CFA特許金融分析師-CFA二級-FixedIncome

CFA特許金融分析師-CFA二級-FixedIncome共享題干題JulesBianchiisabondanalystforManevalInvestments,lnc.Bianchi（江南博哥）gathersdataonthreecorporatebonds,asshowninExhibit1.Toassesstheinterestrateriskofthethreebonds,Bianchiconstructstwobinomialinterestratetreesbasedona10%interestratevolatilityassumptionandacurrentone-yearrateof1%.PanelAofExhibit2providesaninterestratetreeassumingthebenchmarkyieldcurveshiftsdownby30bps,andPanelBprovidesaninterestratetreeassumingthebenchmarkyieldcurveshiftsupby30bps.BianchideterminesthattheAIbondiscurrentlytradingatanoption-adjustedspread(OAS)of13.95bpsrelativetothebenchmarkyieldcurve.ArmandGillette,aconvertiblebondanalyst,stopsbyBianchi'sofficetodiscusstwoconvertiblebonds.OneisissuedbyDeLilleEnterprises(DE)andtheotherisissuedbyRaffarinIncorporated(RI).SelecteddataforthetwobondsarepresentedinExhibits3and4.GillettemakesthefollowingcommentstoBianchi:■“TheDEbonddoesnotcontainanycallorputoptionsbuttheRIbondcontainsbothanembeddedcalloptionandputoption.IexpectthatDeLilleEnterpriseswillsoonannounceacommonstockdividendof€0.70pershare.”■“Mybeliefisthat,overthenextyear,Raffarin'ssharepricewillappreciatetowardtheconversionpricebutnotexceedit.”[單選題]1.BasedonExhibits1and2,theeffectivedurationfortheAIbondisclosestto:A.1.98B.2.15C.2.73正確答案：B參考解析：TheAIbond'svalueifinterestratesshiftdownby30bps(PV-)is100.78:TheAIbond'svalueifinterestratesshiftupby30bps(PV+)is99.487:點贊（0）較高的市場利率增加了未來現(xiàn)金流入的折現(xiàn)率。折現(xiàn)率越高，未來現(xiàn)金流的現(xiàn)值就越低。因此，在計算有效久期時，較高的折現(xiàn)率將給較遠期的現(xiàn)金流更大的權重。點贊（0）利率點贊（0）duration是描述利率變動對P變化幅度，利率的變動會對CallOptionBond（認購期權債券）和PutOptionBond（認沽期權債券）產(chǎn)生如下影響：對于CallOptionBond（認購期權債券）：當利率上升時，債券的市場利率低于債券的票面利率，這將使認購期權變得更有[單選題]3.BasedonExhibit1,fortheBIbond,one-sided:A.up-durationwillbegreaterthatone-sideddown-duration.B.down-durationwillbegreaterthanone-sidedup-duration.C.up-durationandone-sideddown-durationwillbeaboutequal.正確答案：C參考解析：TheBIbondisanoption-freebondandone-sidedup-durationandone-sideddown-durationwillbeaboutequalforoption-freebonds.[單選題]5.WhichbondinExhibit1mostlikelyhasthelowesteffectiveconvexity?A.AIbondB.BIbondC.CEbond正確答案：A參考解析：Allelsebeingequal,acallablebondwillhavelowereffectiveconvexitythananoption-freebondwhenthecalloptionisinthemoney.Similarly,whenthecalloptionisinthemoney,acallablebondwillalsohavelowereffectiveconvexitythanaputablebondiftheputoptionisoutofthemoney.Exhibit1showsthatthecallableAlbondiscurrentlypricedslightlyhigherthanitscallpriceofparvalue,whichmeanstheembeddedcalloptionisinthemoney.TheputoptionembeddedintheCEbondisnotinthemoney;thebondiscurrentlypriced2.1%aboveparvalue.Thus,atthecurrentprice,theputableCEbondismorelikelytobehaveliketheoption-freeBIbond.Consequently,theeffectiveconvexityoftheAIbondwilllikelybelowerthantheoption-freeBIbondandtheputableCEbond.[單選題]6.BasedonExhibit3,ifDeLilleEnterprisespaysthedividendexpectedbyGillette,theconversionpriceoftheDEbondwill:A.beadjusteddownwardB.notbeadjusted.C.beadjustedupward.正確答案：A參考解析：TheconversionpricewouldbeadjusteddownwardbecauseGillette'sexpecteddividendpaymentof€0.70isgreaterthanthethresholddividendof€0.50.[單選題]7.BasedonExhibit3,themarketconversionpremiumpersharefortheDEbondon17September20X5isclosestto:A.€0.90.B.€2.13.C.€2.53.