对外经济贸易大学国际经济贸易学院《固定收益证券》部分答案.doc

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1、国际经济贸易学院研究生课程班《固定收益证券》试题1）Explainwhyyouagreeordisagreewiththefollowingstatement:“Thepriceofafloaterwillalwaystradeatitsparvalue.”Answer:Idisagreewiththestatement:“Thepriceofafloaterwillalwaystradeatitsparvalue.”First,thecouponrateofafloating-ratesecurity(orfloater)isequaltoareferencerateplu

2、ssomespreadormargin.Forexample,thecouponrateofafloatercanresetattherateonathree-monthTreasurybill(thereferencerate)plus50basispoints(thespread).Next,thepriceofafloaterdependsontwofactors:(1)thespreadoverthereferencerateand(2)anyrestrictionsthatmaybeimposedontheresettingofthecouponrate.Forex

3、ample,afloatermayhaveamaximumcouponratecalledacaporaminimumcouponratecalledafloor.Thepriceofafloaterwilltradeclosetoitsparvalueaslongas(1)thespreadabovethereferenceratethatthemarketrequiresisunchangedand(2)neitherthecapnorthefloorisreached.However,ifthemarketrequiresalarger(smaller)spread,t

4、hepriceofafloaterwilltradebelow(above)par.Ifthecouponrateisrestrictedfromchangingtothereferencerateplusthespreadbecauseofthecap,thenthepriceofafloaterwilltradebelowpar.2）Aportfoliomanagerisconsideringbuyingtwobonds.BondAmaturesinthreeyearsandhasacouponrateof10%payablesemiannually.BondB,ofth

5、esamecreditquality,maturesin10yearsandhasacouponrateof12%payablesemiannually.Bothbondsarepricedatpar.(a)Supposethattheportfoliomanagerplanstoholdthebondthatispurchasedforthreeyears.Whichwouldbethebestbondfortheportfoliomanagertopurchase?Answer:Theshortertermbondwillpayalowercouponratebutitw

6、illlikelycostlessforagivenmarketrate.Sincethebondsareofequalriskintermsofcreitquality(Thematuritypremiumforthelongertermbondshouldbegreater),thequestionwhencomparingthetwobondinvestmentsis:Whatinvestmentwillbeexpectetogivethehighestcashflowperdollarinvested?Inotherwords,whichinvestmentwillb

7、eexpectedtogivethehighesteffectiveannualrateofreturn.Ingeneral,holdingthelongertermbondshouldcompensatetheinvestorintheformofamaturitypremiumandahigherexpectedreturn.However,asseeninthediscussionbelow,theactualrealizedreturnforeitherinvestmentisnotknownw