $1,089.25, which of the following is closest to the bond-equivalent yield of the bond?

A)
5.33%.

B)
5.42%.

C)
5.26%.

First, find the annual yield to maturity of the bond as: FV = $1,000; PMT = $65; N = 10; PV = –1,089.25; CPT → I/Y = 5.33%. Then, find the BEY as: 2 × [(1 + YTM)^0.5 – 1] = 0.0526 = 5.26%.

作者: 1215 时间: 2011-3-30 15:41

What is the semiannual-pay bond equivalent yield on an annual-pay bond with a yield to maturity of 12.51%?

A)
12.14%.

B)
12.00%.

C)
12.51%.

The semiannual-pay bond equivalent yield of an annual-pay bond = 2 × [(1 + yield to maturity on the annual-pay bond)^0.5 – 1] = 12.14%.

作者: 1215 时间: 2011-3-30 15:41

The yield to maturity for a semiannual-pay, 10-year corporate bond is 5.25%. What is the bond's annual equivalent yield?

A)
5.00%.

B)
5.32%.

C)
5.25%.

The annual equivalent yield is equal to [1 + (nominal yield/number of payments per year)]^{number of payments per year} – 1 = (1 + 0.0525/2)² - 1 = 5.32%.

作者: 1215 时间: 2011-3-30 15:42

What is the annual-pay yield for a bond with a bond-equivalent yield of 5.6%?

A)
5.60%.

B)
5.52%.

C)
5.68%.

The annual-pay yield is computed as follows:

Annual-pay yield = [(1 + 0.056 / 2)² – 1

作者: 1215 时间: 2011-3-30 15:42

What is the bond-equivalent yield given if the monthly yield is equal to 0.7%?

A)
8.65%.

B)
8.55%.

C)
8.40%.

The bond equivalent yield (BEY) is computed as follows:

BEY = 2 × [(1 + monthly yield)⁶ ? 1] = 2 × [(1 + 0.007)⁶ ? 1] = 8.55%

作者: 1215 时间: 2011-3-30 15:42

What is the bond-equivalent yield if the monthly yield is equal to 0.5%?

A)
6.08%.

B)
6.00%.

C)
6.12%.

The bond equivalent yield (BEY) is computed as follows:

BEY = 2 × [(1 + monthly yield)⁶ ? 1] = 2 × [(1 + 0.005)⁶ ? 1] = 6.08%

作者: 1215 时间: 2011-3-30 15:42

The yield to maturity on an annual-pay bond 5.6%, what is the bond equivalent yield for this bond?

A)
5.43%.

B)
5.60%.

C)
5.52%.

The bond-equivalent yield is computed as follows:

Bond-equivalent yield = 2[(1 + 0.056)^0.5– 1] = 5.52%

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