Question 43 of 71 A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean

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Question 43 of 71

A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean price). Bond maturity is 12/31/25. Assuming a 30/360-day count convention, calculate the dirty price.

·      108.131

·      106.377

·      106.137

·      105.690

·      103.619

Question 44 of 71

A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean price). Bond maturity is 12/31/25. Assuming a 30/360-day count convention, calculate modified duration (using the dirty price).

·      7.019

·      7.069

·      3.567

·      3.564

·      3.534

Question 45 of 71

A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean price). Bond maturity is 12/31/25. For a 300 basis points increase in yield, assuming a 30/360-day count convention, what is the new (dirty) price predicted by using modified duration?

·      86.72

·      86.44

·      85.36

·      82.53

·      85.60

Question 46 of 71

A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean price). Bond maturity is 12/31/25. For a 300 basis points increase in yield, assuming a 30/360-day count convention, what is the new price predicted by using modified duration with the convexity adjustment?

·      88.42

·      86.44

·      83.61

·      82.53

·      85.60

Question 47 of 71

A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean price). Bond maturity is 12/31/25. For a 300 basis points increase in yield, assuming a 30/360-day count convention, what is the actual (dirty) price?

·      86.72

·      88.19

·      83.61

·      82.53

·      85.60

Question 48 of 71

You are considering investing in several comparable 10-year 5% semi annual coupon bonds priced. The make whole call provisions of the bonds are listed below. Assuming all 5 bonds are using the same benchmark treasury bond, select which make whole call provision terms below provide for the lowest call risk.

·      Make whole at 15bps until maturity, bond currently trading at 100bp spread over benchmark.

·      Make whole at 20bps until maturity, bond currently trading at 100bp spread over benchmark.

·      Make whole at 15bps until maturity, bond currently trading at 200bp spread over benchmark.

·      Make whole at 20bps until maturity, bond currently trading at 200bp spread over benchmark.

Question 49 of 71

The five 10-year semi-annual coupon bonds listed below are of comparable risk and have the same call provision: 5 years of call protection (NC-5), after which bonds are callable at 105% of par in the 6th year and declining ratably thereafter (103.75, 102.5, 101.25 and par in years 7, 8, 9, and 10, respectively). Which of these bonds appears to face the highest call risk?

·      A bond priced at 90 with 2 years to maturity

·      A bond priced at 90 with 8 years to maturity

·      A bond priced at 105 with 4 years to maturity

·      A bond priced at 115 with 2 years to maturity

·      A bond priced at 120 with 2 years to maturity

Question 50 of 71

It is 12/31/2015 and you’re considering purchasing a 20 year, 8% semi-annual coupon bond currently priced at 102. It becomes callable on 12/31/2017 at 105. Calculate the bond’s yield to worst.

·      6.23%

·      7.51%

·      7.80%

·      9.22%

- 9.25%

Explanation / Answer

Question 43:

Last coupon date: Jun 30, 2015

Settlement date: Dec 11, 2015

Next coupon date: Dec 31, 2015

Days elapsed since last coupon payment: 30*5 + 11 = 161

Each coupon amount = 100*0.07/2 = $3.50

Dirty price = clean price + accrual interest

Dirty price = 105 + 3.5*(161/180) = 108.13

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