2011 CFA L1 Fixed Income原版书练习题摘选

20112011 CFACFA L1 L1 FixedFixed IncomeIncome SSSS 1515 BasicBasic ConceptsConcepts _ _ ReadingReading 6161 ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 3443441.1.Forallpartiesinvolved,whichofthefollowingfinancialinstrumentsisnotanexampleofaforwardcommitment?A.Swap.B.Calloption.C.Futurescontract.Solution:Solution:Biscorrect.Acalloptionisnotbindingonbothpartiesinthesamesensethattheotherfinancialinstrumentsare.Thecalloptiongivestheholderarightbutdoesnotimposeanobligation.6.6.An assistantportfoliomanagerreviewedtheprospectusofabondthatwillbeissuednextweekonJanuary1of2000.Thecallscheduleforthis$200million,7.75%coupon20yearissuespecifiesthefollowing:TheBondswillberedeemableattheoptionoftheCompanyatanytimeinwholeorinpart,uponnotfewerthan30normorethan60daysnotice,atthefollowingredemptionprices(whichareexpressedinpercentagesofprincipalamount)ineachcasetogetherwithaccruedinteresttothedatefixedforredemption:Ifredeemedduringthe12monthsbeginningJanuary1,2000through2005104.00%2006through2010103.00%2011through2012101.00%from2013on100.00%Provided,however,thatpriortoJanuary1.2006,theCompanymaynotredeemanyoftheBondspursuanttosuchoption,directlyorindirectly,fromorinanticipationoftheproceedsoftheissuanceofanyindebtednessformoneyborrowedhavinganinterestcostoflessthan7.75%perannum.Theprospectusfurtherspecifiesthat:TheCompanywillprovidefortheretirementhiredemptionof$10millionoftheprincipalamountoftheBondseachoftheyears2010toandincluding2019attheprincipalamountthereof,togetherwithaccruedinteresttothedateofredemption.TheCompanymayalsoprovidefortheredemptionofuptoanadditional$10millionprincipalamount.annually,.suchoptionalrightbeingnoncumulative.The assistant portfolio manager made the following statements to a client afterreviewing this bond issue.Comment on each statement.(When answering thisquestion,remember that the assistant portfolio manager is responding tostatementsjustbeforethebondisissuedin2000.)A.A.“Mymajorconcernisthatifratesdeclinesignificantlyinthenextfewyears,thisissuewillbecalledbytheCompanyinordertoreplaceitwithabondissuewithacouponratelessthan7.75%.”Solution:Solution:WhileitmaybetruethattheCompanycancaltheissueifratesdecline,thereisanonrefundingrestrictionpriortoJanuary1,2006.TheCompanymaynotrefundtheissuewithasourceoffundsthatcostslessthan7.75%untilafterthatdate.B.B.“OnemajoradvantageofthisissueisthatiftheCompanyredeemsitforanyreasoninthefirstfiveyears,investorsareguaranteedreceivingapriceof104,apremiumovertheinitialofferingpriceof100.”Solution:Solution:Thisisonlytrueiftheissuerredeemstheissueaspermittedbthecallschedule.Inthatcasethepremiumispaid.However,thereisasinkingfundprovision.Iftheissuercallsintheparticularcertificatesoftheissueheldbytheinvestorinordertosatisfythesinkingfundprovision,theissueiscalledatparvalue.So,thereisnoguaranteethattheissuewillbepaidoffatapremiumatanytimeiftheissueiscalledtosatisfythesinkingfundprovision.C.C.“A beneficial feature of this issue is that it has a sinking fund provision thatreducestheriskthattheCompanywonthaveenoughfundstopayofftheissueatthematuritydate.”Solution:Solution:Itiscommonlythoughtthatthepresenceofasinkingfundprovisionreducestheriskthat the issuer will not have sufficient funds to pay off the amount due at thematuritydate.Butthismustbebalancedagainstthefactthatabondholdermighthavehisorherbondstakenawayatparvaluewhentheissuercallsapartoftheissuetosatisfythesinkingfundprovision.Iftheissueistradingaboveparvalue,thebondholderonlyreceivespar.So,forexample,iftheissueistradingat115anditiscalledbytheCompanytosatisfythesinkingfundprovision,theinvestorreceivesparvalue(100),realizingalossof15.D.D.