CFA特许金融分析师-CFA三级-新手入门-Fixed-IncomePortfolioManagement

CFA特许金融分析师-CFA三级-新手入门-Fixed-IncomePortfolioManagement共享题干题MeganEastonisaportfoliomanagerwithDyna（江南博哥）moInvestmentPartners(Dynamo)andmanagesabondportfoliothatinvestsprimarilyininvestment-gradecorporatebondswithalimitedamountofUSgovernmentbonds.EastonmeetswithJohnAvelyn,anewlyhiredanalyst,todiscussthestructureandmanagementofthisinvestmentportfolio,aswellassomepossiblechangestotheportfoliocomposition.Eastonbeginsthemeetingbystatingherbeliefthatthecreditspreadisthesinglemostimportantmeasurethatinvestorsusewhenselectingbonds.Amongthevariouscreditspreadmeasures,includingtheG-spread,I-spread,andZ-spread,EastonpreferstheG-spread.EastonandAvelynnextdiscusscreditstrategyapproaches.Dynamousesabottom-upapproachthatselectsbondswiththebestrelativevaluefromtheuniverseofbondswithsimilarcharacteristics.Avelyncommentsonthefollowingconsiderationsinabottom-upapproach.Comment1

CallabledebthasasmallerZ-spreadthancomparablenon-callabledebt.Comment2

Benchmarkcorporatebondissuesnormallyhavewiderspreadsthanolderbondsofthesameissuer.Comment3

Theannouncementofanewcorporatebondissueoftenleadstoanincreaseinthecreditspreadontheexistingbonds.Dynamoischangingthebondportfolio’sinvestmentconstraintssothatitcaninvestupto20%oftheassetsinhigh-yieldcorporatebondsand20%instructuredfinancialinstruments.Eastonmakesthefollowingstatementaboutthesechanges:Liquidityandtradingissuesforhigh-yieldbonds,suchasinvestment-gradebonds,willbeakeyconsiderationinoursecurityselection.Althoughbothhigh-yieldandinvestment-gradebondsarequotedasspreadsoverbenchmarkgovernmentbonds,wemustbeawarethatdealersarelikelytoholdlargerinventoriesofhigh-yieldbondsandtheirbid–offerspreadswillbelarger.Avelynmakesthefollowingstatementsaboutthedifferencesbetweeninvestment-gradeandhigh-yieldbonds.Statement1

Whendefaultlossesarelowandcreditspreadsarerelativelytight,high-yieldbondstendtoperformmorelikeinvestment-gradebonds.Statement2

Investment-gradebondshavegreaterexposuretocreditriskthanhigh-yieldbonds.Statement3

