证券和组合课后习题：tb18

CHAPTER18

BONDFUNDAMENTALS

TRUE/FALSEQUESTIONS

(t)1Publicbondsdifferfromotherdebtbecausetheyaresoldtothepublicratherthan

toasingleinvestor.

(t)2Anonrefundingprovisionprohibitsacallandprematureretirementofanissue

fromtheproceedsofalower-couponrefundingbond.

(t)3Inthecaseofabond,theonlycontractualfactoristheamountofinterest

payments,sincebeginningandendingbondpricesaredeterminedbymarket

forces.

(f)4InGermany,thegovernmentsectoristhelargestbondmarketsegment.

(f)5Wealthyindividualinvestorstypicallyaccountfor90to95percentofinvestorsin

thebondmarket.

(f)6High-yieldbondsareconsidered“investment“grade.

(f)7Governmentbondissuesrequireanannualsinkingfundpaymentofnotlessthan

onepercentoftheoutstandingissue.

(f)8MostU.S.municipalbondsareserialissueswhicharesubjecttostateandlocal

taxeswhentheyareissuedintheinvestor'shomestate.

(f)9Thesecondarybondmarketissignificantlymoreactivethanthestockmarket.

(f)10High-yieldbondsareconsidered“investment"grade.

(t)11Abond'spriceisdeterminedbytheissue'scouponrate,lengthtomaturity,and

theprevailingyieldinthemarket.

MULTIPLECHOICEQUESTIONS

(d)1Thebondmarketsegmentsthattendtobehighlycorrelatedandmovetogether

include

a)Shortandlongtermbonds.

b)Shortandintermediatetermbonds.

c)Intermediateandlongtermbonds.

d)Short,intermediateandlongtermbonds.

e)Noneoftheabove.

(c)2Ofthefollowingprovisionsthatmightbefoundinabondindenture,whichwould

tendtoreducethecouponinterestrate?

a)Acallprovision

b)Norestrictivecovenants

c)Asinkingfundprovision

d)ChangeinbondratingfromAaatoAa

e)Noneoftheabove(thatis,allwillincreasethecouponrate)

(a)3Therefundingprovisionofanindentureallowsbondstoberetiredunless

a)Theyarereplacedwithalowercouponbondissue.

b)Theremainingtimetomaturityislessthanfiveyears.

c)Theremainingtimetomaturityisgreaterthanfiveyears.

d)Thestatedtimeperiodintheindenturehasnotpassed.

e)Thestatedtimeperiodintheindenturehaspassed.

(b)4Serialbonds

a)Canbecallable.

b)Canhavesinkingfunds.

c)Havedifferentmaturitydates.

d)Alloftheabove.

e)Noneoftheabove.

(C)5Whichofthefollowingstatementsisnottrueregardingbondratings?

a)Theratingsassignedaremeanttoindicatetheprobabilityofdefaultforthe

bondissuer.

b)Thebondsassignedoneofthetopfourratingclassesareconsidered

investmentgradebonds.

c)Oncearatingisassignedtoanissueitcannotbechangedforthefirsttwo

yearsafterwhichitisreviewedonaregularbasis.

d)BondsratedBBandbelowarereferredtoashighyieldor"junk"bonds.

e)Theratingagenciesmodifytheratingswith+and-signsornumbersafter

theletters.

(c)6Whenafixedincomesecurityisbeingtradedbuttheissuerisnotmeetinginterest

paymentsitistrading

a)Stamped.

b)Registered.

c)Flat.

d)Round.

e)Noaccrual.

(d)7ThecorporatebondmarketinJapan

a)Consistsofthreecomponents.

b)Islargelyunregulated.

c)HasalwaysbeenratedliketheU.S.bondmarket.

d)IsregulatedbytheKisaikai.

e)IsregulatedbytheNikkeiExchange.

(a)8ThebondsissuedbytheBankofEnglandareknownas

a)Gilts.

b)Bunds.

c)Limies.

d)Treasuries.

e)Benchmarks.

(d)9Whenabondissueissecuredbyalegalclaimonequipmentitisknownasa

a)Juniorbond.

b)Incomebond.

c)Bearerbond.

d)Trustcertificate.

e)Perpetuity.

(d)10Whichsetofconditionswillresultinabondwiththegreatestvolatility?

a)Ahighcouponandashortmaturity

b)Ahighcouponandalongmaturity

c)Alowcouponandashortmaturity

d)Alowcouponandalongmaturity

e)Adeferredcallfeatureandasinkingfund.

(e)HTheannualinterestpaidonabondrelativetoitsprevailingmarketpriceiscalledits

a)Promisedyield.

b)Yieldtomaturity.

c)Couponrate.

d)Effectiveyield.

e)Currentyield.