正確答案：B參考解析：Themarketconversionpremiumpershareisequaltothemarketconversionpriceminustheunderlyingshareprice.=Themarketconversionpriceiscalculatedasfollows:Marketconversionprice=Convertiblebond/Conversionratio=€1,123/€1,000/€10pershare=€11.23pershareThemarketconversionpremiumpershareisthencalculatedasfollows:Marketconversionpremiumpershare=Marketconversionprice-Underlyingshareprice=€1123一€9.10=€2.13[單選題]8.BasedonExhibit4,thearbitrage-freevalueoftheRIbondisclosestto:A.€814.B.€1,056.C.€1,108.正確答案：C參考解析：Thevalueofaconvertiblebondwithbothanembeddedcalloptionandaputoptioncanbedeterminedusingthefollowingformula:Valueofcallableputableconvertiblebond=Valueofstraightbond＋Valueofcalloptionontheissuer'sstock-Valueofissuercalloption+Valueofinvestorputoption.Valueofcallableputablebond=€978+€147-€43+€26=€1,108[單選題]9.BasedonExhibit4andGillette'sforecastregardingRaffarin'sshareprice,thereturnontheRIbondoverthenextyearismostlikelytobe:A.lowerthanthereturnonRaffarin'scommonshares.B.thesameasthereturnonRaffarin'scommonshares.C.higherthanthereturnonRaffarin'scommonshares.正確答案：A參考解析：Overthenextyear,GillettebelievesthatRaffarin'ssharepricewillcontinuetoincreasetowardstheconversionpricebutnotexceedit.IfGillette'sforecastbecomestrue,thereturnontheRIbondwillincreasebutatalowerratethantheincreaseinRaffarin'ssharepricebecausetheconversionpriceisnotexpectedtobereached.JohnSmith,afixed-incomeportfoliomanagerata€10billionsovereignwealthfund(theFund),meetswithSofiaChan,aderivativesstrategistwithShireGateSecurities(SGS),todiscussinvestmentopportunitiesfortheFund.ChannotesthatSGSadherestoISDA(InternationalSwapsandDerivativesAssociation)protocolsforcreditdefaultswap(CDS)transactionsandthatanycontractmustconformtoISDAspecifications.BeforetheFundcanengageintradingCDSproductswithSGS,theFundmustsatisfycompliancerequirements.SmithexplainstoChanthatfixed-incomederivativesstrategiesarebeingcontemplatedforbothhedgingandtradingpurposes.GiventhesizeanddiversifiednatureoftheFund,SmithasksChantorecommendatypeofCDSthatwouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.SmithandChandiscussopportunitiestoaddtradingprofitstotheFund.SmithasksChantodeterminetheprobabilityofdefaultassociatedwithafive-yearinvestment-gradebondissuedbyOrionIndustrial.SelecteddataontheOrionIndustrialbondarepresentedinExhibit1.Chanexplainsthatasingle-nameCDScanalsobeusedtoaddprofittotheFundovertime.ChandescribesahypotheticaltradeinwhichtheFundsells￡6millionoffive-yearCDSprotectiononOrion,wheretheCDScontracthasadurationof3.9years.ChanassumesthattheFundclosesthepositionsixmonthslater,afterOrion’screditspreadnarrowedfrom150bpsto100bps.Chandiscussesthemechanicsofalong/shorttrade.Inordertostructureanumberofpotentialtrades,ChanandSmithexchangetheirrespectiveviewsonindividualcompaniesandglobaleconomies.ChanandSmithagreeonthefollowingoutlooks.Outlook1:TheEuropeaneconomywillweaken.Outlook2:TheUSeconomywillstrengthenrelativetothatofCanada.Outlook3:Thecreditqualityofelectriccarmanufacturerswillimproverelativetothatoftraditionalcarmanufacturers.ChanbelievesUSmacroeconomicdataareimprovingandthatthegeneraleconomywillstrengthenintheshortterm.ChansuggeststhatacurvetradecouldbeusedbytheFundtocapitalizeonhershort-termviewofasteepeningoftheUScreditcurve.Anothershort-termtradingopportunitythatSmithandChandiscussinvolvesthemergerandacquisitionmarket.SGSbelievesthatDeltaCorporationmaymakeanunsolicitedbidatapremiumtothemarketpriceforallofthepubliclytradedsharesofZega,Inc.Zega’smarketcapitalizationandcapitalstructurearecomparabletoDelta’s;bothfirmsarehighlylevered.ItisanticipatedthatDeltawillissuenewequityalongwith5-and10-yearseniorunsecureddebttofundtheacquisition,whichwillsignificantlyincreaseitsdebtratio.