“AfurtherattractivefeatureofthisissueisthattheCompanycanacceleratethepayoffoftheissueviathesinkingfundprovision,inducingtheriskthatfundswillnotbeavailableatthematuritydate.Solution:Solution:As in part C,while it may seem that the right of the issuer to make additionalpaymentsbeyondtherequiredamountofthesinkingfundwillreducethelikelihoodthattheissuerwallhaveinsufficientfundstopiofftheissueatthematuritydate,thereisstillthepotentiallossiftheissueiscalledatpar.Moreover,theissuerislikelytomakeadditionalpaymentspermittedtoretiretheissueviathesinkingfundspecialcallpriceof100whenthebondistradingatapremiumbecausethatisheninterestratesinthemarketarelessthanthecouponrateontheissue.E.E.Inresponsetoaclientquestionaboutwhatwillhetheinterestandprincipalthatthe client can depend on if$5 million par value of the issue is purchased,theassistantportfoliomanagerresponded:“Icanconstructaschedulethatshowseverysixmonthsforthenext20yearsthedollaramountoftheinterestandtheprincipalrepayment It is quite simple to computebasically it is just multiplying twonumbers.Solution:Solution:Theassistantportfoliomanagercannotknowforcertai1howlongthebondissuewillbeoutstandingbecauseitcanbecalledperthecallschedule.Moreover,becauseofthesinkingfundprovision,aportionoftheirparticularbondsmightbecalledtosatisfy the sinking fund requirement.(One of the major topics in fixed incomeanalysisisthatbecauseoftheuncertaintyaboutthecashflowofabondduetotherighttocallanissue,sophisticatedanalyticaltechniquesandvaluationmodelsareneeded.)ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 3453458.8.A.A.Whatisanacceleratedsinkingfundprovision?B.B.Whycananacceleratedsinkingfundprovisionbeviewedasanembeddedcalloptiongrantedtotheissuer?Solution:Solution:A.A.Anacceleratedsinkingfundprovisiongrantstheissuertherighttoredeemmorethantheminimumamountnecessarytosatisfythesinkingfundrequirement.B.Anacceleratedsinkingfundprovisionisanembeddedoptiongrantedtoanissuerbecauseitallowstheissuertoretiretheissueatparvaluewheninterestrateshavedeclined.Theissuercandothiseveniftheissueisnonrefundableornoncallableatthattime.12.12.Doembeddedoptionsdesignedtobenefitbondholders(investors)include:anacceleratedsinkingfundprovision?acaponafloater?A.No NoB.No YesC.Yes NoSolution:Solution:Aiscorrect.Anacceleratedsinkingfundprovisionbenefitstheissuer(borrower)bygrantingtheborrowertheoptiontoretireaportionofthedebtthatisgreaterthanthesinkingfundrequirement.Acaponafloaterbenefitstheissuer(borrower)bylimiting the level of interest that may be paid on a floating rate security.Thus,neitherembeddedoptionbenefitsthebondholder(investor).13.13.Thequotedpriceofacorporatebondis90.Theparvalueis$5,000.Thedollarpriceisclosestto:A.$4,500.B.$4,525.C.