CFA固定收益证券知到智慧树期末考试答案题库2024年秋首都经济贸易大学

CFA固定收益证券知到智慧树期末考试答案题库2024年秋首都经济贸易大学Effectivedurationisessentialtomeasuringinterestrateriskofabondwithanembeddedcalloptionbecause:

A:ithasawell-definedyield-to-maturity.B:itismeasuredassensitivitytochangesintheyield-to-worst.C:futurecashflowsarecontingentonthepathoffutureinterestrates.

答案:itismeasuredassensitivitytochangesintheyield-to-worst.RachelLakeisevaluatingthepotentialforbondpricestochangegiventhemarketdiscountrate.Shederivesthefollowingconclusions:Conclusion1:Theconvexityeffectcanbeobservedasthetendencyforbondpricestoincreasewhenmarketdiscountratesdecrease.Conclusion2:Fortwobondsofferinganidenticalcouponrate,thematurityeffectresultsinthelonger-termbondbeingmoreprice-sensitivethanashorter-termbondwhenthechangeinmarketdiscountratesisidentical.Lakeismostlikelycorrectwithrespectto:

A:conclusion2only.B:conclusion1only.C:boththeconclusions.

答案:conclusion2only.Abondiscurrentlypricedat89.187per100parvalue.Ifyieldsincreaseby10bp,thevalueofbondfallsto88.215.However,ifyieldsdecreasebythesameamountthevalueofthebondrisesto90.237.Theapproximatemodifieddurationforthebondisclosestto:

A:10.51B:11.33C:12.67

答案:11.33Thefactorconsideredbyratingagencieswhenacorporationhasdebtatbothitsparentholdingcompanyandoperatingsubsidiariesisbestreferredtoas:

A:structuralsubordination.B:creditmigrationrisk.C:corporatefamilyrating.

答案:structuralsubordination.Whichofthefollowingaccountingissuesshouldmostlylikelybeconsideredacharacterwarningflagincreditanalysis?

A:ExpensingitemsimmediatelyB:Significantoff-balance-sheetfinancingC:Changingauditorsinfrequently

答案:Significantoff-balance-sheetfinancingAninvestorwhoownsamortgagepass-throughsecurityisexposedtocontractionriskwhichistheriskthatwheninterestrates

A:decline,thesecuritywilleffectivelyhaveashortermaturitythanwasanticipatedatthetimeofpurchaseB:rise,thesecuritywilleffectivelyhaveashortermaturitythanwasanticipatedatthetimeofpurchaseC:declinethesecuritywilleffectivelyhavealongermaturitythanwasanticipatedatthetimeofpurchase

答案:decline,thesecuritywilleffectivelyhaveashortermaturitythanwasanticipatedatthetimeofpurchaseA5-yearcorporatebondissuedbyStanleyCorpwitha6.25%coupontradesatayieldof5.80%.Duetoarecentheavysupplyofnewbondissues,theyieldofferedonthebondsinstantaneouslyincreasesto6.40%.Thebondhasamodifieddurationof3.8anditsconvexityis41.5.Takingintoaccountconvexity,thereturnimpactarisingfromthechangeinyieldisclosestto:

A:-2.21%B:+2.35%C:-0.57%

答案:-2.21%Theinvestor’srealizedhorizonyieldmatchestheyield-to-maturityif:

A:thebondissoldatapriceontheconstant-yieldpricetrajectory.B:thebondissoldatapricetogeneratecapitalgains.C:couponpaymentsarereinvestedataratehigherthantheoriginalyield-to-maturity.

答案:thebondissoldatapriceontheconstant-yieldpricetrajectory.Creditriskofacorporatebondisbestdescribedasthe:

A:riskthatanissuer’screditworthinessdeteriorates.B:probabilitythattheissuerfailstomakefullandtimelypayments.C:riskoflossresultingfromtheissuerfailingtomakefullandtimelypayments.

答案:riskoflossresultingfromtheissuerfailingtomakefullandtimelypayments.TheinterestincomegeneratedbyinvestorsofmunicipalbondissuedintheUnitedStatesismostlikely:

A:taxableatthefederallevelbutexemptfromtheincometaxofthestateinwhichthebondsareissued.B:exemptfromfederalincometaxandfromtheincometaxofthestateinwhichthebondsareissued.C:notexemptfromfederalincometaxandtheincometaxofthestateinwhichthebondsareissued.

