CFA固定收益證券知到章節(jié)答案智慧樹2023年首都經濟貿易大學

CFA固定收益證券知到章節(jié)測試答案智慧樹2023年最新首都經濟貿易大學緒論單元測試

Thenominalrisk-freerateisbestdescribedasthesumoftherealrisk-freerateanda

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expectedinflationpremium

Abankquotesastatedannualinterestrateof4.00%.Ifthatrateisequaltoaneffectiveannualrateof4.08%,thenthebankiscompoundinginterest

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daily

Thevalueinsixyearsof$75,000investedtodayatastatedannualinterestrateof7%compoundedquarterlyisclosestto

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$113,733

aclientrequires$100,000oneyearfromnow.Ifthestatedannualrateis2.50%compoundedweekly,thedepositneededtodayisclosestto

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97532

Aninvestmentpays$300annuallyforfiveyears,withthefirstpaymentoccurringtoday.Thepresentvalueoftheinvestmentdiscountedata4%annualrateisclosestto

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$1,389

Asweepstakeswinnermayselecteitheraperpetuityof$2,000amonthbeginningwiththefirstpaymentinonemonthoranimmediatelumpsumpaymentof$350,000.Iftheannualdiscountrateis6%compoundedmonthly,thepresentvalueoftheperpetuityis

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greaterthanthelumpsum

Asportscar,purchasedfor$200,000,isfinancedforfiveyearsatanannualrateof6%compoundedmonthly.Ifthefirstpaymentisdueinonemonth,themonthlypaymentisclosestto

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3867

Whichofthefollowingprovisionsisabenefittotheissuer?

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Callprovision

Grandparentsarefundinganewborn'sfutureuniversitytuitioncosts,estimatedat$50,000/yearforfouryears,withthefirstpaymentduein18years.Assuminga6%effectiveannualrate,therequireddeposittodayisclosestto

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64341

Givenastatedannualinterestrateof6%compoundedquarterly,thelevelamountthat，depositedquarterly,willgrowto$25,000attheendof10yearsisclosestto

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461

第一章測試

A10-yearbondwasissuedfouryearsago.ThebondisdenominatedinUSdollars,offersacouponrateof10%withinterestpaidsemi-annually,andiscurrentlypricedat102%ofpar.Thebonds

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tenorissixyears

Thelegalcontractthatdescribestheformofthebond,theobligationsoftheissuer,andtherightsofthebondholderscanbebestdescribedasabond’s

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indenture

Whichofthefollowingisatypeofexternalcreditenhancement?

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Asuretybond

Anaffirmativecovenantismostlikelytostipulate:

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null

Whichofthefollowingbestdescribesanegativebondcovenant?Theissueris

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prohibitedfrominvestinginriskyprojects

ASouthAfricancompanyissuesbondsdenominatedinpoundsterlingthataresoldtoinvestorsintheUnitedKingdom.Thesebondscanbebestdescribedas

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foreignbonds

If

interest

rates

are

expected

to

increase,

the

coupon

payment

structure

most

likely

to

benefit

the

issuer

is

a

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cap

in

a

floating-rate

note

Investorsseekingsomegeneralprotectionagainstapooreconomyaremostlikelytoselecta

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credit-linkedcouponbond

Relativetoanotherwisesimilaroption-freebond.a

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putablebondwilltradeatahigherprice

第二章測試

Thedistinctionbetweeninvestmentgradedebtandnon-investmentgradedebtisbestdescribedby

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creditquality

Comparedwithdevelopedmarketsbonds,emergingmarketsbondsmostlikely

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exhibithigherrisk

Inanunderwrittenoffering,aninvestmentbankthatunderwritesabondissuemostlikely

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buysandresellsthenewlyissuedbondstoinvestorsordealers

Inmajordevelopedbondmarkets,newlyissuedsovereignbondsaremostoftensoldtothepublicviaa(n)

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auction

Aliquidsecondarybondmarketallowsaninvestortosellabondat

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null

Amechanismbywhichanissuermaybeabletoofferadditionalbondstothegeneralpublicwithoutpreparinganewandseparateofferingcircularbestdescribes

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ashelfregistration

Whichofthefollowingstatementsrelatingtocommercialpaperismostaccurate?

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Commercialpaperisasourceofinterimfinancingforlong-termprojects

Fortheissuer,asinkingfundarrangementismostsimilartoa

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serialmaturitystructure

Whichofthefollowingisasourceofwholesalefundsforbanks?

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Negotiablecertificatesofdeposit

Therepomarginonarepurchaseagreementismostlikelytobelowerwhen

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theunderlyingcollateralisinshortsupply

第三章測試

Aportfoliomanagerisconsideringthepurchaseofabondwitha5.5%couponratethatpaysinterestannuallyandmaturesinthreeyears.Iftherequiredrateofreturnonthebondis5%,thepriceofthebondper100ofparvalueisclosestto

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101.36

abondoffersanannualcouponrateof4%,withinterestpaidsemiannually.Thebondmaturesintwoyears.Atamarketdiscountrateof6%,thepriceofthisbondper100ofparvalueisclosestto

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96.28

TwobondsAandBbothhave5yearstomaturity.BondA’scouponrateis6%andBondB’scouponrateis8%.Bothbondsarecurrentlytradingatparvalue.RelativetoBondB,fora200basispointsdecreasesintheyield,BondAwillmostlikelyexhibita(n):

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greaterpercentagepricechange

BondAisasemi-annualcouponbondwithacouponrateof5%.ItpaysinterestonApril10andOctober10eachyearanditsmaturitydateisOct10,2020.IfitsYTMis4%and30/360day-countconventionmethodisused,whatisitsfullpriceonJune16,2018?

