固定收益证券投资：基本概念及答案解析.doc

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1、固定收益证券投资：基本概念及答案解析(总分：150.00，做题时间：90 分钟)一、B单项选择题/B(总题数：148，分数：150.00)1.While serving as visiting conductor at the University of Edinburgh, U. S. Citizen William Golson purchases a 9.0 percent annual coupon bond denominated in the local currency for 93.0. One year later, before his return to the U. S

2、. , he sells the bond for 99.5. Using a holding period return formula he remembers from his undergraduate studies, he calculates his return at 16.7 percent. On the flight home, he is seated next to Kristin Meyer, CFA. She is puzzled because she has heard that similar investments yielded negative ret

3、urns over the same time period. After consulting her financial newspaper, she recalculates Golsons return at a disappointing negative 5.2 percent. Assuming Meyer is correct, which of the following statements is the most likely reason for the difference in the calculated returns? Golson: A. forgot to

4、 include the impact of foreign currency appreciation in relation to the dollar. B. forgot to include the impact of foreign currency depreciation in relation to the dollar. C. omitted the impact of inflation.（分数：1.00）A.B.C.2.All else being equal, the ceiling on a floating-rate security is most likely

5、 to benefit the:（分数：1.00）A.A. issuer if interest rates fall. B.B. issuer if interest rates rise. C.C. bondholder if interest rates rise.3.A coupon bond: A. does not pay interest on a regular basis, but pays a lump sum at maturity. B. can always be converted into a specific number of shares of common

6、 stock in the issuing company. C. pays interest on a regular basis (typically semi-annually).（分数：1.00）A.B.C.4.Which of the following statements about asset backed securities (ABSs) is most accurate? A. The credit rating of an ABS must be the same as that of the issuer. B. Residential mortgages repre

7、sent the largest type of asset that has been securitized. C. There is an inverse relationship between credit enhancements and ratings.（分数：1.00）A.B.C.5.Which of the following statements does NOT describe a characteristic of an illiquid asset or market ? A. Large block trades that do not materially af

8、fect prices. B. Wide bid-ask spreads. C. Small trading volumes.（分数：1.00）A.B.C.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:（分数：1.00）A.A. $847.69. B.B. $891.40. C.C. $935.12.7.Which of the followin

9、g are the two most important tools available to the Federal Reserve? A. Changing the discount rate and changing bank reserve requirements. B. Open market operations and changing bank reserve requirements. C. Changing the discount rate and open market operations.（分数：1.00）A.B.C.Use the following infor

10、mation for Questions.Peter is considering two bonds:Bond A yield 10%Bond B yield 7 %（分数：2.00）(1).Using Bond B as the reference bond, calculate the absolute yield spread.（分数：1.00）A.A. -3.0%. B.B. 0%. C.C. 3%.(2).Using Bond B as the reference bond, calculate the relative yield spread.（分数：1.00）A.A. 40%

11、. B.B. 43%. C.C. 47%.8.Benjamin Zoeller and Tara McGonigal are preparing for the Level I CFA examination. Zoeller is studying credit spread risk. McGonigal is farther along in her studies, but has forgotten how to determine the default free rate if given the yield on a bond rated BBB + of 9.50 perce

12、nt and a risk premium of 3.00 percent. What does Zoeller tell her to use for the default free rate?（分数：1.00）A.A. 12.50%. B.B. 4.50%. C.C. 6.50%.9.Which of the following statements about fixed income securities is FALSE? A. The corporate bond sector is more important in the US than in Japan and Germa

13、ny. B. Coupon interest and capital gains from municipal bonds are tax exempt at the federal level. C. Treasuries and agencies are quoted in 32nds of a price point.（分数：1.00）A.B.C.10.Which of the following statements concerning taxable bonds is TRUE? A. Corporates have the lowest yields, followed by T

14、reasuries, then by corporates, which provide the highest returns. B. Treasuries have the lowest yields, followed by corporates, then by agencies, which provide the highest returns. C. Treasuries have the lowest yields, followed by agencies, then by corporates, which provide the highest returns.（分数：1

