A. No NoB. No Yes
C. Yes No
【题3】An investor purchases a bond that is putable at the option of the holder. The option has value. He has calculated the Z-spread as 223 basis points. The option-adjusted spread will be:
A. Equal to 233 bps
B. Less than 223 bps
C. Greater than 223 bps
【题4】 Treasury spot rates are as follows: 6-month = 4%, 1-year = 5%, 1.5 years = 6%. A 1.5-year 4% semi-annual pay Treasury note is selling for $965. The arbitrage trade and arbitrage profit are:
A. Buy the bond, sell the pieces, earn $7.09 per bond.
B. Sell the bond, buy the pieces, earn $7.09 per bond.
C. Sell the bond, buy the pieces, earn $7.91 per bond.
【题5】An investor buys a pure-discount bond, holds it to maturity, and receives its par value. For tax purposes, the increase in the bond’s value is most likely to be treated as:
A. a capital gain
B. interest income
C. tax-exempt income
【题6】A corporate bond offers a 5% coupon rate and has exactly 3 years remaining to maturity. Interest is paid annually. The following rates are from the benchmark spot curve:

The bond is currently trading at a Z-spread of 234 basis points. The value of the bond is closet to:
A. 92.38
B. 98.35
C. 106.56
【题7】Both bonds pay interest annually. The current three-year EUR interest rate swap benchmark is 2.12%.

The G-spread in basis points (bps) on the U.K. corporate bond is closest to:
A. 264 bps
B. 285 bps
C. 300 bps
【题8~9】 All three bonds are currently trading at par value.

Q1:Relative to Bond C, for a 200 basis point decrease in the required rate of return, Bond B will most likely exhibit a(n):
A. Equal percentage price change.
B. Greater percentage price change.
C. Smaller percentage price change.
Q2:Which bond will most likely experience the greatest percentage change in price if the market discount rates for all three bonds increase by 100 basis points?
A. Bond A
B. Bond B
C. Bond C
【题10】 All rates are annual rates stated for a periodicity of one (effective annual rate). The 3-year implied spot rate is closest to:

Note:0y1y代表从现在开始,期限为1年的债券;1y1y代表一年以后,期限为1年的债券,以此类推
A. 1.18%
B. 1.94%
C. 2.28%