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103.10

Theaccruedinterestper100ofparvalueforBondAinQuestion4on16June2018isclosestto

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0.92

TheflatpriceforBondAinQuestion4on16June2018isclosestto

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102.18

Matrixpricingallowsinvestorstoestimatemarketdiscountratesandpricesforbonds

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thatarenotactivelytrade

Atwo-yearfloating-ratenotepays6-monthLiborplus80basispoints.Thefloaterispricedat97per100ofparvalue.Current6-monthLiboris1.00%.Assumea30/360day-countconventionandevenlyspacedperiods.Thediscountmarginforthefloaterinbasispointsisclosestto

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236bps

Thebondequivalentyieldofa180-daybanker'sacceptancequotedatadiscountrateof4.25%fora360-dayyearisclosestto

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4.4%

The2-yearand4-yearspotratesare3.5%and4.2%,respectively.Whatistheimplied2-yearforwardrate2-yearfromnow,iftherateissemi-annuallycompounded?

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0.04902

第四章測試

Securitizationbenefitsfinancialmarketsby

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allowinginvestorstotailorcreditriskandinterestrateriskexposurestomeettheirindividualneeds

Inasecuritization,thespecialpurposeentity(SPE)isresponsibleforthe

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issuanceoftheasset-backedsecurities

Inasecuritization,timetranchingprovidesinvestorswiththeabilitytochoosebetween

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extensionandcontractionrisks

Ifinterestratesincrease,aninvestorwhoownsamortgagepass-throughsecurityismostlikelyaffectedby

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extensionrisk

Thetranchesinacollateralizedmortgageobligation(CMO)thataremostlikelytoprovideprotectionforinvestorsagainstbothextensionandcontractionriskare

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plannedamortizationclass(PAC)tranches

Creditriskisanimportantconsiderationforcommercialmortgage-backedsecurities(CMBS)becausetheCMBSarebackedbymortgageloansthat

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arenon-recourse

Whichofthefollowingbestdescribesthecashflowthatownersofcreditcardreceivableasset-backedsecuritiesreceiveduringthelockoutperiod?

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Onlyfinancechargescollectedandfees

Adebtsecuritythatiscollateralizedbyapoolofthesovereigndebtofseveraldevelopingcountriesismostlikelya

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CDO

ResidentialmortgagesthatmaybeincludedinagencyRMBSareleastlikelyrequiredtohave

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aminimumloan-to-valueratio

Supporttranchesaremostappropriateforinvestorswhoare

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willingtoacceptprepaymentriskinexchangeforhigherreturns

第五章測試

A“buy-and-hold”investorpurchasesafixed-ratebondatadiscountandholdsthesecurityuntilitmatures.Whichofthefollowingsourcesofreturnisleastlikelytocontributetotheinvestor’stotalreturnovertheinvestmenthorizon,assumingallpaymentsaremadeasscheduled?

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Capitalgain

Whichofthefollowingsourcesofreturnismostlikelyexposedtointerestrateriskforaninvestorofafixed-ratebondwhoholdsthebonduntilmaturity？

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Reinvestmentofcouponpayments

Aninvestorpurchasesabondatapriceaboveparvalue.Twoyearslater,theinvestorsellsthebond.Theresultingcapitalgainorlossismeasuredbycom-paringthepriceatwhichthebondissoldtothe:

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carryingvalue.

Aninvestorbuysathree-yearbondwitha5%couponratepaidannually.Thebond,withayield-to-maturityof3%,ispurchasedatapriceof105.657223per100ofparvalue.Assuminga5-basispointchangeinyield-to-maturity,thebond’sapproximatemodifieddurationisclosestto:

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2.78

Aninvestorbuysa6%annualpaymentbondwiththreeyearstomaturity.Thebondhasayield-to-maturityof8%andiscurrentlypricedat94.845806per100ofpar.Thebond’sMacaulaydurationisclosestto:

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2.83

Whichofthefollowingismostappropriateformeasuringabond’ssensitivitytoshapingrisk?

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keyrateduration

Theinterestrateriskofafixed-ratebondwithanembeddedcalloptionisbestmeasuredby:

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Effectiveduration

Assumingnochangeinthecreditriskofabond,thepresenceofanembeddedputoption:

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reducestheeffectivedurationofthebond.

Alimitationofcalculatingabondportfolio’sdurationastheweightedaverageoftheyielddurationsoftheindividualbondsthatcomposetheportfolioisthatit:

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assumesaparallelshifttotheyieldcurve.

Abondwithexactlynineyearsremaininguntilmaturityoffersa3%couponratewithannualcoupons.Thebond,withayield-to-maturityof5%,ispricedat85.784357per

100ofparvalue.Theestimatedpricevalueofabasispointforthebondisclosestto:

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0.0648

第六章測試

Theriskthatabond’screditworthinessdeclinesisbestdescribedby:

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creditmigrationrisk

StedsmartLtdandFignermoLtdarealikewithrespecttofinancialandoperatingcharacteristics,exceptthatStedsmartLtdhaslesspubliclytradeddebtoutstandingthanFignermoLtd.StedsmartLtdismostlikelytohave

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highermarketliquidityrisk

Intheeventofdefault,debentures’claimswillmostlikelyrank:

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belowthatofsecureddebtholders

Intheeventofdefault,therecoveryrateofwhichofthefollowingbondswouldmostlikelybethehighest?

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Firstmortgagedebt

Duringbankruptcyproceedingsofafirm,thepriorityofclaimswasnotstrictlyadheredto.Whichofthefollowingisthele