Question

A five-year 2.4% defaultable coupon bond is selling to yield 3% (Annual Percent Rate and semi-annual compounding). The bond pays interest semi-annually. The risk-free yield is 2.4%. Therefore, its current credit spread is 3% -2.4% = 0.6%. Two years later its credit spread increases from 0.6% to 1% while the risk-free yield doesn’t change. Assuming the face value of the coupon bond and risk-free bond is 100. The Return in yield in two year = 2.473% (annual) Value of bond after two years = 97.193 c)Decompose the return into two components attributable to moving to maturity and the increase in the credit spread.

Answer #1

A 5-year 6.5% annual coupon bond is selling to yield 7%. The
bond pays interest annually. The par value of the bond is $100. a.
What is the price of the 5-year 6.5% coupon bond selling to yield
7%? b. What is the price of this bond one year later assuming the
yield is unchanged at 7%? c. Suppose that one year later the yield
of the bond decreases to 6.7%. What is the price change
attributable to moving to...

1. What is the yield on a 18-year bond that pays a semi-annual
coupon of $9 and sells for $1000. Answer as a percent.
2. You are looking at a 9-year zero-coupon bond that has a yield
to maturity of 1.4% . What is the value of the bond? Assume
semi-annual compounding.

Using semi-annual compounding, what is the yield to
maturity on a 4.65 percent coupon bond with 18 years left to
maturity that is offered for sale at $1,025.95? Assume par value is
$1000.

BOND TYPE: Corporate,
YIELD-TO-MATURITY: 5 percent
ANNUAL COUPON RATE: 5 percent
COUPON FREQUENCY: Semi - Annual
MATURITY DATE: Today’s Date with the year set to 4 years from
now. (i.e. If today is July 21, 2019, then it should be July 21,
2023)
PAR VALUE: $1000.00
QUANTITY: 1
SETTLEMENT DATE: Today's date (i.e. July 21, 2019).
Compute the price of this bond using the formula, the formula
that computes the present value of future cash flows of the bond,
using...

a treasury bond has an annual coupon rate of 5% that is paid
semi-annually. the Face Value of the bond is $1000 and it has 10
years to maturity with a yield to maturity of 6% (expressed as an
apr with semi annual compounding) commpute the price of the
bond.

Suppose a 10-year, $1,000 bond with an 8.8% coupon rate and
semi-annual coupons is trading for a price of $1,035.81.
a. What is the bond's yield to maturity (expressed as an APR
with semi-annual compounding)?
b. If the bond's yield to maturity changes to 9.1% APR, what
will the bond's price be?

Calculate the price of a 3.5 percent coupon bond, with 3.5 years
to maturity, and semi-annual payments. Zero-coupon spot (strip)
rates are as follows. YTM on a zero coupon security is a nominal
annual rate with semi-annual compounding.
Maturity YTM
6 months 1.20% per year
12 months 1.30%
18 months 1.40%
24 months 1.50%
30 months 1.50%
36 months 1.70%
42 months 1.90%
a. Calculate the price of this bond.
b. What is the yield to maturity of this coupon...

Consider a five-year bond with a face value of $500,000 and
semi-annual coupon of $19,000. The market yield is 7.00% p.a.
(a) What is the price of the bond?
(b) We hold the bond for 1.5 years and then sell it at a yield
of 7.50% p.a. What is the selling price and what is the holding
period yield p.a. on this investment? (Show all your workings and
round off your result to two decimals)

1. A 3-year annual coupon bond has a yield to maturity of 8%,
coupon rate of 5%. The face value of the bond is $1,000.
a. What is the price of the bond? Is it premium bond or discount
bond?
b. Suppose one year later immediately after you receive the
first coupon payment, the yield to maturity drops to 7%. What would
be your holding period return if you decide to sell the bond at the
market price then?
c....

A semi-annual bond has a face value of $10,000, a coupon rate of
9.9%, a yield to maturity of 11.1% and has 4 years remaining to
maturity. What is the price of the bond?

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