92. The duration and convexity of an option-free bond priced at $90.25 are 10.34 and 151.60, respectively. If yields increase by 200 bps, the percentage price change is closest to:A. –23.71%. B. –17.65%. C. –20.68%. 93. Using the "Four Cs of Credit Analysis" framework, which of the following is theleast likelyfactor to be considered under the category of "capacity"? 94. A portfolio manager holds the following three bonds, which are option free and have the indicated durations. BondPar Value OwnedMarket Value OwnedDurationA$8,000,000$12,000,0003B$8,000,000$6,000,0007C$4,000,000$6,000,0006The portfolio's duration is closestto: 95. Duration is most accurate as a measure of interest rate risk for a bond portfolio when the slope of the yield curve:
2015 Level I Mock Exam PM Questions Page 26 96. The following table provides information about a portfolio of three bonds. Bond Maturity Price Par Amount Duration 1 17-year $109.2461 $16 million 8.56 2 20-year $100.4732 $4 million 9.19 3 25-year $84.6427 $8 million 11.48 Based on this information, the duration of the portfolio is closest to: A. 9.74. B. 9.48. C. 9.35. 97. Consider a $100 par value bond with a 7% coupon paid annually and 5 years to maturity. At a discount rate of 6.5%, the value of the bond today is $102.08. One day later, the discount rate increases to 7.5%. Assuming the discount rate remains at 7.5% over the remaining life of the bond, what is most likely to occur to the price of the bond between today and maturity? 98. Using the following US Treasury forward rates, the value of a 2½-year $100 par value Treasury bond with a 5% coupon rate is closest to: PeriodYearsForward Rate10.51.20%211.80%31.52.30%422.70%52.53.00%
2015 Level I Mock Exam PM Questions Page 27 99. A bond with a par value of $100 matures in 10 years with a coupon of 4.5% paid semiannually; it is priced to yield 5.83% and has a modified duration of 7.81. If the yield of the bond declines by 0.25%, the approximate percentage price change for the bond is closest to: 100. Compared with investment-grade bonds, the spread movements on high-yield bonds are influenced: A. less by interest rate changes and exhibit a greater correlation with movements in equity markets. B. more by interest rate changes and exhibit a greater correlation with movements in equity markets. C. less by interest rate changes and exhibit a lower correlation with movements in equity markets.
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