答案:exemptfromfederalincometaxandfromtheincometaxofthestateinwhichthebondsareissued.The“second-order”effectonabond’spercentagepricechangegivenachangeinyield-to-maturitycanbebestdescribedas:

A:convexityB:durationC:yieldvolatility

答案:convexityAbondhasanannualmodifieddurationof7.140andannualconvexityof66.200.Thebond’syield-to-maturityisexpectedtoincreaseby50basispoints.Theexpectedpercentagepricechangeisclosestto:

A:–3.40%B:–3.57%C:–3.49%

答案:–3.49%Aninvestorsellsabondatthequotedpriceof$98.00.Inaddition,shereceivesaccruedinterestof$4.40.Theflatpriceofthebondisequaltothe

A:agreedonbondpriceexcludingaccruedinterestB:accruedinterestplustheagreedonbondpriceC:parvalueplusaccruedinterest

答案:agreedonbondpriceexcludingaccruedinterestAnannualmodifieddurationofafixedratebondis5.75.Althoughthereisnochangeinbenchmarkyieldsbutduetoimprovedfinancialreportingqualityandaratingsupgrade,theflatpriceofthebondhasincreasedfrom98.10to101.65per100ofparvalue.Theestimatedchangeinthecreditspreadofthebondisclosestto:

A:-20.75bpsB:-62.93bpsC:361.88bps

答案:-62.93bpsThevalueofa10-year,6%coupon$100parvaluebondwithsemiannualpayments,assuminganannualdiscountrateof7%,isclosestto

A:92.89B:107.44C:99.07

答案:92.89Thepriorityofclaimsforseniorsubordinateddebtis:

A:lowerthanforseniorunsecureddebt.B:higherthanforseniorunsecureddebt.C:thesameasforseniorunsecureddebt.

答案:lowerthanforseniorunsecureddebt.Aseniorunsecuredcreditinstrumentholdsahigherpriorityofclaimsthanonerankedas:

A:secondlienloan.B:seniorsubordinated.C:mortgagedebt.

答案:seniorsubordinated.Whichofthefollowinginvestmentsaremostlybasedonafloatinginterestrate?

A:Syndicatedorbilateralloans.B:Sovereignbonds.C:Supranationalbonds.

答案:Syndicatedorbilateralloans.Acompanythathastwoissuesoutstandinghasdeclaredbankruptcy.BothissuesareequivalentinseniorityrankingwithIssueAbeingduein15yearsandIssueBin30years.Whichofthefollowingstatementsismostlikelycorrectregardingrecoveryofthetwoissues?

A:IssueBwillbethefirsttoberepaid.B:IssueAwillbethefirsttoberepaid.C:Bothissueswillberankedparipassuinrightofpayment.

答案:Bothissueswillberankedparipassuinrightofpayment.Adeclineintheeffectivedurationofacallablebondmostlikelyimpliesthatabond’s:

A:yield-to-worsthasrisen.B:benchmarkyieldcurvehasshiftedupwards.C:yield-to-maturityhasrisen.

答案:benchmarkyieldcurvehasshiftedupwards.Considera$100parvaluebond,withan8%couponpaidannually,maturingin20years.Ifthebondcurrentlysellsfor$96.47,theyieldtomaturityisclosestto:

A:7.41%B:8.29%C:8.37%

答案:8.37%Forbondsthatareotherwiseidentical,theoneexhibitingthehighestlevelofpositiveconvexityismostlikelytheonethatis

A:option-freeB:putableC:callable

答案:putableIfacallablebondhasanoption-adjustedspread(OAS)of75bps,thismostlikelysuggests:

A:thebondhasazero-volatilityspreadgreaterthan75bpsB:the75bpsrepresenttheinvestor’scompensationforcreditrisk,liquidityrisk,andvolatilityriskC:theimpliedcostofcalloptionisthebond’snominalspreadminus75bps

答案:thebondhasazero-volatilityspreadgreaterthan75bpsCreditspreadsaremostlikelytonarrowduring

