3) A bond with a five-year maturity, semi-annual coupon of 3% and a face value of $500,000 is selling for $511,681.90. What is the bond's yield-to-maturity? Coupon - 500,000 x .03/2 = 7500 PMT=7500 PV=500,000 FV=511,681.90 N=10 (5x2) 4) Suppose that you purchase at par a $1,000 4-year bond with an annual 5.6% coupon rate. Yields on comparable bonds are 5.6%. You expect that, two years from now, yields on comparable bonds will have changed to 7.4%. 5) A CFO deposits $3 million into a bank savings account offering a 1.3% interest rate that is compounded quarterly. What will the balance of that deposit be in millions at the end of 5 years? Round your answer to 2 decimals using no symbols, commas, or other formatting. For example, an answer of $11.33 million is entered as 11.33. 6) Compute the price of a T-bond maturing in 2 years that has a 9% semi-annual coupon, a $15 million face value, and a yield of 2%. State your answer in millions and round to 2 decimals using no symbols, commas, or formats. For example, a price of $4,256,930.75 should be entered as 4.26. 7) You have just purchased at par a three-year bond with a face value of $100,000 and an annual coupon rate of 4.0%. You expect to sell the bond at the end of the 1st year for $102406. What is your expected holding period yield of the bond? 8) Suppose that you purchase at par a $1,000 4-year bond with an annual 5.8% coupon rate. Yields on comparable bonds are 5.8%. You expect that, two years from now, yields on comparable bonds will have changed to 7.1%. Compute the expected sales price of the bond at the end of the second year. Use no symbols, commas, or formatting, and round your answer to 2 decimals. 9) A CFO deposits $8 million into a bank savings account offering a 1.4% interest rate that is compounded quarterly. What will the balance of that deposit be in millions at the end of 5 years? Round your answer to 2 decimals using no symbols, commas, or other formatting. For example, an answer of $11.33 million is entered as 11.33. 10) A bond with a five-year maturity, semi-annual coupon of 3% and a face value of $500,000 is selling for $466,751.70. What is the bond's yield-to-maturity? State your answer as a percentage and round to 2 decimals. For example, a YTM of 7.55% is stated as 7.55. FMI Chapter 5 Interest Risk Quiz 1) What is the price volatility of a 6-year bond with a face value of $5,000, a semi-annual coupon of 4.5%, and a yield of 4% if the required market interest rate rises one percentage point? A.-2.58% B.-4.70% C. cannot tell from the information given D. -5.07% 2) A bank owns two assets. The first is a loan of $1054 with a duration of 4.38. The second is a $705 Treasury note with a duration of 1.24. What is the weighted-average duration of the bank's asset portfolio (rounded to 2 decimals, no formatting)? 3) Compute the duration of a 10-year Treasury bond with a semiannual coupon of 4% and a yield of 4%. Round your answer to two decimals. 4) Using the duration methodology, what is the estimated change in price (rounded to two decimals, no formatting) for a bond with a market value of $96 and modified duration of 5.21 when yields increase by 1.3 percentage points? 5) What is the modified duration of a bond with a duration of 5.18, a coupon rate of 5%, and a discount rate of 6%? 6) What is the duration of a 1-year Treasury bill with a face value of $100. Round your answer to two decimal places. 7) A bank owns two assets. The first is a loan of $1015 with a duration of 4.48. The second is a $795 Treasury note with a duration of 1.76. What is the weighted-average duration of the bank's asset portfolio (rounded to 2 decimals, no formatting)? 8) What is the modified duration of a bond with a duration of 2.68, a coupon rate of 6%, and a discount rate of 9%? 9) What is the duration of a 3-month Treasury bill with a face value of $100. Round your answer to two decimal places. FMI Chapter 6 Structure of Interest Rates Quiz 1) Suppose the 1-year spot rate is 4.1% and the 2-year spot rate is 9.2%. What is the implied forward rate on a 1-year security of the same risk class originating 1 year from now? Enter your answer in percent carried to 2 decimals. For example, a value of 2.25% is entered as 2.25. 2) Suppose the spot (current) 1-year interest rate is 9%. The market expects the 1-year rate to be 6% one year from now, and 4% 2 years from now. According to the term structure formula, what is the value of the 3-year spot rate? Enter your answer as a percent with 2 decimals. For example, a value of 9.44% should be entered as 9.44. 