15、.00）A.B.C.11.An investor is choosing between a 10% corporate bond and a 6% municipal bond with similar risk and similar maturity. What is the marginal tax rate that will make the investor indifferent between the two bonds?（分数：1.00）A.A. 0%. B.B. 30%. C.C. 40%.12.Which of the following entities play a

16、 critical role in the ability to create an asset backed security with a higher credit rating than the corporation?（分数：1.00）A.A. Rating agencies. B.B. Investment banks. C.C. Special purpose vehicles (SPVs).13.If expected yield volatility increases, the price of a(n)（分数：1.00）A.A. put-able bond will in

17、crease. B.B. callable bond will increase. C.C. embedded put option will decrease.14.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 potential for price appreciation and benefits the issu

18、er.（分数：1.00）A.B.C.15.Jori England, CFA candidate, is studying the value of callable bonds. She has the following information: a callable bond with a call option value calculated at 1.75 (prices are quoted as a percent of par) and a straight bond similar in all other aspects priced at 98.0. Which of

19、the following choices is closest to what England calculates as the value for the callable bond?（分数：1.00）A.A. 96.25. B.B. 99.75. C.C. 96.0.16.Credit risk is measured in several ways. The yield differential above the return on a benchmark security measures the:（分数：1.00）A.A. default risk. B.B. downgrad

20、e risk. C.C. credit spread risk.17.Which of the following statements about reinvestment risk of a security is least accurate? Reinvestment risk: A. is minimized with zero-coupon bond issues. B. becomes more problematic for those investors with longer time horizons. C. becomes more problematic when t

21、he current coupons being reinvested are relatively small.（分数：1.00）A.B.C.18.Which of the following statements regarding financing bond purchases with margin accounts is FALSE? A. The required margin percentage changes daily. B. Individuals are more likely than institutions to use margin accounts to f

22、inance bond purchases. C. In the U. S. , margin accounts are regulated by the Federal Reserve.（分数：1.00）A.B.C.19.Which of the following statements about embedded options and yield volatility is FALSE? A. As yield volatility increases, the value of the call option increases along with the value of the

23、 callable bond. B. A call option benefits the issuer and a put option benefits the holder. C. The greater the volatility of the underlying price, the greater the value of the embedded option.（分数：1.00）A.B.C.20.Which of the following statements regarding financing bond purchases is TRUE? A. In margin

24、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 allows investors to leverage assets and make larger purchases.（分数：1.00）A.B.C.21.W

25、hich of the following statements regarding a bond being called is TRUE? Call prices are known as regular redemption prices when bonds are called at: A. under the call provisions specified in the bond indenture. B. at a discount. C. at a premium.（分数：1.00）A.B.C.22.Which of the following investors is l

26、east likely to have liquidity risk concerns? A: A. financial institution heavily involved in the repurchase market. B. portfolio manager for an emerging-market fund. C. trader who invests exclusively in Treasury bonds.（分数：1.00）A.B.C.23.Paul Blackburn is describing mortgage backed securities and make

27、s 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 security b

28、ehaves 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-throu

29、gh certificates. Are Blackburns statements correct? Statement 1 Statement 2 A. Correct Correct B. Correct Incorrect C. Incorrect Incorrect（分数：1.00）A.A. B.B. C.C. 24.Which of the following investors is least susceptible to inflation risk? A. A financial institution with assets concentrated in fixed-r

30、ate mortgages. B. An individual with a 5 year certificate of deposit at a local financial institution. C. The holder of a 15-year bond with a coupon formula equal to the U. S. prime rate plus 3.25%.（分数：1.00）A.B.C.25.Which of the following statements regarding zero-coupon bonds and spot interest rate

31、s is TRUE? A. Price appreciation creates all of the zero-coupon bonds return. B. Spot interest rates will never vary across the term structure. C. If the yield to maturity on a 2-year zero coupon bond is 6%, then the 2-year spot rate is 3%.（分数：1.00）A.B.C.26.David Korotkin, CFA and a broker at an inv

32、estment bank, has a client who is very concerned about maintaining purchasing power over the next year. The investor is conservative, and to date has been pleased with a consistent return of 8.00 percent. The banks research department has estimated next years inflation rate at 2.0 percent. The clien