$4,750.Solution:Solution:Biscorrect.Thedollarpriceofthebondcanheca1culaedasfollows:0.905xS5,000=$4,525ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 34634616.16.Considerthefollowingstatements.Statement1:“Callablebondsaremorelikelytobecalledifinterestrateshaveincreasedsinceissuanceofthebonds.”Statement2:“IntheUnitedStates,whentradingbondswithcoupons,thebondsellermustpayaportionofthenextcoupon,representingaccruedinterest,tothebondbuyer.”Arethestatementsmostlikelycorrectorincorrect?A.Bothstatementsareincorrect.B.Statement1isincorrectandStatement2iscorrect.C.Statement1iscorrectandStatement2isincorrect.Solution:Solution:Aiscorrect.Bothstatementsareincorrect.Bondsaremorelikelytobecalledifinterestratesfall,allowingtheissuertorefundtheissueatalowercouponrate.Accruedinterestispaidbythebuyerofabondtotheseller.18.18.“Thesaleofasecuritywithacommitmentbythesellertobuythesamesecuritybackataspecifiedpriceatadesignatedfuturedate”bestdescribes:A.prepaymentrisk.B.arepurchaseagreement.C.anadjustablepriceissue.Solution:Solution:Biscorrect.Thestatementisthedefinitionofarepurchaseagreement.SSSS 1515 BasicBasic ConceptsConcepts _ _ ReadingReading 6262 ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 377377 2.2.Explainwhyacallablebondspricewouldheexpectedtodeclinelessthananotherwisecomparableoptionfreebondwheninterestratesrise.Solution:Solution:Thepriceofacallablebondcanbeexpressedasfollows:Priceofcallablebond=Priceofoptionfreebond PriceofembeddedcalloptionAnincreaseininterestrateswillreducethepriceoftheoptionfreebond.However,to partially offset that price decline of the optionfree bond,the price of theembeddedcalloptionwilldecrease.Thisisbecauseasinterestratesrisethevalueoftheembeddedcalloptiontotheissuerisworthless.Sincealowerpricefortheembeddedcalloptionissubtractedfromthelowerpriceoftheoptionfreebond,thepriceofthecallablebonddoesnotfallasmuchasthatofanoptionfreebond.5.5.A portfolio manager wants to estimate the interest rate risk of a bond usingduration.Thecurrentpriceofthebondis82.Avaluationmodelfoundthatifinterestratesdeclineby30basispoints,thepricewillincreaseto83.50andifinterestratesincreaseby30basispoints,thepricewilldeclineto80.75.Whatisthedurationofthisbond?Solution:Solution:Theinformationforcomputingduration:Priceifyieldsdeclineby30basispoints=83.50Priceifyieldsriseby30basispoints=80.75Initialprice=82.00Changeinyieldindecimal=0.0030Then,Duration=(83.5080.75)/2(82.00)(0.0030)=5.59 ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 379379 14.14.Aportfoliomanagerisconsideringthepurchaseofanewtypeofbond.Thebondisextremelycomplexintermsofitsembeddedoptions.Currently,thereisonlyonedealer making a market in this type of bond.In addition,the manager plans tofinancethepurchaseofthisbondbyusingthebondascollateral.Thebondmaturesinfiveyearsandthemanagerplanstoholdthebondforfiveyears.Becausethemanagerplanstoholdthebondtoitsmaturity,hehasindicatedthatheisnotconcernedwithliquidityrisk.Explainwhyyouagreeordisagreewiththemanagersviewthatheisnotconcernedwithliquidityrisk.Solution:Solution:Ifthismanagersportfolioismarkedtomarket,themanagermustbeconcernedwiththebidpricesprovidedtomarkthepositiontomarket.Withonlyonedealer,thereisconcernthatifthisdealerdecidestodiscontinuemakingamarketinthisissue,bidsmustbeobtainedfromadifferentsource.Finally,thismanagerintendstofinancethepurchase.Thelenderofthefunds(thedealerfinancingthepurchase)willmarkthepositiontomarketbasedonthepriceitdeterminesandthispricewillreflecttheliquidityrisk.Consequently,thismanagershouldbeconcernedwiththeliquidityriskevenifthemanagerintendstoholdthesecuritytothematuritydate.15.15.Identifythedifferenceinthemajorrisksassociatedwiththefollowinginvestmentalternatives:A.A.Foraninvestorwhoplanstoholdasecurityforoneyear,purchasingaTreasurysecuritythatmaturesinoneyearversuspurchasingaTreasurysecuritythatmaturesin30years.Solution:Solution:Thepurchaseofa30yearTreasuryexposestheinvestortointerestraterisksinceattheendofoneyear,thesecurityisa29yearinstrument.Itspriceattheendofoneyeardependsonwhathappenstointerestratesoneyearlater.B.B.For