[單選題]10.TosatisfythecompliancerequirementsreferencedbyChan,thefundismostlikelyrequiredto:A.setanotionalamount.B.postanupfrontpayment.C.signanISDAmasteragreement.正確答案：C參考解析：PartiestoCDScontractsgenerallyagreethattheircontractswillconformtoISDAspecifications.ThesetermsarespecifiedintheISDAmasteragreement,whichthepartiestoaCDSsignbeforeanytransactionsaremade.Therefore,tosatisfythecompliancerequirementsreferencedbyChan,thesovereignwealthfundmustsignanISDAmasteragreementwithSGS.SmithexplainstoChanthatfixed-incomederivativesstrategiesarebeingcontemplatedforbothhedgingandtradingpurposes.GiventhesizeanddiversifiednatureoftheFund,SmithasksChantorecommendatypeofCDSthatwouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.SmithandChandiscussopportunitiestoaddtradingprofitstotheFund.SmithasksChantodeterminetheprobabilityofdefaultassociatedwithafive-yearinvestment-gradebondissuedbyOrionIndustrial.SelecteddataontheOrionIndustrialbondarepresentedinExhibit1.Chanexplainsthatasingle-nameCDScanalsobeusedtoaddprofittotheFundovertime.ChandescribesahypotheticaltradeinwhichtheFundsells￡6millionoffive-yearCDSprotectiononOrion,wheretheCDScontracthasadurationof3.9years.ChanassumesthattheFundclosesthepositionsixmonthslater,afterOrion’screditspreadnarrowedfrom150bpsto100bps.Chandiscussesthemechanicsofalong/shorttrade.Inordertostructureanumberofpotentialtrades,ChanandSmithexchangetheirrespectiveviewsonindividualcompaniesandglobaleconomies.ChanandSmithagreeonthefollowingoutlooks.Outlook1:TheEuropeaneconomywillweaken.Outlook2:TheUSeconomywillstrengthenrelativetothatofCanada.Outlook3:Thecreditqualityofelectriccarmanufacturerswillimproverelativetothatoftraditionalcarmanufacturers.ChanbelievesUSmacroeconomicdataareimprovingandthatthegeneraleconomywillstrengthenintheshortterm.ChansuggeststhatacurvetradecouldbeusedbytheFundtocapitalizeonhershort-termviewofasteepeningoftheUScreditcurve.Anothershort-termtradingopportunitythatSmithandChandiscussinvolvesthemergerandacquisitionmarket.SGSbelievesthatDeltaCorporationmaymakeanunsolicitedbidatapremiumtothemarketpriceforallofthepubliclytradedsharesofZega,Inc.Zega’smarketcapitalizationandcapitalstructurearecomparabletoDelta’s;bothfirmsarehighlylevered.ItisanticipatedthatDeltawillissuenewequityalongwith5-and10-yearseniorunsecureddebttofundtheacquisition,whichwillsignificantlyincreaseitsdebtratio.[單選題]11.WhichtypeofCDSshouldChanrecommendtoSmith?A.CDSindexB.TrancheCDSC.Single-nameCDS正確答案：A參考解析：ACDSindex(e.g.,CDXandiTraxx)wouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.AtrancheCDSwillalsohedgemultipleexposures,butitwouldonlypartiallyhedgethoseexposures.SmithexplainstoChanthatfixed-incomederivativesstrategiesarebeingcontemplatedforbothhedgingandtradingpurposes.GiventhesizeanddiversifiednatureoftheFund,SmithasksChantorecommendatypeofCDSthatwouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