Tiêu đề R46 Understanding Fixed-Income Risk and Return.pdf ✅

Question #1 of 92 Question ID: 1206570 Which of the following is most accurate about a bond with positive convexity? A) Price increases and decreases at a faster rate than the change in yield. B) Positive changes in yield lead to positive changes in price. C) Price increases when yields drop are greater than price decreases when yields rise by the same amount. Question #2 of 92 Question ID: 1206601 Which of the following is least likely to increase a bond's yield spread to the benchmark yield curve? A) Decrease in liquidity. B) Credit rating downgrade. C) Increase in expected in ation. Question #3 of 92 Question ID: 1206555 A bond portfolio consists of a AAA bond, a AA bond, and an A bond. The prices of the bonds are $1,050, $1,000, and $950 respectively. The durations are 8, 6, and 4 respectively. What is the duration of the portfolio? A) 6.67. B) 6.07. C) 6.00. Question #4 of 92 Question ID: 1206579 The price of a bond is equal to $101.76 if the term structure of interest rates is at at 5%. The following bond prices are given for up and down shifts of the term structure of interest rates. Using the following information what is the approximate percentage price change of the bond using e ective duration and assuming interest rates decrease by 0.5%? Bond price: $98.46 if term structure of interest rates is at at 6% Bond price: $105.56 if term structure of interest rates is at at 4% A) 0.0087%.
B) 1.74%. C) 0.174%. Question #5 of 92 Question ID: 1206565 An annual-pay bond is priced at 101.50. If its yield to maturity decreases 100 basis points, its price will increase to 105.90. If its yield to maturity increases 100 basis points, its price will decrease to 97.30. The bond's approximate modi ed convexity is closest to: A) 4.2. B) 0.2. C) 19.7. Question #6 of 92 Question ID: 1206526 A non-callable bond with 4 years remaining maturity has an annual coupon of 12% and a $1,000 par value. The current price of the bond is $1,063.40. Given a parallel shift in the yield curve of 50 basis points, which of the following is closest to the e ective duration of the bond? A) 3.11. B) 2.94. C) 3.27. Question #7 of 92 Question ID: 1206540 Which of the following duration measures is most appropriate if an analyst expects a non-parallel shift in the yield curve? A) E ective duration. B) Modi ed duration. C) Key rate duration. Question #8 of 92 Question ID: 1206514
An investor purchases a 4-year, 6%, semiannual-pay Treasury note for $9,485. The security has a par value of $10,000. To realize a total return equal to 7.515% (its yield to maturity), all payments must be reinvested at a return of: A) more than 7.515%. B) less than 7.515%. C) 7.515%. Question #9 of 92 Question ID: 1206562 The price value of a basis point (PVBP) for a 18 year, 8% annual pay bond with a par value of $1,000 and yield of 9% is closest to: A) $0.44. B) $0.80. C) $0.82. Question #10 of 92 Question ID: 1206603 When using duration and convexity to estimate the e ect on a bond's value of changes in its credit spread, an analyst should most appropriately use: A) a convexity measure that has been adjusted for the bond’s credit risk. B) Macaulay duration rather than modi ed duration. C) the same method used when estimating the e ect of changes in yield. Question #11 of 92 Question ID: 1206516 If the coupon payments are reinvested at the coupon rate during the life of a bond, then the yield to maturity: A) is less than the realized yield. B) may be greater or less than the realized yield. C) is greater than the realized yield. Question #12 of 92 Question ID: 1206571
How does the price-yield relationship for a callable bond compare to the same relationship for an option- free bond? The price-yield relationship is best described as exhibiting: A) the same convexity for both bond types. B) negative convexity for the callable bond and positive convexity for an option-free bond. C) negative convexity at low yields for the callable bond and positive convexity for the option-free bond. Question #13 of 92 Question ID: 1206578 A bond has the following characteristics: Maturity of 30 years Modi ed duration of 16.9 years Yield to maturity of 6.5% If the yield to maturity decreases by 0.75%, what will be the percentage change in the bond's price? A) +12.675%. B) 0.750%. C) -12.675%. Question #14 of 92 Question ID: 1206593 The term structure of yield volatility illustrates the relationship between yield volatility and: A) yield to maturity. B) Macaulay duration. C) time to maturity. Question #15 of 92 Question ID: 1206545 Which of the following statements about an embedded call feature in a bond is least accurate? The call feature: A) exposes investors to additional reinvestment rate risk. B) reduces the bond's capital appreciation potential. C) increases the bond's duration, increasing price risk.