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.

25、 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. 解析：The objective of the firm with an ABS issue typically is to get a higher debt rating (a lower cost of bo

26、rrowing). Typically, the ABS has a higher debt rating, perhaps because of credit enhancements.(6).A $1000 par, semiannual-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.解析：

27、The clean price of the bond is the quoted price, 89. 14% of par value, which is $891.40.(7).Which of the following statements about balancing reinvestment risk and price risk is TRUE? When interest rates: A. decline, price risk decreases and reinvestment risk decreases. B. rise, price risk increases

28、 and reinvestment risk increases. C. decline, price risk decreases and reinvestment risk increases.（分数：1.00）A.B.C. 解析：All else equal, reinvestment risk and price risk move in opposite directions. For example, when interest rates rise, bond prices decrease, but the loss is at least partially offset b

29、y decreased reinvestment risk (it is less likely that a bond will be called and bondholders can invest coupon payments at higher yields). When interest rates fall, price risk decreases because the bond value is rising and reinvestment risk increases because it is more likely that the issuer/ borrowe

30、r will call the security and the bondholder must reinvest coupon payments at lower yields.(8).For a decline in interest rates, the price of a callable bond, when compared to an otherwise identical option-free bond, will most likely rise by: A. less because the price of the embedded option rises. B.

31、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.解析：As interest rates decline, the price of the option-free bond rises. However, the price Of the embedded call option also rises. Consequently, the price of a callable bond ris

32、es by less than the price of an otherwise identical option-free bond.(9).Paul Blackburn is describing mortgage backed securities and 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

33、ownership shares in the pool. Because each mortgage borrower has the right to prepay the mortgage, the value of a pass-through security behaves as if the security has an embedded put feature. Statement 2: A collateralized mortgage obligation with sequential tranches is created by pooling mortgage pa

34、ss-through certificates. Securities are issued in different tranches that have proportionate claims on the cash flows from the pass-through 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.

35、 解析：Statement 1 is incorrect. A borrower who prepays a mortgage is in effect exercising a call option, similar to a corporate bond issuer who calls a bond and prepays the principal. Therefore the pool of mortgages and the securities created from it behave as if they had an embedded call feature. Sta

36、tement 2 is incorrect. Sequential tranches issued as a collateralized mortgage obligation do not have proportionate claims on the cash flows from the pool. Instead they have sequential claims. The shortest-term tranche receives principal and interest payments until it is paid off. The cash flows the

37、n go to the second tranche until it is paid off, and so on. This structure allows securities with different timing and risk profiles to be issued from the same pool of certificates.(10).If the slope of the yield curve begins to rise sharply, it is usually an indication that: A. the rate of inflation

38、 is starting to 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.解析：According to the expectations hypothesis, higher long-term interest rates and, therefo

39、re, up-ward-sloping yield curves will occur if the rate of inflation starts to heat up or is expected to do so in the near future.(11).Price compression: A. occurs when a bonds cap and floor are set close together. B. occurs when demand for a bond is high near the first call date. C. reduces the pot

40、ential for price appreciation and benefits the issuer.（分数：1.00）A.B.C. 解析：When a bond has a call provision, the potential for price appreciation is reduced, because the call caps the price of the bond near the call price, even if interest rates fall considerably. It is unlikely that investors would p

41、ay a price that exceeds the call price. Price compression benefits the issuer, because it allows the issuer to call the bond if interest rates decrease allowing the issuer to replace the existing debt with lower cost debt.(12).If investors expect future rates will be higher than current rates, the y

42、ield curve should be: A. upward sweeping. B. downward sweeping. C. flat.（分数：1.00）A. B.C.解析：When interest rates are expected to go up in the future the yield curve will be upward sweeping because time is on the x-axis and rates are on the y-axis, thus forming an upward sweeping curve.(13).Which of th

43、e 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 securities on margin a

44、llows investors to leverage assets and make larger purchases.（分数：1.00）A.B.C. 解析：In margin transactions, the broker borrows from the bank at the call money rate. The rate the investor pays on the loan in a margin transaction is known as the call money rate plus a spread. Remember that the broker need

45、s to make profit, so the investor will pay a rate higher than the broker pays to the bank. The investor collateralizes the margin loan with the securities purchased.(14).The liquidity preference theory of the term structure of interest rates implies that the shape of the yield curve should be: A. fl

46、at or humped. B. downward-sloping. C. upward-sloping.（分数：1.00）A.B.C. 解析：The liquidity preference theory definitely puts upward pressure on the long end of the term structure and, by itself, would lead to an upward-sloping yield curve.(15).Which of the following statements about how the features of a

47、 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. An inverse relationship between interest rates and bond price

48、s 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. 解析：The inverse relationship between interest rates and bond prices means that when interest rates increase, fixed-coupon bond prices decrease. In other words, the inverse relationsh

49、ip means that interest rates and bond prices move in opposite directions, it does not infer anything about the magnitude of the change.(16).Which of the following statements about different types of bonds is least likely correct? A. Municipal bonds are traded primarily on the New York Stock Exchange. B. Tax-backed bonds are backed by the full faith and credit