CFA考试《CFA一级》历年真题精选及详细解析1007-2

1、CFA考试CFA级历年真题精选及详细解析1007-21、A 5-year floatingrate security was issued on January 1, 2006.The coupon rate formula was 1-year LIBOR + 300 bps with a cap of 10% and a floor of 5% and annual reset. The 1-year LIBOR rate on January 1st of each year of the security's life is provided in the following

2、table:Year1-YearLIBOR20063.5%20074.0%20083.0%20092.0%20101.5%During 2010, the payments owed by the issuer were based on a coup on rate closest to:【单选题】A45%1C65%正确答案:B 答案解析/'Features of Debt Securities/ Frank J. Fabozzi, CFA 2011 Modular Level I, Vol. 5, p. 326-328Study Sessi on 15-61-bDescribe t

3、he basic features of a bond, the various coupon rate structures, and the structure of floatingrate securities.B is correct because LIBOR + 300 bps at the reset date equals 1.5% + 3.00% = 4.5%，which is below the floor of 5.00% so the coupon rate will be equal to the floor 2、An investor who has a 42%

4、marginal tax rate is analyzing a tax-exem pt bond that offers a yield of 374% The taxable-equivalent yield of the bond is closest to:【单选题】A. 531%.B645%C890%正确答案:B 答案解析/'Understanding Yield Spreads/ Frank J. Fabozzi, CFA 2011 Modular Level h Vol. 5, pp 464-465Study Sessi on 1564iCalculate the aft

5、er-tax yield of a taxable security and the tax-equivalent yield of a tax-exempt security.B is correct because the tax-equivalent yield of a tax-exempt security is, tax 一 exempt yielctaxable _ equivalent yield =(1 -旳 arg inal tax ra3、An analyst does research about real estate investment and gathered

6、the followingannual information about a real estate investme nt:Rental income net of vacancy and collection lossesDep recialionNet operating incomeIf the property above is valued at $3 925 000 based on the in come app roach, theca pitalizatio n rate is closest to:【单选题】A.8.8%C.15.8%正确答案:B 答案解析:在收入法之下

7、,appraisal price = NOI/market cap rate ,因而有:$3 925 000 = $475 000/market cap rate ,得出 market capitalization rate = 12.1%.4、Duration is most accurate as a measure of interest rate risk for a bond portfolio when the slope of the yield curve:【单选题】Ajn creases.B. decreases.C. stays the same.正确答案:c 答案解析:&

8、quot;Risks Associated with Investing in Bonds/ Frank J.Fabozzi 2012 Modular Level h Vol. 5, pp 359-363Study Sessi on 15-54-gDescribe yield-curve risk, and explain why duration does not account for yield-curve risk.C is correct because duration measures the change in the price of a portfolio of bonds if the yields for all maturities change by the same amount; that is, it assumes the slope of the yield curve stays the same.5、An analyst does research about tax-exempt bonds.An investor with 28% marginaltax rate purchase a tax-exempt bond yielding 3.5%Jhe investor