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标题: Reading 64: Introduction to the Valuation of Debt Securities [打印本页]

作者: honeycfa 时间: 2010-4-25 13:45 标题: [2010]Session 16-Reading 64: Introduction to the Valuation of Debt Securities

LOS e: Compute the value of a zero-coupon bond.

Anne Warner wants to buy zero-coupon bonds in order to protect herself from reinvestment risk. She plans to hold the bonds for fifteen years and requires a rate of return of 9.5%. Fifteen-year Treasuries are currently yielding 4.5%. If interest is compounded semiannually, the price Warner is willing to pay for each $1,000 par value zero-coupon bond is closest to:

A)
$256.

B)
$498.

C)
$249.

Note that because the question asks for how much Warner is willing to pay, we will want to use her required rate of return in the calculation.

N = 15 × 2 = 30, FV = $1,000, I/Y = 9.5 / 2 = 4.75, PMT = 0; CPT → PV = -248.53.

The difference between the bond’s price of $249 that Warner would be willing to pay and the par value of $1,000 reflects the amount of interest she would earn over the fifteen year horizon.

[此贴子已经被作者于2010-4-25 14:25:24编辑过]

作者: honeycfa 时间: 2010-4-25 13:45

If a 15-year, $1,000 U.S. zero-coupon bond is priced to yield 10%, what is its market price?

A)
$23.50.

B)
$231.38.

C)
$239.39.

N = 30; I/Y = 5; PMT = 0; FV = 1,000; CPT → PV = 231.38.

作者: honeycfa 时间: 2010-4-25 13:46

What is the yield to maturity (YTM) of a 20-year, U.S. zero-coupon bond selling for $300?

A)
6.11%.

B)
7.20%.

C)
3.06%.

N = 40; PV = 300; FV = 1,000; CPT → I = 3.055 × 2 = 6.11.

作者: honeycfa 时间: 2010-4-25 13:46

What is the value of a zero-coupon bond if the term structure of interest rates is flat at 6% and the bond has two years remaining to maturity?

A)
88.85.

B)
83.75.

C)
100.00.

The bond price is computed as follows:

Zero-Coupon Bond Price = 100/1.03⁴ = 88.85.

The value 83.75 is incorrect because the principal is discounted over a three-year period but the bond has only two years remaining to maturity. The value 100.00 is incorrect because the principal received at maturity has to be discounted over a period of two years.

作者: honeycfa 时间: 2010-4-25 13:46

What would an investor pay for a 25-year zero coupon bond if they required 11%? (Assume semi-annual compounding.)

A)
$1,035.25

B)
$103.53

C)
$68.77

N = 50, I/Y = 5.5, PMT = 0, FV = 1,000
CPT PV = 68.77

作者: honeycfa 时间: 2010-4-25 13:46

The value of a 10-year zero-coupon bond with a $1,000 maturity value, compounded semiannually, and has an 8% discount rate is closest to:

A)
$456.39.

B)
$200.00.

C)
$463.19.

V = (maturity value)/(1 + i)^{number of years x 2} = $1,000/(1.04)^{10 x 2} = $1,000/2.1911 = $456.39

n = 20, i = 4, FV = 1,000, compute PV = 456.39.

作者: honeycfa 时间: 2010-4-25 13:47

A Treasury bill has a $10,000 face value and matures in one year. If the current yield to maturity on similar Treasury bills is 4.1% annually, what would an investor be willing to pay now for the T-bill?

A)
$9,606.15.

B)
$9,799.12.

C)
$9,899.05.

The investor would pay the present value of the $10,000 one year away at a discount rate of 4.1%. To value the T-bill, enter FV = $10,000; N = 1; PMT = 0; I/Y = 4.1%; CPT → PV = -$9,606.15.

作者: honeycfa 时间: 2010-4-25 13:47

If the required rate of return is 12%, what is the value of a zero coupon bond with a face value of $1,000 that matures in 20 years? Assume an annual compounding period.

A)
$103.67.

B)
$175.30.

C)
$99.33.

I = 12
PMT = 0
FV = 1,000
N = 20
PV = ?
PV = 103.67

作者: honeycfa 时间: 2010-4-25 13:47

A zero-coupon bond matures three years from today, has a par value of $1,000 and a yield to maturity of 8.5% (assuming semi-annual compounding). What is the current value of this issue?

A)
$78.29.

B)
$782.91.

C)
$779.01.

The value of the bond is computed as follows:

Bond Value = $1,000 / 1.0425⁶ = $779.01.
N = 6; I/Y = 4.25; PMT = 0; FV = 1,000; CPT → PV = 779.01.

作者: honeycfa 时间: 2010-4-25 13:48

A zero-coupon bond matures three years from today, has a par value of $1,000 and a yield to maturity of 8.5% (assuming semi-annual compounding). What is the current value of this issue?

A)
$78.29.

B)
$782.91.

C)
$779.01.

The value of the bond is computed as follows:

Bond Value = $1,000 / 1.0425⁶ = $779.01.
N = 6; I/Y = 4.25; PMT = 0; FV = 1,000; CPT → PV = 779.01.

作者: honeycfa 时间: 2010-4-25 13:48

A zero-coupon bond has a yield to maturity of 9.6% (annual basis) and a par value of $1,000. If the bond matures in 10 years, today's price of the bond would be:

A)
$422.41.

B)
$391.54.

C)
$399.85.

I = 9.6; FV = 1,000; N = 10; PMT = 0; CPT → PV = 399.85

作者: honeycfa 时间: 2010-4-25 13:48

A 12-year, $1,000 face value zero-coupon bond is priced to yield a return of 7.50% compounded semi-annually. What is the bond’s price?

A)

$250.00

B)

$419.85.

C)

$413.32.

Using an equation: Price_zerocoupon = Face Value × [ 1 / ( 1 + i/n)^{n × 2}] Here, Price_zerocoupon = 1000 × [ 1 / (1+ 0.075/2)^{12 × 2}] = 1000 × 0.41332 = 413.32.

Using the calculator: N = (12 × 2) = 24, I/Y = 7.50 / 2 = 3.75, FV = 1000, PMT = 0. PV = -413.32

作者: honeycfa 时间: 2010-4-25 13:48

Janet Preen is considering buying a 10-year zero-coupon bond that has a $1,000 face value and is priced to yield 7.25% (semi-annual compounding). What price will Janet pay for the bond?

A)
$490.58.

B)
$496.62.

C)
$1,000.00.

N = 10 × 2 = 20; I/Y = 7.25/2 = 3.625; PMT = 0; FV = 1,000; Compute PV = 490.58 or $1,000/(1.03625)²⁰ = $490.58.

作者: honeycfa 时间: 2010-4-25 13:49

A 15-year zero coupon bond that has a par value of $1,000 and a required return of 8% would be priced at what value assuming annual compounding periods:

A)
$315.

B)
$464.

C)
$308.

N = 15 FV = 1,000
I = 8
PMT = 0
PV = ?
PV = 315.24

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