固定收益证券投资:基本概念(三)及答案解析.doc
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1、固定收益证券投资:基本概念(三)及答案解析(总分:17.00,做题时间:90 分钟)一、B单项选择题/B(总题数:1,分数:17.00)Use the following information for Questions.Peter is considering two bonds:Bond A yield 10%Bond B yield 7 %(分数:17.00)(1).Using Bond B as the reference bond, calculate the absolute yield spread. A. -3.0%. B. 0%. C. 3%.(分数:1.00)A.B.C.
2、(2).Using Bond B as the reference bond, calculate the relative yield spread. A. 40%. B. 43%. C. 47%.(分数:1.00)A.B.C.(3).Support for the revenue bonds comes from: A. property taxes based on the project. B. the gross revenues of the underlying project. C. the net revenues of the underlying project.(分数:
3、1.00)A.B.C.(4).Credit risk is measured in several ways. The yield differential above the return on a benchmark security measures the: A. default risk. B. downgrade risk. C. credit spread risk.(分数:1.00)A.B.C.(5).Which of the following statements concerning asset-backed securities (ABSs) is FALSE? A.
4、The asset-backed pool may be overcollateralized to provide a credit enhancement. B. The assets are typically placed in a special purpose vehicle to shield them from the firms creditors. C. ABSs typically have lower debt ratings than the firms other borrowings.(分数:1.00)A.B.C.(6).A $1000 par, semiannu
5、al-pay bond is trading for 89.14, has a coupon rate of 8.75%, and accrued interest of $ 43.72. The clean price of the bond is: A. $847.69. B. $891.40. C. $935.12.(分数:1.00)A.B.C.(7).Which of the following statements about balancing reinvestment risk and price risk is TRUE? When interest rates: A. dec
6、line, price risk decreases and reinvestment risk decreases. B. rise, price risk increases and reinvestment risk increases. C. decline, price risk decreases and reinvestment risk increases.(分数:1.00)A.B.C.(8).For a decline in interest rates, the price of a callable bond, when compared to an otherwise
7、identical option-free bond, will most likely rise by: A. less because the price of the embedded option rises. B. less because the price of the embedded option falls. C. more because the price of the embedded option rises.(分数:1.00)A.B.C.(9).Paul Blackburn is describing mortgage backed securities and
8、makes the following statements: Statement 1: A mortgage pass-through security is formed by pooling a large number of mortgages and issuing certificates that represent ownership shares in the pool. Because each mortgage borrower has the right to prepay the mortgage, the value of a pass-through securi
9、ty behaves as if the security has an embedded put feature. Statement 2: A collateralized mortgage obligation with sequential tranches is created by pooling mortgage pass-through certificates. Securities are issued in different tranches that have proportionate claims on the cash flows from the pass-t
10、hrough certificates. Are Blackburns statements correct? Statement 1 Statement 2 A. Correct Correct B. Correct Incorrect C. Incorrect Incorrect A. B. C. (分数:1.00)A.B.C.(10).If the slope of the yield curve begins to rise sharply, it is usually an indication that: A. the rate of inflation is starting t
11、o increase or is expected to do so in the near future. B. stocks are offering abnormally high rates of return. C. the Fed has been aggressively driving up short-term interest rates.(分数:1.00)A.B.C.(11).Price compression: A. occurs when a bonds cap and floor are set close together. B. occurs when dema
12、nd for a bond is high near the first call date. C. reduces the potential for price appreciation and benefits the issuer.(分数:1.00)A.B.C.(12).If investors expect future rates will be higher than current rates, the yield curve should be: A. upward sweeping. B. downward sweeping. C. flat.(分数:1.00)A.B.C.
13、(13).Which of the following statements regarding financing bond purchases is TRUE? A. In margin transactions, the broker borrows from the bank at the call money rate plus a spread. B. The rate the investor pays on the loan in a margin transaction is known as the call money rate. C. Purchasing securi
14、ties on margin allows investors to leverage assets and make larger purchases.(分数:1.00)A.B.C.(14).The liquidity preference theory of the term structure of interest rates implies that the shape of the yield curve should be: A. flat or humped. B. downward-sloping. C. upward-sloping.(分数:1.00)A.B.C.(15).
15、Which of the following statements about how the features of a bond impact interest rate risk is FALSE? A. Bond price movements depend upon the direction and magnitude of changes in interest rates. B. All else equal, a longer-term bond is more sensitive to interest rates than a shorter-term bond. C.
16、An inverse relationship between interest rates and bond prices means that the greater the change in interest rates, the less the change in fixed-coupon bond prices.(分数:1.00)A.B.C.(16).Which of the following statements about different types of bonds is least likely correct? A. Municipal bonds are tra
17、ded primarily on the New York Stock Exchange. B. Tax-backed bonds are backed by the full faith and credit of the issuers entire taxing power. C. Government-sponsored enterprises issue securities directly in the marketplace, but federally related institutions generally do not.(分数:1.00)A.B.C.(17).Simo
18、ne Girard, CFA candidate, is studying yield volatility and the value of callable bonds. She has the following information: a callable bond with a call option value calculated at 1.25 (prices are quoted as a percent of par) and a straight bond similar in all other aspects priced at 98.5. Girard also
19、wants to determine how the bonds value will change if yield volatility increases. Which of the following choices is closest to what Girard calculates as the value for the callable bond and correctly describes the bonds price behavior as yield volatility increases? A. 97.25, price increases. B. 99.75
20、, price decreases. C. 97.25, price decreases.(分数:1.00)A.B.C.固定收益证券投资:基本概念(三)答案解析(总分:17.00,做题时间:90 分钟)一、B单项选择题/B(总题数:1,分数:17.00)Use the following information for Questions.Peter is considering two bonds:Bond A yield 10%Bond B yield 7 %(分数:17.00)(1).Using Bond B as the reference bond, calculate the ab
21、solute yield spread. A. -3.0%. B. 0%. C. 3%.(分数:1.00)A.B.C. 解析:Absolute yield spread = Yield on Bond A- Yield on Bond B = 10%-7%=3%.(2).Using Bond B as the reference bond, calculate the relative yield spread. A. 40%. B. 43%. C. 47%.(分数:1.00)A.B. C.解析:Relative yield spread = (Yield on Bond A -Yield o
22、n Bond B)/( Yield on Bond B)=(10%-7%)/7%=0.43=43%.(3).Support for the revenue bonds comes from: A. property taxes based on the project. B. the gross revenues of the underlying project. C. the net revenues of the underlying project.(分数:1.00)A.B.C. 解析:Revenue bonds are serviced by the net income gener
23、ated from specific income-producing projects (e. g. toll roads).(4).Credit risk is measured in several ways. The yield differential above the return on a benchmark security measures the: A. default risk. B. downgrade risk. C. credit spread risk.(分数:1.00)A.B.C. 解析:The yield differential above the ret
24、urn on a benchmark security measures the credit spread risk. Credit spread risk is also known as the risk premium or spread.(5).Which of the following statements concerning asset-backed securities (ABSs) is FALSE? A. The asset-backed pool may be overcollateralized to provide a credit enhancement. B.
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