固定收益证券投资：基本概念(一)及答案解析.doc

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1、固定收益证券投资：基本概念(一)及答案解析(总分：11.00，做题时间：90 分钟)一、B单项选择题/B(总题数：1，分数：11.00)Based on the following information to answer questions from 39 to 40:A mortgage-backed security has been divided into three classes or tranches as follows:Tranche receives net interest and all the principal payments until it is comp

2、letely paid off.Tranche receives its share of net interest and starts receiving all the principal repayments afterTranche has been completely paid off. Prior to that, it only receives interest payments.Tranche receives monthly net interest and starts receiving all principal repayments afterTranches

3、and have been completely paid off. Prior to that, it only receives interest payments.（分数：11.00）(1).For a relatively small decline in mortgage interest rates, which of the tranches has the least amount of prepayment risk? A. Tranche . B. Tranche . C. Tranche .（分数：1.00）A.B.C.D.(2).For an investor who

4、is interested in long-term gains, in which tranche should she invest? A. Tranche . B. Tranche . C. Tranche .（分数：1.00）A.B.C.D.(3).Which of the following is TRUE about a bond with a deferred call provision? A. It could be called at any time during the initial call period, but not later. B. It could no

5、t be called right after the date of issue. C. Principal repayment can be deferred until it reaches maturity.（分数：1.00）A.B.C.D.(4).An investor most concerned with reinvestment risk would be least likely to: A. eliminate reinvestment risk by holding a coupon bond until maturity. B. prefer a lower coupo

6、n bond to a higher coupon bond. C. be more concerned in a decreasing interest rate environment.（分数：1.00）A.B.C.D.(5).A bond portfolio manager owns $ 5 million par valfie of a noncallable bond issue. The duration of the bonds is 5.6 and the current market value of the bonds is $5125000. If yield decli

7、ne by 25 basis points, the approximate new price of the bonds after the decline in yield will be closest to: A. $5053250. B. $5070000. C. $5196750.（分数：1.00）A.B.C.D.(6).Which of the following investors faces the least inflation risk? An investor whose portfolio is concentrated in: A. long-term treasu

8、ry bonds. B. medium-term fixed-rate coupon bonds. C. equity securities.（分数：1.00）A.B.C.D.(7).An investor is considering the purchase of two bonds. One of the bonds is tax-exempt and yields 4.5% while the other bond is taxable and yield 6.0%. If the two bonds are alike in all other characteristics, th

9、e rate that would make the investor indifferent between the two bonds is closest to: A. 9.0%. B. 25.0%. C. 27.0%.（分数：1.00）A.B.C.D.(8).Generally speaking, all else being equal, an upward-sloping yield curve can be expected when: A. inflationary expectations are beginning to subside and investors begi

10、n to show a preference for more liquid/less risky short-term securities. B. the supply of long-term funds falls short of demand and investors begin to show a preference for more liquid/less risky short-term securities. C. inflationary expectations are beginning to subside.（分数：1.00）A.B.C.D.(9).For co

11、llateralized mortgage obligations (CMOs) , are prepayment risk and interest rate risk, respectively, different for the various classes (tranches) of bonds? Prepayment risk Interest rate risk A. NO NO B. YES YES C. YES NO A. B. C. （分数：1.00）A.B.C.D.(10).Which of the following statements regarding mort

12、gage-backed securities (MBS) and collateralized mortgage obligations (CMOs) is most likely correct? A. MBS are created from CMOs. B. Creating CMOs does not reduce the overall prepayment risk of a mortgage pass through security. C. The prepayment option of an MBS benefits the security holder.（分数：1.00

13、）A.B.C.D.(11).When determining credit risk spread, the benchmark security is most likely a(n): A. Low-yield corporate bond. B. Treasury bond. C. AA rated bond.（分数：1.00）A.B.C.D.固定收益证券投资：基本概念(一)答案解析(总分：11.00，做题时间：90 分钟)一、B单项选择题/B(总题数：1，分数：11.00)Based on the following information to answer questions fr

14、om 39 to 40:A mortgage-backed security has been divided into three classes or tranches as follows:Tranche receives net interest and all the principal payments until it is completely paid off.Tranche receives its share of net interest and starts receiving all the principal repayments afterTranche has

15、 been completely paid off. Prior to that, it only receives interest payments.Tranche receives monthly net interest and starts receiving all principal repayments afterTranches and have been completely paid off. Prior to that, it only receives interest payments.（分数：11.00）(1).For a relatively small dec

16、line in mortgage interest rates, which of the tranches has the least amount of prepayment risk? A. Tranche . B. Tranche . C. Tranche .（分数：1.00）A. B.C.D.解析：Tranche has the least amount of prepayment risk since it receives the prepayments last.(2).For an investor who is interested in long-term gains,

17、in which tranche should she invest? A. Tranche . B. Tranche . C. Tranche .（分数：1.00）A. B.C.D.解析：Tranche has the least amount of prepayment risk; therefore, there is a greater chance that the investor will be able to hold on to the investment for a longer time horizon.(3).Which of the following is TRU

