Reading 41: Introduction to Fixed-Income Valuation

An investor calculates the value of a 5-year, 6 percent annual coupon bond with a par value of 1,000. If the market discount rate is 8 percent, the value of the bond is closest to:

A bond has a coupon rate of 5 percent and a yield to maturity of 4 percent. This bond is trading at:

Which of the following statements regarding the price-yield relationship of a standard option-free bond is most accurate?

A 10-year zero-coupon bond with a par value of 1,000 and a required yield of 6 percent (semiannual basis) is priced closest to:

If a bond's yield to maturity remains constant over time, a bond trading at a discount will:

Given the following spot rates: 1-year = 3 percent, 2-year = 4 percent, 3-year = 5 percent. The price of a 3-year, 5 percent annual coupon bond with a par value of 1,000 is closest to:

Which of the following best describes the 'no-arbitrage price' of a bond?

A 4 percent semiannual coupon bond settles on June 15. The previous coupon was paid on April 15 (61 days ago). There are 183 days in the current coupon period. The accrued interest per 100 of par value is closest to:

The full price of a bond is calculated as:

In the context of bond trading, the 'clean price' refers to:

An analyst uses matrix pricing to estimate the required yield on a 4-year illiquid bond. A 3-year comparable bond yields 3.5 percent and a 5-year comparable bond yields 4.5 percent. The estimated yield for the 4-year bond using linear interpolation is:

Matrix pricing is best described as a method used to:

A bond with a periodicity of 2 has a yield to maturity of 4 percent. What is its effective annual yield?

A 20-year, 1,000 par value bond with a 6 percent annual coupon is trading at 802.07. The current yield is closest to:

The yield calculated using the stated coupon payment dates, ignoring weekends and holidays, is referred to as:

Which of the following yield measures allows an investor to choose the currency in which to be paid?

A callable bond has a yield-to-maturity of 5.5 percent and a yield-to-first-call of 5.2 percent. The yield-to-worst is:

The 'option-adjusted yield' for a callable bond will be:

For a floating-rate note (FRN), if the credit quality of the issuer decreases, the quoted margin will likely be:

A 90-day T-bill is priced with an annualized discount of 1.2 percent. The face value is 1,000. The price of the T-bill is closest to:

A money market instrument has an add-on yield of 1.4 percent based on a 365-day year. This yield is referred to as the:

The spot rate yield curve is also referred to as the:

A par bond yield curve is constructed from:

Forward rates are best described as:

If the current 1-year spot rate is 2 percent and the 1-year forward rate one year from now (1y1y) is 3 percent, the approximate 2-year spot rate is:

The notation '2y1y' refers to:

Using the geometric mean relationship, if the 1-year spot rate is S1 and the 2-year spot rate is S2, the 1-year forward rate one year from now (1y1y) satisfies:

A yield spread calculated by adding an equal amount to each benchmark spot rate to match a bond's market price is called the:

If a 5-year corporate bond yields 6.25 percent and the 5-year Treasury note yields 3.50 percent, the G-spread is:

The Option-Adjusted Spread (OAS) for a callable bond is typically:

If a bond's yield increases, its price will:

Which of the following yield curves is constructed from yields on government bonds trading at par?

An investor calculates a bond's value using forward rates. The value obtained should be:

A 'step-up note' is a type of bond where the coupon rate:

A deferred-coupon bond:

Which of the following is an advantage of a cap for a floating-rate note issuer?

The simple yield of a bond:

For a bond with a 5 percent annual coupon and a YTM of 7 percent, the price value of a basis point (PVBP) will generally be:

A 3-year bond has spot rates of S1=3 percent, S2=4 percent, S3=5 percent. The implied 1-year forward rate 2 years from now (2y1y) is closest to:

For a 180-day money market instrument quoted with a discount yield of 2 percent, the price per 100 par value is:

When the yield curve is upward sloping, the forward curve is typically:

Which spread measure is most appropriate for a bond with embedded options?

If a callable bond's Z-spread is 200 bps and the value of the call option is 50 bps, the OAS is:

The interpolated spread (I-spread) uses which of the following as a benchmark?

If the coupon rate of a bond is higher than the YTM, the bond is likely to have:

A bond pays interest semiannually. If the quoted annual yield-to-maturity is 8 percent, the periodic discount rate used for valuation is:

The 'street convention' yield differs from the 'true yield' because:

A 5-year zero-coupon bond is priced at 800. What is the approximate yield to maturity on an annual basis?

What does a negative Z-spread imply?

When estimating the price change of a bond for a given change in yield, convexity is used to:

A bond's price is 950. If the yield falls by 10 basis points, the price rises to 958. If the yield rises by 10 basis points, the price falls to 942. What is the approximate duration (PVBP perspective)?