33、t specifically wants to invest in a fixed-coupon bond. Which of the following statements is most correct? If Korotkin purchases a bond with a 10.00 percent coupon, the client:（分数：1.00）A.A. will realize a real gain. B.B. will not lose purchasing power. C.C. may lose purchasing power.27.Tom Wilkens is

34、 a portfolio manager and has a retiree as a client. The client would like to invest in bonds with low interest rate risk. Which bond should Tom choose for his client? The bond with a: A. 20 year maturity and a yield to maturity of 5%. B. 10 year maturity and a yield to maturity of 8%. C. 10 year mat

35、urity and a yield to maturity of 5%.（分数：1.00）A.B.C.28.Which of the following circumstances is an example of event risk? A. A currency devalues due to foreign exchange market forces. B. A local government regulatory agency introduces more stringent clean-water requirements that will significantly red

36、uce the cash flow of an area paper mill. C. The U. S. Federal Reserve unexpectedly increases interest rates by 100 basis points.（分数：1.00）A.B.C.29.Which of the following is TRUE about the call feature of a bond? It: A. stipulates whether and under what circumstances the bondholders can request an ear

37、lier repayment of the principal amount prior to maturity. B. describes the credit risk of the bond. C. stipulates whether and under what circumstances the issuer can redeem the bond prior to maturity.（分数：1.00）A.B.C.30.Which of the following statements about currency risk is most accurate? Generally:

38、 A. if the home currency appreciates against the foreign currency, each foreign currency unit will be worth more in terms of the home currency. B. appreciation of the foreign currency is good for domestic investors who buy foreign securities. C. if the foreign currency appreciates, the foreign cash

39、flow will be worth less for the domestic investor.（分数：1.00）A.B.C.31.Which of the following institutions is NOT a government-sponsored enterprise (GSE)? A. Government National Mortgage Association. B. Student Loan Marketing Association. C. Federal National Mortgage Association.（分数：1.00）A.B.C.32.Which

40、 of the following statements about the risks associated with investing in bonds is most accurate? A. Corporate debentures are not subject to prepayment risk. B. Liquidity risk is not relevant if the portfolio manager intends to hold the bond to maturity. C. All fixed income securities except short-t

41、erm Treasury bills are subject to volatility risk to some degree.（分数：1.00）A.B.C.33.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, the rate th

42、at would make the investor indifferent between the two bonds is closest to:（分数：1.00）A.A. 9.0%. B.B. 25.0%. C.C. 27.0%.34.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.

43、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.35.A portfolio of option-free bonds is least likely to be exposed to（分数：1.00）A.A. reinvestment risk. B.B. interest rate risk. C.C. volatility risk.36.Which o

44、f the following embedded options benefits the bond investor?（分数：1.00）A.A. Call provision. B.B. Put provision. C.C. Accelerated sinking fund provision.37.Which of the following best explains the slope of the yield curve? A. The term spread between the yields of two maturities. B. The credit spread be

45、tween two securities with different maturities. C. The nominal spread between two securities with different maturities.（分数：1.00）A.B.C.38.Which of the following statements is TRUE? A. When a rating agency downgrades a security, the bonds price usually falls. B. Technical default usually refers to the

46、 issuers failure to make interest or principal payments as scheduled in the indenture. C. Default risk is important because if a bond issuer defaults, the bondholder likely loses his entire investment.（分数：1.00）A.B.C.39.Which of the following statements regarding mortgage-backed securities (MBS) and

47、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）A.B.C.40.Which of the following

48、bond price calculations is INCORRECT? An investor would pay: A. $9684. 38 for a $10000 Treasury note quoted at 96 27/32. B. $941.00 for a $1000 Treasury bond quoted at 94 10/32. C. $956.25 for a $1000 corporate bond quoted at 95 20/32.（分数：1.00）A.B.C.41.The liquidity preference theory holds that: A.

49、rational investors should show no preferences for either short- or long-term debt securities. B. the yield curve should be upward-sloping. C. cash should be preferred to Treasury securities because it is more liquid.（分数：1.00）A.B.C.42.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. An inverse relationship between interest rat