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The following bonds and liabilities are given: Bond A: A zero-coupon bond with a face value of $100 and a time to maturity of 5 years. Bond B: A zero-coupon bond with a face value of $100 and a time to maturity of 11 years. Liability X: A one-time liability maturing in 4 years with the present value of $100. Liability Y: A one-time liability maturing in 8 years with the present value of $100. Suppose you have both liabilities X and Y and want to immunize your liabilities using bonds A and B. What would be the weights of two bonds in your immunizing bond portfolio? Please round your calculation to the nearest 2nd decimal. O A. 83% in Bond A and 17% in bond B O B. 17% in Bond A and 83% in bond B O C. 50% in Bond A and 50% in bond B O D. 86% in Bond A and 14% in bond B O E. 14% in Bond A and 86% in bond B If there is 6-year bond whose coupon rate is continuously adjusted to equal to its yield to maturity, which one below is closest to the bond's duration? Hint: A bond with coupon rate equal to the yield to maturity will be priced at its face value, i.e., it is a par-value bond as we learnt in lecture 1. O A. O year O B. There is no sufficient information to get the answer. O C. 6.00 years O D. 5.75 years O E. 5.50 years When a Fl expects the interest spread to increase, the institution can always earn more interest income. Select one: O True False The following bonds and liabilities are given: Bond A: A zero-coupon bond with a face value of $100 and a time to maturity of 5 years. Bond B: A zero-coupon bond with a face value of $100 and a time to maturity of 11 years. Liability X: A one-time liability maturing in 4 years with the present value of $100. Liability Y: A one-time liability maturing in 8 years with the present value of $100. Suppose you have both liabilities X and Y and want to immunize your liabilities using bonds A and B. What would be the weights of two bonds in your immunizing bond portfolio? Please round your calculation to the nearest 2nd decimal. O A. 83% in Bond A and 17% in bond B O B. 17% in Bond A and 83% in bond B O C. 50% in Bond A and 50% in bond B O D. 86% in Bond A and 14% in bond B O E. 14% in Bond A and 86% in bond B If there is 6-year bond whose coupon rate is continuously adjusted to equal to its yield to maturity, which one below is closest to the bond's duration? Hint: A bond with coupon rate equal to the yield to maturity will be priced at its face value, i.e., it is a par-value bond as we learnt in lecture 1. O A. O year O B. There is no sufficient information to get the answer. O C. 6.00 years O D. 5.75 years O E. 5.50 years When a Fl expects the interest spread to increase, the institution can always earn more interest income. Select one: O True False