18、E about a bond with a deferred call provision? A. It could be called at any time during the initial call period, but not later. B. It could not be called right after the date of issue. C. Principal repayment can be deferred until it reaches maturity.（分数：1.00）A.B. C.D.解析：A deferred call provision mea

19、ns the issue is initially (say, for the first 5 to 7 years) non-callable, after which time it becomes freely callable. In other words, there is a deferment period during which time the bond cannot be called, but after that, it becomes freely callable.(4).An investor most concerned with reinvestment

20、risk would be least likely to: A. eliminate reinvestment risk by holding a coupon bond until maturity. B. prefer a lower coupon bond to a higher coupon bond. C. be more concerned in a decreasing interest rate environment.（分数：1.00）A. B.C.D.解析：The key term here is coupon bond. While an investor in a f

21、ixed-coupon bond can usually eliminate price risk by holding a bond until maturity, the same is not true for reinvestment risk. The receipt of periodic coupon payments exposes the investor to reinvestment risk.(5).A bond portfolio manager owns $ 5 million par valfie of a noncallable bond issue. The

22、duration of the bonds is 5.6 and the current market value of the bonds is $5125000. If yield decline by 25 basis points, the approximate new price of the bonds after the decline in yield will be closest to: A. $5053250. B. $5070000. C. $5196750.（分数：1.00）A.B.C. D.解析：Duration of 5.6 means that the app

23、roximate percentage price change for a 100 basis point change in yield will be 5.6%. A 25 basis point change would be 5.6/4=1.4%. The approximate new price would be $51250001.014=$5196750.(6).Which of the following investors faces the least inflation risk? An investor whose portfolio is concentrated

24、 in: A. long-term treasury bonds. B. medium-term fixed-rate coupon bonds. C. equity securities.（分数：1.00）A.B.C. D.解析：Inflation risk refers to the possibility that prices of general goods and services will increase in the economy. Empirical evidence shows that equity securities, or stocks, have the le

25、ast inflation risk of the investments listed here. Since fixed coupon bonds pay a constant coupon, increasing prices erode the buying power associated with bond payments.(7).An investor is considering the purchase of two bonds. One of the bonds is tax-exempt and yields 4.5% while the other bond is t

26、axable and yield 6.0%. If the two bonds are alike in all other characteristics, the rate that would make the investor indifferent between the two bonds is closest to: A. 9.0%. B. 25.0%. C. 27.0%.（分数：1.00）A.B. C.D.解析：The indifference point would be the rate satisfies the equation: 6.0%(1-T)=4.5%. sol

27、ving for T, the marginal tax rate =25%.(8).Generally speaking, all else being equal, an upward-sloping yield curve can be expected when: A. inflationary expectations are beginning to subside and investors begin to show a preference for more liquid/less risky short-term securities. B. the supply of l

28、ong-term funds falls short of demand and investors begin to show a preference for more liquid/less risky short-term securities. C. inflationary expectations are beginning to subside.（分数：1.00）A.B. C.D.解析：When demand for loanable funds outstrips supply, interest rates can be expected to rise in that (

29、long-term) segment of the market; also, more preference for short-term securities can be expected to drive up long-term rates as the liquidity premium rises. Thus, both circumstances in the answer can be expected to put upward pressure on the long end of the yield curve.(9).For collateralized mortga

30、ge obligations (CMOs) , are prepayment risk and interest rate risk, respectively, different for the various classes (tranches) of bonds? Prepayment risk Interest rate risk A. NO NO B. YES YES C. YES NO A. B. C. （分数：1.00）A.B. C.D.解析：CMOs are structured so as to redistribute prepayment risk and intere

31、st rate risk among the different classes, or tranches, of bonds using rules for the distribution of interest and principal. For example, if there are three classes of bonds, the distribution rules ensure that the first class of bonds receives all principal until they are completely paid off. Then th

32、e next class of bonds receives all principal until they are paid off. Finally, the last class receives principal payments. Effectively, the first tranche has the shortest maturity (duration) while the last tranche has the longest maturity (duration). Thus prepayment risk and interest rate risk have

33、been redistributed across the bond classes with the first tranche experiencing the greatest prepayment risk and the last tranche experiencing the most interest rate risk.(10).Which of the following statements regarding mortgage-backed securities (MBS) and collateralized mortgage obligations (CMOs) i

34、s most likely correct? A. MBS are created from CMOs. B. Creating CMOs does not reduce the overall prepayment risk of a mortgage pass through security. C. The prepayment option of an MBS benefits the security holder.（分数：1.00）A.B. C.D.解析：Creating a CMO can redistribute the prepayment risk among the tr

35、anches, but it does not alter the overall prepayment risk of a mortgage passthrough security. CMOs are created from MBS.(11).When determining credit risk spread, the benchmark security is most likely a(n): A. Low-yield corporate bond. B. Treasury bond. C. AA rated bond.（分数：1.00）A.B. C.D.解析：The credi

36、t risk spread is measured in relation to a default-free security. Of the choices above, the security with the least chance of default is the Treasury bond. The AA rated bond is high quality, but not the highest quality (which would have an AAA rating). The low-yield corporate bond is a possibility, but it is not likely that this bond is as default-free as the Treasury security.