Homework

1. Suppose that you have a bond that offers a coupon rate of 10% paid semiannually. The face value of the bond is 1.000 $ and it matures in 4 years. If yield to maturity of the bond is 8%, what is the duration of this bond? a) 3,32 years b) 3,42 years c) 3,50 years d) 3,48 years e) Other: 2. A 1.000 $ par value band with 5 years left to maturity pays an interest payment semiannually with a 6% coupon rate and is priced to have a 5% yield to maturity. If interest rates surprisingly increase by 0,5% right now, by how much would the bond's price change? a) 20,16 $ b) 21,16 $ c) 22,165 d) 23,16 $ e) Other: 3. Suppose that, a zero-coupon bond with a maturity of 20 years and with a par value of 1.000 $ is sold for an annual market yield of 10%. What would be the duration of the bond? a) 17 b) 18 c) 19 d) 20 e) Other: 4. An 11% coupon (paid annually) bond, with a 1.000 $ face value and 6 years remaining to maturity. The bond is selling at 1.065 $. What is the yield to maturity? a) 9,43% b) 9,53% c) 9,63% d) 9,73% e) Other: 5. Which one of the following statements is false? a) If the Treasury sold t-bonds more than expected in an auction, bond prices are expected to fall. b) Settlement of t-bills by Treasury leads to an expectation that t-bond prices would fall. c) Direct t-bill sale of Central Bank will lead to an expectation of fall in t-bond prices. d) Foreign exchange sales of Central Bank will lead to an expectation of fall in t-bond prices. e) Other 6. Suppose that a bank enters a reverse repurchase agreement in which it agrees to buy central bank funds from one of its correspondent banks at a price of 10.000.000 $, with promise to sell these funds back at a price of 10.000.291,67 $ after 5 $$ days. What is the repo yield? (1 year = 360 days) a) 0,18% b) 0,19% . 0,20% d) 0,21% e) Other 7. You have just been offerred a bond for 863,73 $. The coupon rate is 8% payable annually, and interest rates are 10%. You want to know how many more interest payments wou will receive, but the party selling the bond cannot remember. If the par value is 1.000 $, how many interest payments remain? a) 12 b) 11 c) 10 d) 9