.SmithandChandiscussopportunitiestoaddtradingprofitstotheFund.SmithasksChantodeterminetheprobabilityofdefaultassociatedwithafive-yearinvestment-gradebondissuedbyOrionIndustrial.SelecteddataontheOrionIndustrialbondarepresentedinExhibit1.Chanexplainsthatasingle-nameCDScanalsobeusedtoaddprofittotheFundovertime.ChandescribesahypotheticaltradeinwhichtheFundsells￡6millionoffive-yearCDSprotectiononOrion,wheretheCDScontracthasadurationof3.9years.ChanassumesthattheFundclosesthepositionsixmonthslater,afterOrion’screditspreadnarrowedfrom150bpsto100bps.Chandiscussesthemechanicsofalong/shorttrade.Inordertostructureanumberofpotentialtrades,ChanandSmithexchangetheirrespectiveviewsonindividualcompaniesandglobaleconomies.ChanandSmithagreeonthefollowingoutlooks.Outlook1:TheEuropeaneconomywillweaken.Outlook2:TheUSeconomywillstrengthenrelativetothatofCanada.Outlook3:Thecreditqualityofelectriccarmanufacturerswillimproverelativetothatoftraditionalcarmanufacturers.ChanbelievesUSmacroeconomicdataareimprovingandthatthegeneraleconomywillstrengthenintheshortterm.ChansuggeststhatacurvetradecouldbeusedbytheFundtocapitalizeonhershort-termviewofasteepeningoftheUScreditcurve.Anothershort-termtradingopportunitythatSmithandChandiscussinvolvesthemergerandacquisitionmarket.SGSbelievesthatDeltaCorporationmaymakeanunsolicitedbidatapremiumtothemarketpriceforallofthepubliclytradedsharesofZega,Inc.Zega’smarketcapitalizationandcapitalstructurearecomparabletoDelta’s;bothfirmsarehighlylevered.ItisanticipatedthatDeltawillissuenewequityalongwith5-and10-yearseniorunsecureddebttofundtheacquisition,whichwillsignificantlyincreaseitsdebtratio.[單選題]12.BasedonExhibit1,theprobabilityofOriondefaultingonthebondduringthefirstthreeyearsisclosestto:A.1.07%.B.2.50%.C.3.85%.正確答案：A參考解析：BasedonExhibit1,theprobabilityofsurvivalforthefirstyearis99.78%(100%minusthe0.22%hazardrate).Similarly,theprobabilityofsurvivalforthesecondandthirdyearsis99.65%(100%minusthe0.35%hazardrate)and99.50%(100%minusthe0.50%hazardrate),respectively.Therefore,theprobabilityofsurvivaloftheOrionbondthroughthefirstthreeyearsisequalto0.9978×0.9965×0.9950=0.9893,andtheprobabilityofdefaultsometimeduringthefirstthreeyearsis1–0.9893,or1.07%.SmithexplainstoChanthatfixed-incomederivativesstrategiesarebeingcontemplatedforbothhedgingandtradingpurposes.GiventhesizeanddiversifiednatureoftheFund,SmithasksChantorecommendatypeofCDSthatwouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.SmithandChandiscussopportunitiestoaddtradingprofitstotheFund.SmithasksChantodeterminetheprobabilityofdefaultassociatedwithafive-yearinvestment-gradebondissuedbyOrionIndustrial.SelecteddataontheOrionIndustrialbondarepresentedinExhibit1.Chanexplainsthatasingle-nameCDScanalsobeusedtoaddprofittotheFundovertime.ChandescribesahypotheticaltradeinwhichtheFundsells￡6millionoffive-yearCDSprotectiononOrion,wheretheCDScontracthasadurationof3.9years.ChanassumesthattheFundclosesthepositionsixmonthslater,afterOrion’screditspreadnarrowedfrom150bpsto100bps.Chandiscussesthemechanicsofalong/shorttrade.Inordertostructureanumberofpotentialtrades,ChanandSmithexchangetheirrespectiveviewsonindividualcompaniesandglobaleconomies.ChanandSmithagreeonthefollowingoutlooks.Outlook1:TheEuropeaneconomywillweaken.Outlook2:TheUSeconomywillstrengthenrelativetothatofCanada.Outlook3:Thecreditqualityofelectriccarmanufacturerswillimproverelativetothatoftraditionalcarmanufacturers.ChanbelievesUSmacroeconomicdataareimprovingandthatthegeneraleconomywillstrengthenintheshortterm.ChansuggeststhatacurvetradecouldbeusedbytheFundtocapitalizeonhershort-termviewofasteepeningoftheUScreditcurve.Anothershort-termtradingopportunitythatSmithandChandiscussinvolvesthemergerandacquisitionmarket.SGSbelievesthatDeltaCorporationmaymakeanunsolicitedbidatapremiumtothemarketpriceforallofthepubliclytradedsharesofZega,Inc.Zega’smarketcapitalizationandcapitalstructurearecomparabletoDelta’s;bothfirmsarehighlylevered.ItisanticipatedthatDeltawillissuenewequityalongwith5-and10-yearseniorunsecureddebttofundtheacquisition,whichwillsignificantlyincreaseitsdebtratio.[單選題]13.ToclosethepositiononthehypotheticalOriontrade,theFund:A.sellsprotectionatahigherpremiumthanitpaidatthestartofthetrade.B.buysprotectionatalowerpremiumthanitreceivedatthestartofthetrade.C.buysprotectionatahigherpremiumthanitreceivedatthestartofthetrade.正確答案：B參考解析：Thetradeassumesthat￡6millionoffive-yearCDSprotectiononOrionisinitiallysold,sotheFundreceivedthepremium.BecausethecreditspreadoftheOrionCDSnarrowedfrom150bpsto100bps,theCDSpositionwillrealizeafinancialgain.ThisfinancialgainisequaltothedifferencebetweentheupfrontpremiumreceivedontheoriginalCDSpositionandtheupfrontpremiumtobepaidonanew,offsettingCDSposition.Toclosethepositionandmonetizethisgain,theFundshouldunwindthepositionbybuyingprotectionforalowerpremium(relativetotheoriginalpremiumcollected).SmithexplainstoChanthatfixed-incomederivativesstrategiesarebeingcontemplatedforbothhedgingandtradingpurposes.GiventhesizeanddiversifiednatureoftheFund,SmithasksChantorecommendatypeofCDSthatwouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.SmithandChandiscussopportunitiestoaddtradingprofitstotheFund.SmithasksChantodeterminetheprobabilityofdefaultassociatedwithafive-yearinvestment-gradebondissuedbyOrionIndustrial.SelecteddataontheOrionIndustrialbondarepresentedinExhibit1.Chanexplainsthatasingle-nameCDScanalsobeusedtoaddprofittotheFundovertime.ChandescribesahypotheticaltradeinwhichtheFundsells￡6millionoffive-yearCDSprotectiononOrion,wheretheCDScontracthasadurationof3.9years.ChanassumesthattheFundclosesthepositionsixmonthslater,afterOrion’screditspreadnarrowedfrom150bpsto100bps.Chandiscussesthemechanicsofalong/shorttrade.Inordertostructureanumberofpotentialtrades,ChanandSmithexchangetheirrespectiveviewsonindividualcompaniesandglobaleconomies.ChanandSmithagreeonthefollowingoutlooks.Outlook1:TheEuropeaneconomywillweaken.Outlook2:TheUSeconomywillstrengthenrelativetothatofCanada.Outlook3:Thecreditqualityofelectriccarmanufacturerswillimproverelativetothatoftraditionalcarmanufacturers.ChanbelievesUSmacroeconomicdataareimprovingandthatthegeneraleconomywillstrengthenintheshortterm.ChansuggeststhatacurvetradecouldbeusedbytheFundtocapitalizeonhershort-termviewofasteepeningoftheUScreditcurve.Anothershort-termtradingopportunitythatSmithandChandiscussinvolvesthemergerandacquisitionmarket.SGSbelievesthatDeltaCorporationmaymakeanunsolicitedbidatapremiumtothemarketpriceforallofthepubliclytradedsharesofZega,Inc.Zega’smarketcapitalizationandcapitalstructurearecomparabletoDelta’s;bothfirmsarehighlylevered.ItisanticipatedthatDeltawillissuenewequityalongwith5-and10-yearseniorunsecureddebttofundtheacquisition,whichwillsignificantlyincreaseitsdebtratio.