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"Fixed Income":Bond yield
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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-ratebond 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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