Examples


General - Q1

What has happened to the price of this bond ?
Today a 10 year bond has a 5% coupon but 2 years later an identical 10 year bond has a 8% coupon.


General - Q2

Which bond has more credit exposure ?
An investor holds 2 identical bonds but with different coupons
Bond A has a coupon of 10%
Bond B has a coupon of 5%


General - Q3

A two year bond yields 6%. A one year bond yields 4%.
What's the implied rate for a bond that starts one year from now?


Credit Risk - Q1

Is this statement true ?
The Z-spread of a bond will be identical to the simple maturity spread in a flat yield curve


Provisions - Q1

Is this statement true ?
The return on callable bonds can be calculated using OAS (Option Adjusted Spread)


Price - Q1

A investor is offered a 9%, 30 year Treasury Bond which is exactly 10 years old at a 7% yield.
What would he pay for $100,000 of this bond ?


Price - Q2

An investor purchases $100,000 of an "off-the-run", 9% 30-year Treasury Bond for settlement on 12 Feb 2020.
The bond is due to mature on 1 March 2023.
What would the dirty price of the bond be if it is priced to yield 7% ?


Yield - Q1

What is the Yield to Maturity for a Zero Coupon Bond selling for £274.78 with a principal of £1,000 maturing in 15 years.
For consistency we must use semi-annual paying.
We must multiple this value by 2.
The yield to maturity is 8.8%.


Yield - Q2

If you have a semi-annual US Treasury Note with a yield of 4.15% what is this yield annualised ?


Yield - Q3

If you have an annual paying Corporate Bond with a yield of 9.23% what is the bond equivalent yield ?


Yield - Q4

If you have a semi-annual paying US Treasury Note with a bond equivalent yield of 9.15% what is the converted to an annual paying yield ?


Yield - Q5

What is the yield of a new $100,000, 6%, 2-year Treasury Note priced at $92,000 ?
Using Excel Goal Seek the periodic yield is 5.27%
The yield is 10.54%


Yield - Q6

What is the yield of a $1,000,000, 1 year Treasury Bill offered at $880,000 ?
Remember that treasury bills do not have any coupons.
The yield is 13.20%


More

The rate quoted for a 85 day treasury bill is 7%, what is the amount paid for US$1,000,000 of this treasury bill


The rate quoted for a 85 day treasury bill is 7%, what is the equivalent true yield on a 365-day basis


You buy a treasury bill 100 days before it matures at a discount rate of 6%
50 days later you sell the treasury bill at a discount rate of 4%.
What yield did you get on a 365-day year basis


You buy a treasury bill 100 days before it matures at a discount rate of 6%
10 days later you sell the treasury bill at a discount rate of 4.9%.
What yield did you get on a 365-day year basis





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