[單選題]14.ThehypotheticalOriontradegeneratedanapproximate:A.lossof￡117,000.B.gainof￡117,000.C.gainof￡234,000.正確答案：B參考解析：ThegainonthehypotheticalOriontradeis￡117,000,calculatedasfollows.Approximateprofit=Changeincreditspread(inbps)xDurationxNotionalamountApproximateprofit=(150bps-100bps)x3.9x￡6million.Approximateprofit=0.005x3.9x￡6million=￡117,000TheFundgainsbecauseitsoldprotectionataspreadof150bpsandclosedoutthepositionbybuyingprotectionatalowerspreadof100bps.SmithexplainstoChanthatfixed-incomederivativesstrategiesarebeingcontemplatedforbothhedgingandtradingpurposes.GiventhesizeanddiversifiednatureoftheFund,SmithasksChantorecommendatypeofCDSthatwouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.SmithandChandiscussopportunitiestoaddtradingprofitstotheFund.SmithasksChantodeterminetheprobabilityofdefaultassociatedwithafive-yearinvestment-gradebondissuedbyOrionIndustrial.SelecteddataontheOrionIndustrialbondarepresentedinExhibit1.Chanexplainsthatasingle-nameCDScanalsobeusedtoaddprofittotheFundovertime.ChandescribesahypotheticaltradeinwhichtheFundsells￡6millionoffive-yearCDSprotectiononOrion,wheretheCDScontracthasadurationof3.9years.ChanassumesthattheFundclosesthepositionsixmonthslater,afterOrion’screditspreadnarrowedfrom150bpsto100bps.Chandiscussesthemechanicsofalong/shorttrade.Inordertostructureanumberofpotentialtrades,ChanandSmithexchangetheirrespectiveviewsonindividualcompaniesandglobaleconomies.ChanandSmithagreeonthefollowingoutlooks.Outlook1:TheEuropeaneconomywillweaken.Outlook2:TheUSeconomywillstrengthenrelativetothatofCanada.Outlook3:Thecreditqualityofelectriccarmanufacturerswillimproverelativetothatoftraditionalcarmanufacturers.ChanbelievesUSmacroeconomicdataareimprovingandthatthegeneraleconomywillstrengthenintheshortterm.ChansuggeststhatacurvetradecouldbeusedbytheFundtocapitalizeonhershort-termviewofasteepeningoftheUScreditcurve.Anothershort-termtradingopportunitythatSmithandChandiscussinvolvesthemergerandacquisitionmarket.SGSbelievesthatDeltaCorporationmaymakeanunsolicitedbidatapremiumtothemarketpriceforallofthepubliclytradedsharesofZega,Inc.Zega’smarketcapitalizationandcapitalstructurearecomparabletoDelta’s;bothfirmsarehighlylevered.ItisanticipatedthatDeltawillissuenewequityalongwith5-and10-yearseniorunsecureddebttofundtheacquisition,whichwillsignificantlyincreaseitsdebtratio.[單選題]15.Basedonthethreeeconomicoutlookstatements,aprofitablelong/shorttradewouldbeto:A.sellprotectionusingaCanadianCDXIGandbuyprotectionusingaUSCDXIG.B.buyprotectionusinganiTraxxCrossoverandsellprotectionusinganiTraxxMain.C.buyprotectionusinganelectriccarCDSandsellprotectionusingatraditionalcarCDS.