DEBT SECURITIES
Semester 1 2009: Quiz 4 Solutions Version B
1. On the following diagram, sketch an overall decrease in interest
rates with a positive butterfly shift.
Yield
Initial curve
Maturity
2. W
Faculty of Business, Economics and Law
La Trobe Business School
DEBT SECURITIES (FIN5DBS)
SEMESTER 1, 2012
ASSIGNMENT
Due Date: 12:00 noon, Friday 25th May 2012
Topic
Based on the publicly available
DEBT SECURITIES (FIN5DBS) SAMPLE EXAMINATION PAPER
SEMESTER 2, 2012
SECTION A
1) Which of the following statements relating to the risk exposure from investment in
US treasury securities is incorrect
Formulae sheet
CPR = 1 (1 SMM ) 12
1/12
SMM = 1 (1 CPR )
CPR = 6% ( t / 30 )
r (1 + r ) n
MP = B
n
(1 + r ) 1
Prepayment = SMM ( Beg Mort Bal Sched Princ Pmt )
V V
Duration = +
2V0 ( y )
Convexit
Tutorial week 2
Chapter 1 SOLUTIONS
1. All other factors constant, the longer the maturity, the greater the price
change when interest rates changes. So, Bond B is the answer.
4. a. This provision is
Week 8 Tutorial
Chapter 7 SOLUTIONS
1. While it is true that a disadvantage of the full valuation approach is that it
requires revaluating the bond in the portfolio, it is not true that the
duration/c
Tutorial Week 11
1. a.
b.
2. a. The monthly servicing fee is found by dividing the servicing fee of
0.005(50 basis points) by 12. The monthly servicing fee is therefore
0.0004167. Multiplying the mont
Week 10 Tutorial
Chapter 9 SOLUTIONS
1. This statement is incorrect. While there are different models such as the
binomial and trinomial models, the basic features of all these models are
the same. Th
Chapter 5
1 The value is 107.6655 as shown below:
2. The value is $96,326.46 as shown below
3. a. The present value of the cash flows for the three discount rates is
provided below:
1
b. The following
Week 9 Tutorial
Chapter 8
1. Historically, four shapes have been observed for the yield curve. A
positively sloping or normal yield curve is where the longer the maturity,
the higher the yield. A flat
Tutorial Week 6
Chapter 6 SOLUTIONS
4. This question requires no calculations. The question tests for an
understanding of the relationship between coupon rate, current yield and yield
to maturity for
Tutorial Week 4
Chapter 4 SOLUTIONS
5. a. The data clearly indicate that yield spreads are at their 23 month highs.
b. A callable agency issue offers a higher yield spread than a noncallable
agency is
Tutorial Week 3
Chapter 3 SOLUTIONS
1. None of the statements is correct and therefore one must disagree with
each statement for the following reasons.
a. The foreign bond market sector of the Japanes
Profitability Ratio
25.00%
20.00%
15.00%
Series 3
10.00%
5.00%
0.00%
2009
2010
2011
2012
ROE measures how much the generating profit of company from each dollar of
shareholders equity. From the graph,
1
Z-score model
The Z-score is computed as following:
Z = 1.2X1 + 1.4X2 + 3.3X3 + 0.6X4 + 1.0X5
Factor
Ratios
2012
s
X1
working capital
total asset
323, 249 306, 298
1, 240,897
X2
return earnings
tot
DEBT SECURITIES
1.
Semester 1 2009: Quiz 5 Solutions Version B
Calculate the Weighted Average Maturity (WAM) for the following
pool of loans.
Loan
1
2
3
4
5
Outstanding
balance
$145,000
$87,000
$122,0
DEBT SECURITIES
Semester 1 2009: Quiz 4 Solutions Version A
1. On the following diagram, sketch an overall increase in interest
rates with a negative butterfly shift.
Yield
Initial curve
Maturity
2. W
DEBT SECURITIES
Semester 1 2009: Quiz 3 Solutions Version C
1. Calculate the yield to maturity of a 5.6% 20-year bond that pays
interest semiannually and is selling for $85.05.
To
Enter number of peri
DEBT SECURITIES
Semester 1 2009: Quiz 3 Solutions Version A
1. Calculate the yield to maturity of a 5.6% 20-year bond that pays
interest semiannually and is selling for $95.38.
To
Enter number of peri
DEBT SECURITIES
Semester 1 2009: Quiz 3 Solutions Version B
1. Calculate the yield to maturity of a 5.6% 20-year bond that pays
interest semiannually and is selling for $95.38.
To
Enter number of peri
DEBT SECURITIES
Semester 1 2009: Quiz 2 Solutions
1. Suppose that the yield on a 5-year non-callable corporate bond is
6.54% and the yield for the on-the-run 5-year Treasury is 5.20%.
Calculate the ab
DEBT SECURITIES
1.
Semester 1 2009: Quiz 1 Solutions
Why can an accelerated sinking fund be viewed as an embedded call
option granted to the issuer?
An accelerated sinking fund provision grants the is
Executive summary
Through this report, we attempt to find a true and reliable credit rating for one of the
leading retailing company David Jones Limited (DJS).
The reason for giving DJS a credit ratin
FACULTY OF LAW AND MANAGEMENT
ASSIGNMENT
DEBT SECURITIES (FIN5DBS)
Credit Rating Analysis
David Jones Limited
DAVID JONES CREDIT RATING 2013
CONTENTS
EXECUTIVE SUMMARY.4
I.
MACROECONOMICS ANALYSIS.5
1
FACULTY OF LAW AND MANAGEMENT
SCHOOL OF ECONOMICS AND FINANCE
FIN5DBS DEBT SECURITIES
ASSIGNMENT
Due Date: 12:00 noon, Monday 11th May 2009
Topic:
Based on the publicly available information concernin
Tutorial 1:
Chapter 1:
1. Consider the following two bond issues.
Bond A: 5% 15-year bond
Bond B: 5% 30-year bond
Neither bond has an embedded option. Both bonds are
trading in the market at the same
Topic 2: FIXED-INCOME MARKETS:ISSUANCE, TRADING, AND
FUNDING
La Trobe Business School
Bond sectors and instruments
Student learning objectives
Describe classifications of global fixed-income markets;
DEBT SECURITIES
Topic 8: Valuing bonds with embedded options
La Trobe Business School
Valuing bonds with embedded options
Student learning objectives
Describe fixed-income securities with embedded
op
DEBT SECURITIES
Topic 3:
INTRODUCTION TO FIXED-INCOME VALUATION
La Trobe Business School
Yield spreads
Student learning objectives
Calculate a bonds price given a market discount rate;
Identify the
DEBT SECURITIES
Topic 1: Defining Elements of Fixed-income Securities
School of Business
Features of debt securities
Student learning objectives
1. Describe the basic features of a fixed-income securi
DEBT SECURITIES
Topic 10: FIXED-INCOME PORTFOLIO MANAGEMENT-PART I
La Trobe Business School
Introduction Fixed-Income Portfolio Management
Student learning objectives
Compare, with respect to investm
DEBT SECURITIES
Topic 9: Term structure of interest rates
La Trobe Business School
Term structure of interest rates
Student learning objectives
Describe relationships among spot rates, forward rates,