(c)12Theinstitutionswhichinvestmostheavilyincorporatebondissuesare

a)Lifeinsurancecompaniesandcommercialbanks.

b)Lifeinsurancecompaniesandpropertyandliabilityinsurance

companies.

c)Lifeinsurancecompaniesandpensionfunds.

d)Commercialbanksandpropertyandliabilityinsurancecompanies.

e)Commercialbanksandpensionfunds.

(d)13Whichofthefollowingisnotamajorratingagencyforbonds?

a)Moody's

b)Standard&Poor's

c)FitchInvestorServices

d)ValueLine

e)DuffandPhelps

(b)14Treasurybondswhichcanbepurchasedatadiscounttobeusedatpartopay

estatetaxesarecalled

a)Estatebonds.

b)Flowerbonds.

c)Municipalbonds.

d)Probatebonds.

e)Survivorbonds.

(c)15Themajorownersofhigh-yieldbondshavebeen

a)Commercialbanks.

b)Savingsandloans.

c)Mutualfunds.

d)CaliforniaCreditUnions(CCU's).

e)Europeanbanks.

(c)16Whenafixedincomesecurityisbeingtradedatthepriceaboveitsfacevalueitis

trading

a)Atadiscount.

b)Atpar.

c)Atapremium.

d)Flat.

e)Noaccrual.

(a)17Asecuritythathasacouponthatisperiodicallyadjustedisa

a)Variablenote.

b)Variationnote.

c)Adjustablecouponnote.

d)Moneymarketcertificate.

e)Deepdiscountbond.

(e)18Thefollowingareparticipatingissuersinbondmarkets

a)Governments.

b)Schooldistricts.

c)Corporations

d)a)andc).

e)a),b)andc).

(e)19Thefollowingareparticipatinginvestorsinbondmarkets.

a)U.S.Treasury.

b)Lifeinsurancecompanies.

c)Commercialbanks.

d)a)andb).

e)b)andc).

(a)20Institutionalinvestorstypicallyaccountforabout

a)90to95percentofbondmarkettrading.

b)40to5()percentofbondmarkettrading.

c)1()to15percentofbondmarkettrading.

d)Lessthan5%ofbondmarkettrading.

e)Noneoftheabove.

(b)21Alternativeinstitutionsfavordifferentsectorsofthebondmarketbasedon

a)Thelevelofinterestrates.

b)Thetaxcodeapplicabletotheinstitution.

c)Thenatureoftheinstitution'sassetstructure

d)a)andb).

e)b)andc).

(b)22Bondratingsarepositivelyrelatedto

a)Leverage.

b)Size.

c)Typeofbusiness.

d)Alloftheabove.

e)Noneoftheabove.

(c)23Bondratingsarenegativelyrelatedto

a)Profitability.

b)Cashflowcoverage.

c)Earningsinstability.

d)Alloftheabove.

e)Noneoftheabove.

(b)24TIPSareU.STreasurysecuritieswherethecouponrateis

a)Zero

b)Indexedtotherateofinflation.

c)Indexedtothediscountrate.

d)Indexedtotheprimerate.

e)Noneoftheabove.

(b)25IftheyieldtomaturityforaparvalueTIPSbondwith8yearstomaturityis3%,

andtheyieldtomaturityofaU.STreasurynotewith8yearsis4.25%,this

impliesthat

a)Theexpectedannualrateofinflationoverthenext8yearsis-1.25%.

b)Theexpectedannualrateofinflationoverthenext8yearsis1.25%.

c)Theexpectedannualrateofinflationoverthenext8yearsis-2.25%

d)Theexpectedannualrateofinflationoverthenext8yearsis2.25%

e)Noneoftheabove.

(c)26ThefacevalueofaU.S.governmentagencysecurity

a)Isalways$1000.

b)Rangesfrom$100()to$5000.

c)Rangesfrom$1000to$100,000.

d)Rangesfrom$1000to$50,000.

e)Isalways$10,000.

(b)27AmajorsourceofriskfacedbyGNMAissuesis

a)Defaultrisk.

b)Prepaymentrisk.

c)Counterpartyrisk.

d)a)andb).

e)a),b)andc).

(b)28Whenhomeownerspayoffmortgageswhentheyselltheirhomes,orwhen

homeownersrefinancehomemortgages,theyeffectively

a)MakethematuritiesofGNMAsecuritieslonger.

b)MakethematuritiesofGNMAsecuritiesshorter.

c)MakethematuritiesofU.S.Treasurysecuritieslonger.

d)MakethematuritiesofU.S.Treasurysecuritiesshorter.

e)Noneoftheabove.

(c)29Generalobligationbondsare

a)U.S.Treasurybondsbackedbythefullfaithandcreditoftheissuer.

b)U.S.Treasurybondsbackedbyincomegeneratedformspecificprojects.

c)Municipalbondsbackedbythefullfaithandcreditoftheissuer.

d)Municipalbondsbackedbyincomegeneratedfromspecificprojects.

e)AtypeofU.S.agencysecurity.

