答案和详解如下： 6．If a bond's coupon is greater than the prevailing market rate on new issues, the bond is called a: A) premium bond. B) term bond. C) discount bond. D) par bond. The correct answer was A) When the coupon rate on a bond is higher than the prevailing market rate the bond will be selling at a premium. This occurs because the bonds price will be higher than the face value because as interest rate goes down price goes up. 7．What is the probable change in price of a 30-year semiannual 6.5 percent coupon, $1000 par value bond yielding 8 percent when the nominal risk-free rate changes from 5 percent to 4 percent? A) $106.34. B) $107.31. C) $102.57. D) $98.83. The correct answer was B) Price at 8% is N = 60, FV = $1,000, I = 4%, PMT = $32.50, CPT PV = $830.32; price at 7% is N = 60, FV = $1,000, I = 3.5%, FV = $1,000, CPT PV = $937.64. Change in price is $107.31. 8．Consider a bond that pays an annual coupon of 5 percent and that has three years remaining until maturity. Suppose the term structure of interest rates is flat at 6 percent. How much does the bond price change if the term structure of interest rates shifts down by 1 percent instantaneously.? A) -2.67. B) 2.67. C) 0.00. D) 3.76. The correct answer was B) This value is compute as follows: Bond Price Change = New Price – Old Price = 100 – (5/1.06 + 5/1.062 + 105/1.063) = 2.67. -2.67 is the correct value but the wrong sign. The value 0.00 is incorrect because the bond price is not insensitive to interest rate changes. 9．Suppose the term structure of interest rates makes an instantaneous parallel upward shift of 100 basis points. Which of the following securities experiences the largest change in value? A five-year: A) floating rate bond. B) coupon bond with a coupon rate of 5%. C) zero-coupon bond. D) coupon bond with a coupon rate of 6%. The correct answer was C) The duration of a zero-coupon bond is equal to its time to maturity since the only cash flows made is the principal payment at maturity of the bond. Therefore, it has the highest interest rate sensitivity among the four securities. A floating rate bond is incorrect because the duration, which is the interest rate sensitivity, is equal to the time until the next coupon is paid. So this bond has a very low interest rate sensitivity. A coupon bond with a coupon rate of 5% is incorrect because the duration of a coupon paying bond is lower than a zero-coupon bond since cash flows are made before maturity of the bond. Therefore, its interest rate sensitivity is lower. 10．A year ago a company issued a bond with a face value of $1,000 with an 8 percent coupon. Now the prevailing market yield is 10 percent. What happens to the bond? The: A) bond is traded at a market price higher than $1,000. B) bond is traded at a market price of less than $1,000. C) company has to issue a new 2-percent coupon bond. D) bond price is not affected by the change in market yield, and will continue to trade at $1,000. The correct answer was B) A bonds price/value has an inverse relationship with interest rates. Since interest rates are increasing (from 8% when issued to 10% now) the bond will be selling at a discount. This happens so an investor will be able to purchase the bond and still earn the same yield that the market currently offers. | 
发表于 2008-4-14 13:40
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