an investor who plans to hold an investment for 10 years,purchasing aTreasury security that matures in 10 years versus purchasing an AAA corporatesecuritythatmaturesin10years.Solution:Solution:Themajordifferenceinriskiswithrespecttocreditrisk.Specifically,theAAAissueexposestheinvestortocreditrisk.C.C.Foraninvestorwhoplanstoholdaninvestmentfortwoyears,purchasingazerocoupon Treasury security that matures in one year versus purchasing azerocouponTreasurysecuritythatmaturesintwoyears.Solution:Solution:Thereisreinvestmentriskforthe1yearzerocouponTreasuryissuebecausetheprincipalmustbereinvestedattheendofoneyear.D.D.Foraninvestorwhoplanstoholdaninvestmentforfiveyears,purchasinganAAsovereignbond(withdollardenominatedcashflowpayments)versuspurchasingaU.S.corporatebondwithaBrating.Solution:Solution:Themajordifferenceisthequantityofcreditriskexposureofbothissues.TheU.S.corporatebondissuehasgreatercreditrisk.(Notethatthesovereignissueisdollardenominatedsothatthereisnoexchangeraterisk.)E.E.Foraninvestorwhoplanstoholdaninvestmentforfouryears,purchasingalessactivelytraded10yearAAratedbondversuspurchasinga10yearAAratedbondthatisactivelytraded.Solution:Solution:Thelessactivelytradedissuewillhavegreaterliquidityrisk.F.F.ForaU.S.investorwhoplanstoholdaninvestmentforsixyears,purchasingaTreasurysecuritythatmaturesinsixyearsversuspurchasinganItaliangovernmentsecuritythatmaturesinsixyearsandisdenominatedinlira.Solution:Solution:Therearetwodifferencesinrisk.First,thereisthegreatercreditriskofinvestinginItaliangovernmentbondsrelativetoU.S.Treasurybonds.Second,investingintheItaliangovernmentbondsdenominatedinliraexposesaU.S.investortoexchangeraterisk.ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 380380 18.18.InJanuary1994,GeneralElectricCapitalCorporation(GECC)hadoutstanding$500millionofResetNotesdueMarch15,2018.Theresetnoteswerefloatingratesecurities.InJanuary1994,thebondshadan8couponrateforthreeyearsthatendedMarch15,1997.OnJanuary26,1994,GECCnotifiedthenoteholdersthatitwouldredeemtheissueonMarch15thatparvalue.Thiswaswithintherequired30to 60 day prior notice period.Investors who sought investments with veryshortterm instruments(e.g.,money market investors)bought the notes afterGECCsplannedredemptionannouncement.Thenoteswereviewedasshorttermbecausetheywouldberedeemedinsixweeksorso.InearlyFebruary,theFederalReservestartedtoboostinterestratesandonFebruary15th,GECCcanceledtheproposedredemption.Instead,itdecidedtoresetthenewinterestratebasedontheindenture at 108%of the threeyear Treasury rate in effect on the tenth dayprecedingthedateofthenewinterestperiodofMarch15th.TheWallStreetJournalreportedthatthenotesdroppedfromparto98($1,000to$980pernote)afterthecancellationoftheproposedredemption.Whydidthepricedecline?Solution:Solution:When the proposed redemption was announced,the securities were treated asshortterm investments with a maturity of about six weeks from