NO.PZ2016031001000079
问题如下:
A bond with 5 years remaining until maturity is currently trading for 101 per 100 of par value. The bond offers a 6% coupon rate with interest paid semiannually. The bond is first callable in 3 years, and is callable after that date on coupon dates according to the following schedule:
The bond’s annual yield-to-second-call is closest to:
选项:
A.
2.97%.
B.
5.72%.
C.
5.94%.
解释:
C is correct.
The yield-to-second-call is 5.94%. Given the second call date is exactly four years away, the formula for calculating this bond’s yield-to-second-call is:
where:
PV = present value, or the price of the bond
PMT = coupon payment per period
FV = call price paid at call date
r = market discount rate, or required rate of return per period
r = 0.0297
To arrive at the annualized yield-to-second-call, the semiannual rate of 2.97% must be multiplied by two. Therefore, the yield-to-second-call is equal to 2.97% × 2 = 5.94%.
考点:YTC
解析:求的是yield-to-second call,第二次赎回价格为101,因此FV=101,N=4×2=8,PMT=3,PV= -101,求得I/Y=2.97,再乘2得YTC为5.94%,故选项C正确。
没看懂为啥FV和PV都是101