ADMS4504-Midterm-Sample1 - Name ID # AP/ADMS4504A Fixed...

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N a m e ID # AP/ADMS4504A Fixed Income Securities and Risk Management Midterm Exam Fall 2009 October 24, 2009 Type A Exam This exam consists of 30 multiple choice questions and carries a total of 100 points . Choose the response which best answers each question. Circle your answer below and fill in your answers on the bubble sheet . Only the bubble sheet is used to determine your exam score . Please do not forget to write your name and ID # at the top of this cover page and on the bubble sheet. Also please write the type of your exam ( A or B ) on the bubble sheet. Please note the following points : 1) Read the questions carefully and use your time efficiently . 2) Choose the answers that are closest to yours, because of possible rounding. 3) Keep at least 4 decimal places in your calculations and at least 2 decimal places in your final answers. 4) The 20 “Numerical questions” are worth 4 points each. 5) The 10 “Conceptual questions” are worth 2 points each. 6) Unless otherwise stated, interest rates are annual, bonds pay semiannual coupons, and have a face value (or par value) of $1,000 . 7) You may use the back of the exam paper as your scrap paper. Numerical questions (4 points each) 1. Consider a Treasury coupon bond with $100 par, 6% coupon payable semiannually, 3 years of maturity, yielding at 4.915075% on a bond-equivalent basis. Which of the following is the price quote of this bond? Please keep at least 4 decimal places in both your calculations and your final answers for this question . A) 102 12 1/4 B) 102 19 1/8 C) 102 28 3/8 D) 102 31 ¾ E) 103 02 15/16 1
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2. A Treasury inflation protection security (TIPS) has an original principal of $50,000. Today’s semiannual nominal interest rate and semiannual real interest rate are 4% and 2%, respectively. We expect the semiannual nominal rate and semiannual real rate to rise to 5% and 2.5% in six months from now, respectively. What will be the principal of this TIPS at the end of one year from today? A) $50,000 B) $52,224 C) $52,275 D) $54,600 E) $55,020 3. A firm has two $1,000 par value bonds both selling for $701.22. The first bond has a coupon rate of 8% and 20 years of maturity. The second bond has the same yield as the first bond but only 5 years of maturity. Both bonds pay coupons annually. What is the annual coupon payment on the second bond? A) $18.56 B) $28.65 C) $35.18 D) $37.12 E) $38.24 4. Compute the price of the following Treasury bond: $600 par, 5% coupon payable semiannually, and a maturity of 3.5 years. The T-bill rates at 6 months and 1 year are 3.2% and 3.6%, respectively. The Treasury spot rates at 1.5 years, 2 years, 2.5 years, 3 years, and 3.5 years are 3.7%, 4%, 3.8%, 4.2%, and 4.5%, respectively. All the interest rates are reported on a bond-equivalent basis. A) $585.87
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This note was uploaded on 12/17/2010 for the course ATKINSON adms 4504 taught by Professor Nabil during the Fall '10 term at York University.

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ADMS4504-Midterm-Sample1 - Name ID # AP/ADMS4504A Fixed...

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