A:economiccontractionsB:aperiodofflighttoqualityC:economicexpansions

答案:economicexpansionsFromtheperspectiveofaCDOmanager,anarbitragecollateralizeddebtobligationmostlikelydiffersfromatraditionalasset-backedsecuritybecauseitinvolvesthe

A:poolingofdebtobligationB:creationofaspecialpurposeentityC:activemanagementofthecollateral

答案:activemanagementofthecollateralASouthKoreanelectronicscompanyissuedbondsdenominatedinUSdollarsintheUnitedStatesandregisteredwiththeSEC.Thesebondsaremostlikelyknownasa:

A:globalbondB:eurobondC:foreignbond

答案:foreignbondAnanalystcollectsthefollowinginformationregardingspotrates:1-yearrate=4%;2-yearrate=5%;3-yearrate=6%;4-yearrate=7%.The2-yearforwardratetwoyearsfromtodayisclosestto:

A:7.02%B:9.04%C:8.03%

答案:9.04%Inrepurchaseagreements,repomarginprovidesamarginofsafetytothe:

A:securitylender,ifthecollateral’smarketvaluedeclines.B:cashlender,ifthecollateral’smarketvaluedeclines.C:dealer,ifthelenderofthecashdefaults.

答案:cashlender,ifthecollateral’smarketvaluedeclines.Anannual-paycouponbondistradingfor$994.Apricingmodelprojectsthatthebondwouldbevaluedat$988ifbenchmarkyieldcurveincreasedby1%and$997ifthebenchmarkyieldcurvedecreasedby1%.Thisbondmostlikely:

A:hasanembeddedputoptionB:willmatureinthenextyearC:exhibitsnegativeconvexity

答案:exhibitsnegativeconvexityEvaluatinga7%,10-yearbondthatiscallableatparin5years.Couponpaymentcanbereinvestedat7%annually,andthecurrentpriceofthebondis$106.50.Thebondpaysinterestsemiannually.Shouldtheyieldtocall(YTC)oryieldtomaturity(YTM)beanappropriatemeasure?

A:YTC,sinceYTCisgreaterthanYTMB:YTM,sinceYTMisgreaterthanYTCC:YTC,sinceYTCislessthanYTM

答案:YTC,sinceYTCislessthanYTMWhichofthefollowingbestdescribesthemotivationforacorporationtoissuesecuritizedbonds?Securitizationofspecificassetsbyacorporationenablesthecorporationto:

A:usetheassetsascollateralforadditionalborrowingB:getacreditratingonbondsthatwillresultinalowercostofborrowingC:improvetherecoveryrateintheeventofdefault

答案:getacreditratingonbondsthatwillresultinalowercostofborrowingWhichofthefollowingisleastlikelytobeanegativecovenantassociatedwithacoupon-payingcorporatebondissue?

A:ArequirementtopaywithholdingtaxestoforeigngovernmentsinatimelymannerB:Aprohibitionfrominvestinginlong-termprojectsinemergingmarketcountriesC:Arequirementtohedgeatleast50%ofthefirmsrevenuesgeneratedfromforeignsales

答案:Aprohibitionfrominvestinginlong-termprojectsinemergingmarketcountriesWhichofthefollowingismostlikelyanexampleofaEurobond?

A:AnAustralianborrowerissuingCanadiandollar-denominatedbondsintheUKmarketB:AJapaneseborrowerissuingUSdollar-denominatedbondsintheUSmarketC:ACanadianborrowerissuingBritishpound-denominatedbondsintheUKmarket

答案:AnAustralianborrowerissuingCanadiandollar-denominatedbondsintheUKmarketABL.LtdisanAustraliancompanythathasfinancedajointventureprojectinSingaporeusinga15-year,fixed-ratebondpayingsemi-annualcouponsthataredenominatedinSingaporedollars.Thebond'sparvalue,tobepaidatmaturity,isdenominatedinU.S.dollars.Thisbondisanexampleofa

A:dual-currencybondB:globalbondC:currencyoptionbond

答案:dual-currencybondWhichofthefollowingproductsprovidesprotectionfrominflation?

A:FloatersB:ConsolsC:Linkers

答案:LinkersWhichofthefollowingfactorswillmostlikelydrivetherepomarginlower?

