"Fixed Income Investments":Interest rate risk of non option bond

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來(lái)源: 正保會(huì)計(jì)網(wǎng)校編輯：大耳朵圖圖 2020/09/10 14:07:12　字體：大小

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Questions 1:

Which of the following statements is least accurate regarding the factors that affect the interest rate risk characteristics of an option-free bond?

A. The longer the bond's maturity, the greater the bond's price sensitivity to changes in interest rates.

B. The lower the coupon rate, the greater the bond's price sensitivity to changes in interest rates.

C. The higher the yield, the greater the bond's price sensitivity to changes in interest rates.

Questions 2:

Centro Corp. recently issued a floating-rate note (FRN) that includes a feature that prevents its coupon rate from falling below a prespecified minimum rate. This feature in an FRN is most likely referred to as a:

A. cap.

B. floor.

C. collar

View answer resolution

【Answer to question 1】（C）

【analysis】

Option-free bonds have positive convexity. The higher the yield to maturity, the lower the duration (and thus the lower the interest rate risk).

【Answer to question 2】（B）

【analysis】

An FRN with a floor on the coupon rate prevents the coupon rate from falling below a prespecified minimum rate.

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