INV2601 EXAM MAY/JUNE 2022 SOLUTIONS
QUESTION OPTION EXPLANATION
1
= 60.6%
2 B F =So(1+r) t
= 200(1.08)1 = R216
3 C
= 1 373.22 + 1 102.96 – 2(1 225.69)
2(1 225.69) (0.0152)
= 22.8/0.5516
= 44.95
V- Vo V+
N 40 40 40
I/YR 5,25% 6% 6,75%
PMT 75 75 75
FV 1000 1000 1000
PV 1 373,22 1 225,69 1 102,96
4 A Co = Po + X/(1+r) t – So
= 3 + 70/(1.06)9/12 – 68
= 3 + 67 – 68
=2
5 D 1.95
6 A N = 40 (20x 2)
I/YR = 4 (8/4)
PMT = 0
FV =1000
PV = 208.29
, 7 C Upward sloping
8 B 20.84 : 0.33%
9 B
= 12 – 2
85 – 75
=1
10 C
= 0.295/ (0.45 * 0.70) = 0.94
11 B OTC features do not include being tradable in financial instruments
12 C Port D
13 D Diversification
14 B Sigma Rho
15 B ERp = (6 *0.6) +(14*0.4) = 9.20%
16 A Attributes of a bond include:
• Term to maturity
• Coupon rate
• Principal value
• Yield to maturity
• Price
17 D
18 B Closs to R65
19 B Interest rate swap
20 C Interest rate anticipation
• This is the riskiest strategy because the investor must act on
uncertain forecasts of future interest rates.
• They are designed to preserve capital when interest rates rise
(and bond prices fall) and to get as much capital appreciation
as possible when interest rates decline.
21 D
22 A
ERc = (2 *0.5) +(8 *0.3) +(14 *0.2) = 6.20%
QUESTION OPTION EXPLANATION
1
= 60.6%
2 B F =So(1+r) t
= 200(1.08)1 = R216
3 C
= 1 373.22 + 1 102.96 – 2(1 225.69)
2(1 225.69) (0.0152)
= 22.8/0.5516
= 44.95
V- Vo V+
N 40 40 40
I/YR 5,25% 6% 6,75%
PMT 75 75 75
FV 1000 1000 1000
PV 1 373,22 1 225,69 1 102,96
4 A Co = Po + X/(1+r) t – So
= 3 + 70/(1.06)9/12 – 68
= 3 + 67 – 68
=2
5 D 1.95
6 A N = 40 (20x 2)
I/YR = 4 (8/4)
PMT = 0
FV =1000
PV = 208.29
, 7 C Upward sloping
8 B 20.84 : 0.33%
9 B
= 12 – 2
85 – 75
=1
10 C
= 0.295/ (0.45 * 0.70) = 0.94
11 B OTC features do not include being tradable in financial instruments
12 C Port D
13 D Diversification
14 B Sigma Rho
15 B ERp = (6 *0.6) +(14*0.4) = 9.20%
16 A Attributes of a bond include:
• Term to maturity
• Coupon rate
• Principal value
• Yield to maturity
• Price
17 D
18 B Closs to R65
19 B Interest rate swap
20 C Interest rate anticipation
• This is the riskiest strategy because the investor must act on
uncertain forecasts of future interest rates.
• They are designed to preserve capital when interest rates rise
(and bond prices fall) and to get as much capital appreciation
as possible when interest rates decline.
21 D
22 A
ERc = (2 *0.5) +(8 *0.3) +(14 *0.2) = 6.20%