(d)30Revenuebondsare

a)U.S.Treasurybondsbackedbythefullfaithandcreditoftheissuer.

b)U.S.Treasurybondsbackedbyincomegeneratedformspecificprojects.

c)Municipalbondsbackedbythefullfaithandcreditoftheissuer.

d)Municipalbondsbackedbyincomegeneratedfromspecificprojects.

e)AtypeofU.S.agencysecurity.

(b)31CollateralizedMortgageobligationsare

a)Mortgagepass-throughsecurities.

b)Mortgagepass-throughsecuritieswithvaryingmaturities.

c)Mortgagepass-throughsecuritieswithnodefaultrisk.

d)Mortgagepass-throughsecuritieswithvariablecouponrates.

e)Noneoftheabove.

(b)32AbonddenominatedinU.S.dollarsandsoldinJapantoJapaneseinvestorsis

calleda

a)Samuraibond.

b)Eurobond.

c)Yankeebond.

d)Euroyenbond

e)Foreignbond.

MULTIPLECHOICEPROBLEMS

(c)1An8.()percentcouponbondissuedbytheStateofWashingtonsellsfor$1,000.

Whatcouponrateonacorporatebondsellingat$1,000parvaluewouldproduce

thesameaftertaxreturntotheinvestorasthemunicipalbondiftheinvestorisin

the28percentmarginaltaxbracket?

a)10.19%

b)12.25%

c)11.11%

d)14.63%

e)30.71%

(C)2A9.0percentcouponbondissuedbytheStateofCaliforniasellsfor$1,00().

Whatcouponrateonacorporatebondsellingat$1,000parvaluewouldproduce

thesameaftertaxreturntotheinvestorasthemunicipalbondiftheinvestorisin

the26percentmarginaltaxbracket?

a)10.19%

b)11.25%

c)12.16%

d)14.63%

e)30.71%

(c)3An11.0percentcouponbondissuedbytheStateofOhiosellsfor$1,000.What

couponrateonacorporatebondsellingat$1,000parvaluewouldproducethe

sameaftertaxreturntotheinvestorasthemunicipalbondiftheinvestorisinthe

25percentmarginaltaxbracket?

a)10.19%

b)12.25%

c)14.67%

d)13.53%

e)30.71%

(c)4A7.0percentcouponbondissuedbytheStateofTennesseesellsfor$1,000.

Whatcouponrateonacorporatebondsellingat$1,000parvaluewouldproduce

thesameaftertaxreturntotheinvestorasthemunicipalbondiftheinvestorisin

the29percentmarginaltaxbracket?

a)7.59%

b)12.25%

c)9.86%

d)14.63%

e)30.71%

(d)5AtwhatpointwouldaninvestorbeindifferentbetweenaDriftoncorporatebond

yielding14.0percentandatax-freemunicipalbondofequalfinancialstrengthif

theinvestor'smarginaltaxrateis25percent?

a)6.05%

b)7.10%

c)8.15%

d)10.5%

e)16.27%

(d)6AtwhatpointwouldaninvestorbeindifferentbetweenaCompcocorporatebond

yielding10.0percentandatax-freemunicipalbondofequalfinancialstrengthif

theinvestor'smarginaltaxrateis25percent?

a)6.05%

b)7.10%

c)8.15%

d)7.50%

e)16.27%

(C)7AtwhatpointwouldaninvestorbeindifferentbetweenaTriftoncorporatebond

yielding12.0percentandatax-freemunicipalbondofequalfinancialstrengthif

theinvestor'smarginaltaxrateis25percent?

a)6.00%

b)7.10%

c)9.00%

d)9.15%

e)14.00%

(e)8AtwhatpointwouldaninvestorbeindifferentbetweenaBridgfordcorporate

bondyielding8.()percentandatax-freemunicipalbondofequalfinancial

strengthiftheinvestor'smarginaltaxrateis25percent?

a)5.00%

b)7.10%

c)8.00%

d)9.15%

e)6.00%

(b)9Youpurchasea103/8s2001Feb.$10,00()parTreasuryNoteat103:11andhold

itforexactlyoneyearatwhichtimeyousellit.Whatisyourrateofreturnif

yoursellingpriceis101:13?

a)8.14%

b)8.16%

c)8.22%

d)8.32%

e)8.47%

(d)10Youpurchasea93/4s2001Feb.$10,000parTreasuryNoteat101:11andholdit

forexactlyoneyearatwhichtimeyousellit.Whatisyourrateofreturnifyour

sellingpriceis101:17?

