- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 46. Understanding Fixed-Income Risk and Return
- Subject 8. Credit and Liquidity Risk
CFA Practice Question
A bond has a modified duration of five and a convexity of 32. If its yield-to-maturity goes down by 25 bps, the bond price will go up by 1.26%. This is likely caused by ______.
B. a change in the spread
C. either, or both
A. a change in government benchmark yield
B. a change in the spread
C. either, or both
Correct Answer: C
The source of the yield-to-maturity change cannot be identified without further information.
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