4) Suppose that you purchase at par a $1,000 4-year bond with an annual 5.6% coupon rate. Yields on comparable bonds are 5.6%. You expect that, two years from now, yields on comparable bonds will have changed to 7.4%. 5) A CFO deposits $3 million into a bank savings account offering a 1.3% interest rate that is compounded quarterly. What will the balance of that deposit be in millions at the end of 5 years? Round your answer to 2 decimals using no symbols, commas, or other formatting. For example, an answer of $11.33 million is entered as 11.33. 6) Compute the price of a T-bond maturing in 2 years that has a 9% semi-annual coupon, a $15 million face value, and a yield of 2%. State your answer in millions and round to 2 decimals using no symbols, commas, or formats. For example, a price of $4,256,930.75 should be entered as 4.26. 7) You have just purchased at par a three-year bond with a face value of $100,000 and an annual coupon rate of 4.0%. You expect to sell the bond at the end of the 1st year for $102406. What is your expected holding period yield of the bond? 8) Suppose that you purchase at par a $1,000 4-year bond with an annual 5.8% coupon rate. Yields on comparable bonds are 5.8%. You expect that, two years from now, yields on comparable bonds will have changed to 7.1%. Compute the expected sales price of the bond at the end of the second year. Use no symbols, commas, or formatting, and round your answer to 2 decimals. 9) A CFO deposits $8 million into a bank savings account offering a 1.4% interest rate that is compounded quarterly. What will the balance of that deposit be in millions at the end of 5 years? Round your answer to 2 decimals using no symbols, commas, or other formatting. For example, an answer of $11.33 million is entered as 11.33. 10) A bond with a five-year maturity, semi-annual coupon of 3% and a face value of $500,000 is selling for $466,751.70. What is the bond's yield-to-maturity? State your answer as a percentage and round to 2 decimals. For example, a YTM of 7.55% is stated as 7.55. FMI Chapter 5 Interest Risk Quiz 1) What is the price volatility of a 6-year bond with a face value of $5,000, a semi-annual coupon of 4.5%, and a yield of 4% if the required market interest rate rises one percentage point? A.-2.58% B.-4.70% C. cannot tell from the information given D. -5.07% 2) A bank owns two assets. The first is a loan of $1054 with a duration of 4.38. The second is a $705 Treasury note with a duration of 1.24. What is the weighted-average duration of the bank's asset portfolio (rounded to 2 decimals, no formatting)? 3) Compute the duration of a 10-year Treasury bond with a semiannual coupon of 4% and a yield of 4%. Round your answer to two decimals. 4) Using the duration methodology, what is the estimated change in price (rounded to two decimals, no formatting) for a bond with a market value of $96 and modified duration of 5.21 when yields increase by 1.3 percentage points? 5) What is the modified duration of a bond with a duration of 5.18, a coupon rate of 5%, and a discount rate of 6%? 6) What is the duration of a 1-year Treasury bill with a face value of $100. Round your answer to two decimal places. 7) A bank owns two assets. The first is a loan of $1015 with a duration of 4.48. The second is a $795 Treasury note with a duration of 1.76. What is the weighted-average duration of the bank's asset portfolio (rounded to 2 decimals, no formatting)? 8) What is the modified duration of a bond with a duration of 2.68, a coupon rate of 6%, and a discount rate of 9%? 9) What is the duration of a 3-month Treasury bill with a face value of $100. Round your answer to two decimal places. FMI Chapter 6 Structure of Interest Rates Quiz 1) Suppose the 1-year spot rate is 4.1% and the 2-year spot rate is 9.2%. What is the implied forward rate on a 1-year security of the same risk class originating 1 year from now? Enter your answer in percent carried to 2 decimals. For example, a value of 2.25% is entered as 2.25. 2) Suppose the spot (current) 1-year interest rate is 9%. The market expects the 1-year rate to be 6% one year from now, and 4% 2 years from now. According to the term structure formula, what is the value of the 3-year spot rate? Enter your answer as a percent with 2 decimals. For example, a value of 9.44% should be entered as 9.44.