a)8.14%

b)8.75%

c)9.75%

d)9.81%

e)10.47%

(b)11Youpurchasea8l/2s2001Feb.$10,000parTreasuryNoteat105:16andholdit

forexactlyoneyearatwhichtimeyousellit.Whatisyourrateofreturnifyour

sellingpriceis105:16?

a)8.00%

b)8.06%

c)8.22%

d)8.50%

e)8.47%

(e)12Youpurchasea113/8s2001Feb.$10,000parTreasuryNoteat103:11andhold

itforexactlyoneyearatwhichtimeyousellit.Whatisyourrateofreturnif

yoursellingpriceis100:13?

a)10.14%

b)11.75%

c)8.22%

d)8.32%

e)8.16%

(a)13Youpurchasea10l/4s2001Feb.$10,000parTreasuryNoteat102:15andhold

itforexactlyoneyearatwhichtimeyousellit.Whatisyourrateofreturnif

yoursellingpriceis104:14?

a)11.92%

b)8.16%

c)8.55%

d)8.61%

e)10.25%

(c)14Howmuchwouldyouhavetopayforacorporatebondquotedasfollows?

BondCurYieldVolumeCloseNetChange

GreyFZr02-27371/4-

a)$99.00

b)$37.25

c)$372.50

d)$2700.00

e)Noneoftheabove

(b)15Howmuchwouldyouhavetopayforacorporatebondquotedasfollows?

BondCurYieldVolumeCloseNetChange

IBM9s018.4391071/2+3/8

a)$99.00

b)$1075.00

c)$372.50

d)$2700.00

e)Noneoftheabove

USETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMS

BondCurYieldVolumeCloseNetChange

Kmart81/2008.12501053/4+1/8

(b)16HowmuchwouldyouexpecttopayfortheKmartcorporatebondquotedabove?

a)$10,575.00

b)$1057.50

c)$970.00

d)$850.00

e)$810.00

(a)17Howmuchwouldyouexpecttoearnininterestperyearfromthiscorporatebond?

a)$85.00

b)$97.00

c)$81.00

d)$250.00

e)$105.75

(a)18Howmuchwouldyouexpecttopayfora$10,000Treasurybondquotedat98:17?

a)$9,853.13

b)$10,000.00

c)$981,70

d)$9,817.00

e)Noneoftheabove

(d)19Howmuchwouldyouexpecttopayfora$10,00()Treasurynotequotedat96:27?

a)$9,627.00

b)$10,000.0()

c)$968.44

d)$9,684.38

e)Noneoftheabove

(a)20Howmuchwouldyouexpecttopayfora$10,00()strippedTreasurybondquoted

at101:16?

a)$10,150.00

b)$10,000.00

c)$101.16

d)$10,160.00

e)Noneoftheabove

(e)21ForbondsAandBbelowfindthevaluesofXandYassumingeachisazero

couponbondwitha$1,000facevalue(semiannualcompounding)

BondMaturityYieldPrice

(Years)(Percent)($$)

AX10458.10

B9Y212.00

a)8yearsand4percent

b)1()yearsand8percent

c)12yearsand1()percent

d)14yearsand12percent

e)8yearsand18percent

(a)22Calculatetheyieldtomaturityofazerocouponbondwithafacevalueof$1000,

maturingin1()yearsandsellingforapriceof$829.30.

a)6.44%

b)8.45%

c)4.16%

d)10%

e)12%

(b)23Calculatetheyieldtomaturityofazerocouponbondwithafacevalueof$1000,

maturingin5yearsandsellingforapriceof$925.75.

a)12.56%

b)13.72%

c)14.87%

d)15.26%

e)16.27%

(c)24Calculatethepriceofazerocouponbondwithyieldtomaturityof12.5%,aface

valueof$1000,andmaturingin8years.

a)$1000

b)$756.43

c)$389.74

d)$435.12

e)$875.14

CHAPTER18

ANSWERSTOPROBLEMS

18.04-(1.0-0.28)=11.11%

29.0-(1.0-0.26)=12.16%

311+(1.0-0.25)=14.67%

47H-(1.()-0.29)=9.86%

5(14)(1.0-0.25)=10.5%

6(10)(1.0-0.25)=7.5%

7(12)(1.0-0.25)=9%

8(8)(1.0-0.25)=6%

9PurchasePrice=[(103+11/32)+100]x10,000=$10,334,375

SellingPrice=[(101+13/32)+100]x10,000=$10,140.625

Interest=1()3/8%of10,000=$1,037.50

Return=(Pend-Pbeg+Interest)+Pbeg

=(10,140.625-10,334.375+1,037.50)4-10,334.375

=8.16%

10PurchasePrice=[(101+11/32)+1001x10,000=$10,134.375

SellingPrice=[(101+17/32)+100]x10,000=$10,153.125

Interest=93/4%of10,00()=$975.00

Return=(Pend-