High-yieldbondshavemoreexposuretointerestrateriskthaninvestment-gradebonds.TwoofthestructuredfinancialinstrumentsthatEastonandAvelynareconsideringforDynamo’sportfolioarecollateralizeddebtobligations(CDOs)andcoveredbonds.EastonandAvelynmakethefollowingcommentsaboutthesecurities.[单选题]1.AbenefitofEaston’spreferredcreditspreadmeasureisthatit:A.providesagoodmeasureofcreditspreadforbondswithoptionality.B.usesswapratesdenominatedinthesamecurrencyasthecreditsecurity.C.reducesthepotentialformaturitymismatch.正确答案：C参考解析：TheG-spreadisthespreadoveranactualorinterpolatedbenchmark(usuallygovernment)bond.AbenefitoftheG-spreadisthatwhenthedurationofthecreditsecuritydiffersfromthatofthebenchmarkbond,theyieldsoftwogovernmentbondscanbeweightedsothattheirweightedaveragematuritymatchesthecreditsecurity’maturiy.[单选题]2.WhichofthefollowingismostlikelytobeusedwhenselectingsecuritiesbasedonDynamo’screditstrategyapproach?A.MacrofactorsB.ExpectedexcessreturnsC.Averageoption-adjustedspread正确答案：B参考解析：Analyzingexpectedexcessreturnsagainsttheexpectedmagnitudeofthecredit-relatedrisksiskeytothebottom-upapproach.Oncethecredituniversehasbeendividedintosectors,theinvestoridentifiesthebondswiththebestrelativevaluewithineachsector.IfDynamodecidesthattwoissuershavesimilarcredit-relatedrisks,thenitwilltypicallycomparecreditspreadmeasuresandbuythebondsoftheissuerwiththehigherspreadbecausethosebondslikelyhaveahigherpotentialforexcessreturns.Forissuerswithdifferentcredit-relatedrisk,Dynamomustdecidewhethertheadditionalspreadadequatelycompensatesfortheadditionalcreditrisk.[单选题]3.WhichofAvelyn’commentsregardingconsiderationsinthebottom-upapproachismostaccurate?A.Comment1B.Comment2C.Comment3正确答案：C参考解析：Whenanissuerannouncesanewcorporatebondissue,theissuer’existingbondsoftendeclineinvalueandtheirspreadswiden.Thisdynamicisoftenexplainedbymarketparticipantsasaneffectofincreasedsupply.Arelatedreasonisthatbecausedemandisnotperfectlyelastic,newissuesareoftengivenapriceconcessiontoenticeborrowerstobuythenewbonds.Thispriceconcessionmayresultinallofanissuer’existingbondsrepricingbasedonthenewissue’relativelywiderspread.Athirdreasonisthatmoredebtissuancemaysignalanincreaseinanissuer’creditrisk.[单选题]4.WhichofEaston’sstatementsabouttheliquidityandtradingcharacteristicsofhigh-yieldandinvestment-gradebondsismostcorrect?A.Dealersgenerallyholdlargerinventoriesofhigh-yieldbondsthaninvestment-gradebonds.B.Bothhigh-yieldandinvestment-gradebondsarequotedasspreadsoverbenchmarkgovernmentbonds.C.Thebid–offerspreadofhigh-yieldbondsisnormallylargerthanthatofinvestment-gradebondswithsimilarmaturities.正确答案：C参考解析：Bid–offerspreadsarelargerforhigh-yieldbondsthanforinvestment-gradebondsofsimilarmaturity.[单选题]5.WhichofAvelyn’sstatementsaboutthedifferencesbetweeninvestment-gradeandhigh-yieldbondsisaccurate?A.Statement1B.Statement2C.Statement3正确答案：A参考解析：Investment-gradecorporatebondshavemeaningfulinterestratesensitivity,andtherefore,investment-gradeportfoliomanagersusuallymanagetheirportfoliodurationsandyieldcurveexposuresclosely.Incontrast,high-yieldportfoliomanagersaremorelikelytofocusoncreditriskandlesslikelytofocusoninterestrateandyieldcurvedynamics.Whendefaultlossesarelowandcreditspreadsarerelativelytight,however,high-yieldbondstendtobehavemorelikeinvestment-gradebonds—thatis,withgreaterinterestratesensitivity.[单选题]6.WhichcommentregardingCDOsandcoveredbondsisaccurate?A.Easton’scommentB.Avelyn’sfirstcommentC.Avelyn’ssecondcomment正确答案：A参考解析：CDOstypicallyincludesomeformofsubordination.Withsubordination,aCDOhasmorethanonebondclassortranche,includingseniorbondclasses,mezzaninebondclasses(whichhavecreditratingsbetweenseniorandsubordinatedbondclasses),andsubordinatedbondclasses(oftenreferredtoasresidualorequitytranches).ThecorrelationofexpecteddefaultsonaCDO’scollateralaffectstherelativevaluebetweentheseniorandsubordinatedtranchesoftheCDO.Ascorrelationsincrease,thevaluesofthemezzaninetranchesusuallyincreaserelativetothevaluesoftheseniorandequitytranches.CécilePerreauxisajunioranalystforaninternationalwealthmanagementfirm.Hersupervisor,MargitDaasvand,asksPerreauxtoevaluatethreefixed-incomefundsaspartofthefirm’sglobalfixed-incomeofferings.SelectedfinancialdataforthefundsAschel,Permot,andRosaisoarepresentedinExhibit1.InPerreaux’sinitialreview,sheassumesthatthereisnoreinvestmentincomeandthattheyieldcurveremainsunchanged.Afterfurtherreviewofthecompositionofeachofthefunds,Perreauxnotesthefollowing.Note1

schelistheonlyfundofthethreethatusesleverage.Note2

osaisoistheonlyfundofthethreethatholdsasignificantnumberofbondswithembeddedoptions.DaasvandasksPerreauxtoanalyzeimmunizationapproachestoliability-basedmandatesforameetingwithVillashFoundation.VillashFoundationisatax-exemptclient.Priortothemeeting,Perreauxidentifieswhatsheconsiderstobetwokeyfeaturesofacashflow–matchingapproach.Feature1