A:ShortersupplyofthecollateralB:LowerqualityofthecollateralC:Lowercreditqualityofthecounterparty

答案:ShortersupplyofthecollateralConsiderbondsthathavethesameyieldtomaturityandmaturity.Thebondwiththegreatestreinvestmentriskismostlikelytheonesellingat:

A:parB:premiumC:discount

答案:premiumWhichofthefollowingstatementsaboutbondcallfeaturesisleastaccurate?Embeddedcalloptionsincallablebonds?

A:Createriskbecausetheyadduncertaintytothebond’scashflowpatternB:ExposureinvestorstoadditionalreinvestmentrateriskC:Canbevaluedusingthedifferencebetweenthezero-volatilityspreadandthegovernmentspread.

答案:Canbevaluedusingthedifferencebetweenthezero-volatilityspreadandthegovernmentspread.Thecurrentyieldfora4.5%coupon,10-yearbond,withamaturityparvalueof$100andcurrentlypricedat$85.70isclosestto

A:5.25%B:4.5%C:5.93%

答案:5.25%On15December2013,AlphaCorpissueda10-yearcallablebondpayinganannualcouponof8%.Thebondiscallableinwholeorinpartatanytimeafter15December2018.Thistypeofcallablebondismostlikelyreferredtoas

A:AmericanstyleB:EuropeanstyleC:Bermudastyle

答案:AmericanstyleAconvertiblebondhasparvalueof$1,000andiscurrentlypricedat$1,090.Theunderlyingsharepriceis$36andtheconversionratiois30:1.Theconversionconditionforthebondis:

A:belowparityB:aboveparityC:parity

答案:belowparityWhichofthefollowingcouponpaymentstructureswillallowinvestorstobenefitfromanincreaseininterestrates?

A:InverseFRNsB:PlainvanillabondsC:Floatingratenotes(FRNs)

答案:Floatingratenotes(FRNs)Wheninterestratesareforecastedtodecline,aninvestorwillmostlikelyprefera

A:floatingratenoteB:deferredcouponbondC:inversefloatingratenote

答案:inversefloatingratenoteForadiscountrategreaterthanzero,ifthemoneymarketdiscountrateisusedasaproxyforaninvestor’srateofreturn,therateofreturnwillmostlikelybe:

A:overstatedB:correctlystatedC:understated

答案:understatedAsharerepurchaseagreementwithahighlyrated,shortinsupply,sovereignbondascollateralisassociatedwith:

A:zerodefaultriskB:alowreporateC:ahighrepomargin

答案:alowreporateGreenAssociatesownsa3%semi-annualcouponpaying,4-yearbondissuewithaparvalueof$10,000thatiscurrentlypricedat$9,783.14.Theannualizedyieldtomaturityoftheissueisclosestto

A:6.63%B:3.59%C:1.79%

答案:3.59%Whichofthefollowingbondstructuresattractsthemoreconservativeclassesofinvestors?

A:PutablebondB:CallablebondC:Option-freebond

答案:PutablebondCallablebutcanbecalledeveryOctober10oneyearfromnowtillmaturity.Thecallprovisionismostlikelya(n):

A:BermudacallB:AmericancallC:Europeancall

答案:BermudacallWhenaninvestmentbankunderwritesabondissue,thebank:

A:servesonlyasabrokerandsellsthebondissueonlyifitisabletodoso.B:servesasabrokerandsellsthebondissuetoasmallgroupofinvestorsatanagreeduponprice.C:buystheentireissueandtaketheriskofresellingittoinvestorsordealers.

答案:buystheentireissueandtaketheriskofresellingittoinvestorsordealers.Allofthefollowingareexamplesofcredit-linkedbondsexcept:

A:mortgage-backedsecuritiesB:equipmenttrustcertificatesC:lettersofcredit

答案:lettersofcreditWhichofthefollowingpricesismostlikelyquotedbydealers?

A:MatrixpriceB:CleanpriceC:Invoiceprice

答案:CleanpriceTherepomarginonarepurchaseagreementismostlikelytobehigherwhen:

A:thedemandoftheunderlyingcollateralishigh.B:theunderlyingcollateralisinshortsupply.C:thematurityoftherepurchaseagreementislong.

答案:thematurityoftherepurchaseagreementislong.Besteffortofferings

A:includeaguaranteetosellthebondissueatthenegotiatedoffering