"Fixed Income":Bond yield

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來源: 正保會計網校編輯：小鞠橘桔 2021/03/20 11:52:01　字體：大小

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Questions 1:

A bond with a par value of $100 matures in 10 years with a coupon of 4.5% paid semiannually; it is priced to yield 5.83% and has a modified duration of 7.81. If the yield of the bond declines by 0.25%, the approximate percentage price change for the bond is closest to:

A 、3.91%.

B 、1.95%.

C、 0.98%

Questions 2:

The factor least likely to influence the yield spread on an option-free, fixed-rate bond is a change in the:

A、 credit risk of the issuer.

B 、expected inflation rate.

C、 liquidity of the bond.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Approximate percentage price change = –[7.81 × (–0.0025)] = 0.01953 or 1.95%

A is incorrect. This incorrectly calculated as follows: Approximate percentage price change = –[7.81 × (–0.0025)] × 2 = 0.03905 or 3.91%

C is incorrect. This incorrectly calculated as follows: Approximate percentage price change = – [7.81 × (–0.0025)]/2 = 0.00976 or 0.98%

【Answer to question 2】B

【analysis】

B is correct. For an option-free, fixed-rate bond, changes in the yield spread can arise from changes in the credit risk of the issuer and/or changes in the liquidity of the issue. Changes in the expected inflation rate influence the benchmark rate.

C is incorrect because changes in the yield spread an option-free, fixed-rate bond arise from changes in the liquidity of the issue.

A is incorrect because changes in the yield spread an option-free, fixed-rate bond arise from changes in the credit risk of the issuer.

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