Itrequiresnoyieldcurveassumptions.Feature2

Cashflowscomefromcouponsandliquidatingbondportfoliopositions.Twoyearslater,DaasvandlearnsthatVillashFoundationneeds$5,000,000incashtomeetliabilities.SheasksPerreauxtoanalyzetwobondsforpossibleliquidation.SelecteddataonthetwobondsarepresentedinExhibit2.[单选题]7.BasedonExhibit1,whichfundprovidesthehighestlevelofprotectionagainstinflationforcouponpayments?A.AschelB.PermotC.Rosaiso正确答案：B参考解析：Permothasthehighestpercentageoffloating-couponbondsandinflation-linkedbonds.Bondswithfloatingcouponsprotectinterestincomefrominflationbecausethereferencerateshouldadjustforinflation.Inflation-linkedbondsprotectagainstinflationbypayingareturnthatisdirectlylinkedtoanindexofconsumerpricesandadjustingtheprincipalforinflation.Inflation-linkedbondsprotectbothcouponandprincipalpaymentsagainstinflation.Thelevelofinflationprotectionforcoupons=%portfolioinfloating-couponbonds%portfolioininflation-linkedbonds:Aschel=2%3%=5%Permot=34%28%=62%Rosaiso=17%21%=38%Thus,Permothasthehighestlevelofinflationprotectionwith62%ofitsportfolioinfloating-couponandinflation-linkedbonds.[单选题]8.BasedonExhibit1,therollingyieldofAscheloveraone-yearinvestmenthorizonisclosestto:A.–2.56%.B.0.54%.C.5.66%.正确答案：B参考解析：[单选题]9.TheleveredportfolioreturnforAschelisclosestto:A.7.25%.B.7.71%.C.8.96%.正确答案：B参考解析：[单选题]10.BasedonNote2,Rosaisoistheonlyfundforwhichtheexpectedchangeinpricebasedontheinvestor’sviewsofyieldsandyieldspreadsshouldbecalculatedusing:A.convexity.B.modifiedduration.C.effectiveduration正确答案：C参考解析：Rosaisoistheonlyfundthatholdsbondswithembeddedoptions.Effectivedurationshouldbeusedforbondswithembeddedoptions.Forbondswithembeddedoptions,thedurationandconvexitymeasuresusedtocalculatetheexpectedchangeinpricebasedontheinvestors’sviewsofyieldsandyieldspreadsareeffectivedurationandeffectiveconvexity.Forbondswithoutembeddedoptions,convexityandmodifieddurationareusedinthiscalculation.[单选题]11.IsPerreauxcorrectwithrespecttokeyfeaturesofcashflowmatching?A.Yes.B.No,onlyFeature1iscorrect.C.No,onlyFeature2iscorrect.正确答案：B参考解析：Cashflowmatchinghasnoyieldcurveorinterestrateassumptions.Withthisimmunizationapproach,cashflowscomefromcouponandprincipalrepaymentsthatareexpectedtomatchandoffsetliabilitycashflows.Becausebondcashinflowsarescheduledtocoincidewithliabilitycashpayouts,thereisnoneedforreinvestmentofcashflows.Thus,cashflowmatchingisnotaffectedbyinterestratemovements.Cashflowscomingfromcouponsandliquidatingbondportfoliopositionsisakeyfeatureofaduration-matchingapproach.[单选题]12.BasedonExhibit2,theoptimalstrategytomeetVillashFoundation’scashneedsisthesaleof:A.100%ofBond1.B.100%ofBond2.C.50%ofBond1and50%ofBond2.正确答案：A参考解析：TheoptimalstrategyforVillashisthesaleof100%ofBond1,whichPerreauxconsiderstobeovervalued.BecauseVillashisatax-exemptfoundation,taxconsiderationsarenotrelevantandPerreaux’sinvestmentviewsdrivehertradingrecommendations.[单选题]13.BasedonExhibit2,theoptimalstrategytomeetVillashFoundation’scashneedsisthesaleof:A.100%ofBond1.B.100%ofBond2.C.50%ofBond1and50%ofBond2.正确答案：A参考解析：TheoptimalstrategyforVillashisthesaleof100%ofBond1,whichPerreauxconsiderstobeovervalued.BecauseVillashisatax-exemptfoundation,taxconsiderationsarenotrelevantandPerreaux’sinvestmentviewsdrivehertradingrecommendations.SilviaAbramandWalterEdgartonareanalystswithCefrinoInvestments,whichsponsorstheCefrinoSovereignBondFund(theFund).AbramandEdgartonrecentlyattendedaninvestmentcommitteemeetingwhereinterestrateexpectationsforthenext12monthswerediscussed.TheFund’smandateallowsitsdurationtofluctuate±0.30peryearfromthebenchmarkduration.TheFund’sdurationiscurrentlyequaltoitsbenchmark.AlthoughtheFundispresentlyinvestedentirelyinannualcouponsovereignbonds,itsinvestmentpolicyalsoallowsinvestmentsinmortgage-backedsecurities(MBS)andcalloptionsongovernmentbondfutures.TheFund’scurrentholdingsofon-the-runbondsarepresentedinExhibit1.Overthenext12months,Abramexpectsastableyieldcurve;however,Edgartonexpectsasteepeningyieldcurve,withshort-termyieldsrisingby1.00%andlong-termyieldsrisingbymorethan1.00%.Basedonheryieldcurveforecast,AbramrecommendstohersupervisorchangestotheFund’sholdingsusingthefollowingthreestrategies:Strategy1:

