固定收益证券试题

固定收益证券试题

1）Explain why you agree or disagree with the following statement: “The price of a floater will always trade at its par value.”

2）A portfolio manager is considering buying two bonds. Bond A matures in three years and has a coupon rate of 10% payable semiannually. Bond B, of the same credit quality, matures in 10 years and has a coupon rate of 12% payable semiannually. Both bonds are priced at par.

(a) Suppose that the portfolio manager plans to hold the bond that is purchased for three years. Which would be the best bond for the portfolio manager to purchase? (b) Suppose that the portfolio manager plans to hold the bond that is purchased for six years instead of three years. In this case, which would be the best bond for the portfolio manager to purchase?

3）Answer the below questions for bonds A and B.

Bond A Bond B

Coupon 8% 9%

Yield to maturity 8% 8%

Maturity (years) 2 5

Par $100.00 $100.00

Price $100.00 $104.055

(a) Calculate the actual price of the bonds for a 100-basis-point increase in interest rates.

(b) Using duration, estimate the price of the bonds for a 100-basis-point increase in interest rates.

(c) Using both duration and convexity measures, estimate the price of the bonds for a 100-basis-point increase in interest rates.

(d) Comment on the accuracy of your results in parts b and c, and state why one approximation is closer to the actual price than the other.

(e) Without working through calculations, indicate whether the duration of the two bonds would be higher or lower if the yield to maturity is 10% rather than 8%.

4）Suppose a client observes the following two benchmark spreads for two bonds: Bond issue U rated A: 150 basis points

Bond issue V rated BBB: 135 basis points

Your client is confused because he thought the lower-rated bond (bond V) should offer a higher benchmark spread than the higher-rated bond (bond U). Explain why the benchmark spread may be lower for bond U.

5）The bid and ask yields for a Treasury bill were quoted by a dealer as 5.91% and 5.89%, respectively. Shouldn’t the bid yield be less than the ask yield, because the bid yield indicates how much the dealer is willing to pay and the ask yield is what the dealer is willing to sell the Treasury bill for?

6）What is the difference between a cash-out refinancing and a rate-and-term refinancing?

7）Describe the cash flow of a mortgage pass-through security.

8）Explain the effect on the average lives of sequential-pay structures of including an accrual tranche in a CMO structure.