Question

1)There is semiannual compounding bond. What would the YTM be on a 10-year, zero coupon, $1,000 par value bond that is currently trading at $551.4?

2)Allie Benson observes Samsung 8.25%, 6-year, annual-pay bond trading at 104.34% of par (where par is $100). The bond is callable at 102 in three years. What is the bond’s yield-to-call?

3)A 12-year, 9% annual-pay bond has a par value of $1,000. What is the price of the bond if it has a yield-to-maturity of 8%?

4)A 7% Mexican corporate bond is priced for settlement on 18
July 2020. The bond makes semiannual coupon payments on 18 March
and 18 September of each year and matures on 19 September 2026.
Using the 30/360 day-count convention, calculate the **full
price** per Pesso 100 of par value if the YTM is 8.80%
(4.40% per six months).

Answer #1

Q - 1

YTM = 2 x Rate (Nper, PMT, PV, FV) = 2 x Rate (2 x 10, 0, -551.4, 1000) = 6.04%

Q - 2

YTC = Rate (Nper, PMT, PV, FV) = Rate (3, 8.25% x 100, -104.34% x 100, 102) = 7.21%

Q - 3

Price of the bond = -PV (Rate, Nper, PMT, FV) = - PV (8%, 12, 9% x 1000, 1000) = $ 1,075.36

Q - 4

As a first step let's calculate the clean price of the bond using the PRICE function of excel as shown below:

Last coupon date = 18th March 2020

Months since last coupon date = months between 18th July & 18th March = 4 months

Hence, accrued interest = 100 x 7% x 4/12 = 2.33

Hence, Full price = Clean price + accrued interest = 91.55 +
2.33 = **93.89**

A 25-year semiannual bond has 10% coupon rate and par value
$1,000. The current YTM of the bond is 10%. Its Macaulay duration
is 9.58 years and convexity is 141.03.
(1) What is the bond’s modified duration? (2 points)
(2) What is the percentage price change if interest rate were to
fall 125 basis points considering both duration and convexity? (4
points)
(3) What is the estimated price with 125 basis points decrease
in yield? (4 points)

A 10-year, 12 % semiannual coupon bond with a par value of
$1,000 may be called in 4 years, at a call price of $1,060. The
bond sells for $1,300. (Assume the bond has just been
issued).
a. What is the bond’s yields to maturity? (15 points)
b. What is the bond’s current yield? (15 points)
c. What is the bond’s capital gain or loss yield in the first year
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A 10-year, 12 % semiannual coupon bond with a par value of
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issued).
a. What is the bond’s yields to maturity?
b. What is the bond’s current yield?
c. What is the bond’s capital gain or loss yield in the first
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d. What is the bond’s yield to call?

Suppose a seven-year, $1,000 bond with a 7.6% coupon rate and
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b. If the yield to maturity of the bond rises to 7.33% (APR with
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a. Is this bond currently trading at a discount, at par, or at
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5.11% 6.91% 7.64% 8.86%
5.11%
6.91%
7.64%
8.86%
Using the information
from Question 36, calculate the bond’s current yield.
6.20%
6.57%
6.80%
8.21%
Using the information
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yield.
-0.35%
-1.27%
0.35%
1.27%

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11.Now suppose the bond in #9 is callable in 10 years with a
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