Question
The following annual forward rates are available in the market today: F0,1 = 0.80%, F1,2 = 1.12%, F2,3 = 3.94%, F3,4 = 3.28% and F4,5
The following annual forward rates are available in the market today: F0,1 = 0.80%, F1,2 = 1.12%, F2,3 = 3.94%, F3,4 = 3.28% and F4,5 = 3.14%. The 3-year implied spot rate is closest to:
a. 1.18%. | ||
b. 1.94%. | ||
c. 2.28%. | ||
d. 3.48%. | ||
e. 3.65%. |
The following annual forward rates are available in the market today: F0,1 = 0.80%, F1,2 = 1.12%, F2,3 = 3.94%, F3,4 = 3.28% and F4,5 = 3.14%. The 2-year implied spot rate is closest to:
a. 0.96%. | ||
b. 1.04%. | ||
c. 1.92%. | ||
d. 3.48%. | ||
e. 3.65%. |
A bond with 5 years remaining until maturity is currently trading for 101 per 100 of par value. The bond offers a 6% coupon rate with interest paid semiannually. The bond is first callable in 3 years for a call price of $102, and is callable after that at end of year 4 for a call price of $101. The bonds annual yield-to-first-call is closest to:
a. 3.12%. | ||
b. 6.11%. | ||
c. 2.51% | ||
d. 2.91% | ||
e. 6.25%. |
A 3-year floating-rate note pays 6-month Libor plus 140 bps. The floater is priced at 97 per 100 of par value. Current 6-month Libor is 1.00%. Assume a 30/360 day-count convention and evenly spaced periods. The discount margin for the floater in basis points is closest to:
a. 218 bps. | ||
b. 246 bps. | ||
c. 342 bps. | ||
d. 180 bps. | ||
e. 239 bps. |
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