Sellthe3-yearbonds,andusetheproceedstobuy10-yearbonds.Strategy2:

Sellthe5-yearbonds,andusetheproceedstobuy30-yearMBSwithaneffectivedurationof4.75.Strategy3:

Sellthe10-yearbonds,andbuycalloptionson10-yeargovernmentbondfutures.Abram’ssupervisordisagreeswithAbram’syieldcurveoutlook.Thesupervisordevelopstwoalternativeportfolioscenariosbasedonherownyieldcurveoutlook:Scenario1

SellallbondsintheFundexceptthe2-yearand30-yearbonds,andincreasepositionsinthesetwobondswhilekeepingdurationneutraltothebenchmark.Scenario2

Constructacondortobenefitfromlesscurvatureinthe5-yearto10-yearareaoftheyieldcurve.Thecondorwillutilizethesame1-year,5-year,10-year,and30-yearbondsheldintheFund.Themaximumallowablepositioninthe30-yearbondinthecondoris$17million,andthebondsmusthaveequal(absolutevalue)moneyduration.EdgartonevaluatestheFund’spositionsfromExhibit1alongwithtwoofhisproformaportfolios,whicharesummarizedinExhibit2:Lastly,EdgartonreviewsaseparateaccountforCefrino’sUSclientsthatinvestinAustraliangovernmentbonds.HeexpectsastableAustralianyieldcurveoverthenext12months.Heevaluatesthereturnfrombuyingandholdinga1-yearAustraliangovernmentbondversusbuyingthe2-yearAustraliangovernmentbondandsellingitinoneyear.[单选题]14.BasedonExhibit1andAbram’sexpectationfortheyieldcurveoverthenext12months,thestrategymostlikelytoimprovetheFund’sreturnrelativetothebenchmarkisto:A.buyandhold.B.increaseconvexity.C.ridetheyieldcurve.正确答案：C参考解析：SinceAbramexpectsthecurvetoremainstable,theyieldcurveisupwardslopingandtheFund’sdurationisneutraltoitsbenchmark.Herbeststrategyistoridetheyieldcurveandenhancereturnbycapturingpriceappreciationasthebondsshorteninmaturity.[单选题]15.BasedonEdgarton’sexpectationfortheyieldcurveoverthenext12months,theFund’sreturnrelativetothebenchmarkwouldmostlikelyincreaseby:A.ridingtheyieldcurve.B.implementingabarbellstructure.C.shorteningtheportfoliodurationrelativetothebenchmark.正确答案：C参考解析：IfinterestratesriseandtheyieldcurvesteepensasEdgartonexpects,thenshorteningtheFund’sdurationfromaneutralpositiontoonethatisshorterthanthebenchmarkwillimprovetheportfolio’sreturnrelativetothebenchmark.Thisdurationmanagementstrategywillavoidlossesfromlong-terminterestrateincreases.[单选题]16.BasedonExhibit1andAbram’sinterestrateexpectations,whichofthefollowingstrategiesisexpectedtoperformbestoverthenext12months?A.Strategy1B.Strategy2C.Strategy3正确答案：B参考解析：Inastableyieldcurveenvironment,holdingbondswithhigherconvexitynegativelyaffectsportfolioperformance.Thesebondshaveloweryieldsthanbondswithlowerconvexity,allelsebeingequal.The5-yearUSTreasuryhashigherconvexitythanthenegativeconvexity30-yearMBSbond.So,bysellingthe5-yearTreasuryandpurchasingthe30-yearMBS,Abramwillreducetheportfolio’sconvexityandenhanceitsyieldwithoutviolatingthedurationmandateversusthebenchmark.[单选题]17.TheyieldcurveexpectationthatAbram’ssupervisortargetswithScenario1ismostlikelya:A.flatteningyieldcurve.B.reductioninyieldcurvecurvature.C.100bpsparallelshiftdownwardoftheyieldcurve.