正確答案：B參考解析：BasedonOutlook1,ChanandSmithanticipatethatEurope’seconomywillweaken.Inordertoprofitfromthisforecast,onewouldbuyprotectionusingahigh-yieldCDSindex(e.g.,iTraxxCrossover)andsellprotectionusinganinvestment-gradeCDSindex(e.g.,iTraxxMain).SmithexplainstoChanthatfixed-incomederivativesstrategiesarebeingcontemplatedforbothhedgingandtradingpurposes.GiventhesizeanddiversifiednatureoftheFund,SmithasksChantorecommendatypeofCDSthatwouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.SmithandChandiscussopportunitiestoaddtradingprofitstotheFund.SmithasksChantodeterminetheprobabilityofdefaultassociatedwithafive-yearinvestment-gradebondissuedbyOrionIndustrial.SelecteddataontheOrionIndustrialbondarepresentedinExhibit1.Chanexplainsthatasingle-nameCDScanalsobeusedtoaddprofittotheFundovertime.ChandescribesahypotheticaltradeinwhichtheFundsells￡6millionoffive-yearCDSprotectiononOrion,wheretheCDScontracthasadurationof3.9years.ChanassumesthattheFundclosesthepositionsixmonthslater,afterOrion’screditspreadnarrowedfrom150bpsto100bps.Chandiscussesthemechanicsofalong/shorttrade.Inordertostructureanumberofpotentialtrades,ChanandSmithexchangetheirrespectiveviewsonindividualcompaniesandglobaleconomies.ChanandSmithagreeonthefollowingoutlooks.Outlook1:TheEuropeaneconomywillweaken.Outlook2:TheUSeconomywillstrengthenrelativetothatofCanada.Outlook3:Thecreditqualityofelectriccarmanufacturerswillimproverelativetothatoftraditionalcarmanufacturers.ChanbelievesUSmacroeconomicdataareimprovingandthatthegeneraleconomywillstrengthenintheshortterm.ChansuggeststhatacurvetradecouldbeusedbytheFundtocapitalizeonhershort-termviewofasteepeningoftheUScreditcurve.Anothershort-termtradingopportunitythatSmithandChandiscussinvolvesthemergerandacquisitionmarket.SGSbelievesthatDeltaCorporationmaymakeanunsolicitedbidatapremiumtothemarketpriceforallofthepubliclytradedsharesofZega,Inc.Zega’smarketcapitalizationandcapitalstructurearecomparabletoDelta’s;bothfirmsarehighlylevered.ItisanticipatedthatDeltawillissuenewequityalongwith5-and10-yearseniorunsecureddebttofundtheacquisition,whichwillsignificantlyincreaseitsdebtratio.[單選題]16.ThecurvetradethatwouldbestcapitalizeonChan’sviewoftheUScreditcurveisto:A.buyprotectionusinga20-yearCDXandbuyprotectionusinga2-yearCDX.B.buyprotectionusinga20-yearCDXandsellprotectionusinga2-yearCDX.C.sellprotectionusinga20-yearCDXandbuyprotectionusinga2-yearCDX.正確答案：B參考解析：TotakeadvantageofChan’sviewoftheUScreditcurvesteepeningintheshortterm,acurvetradewillentailshorting(buyingprotectionusing)along-term(20-year)CDXandgoinglong(sellingprotectionusing)ashort-term(2-year)CDX.Asteepercurvemeansthatlong-termcreditriskincreasesrelativetoshort-termcreditrisk.SmithexplainstoChanthatfixed-incomederivativesstrategiesarebeingcontemplatedforbothhedgingandtradingpurposes.GiventhesizeanddiversifiednatureoftheFund,SmithasksChantorecommendatypeofCDSthatwouldallowtheFundtosimultaneouslyfullyhedgemultiplefixed-incomeexposures.SmithandChandiscussopportunitiestoaddtradingprofitstotheFund.SmithasksChantodeterminetheprobabilityofdefaultassociatedwithafive-yearinvestment-gradebondissuedbyOrionIndustrial.SelecteddataontheOrionIndustrialbondarepresentedinExhibit1.Chanexplainsthatasingle-nameCDScanalsobeusedtoaddprofittotheFundovertime.ChandescribesahypotheticaltradeinwhichtheFundsells￡6millionoffive-yearCDSprotectiononOrion,wheretheCDScontracthasadurationof3.9years.ChanassumesthattheFundclosesthepositionsixmonthslater,afterOrion’screditspreadnarrowedfrom150bpsto100bps.Chandiscussesthemechanicsofalong/shorttrade.Inordertostructureanumberofpotentialtrades,ChanandSmithexchangetheirrespectiveviewsonindividualcompaniesandglobaleconomies.Chan