正确答案：A参考解析：Scenario1isanextremebarbellandistypicallyusedwhentheyieldcurveflattens.Inthiscase,the30-yearbondhaslargerpricegainsbecauseofitslongerdurationandhigherconvexityrelativetoothermaturities.Iftheyieldcurveflattensthroughrisingshort-terminterestrates,portfoliolossesarelimitedbythelowerpricesensitivitytothechangeinyieldsattheshortendofthecurvewhilethebenchmark’smiddlesecuritieswillperformpoorly.[单选题]18.BasedonExhibit1,whichshortpositionismostlikelytobeincludedinthecondoroutlinedinScenario2?A.1-year$338millionB.5-year$71millionC.10-year$38million正确答案：A参考解析：Toprofitfromadecreaseinyieldcurvecurvature,thecorrectcondorstructurewillbe:short1s,long5s,long10s,andshort30s.Thepositionsofthecondorwillbe:short$338million1-yearbond,long$71million5-yearbond,long$38million10-yearbond,andshort$17million30-yearbond.Thiscondorisstructuredsothatitbenefitsfromadeclineincurvature,wherethemiddleoftheyieldcurvedecreasesinyieldrelativetotheshortandlongendsoftheyieldcurve.Todeterminethepositions,wetakethemaximumallowanceof30-yearbondsof$17millionanddeterminemoneyduration.Moneydurationisequaltomarketvaluexmodifieddurationdividedby100.30-yearbondmoneyduration=$17million×19.69/100=$3,347,300.Themarketvaluesoftheotherpositionsare:1-yearbond:$3,347,300×100/0.99=$338.11millionor$338million5-yearbond:$3,347,300×100/4.74=$70.62millionor$71million10-yearbond:$3,347,300×100/8.82=$37.95millionor$38million[单选题]19.BasedonExhibits1and2,whichofthefollowingportfoliosismostlikelytohavethebestperformancegivenEdgarton’syieldcurveexpectations?A.CurrentPortfolioB.ProFormaPortfolio1C.ProFormaPortfolio2正确答案：C参考解析：GivenEdgarton'sexpectationforasteepeningyieldcurve,thebeststrategyistoshortentheportfoliodurationbymoreheavilyweightingshortermaturities.ProFormaPortfolio2showsgreaterpartialdurationinthe1-and3-yearmaturitiesrelativetothecurrentportfolioandtheleastcombinedexposureinthe10-and30-yearmaturitiesofthethreeportfolios.Thepredictedchangeiscalculatedasfollows:Predictedchange=Portfolioparamount×partialPVBP×(–curveshiftinbps)/100[单选题]20.BasedonExhibit3,the1-yearexpectedreturnoftheBuy-and-HoldportfoliofortheCefrinoAustraliangovernmentbondportfolioisclosestto:A.0.83%.B.1.08%.C.2.22%.正确答案：B参考解析：[单选题]21.BasedonExhibit3,theimpliedAustraliandollar(A$)1-yearrate,1-yearforwardisclosestto:A.0.15%.B.1.95%C.2.10%正确答案：B参考解析：Theimpliedforwardratecanbecalculatedusingtheyieldtomaturity(YTM)ofthe2-yearRide-the-YieldCurveand1-yearBuy-and-Holdportfolios.F1,1=[(1.018)2/1.0165]–1=1.95%SanoberHirjiisajunioranalystwithNorthcoSecurities,whichisbasedinCanada.TheinstitutionalclientsofNorthcoareactiveinvestorsinCanadiancoupon-bearinggovernmentbonds.ClientportfoliosarebenchmarkedtoaCanadiangovernmentbondindex,whichisadiversematurityindexportfolio.AfterreviewingtheportfolioofaFrenchinstitutionalclient,HirjievaluatesyieldcurvestrategiesforCanadiangovernmentbondportfoliosundervariousinterestratescenarios.Hirji’ssupervisor,élianePrégent,forecaststhatCanadianlong-termrateswillriseandshort-termrateswillfalloverthenext12months.Incontrast,Northco’schiefeconomistforecaststhatCanadianinterestrateswillincreaseordecreaseby100basispointsoverthenext12months.Basedonthechiefeconomist’sforecast,HirjisuggestsincreasingtheconvexityoftheFrenchinstitutionalclient’sportfoliobyselling10-yearbondsandinvestingtheproceedsinaduration-matchedbarbellpositionofCanadiangovernment3-yearandlong-termbonds.Shenotesthatthedurationofthe10-yearbonds,alongwiththedurationsoftheotherportfoliobonds,alignstheportfolio’seffectivedurationwiththatofthebenchmark.SelecteddataonCanadiangovernmentbondsarepresentedinExhibit1.(*Thereisnosingleconventionforhowconvexitynumbersarepresented;forexample,Bloomberghashistoricallyfollowedaconventionofdividingthe“raw”convexitynumberby100(aspresentedhere).However,itisimportanttousetherawconvexitynumberwhenestimatingreturns.)Hirjithenconsidersastrategytosellsomelong-termbondsfromtheFrenchinstitutionalclient’sportfolioandpurchaseshortmaturityat-the-moneyoptionsonlong-termbondfutures.Theportfolio’sdurationwouldremainunchanged.Prégentasks:“Howwouldportfolioperformancebeaffectedbythisstrategyiftheyieldcurveweretoremainstable?”Hirjialsoproposesthefollowingduration-neutraltradesfortheFrenchinstitutionalclient:Long/shorttradeon1-yearand3-yearCanadiangovernmentbondsShort/longtradeon10-yearandlong-termCanadiangovernmentbondsSixmonthslater,HirjireviewsCanadiangovernmentbondsforaMalaysianinstitutionalclient.PrégentandHirjiexpectchangesinthecurvatureoftheyieldcurvebutarenotsurewhethercurvaturewillincreaseordecrease.Hirjifirstanalyzespositionsthatwouldprofitfromanincreaseinthecurvatureoftheyieldcurve.Thepositionsmustbedurationneutral,andthemaximumpositionthattheMalaysianclientcantakeinlong-termbondsisC$150million.Hirjinotesthatinterestrateshaveincreasedby100basispointsoverthepastsixmonths.Selecteddataforon-the-runCanadiangovernmentbondsareshowninExhibit2.HirjithenconsidersthescenariowheretheyieldcurvewilllosecurvaturefortheMalaysianinstitutionalclient.Shenotesthata7-yearCanadiangovernmentbondisalsoavailableinthemarket.Hirjiproposesaduration-neutralportfoliocomprisedof47%in5-yearbondsand53%in7-yearbonds.Finally,HirjiusesthecomponentsofexpectedreturnstocomparetheperformanceofabulletportfolioandabarbellportfolioforaBritishinstitutionalclient.CharacteristicsoftheseportfoliosareshowninExhibit3.[单选题]22.BasedonPrégent’sinterestrateforecastoverthenext12months,theyieldcurvestrategythatwouldmostlikelyrealizethehighestprofitis:A.acarrytrade.B.abulletstructure.C.durationmanagementbybuyinglong-termCanadianbonds.正确答案：B参考解析：Abulletperformswellwhentheyieldcurveisexpectedtosteepen.SincePrégent’sforecastisforlongratestoriseandshortratestofall,thisstrategywilladdvaluetotheFrenchclient’sportfoliobyinsulatingtheportfolioagainstadversemovesatthelongendofthecurve.Ifshortratesfall,thebulletportfoliogivesupverylittleinprofitsgiventhesmallmagnitudeofpricechangesattheshortendofthecurve.Long/shorttradeon1-yearand3-yearCanadiangovernmentbondsShort/longtradeon10-yearandlong-termCanadiangovernmentbondsSixmonthslater,HirjireviewsCanadiangovernmentbondsforaMalaysianinstitutionalclient.PrégentandHirjiexpectchangesinthecurvatureoftheyieldcurvebutarenotsurewhethercurvaturewillincreaseordecrease.Hirjifirstanalyzespositionsthatwouldprofitfromanincreaseinthecurvatureoftheyieldcurve.Thepositionsmustbedurationneutral,andthemaximumpositionthattheMalaysianclientcantakeinlong-termbondsisC$150million.Hirjinotesthatinterestrateshaveincreasedby100basispointsoverthepastsixmonths.Selecteddataforon-the-runCanadiangovernmentbondsareshowninExhibit2.HirjithenconsidersthescenariowheretheyieldcurvewilllosecurvaturefortheMalaysianinstitutionalclient.Shenotesthata7-yearCanadiangovernmentbondisalsoavailableinthemarket.Hirjiproposesaduration-neutralportfoliocomprisedof47%in5-yearbondsand53%in7-yearbonds.Finally,HirjiusesthecomponentsofexpectedreturnstocomparetheperformanceofabulletportfolioandabarbellportfolioforaBritishinstitutionalclient.CharacteristicsoftheseportfoliosareshowninExhibit3.[单选题]23.BasedonExhibit1,thegaininconvexityfromHirji’ssuggestionisclosestto:A.0.423.B.1.124.C.1.205.正确答案：A参考解析：Tomaintaintheeffectivedurationmatch,thedurationofthe10-yearbondsalemustequalthetotalweighteddurationofthe3-yearandlong-termbondpurchases.9.51=(Durationof3-yearbond×Weightof3-yearbond)(Durationoflong-termbond×Weightoflong-termbond)x=weightof3-yearbond(1–x)=weightoflong-termbond9.51=2.88x21.30(1–x)x=0.64or64%Theproceedsfromthesaleofthe10-yearCanadiangovernmentbondshouldbeallocated64%tothe3-yearbondand36%tothelong-termbond:9.51=(64%×2.88)(36%×21.30)Gaininconvexity=(Weightofthe3-year)×(Convexityofthe3-year)(Weightofthelong-termbond)×(Convexityofthelong-termbond)–(Weightofthe10-year)×(Convexityofthe10-year)Gaininconvexity=(64%×0.118)(36%×2.912)–(100%×0.701)=0.42284or0.423Long/shorttradeon1-yearand3-yearCanadiangovernmentbondsShort/longtradeon10-yearandlong-termCanadiangovernmentbondsSixmonthslater,HirjireviewsCanadiangovernmentbondsforaMalaysianinstitutionalclient.PrégentandHirjiexpectchangesinthecurvatureoftheyieldcurvebutarenotsurewhethercurvaturewillincreaseordecrease.Hirjifirstanalyzespositionsthatwouldprofitfromanincreaseinthecurvatureoftheyieldcurve.Thepositionsmustbedurationneutral,andthemaximumpositionthattheMalaysianclientcantakeinlong-termbondsisC$150million.Hirjinotesthatinterestrateshaveincreasedby100basispointsoverthepastsixmonths.Selecteddataforon-the-runCanadiangovernmentbondsareshowninExhibit2.HirjithenconsidersthescenariowheretheyieldcurvewilllosecurvaturefortheMalaysianinstitutionalclient.Shenotesthata7-yearCanadiangovernmentbondisalsoavailableinthemarket.Hirjiproposesaduration-neutralportfoliocomprisedof47%in5-yearbondsand53%in7-yearbonds.Finally,HirjiusesthecomponentsofexpectedreturnstocomparetheperformanceofabulletportfolioandabarbellportfolioforaBritishinstitutionalclient.CharacteristicsoftheseportfoliosareshowninExhibit3.[单选题]24.TheanswertoPrégent’squestionisthattheportfoliowouldmostlikelyexperience:A.aloss.B.nochange.C.again.正确答案：A参考解析：Shortmaturityat-ornear-the-moneyoptionsonlong-termbondfuturescontainagreatdealofconvexity.Thus,optionsincreasetheconvexityoftheFrenchclient’sportfolio.Optionsareaddedinanticipationofasignificantchangeinrates.Iftheyieldcurveremainsstable,theport