theannouncementdateofJanuary26thtotheredemptiondateofMarch15th.WhenGECCcanceledtheproposedredemptionissueandsetthecouponrateasallowedbytheindenture,thepriceoftheissuedeclinedbecausethenewcouponratewasnotcompetitivewithmarketratesforissueswithGECCsratingwiththesametimetothenextresetdateinthreeyears.22.22.Allelseequal,willanincreaseinexpectedyieldvolatilityincreasethepriceofabondwithanembedded:calloption?putoption?A.No NoB.No YesC.Yes No Solution:Solution:B is correct.An increase in expected yield volatility increases the price of bothembeddedcallandputoptions.Thepriceoftheembeddedcalloptionissubtractedfromthepriceofacomparableoptionfreebond,therefore,thepriceofthecallablebonddecreases.Inthecaseofanembeddedputoption,thepriceoftheembeddedoptionisaddedtothepriceofacomparableoptionfreebond,causingthepriceofthebondtoincrease.Whetherthevalueoftheoptionisaddedtoorsubtractedfromthepriceofanoptionfreebondisdependentuponwhobenefitsfromtheoption,theissuerortheholder.ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 38138125.25.Ananalystmadethefollowingstatement:“Weexpectinterestratestobeveryvolatile for the foreseeable future.I think we should buy floatingrate securitiesbecausetheyhavelessinterestrateriskthanfixedratesecuritytiesandthepricewillalwaysresettoparvalue.”Istheanalystsstatementmostlikelycorrectwithrespectto:relativeinterestraterisk?pricereset?A.No NoB.No YesC.Yes NoSolution:Solution:Ciscorrect.Floatingratesecuritiesgenerallyhavelessinterestrateriskthanfixedcouponratesecurities.Reasonsthatthesecuritymightnotresettoparincludeachangeintherequiredmarginthatinvestorsdemand(spread)orthesecuritymayhaveacaponthefloatinginterestrate.26.26.Changesintheslopeoftheyieldcurve:A.havelittleeffectonthevalueofawelldiversifiedportfolioofbonds.B.highlighttheneedforriskmeasuressuchasratedurationandkeyrateduration.C.impactthevalueoffloatingratesecuritiesmorethantheyimpactthevalueoffixedcouponsecurities.Solution:Solution:Biscorrect.Yieldcurvechangesarerarelyparallel.Nonparallelshiftsintheyieldcurveaffectthevariousbondsheldinaportfoliodifferently,dependingontheircouponrate,timetomaturity,embeddedoptions,etc.Therefore,additionalriskmeasureshavebeendeveloped.Twowidelyusedmeasuresarerateduration,whichreferstothedurationofaparticularmaturity(e.g.,fiveyearrateduration),andkeyrateduration,whichisratedurationforthemostimportant(key)ratesthatimpactaportfolio.27.27.Considerthefollowingstatementsaboutcreditriskandliquidityrisk:Statement1:“InvestmentgradebondsincludebondsratedBBB(byS&P)orBaa(byMoodys)orhigher.”Statement2:“Bondsfinancedbyrepurchaseagreementshavelessliquidityriskthanbondsheldaspartofabuyandholdstrategy.”Arethestatementsmostlikelycorrectorincorrect?A.Neitherstatementiscorrect.B.Statement1isincorrect,butStatement2iscorrect.C.Statement1iscorrect,butStatement2isincorrect.Solution:Solution:Ciscorrect.StatementIcorrectlydefinesinvestmentgradebonds.Statement2isincorrectbecauserepurchaseagreementsexposeinvestorstoliquidityriskasthecollateralusedintherepoismarkedtomarketperiodically.ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 382382 28.28.A bond portfolio manager gathered the following information about a bondissue:Parvalue$10,000,000Currentmarketvalue$9,850,000Duration4.8Ifyieldsareexpectedtodeclineby75basispoints,whichofthefollowingwouldprovidethemostappropriateestimateofthepricechangeforthebondissue?A.3.6%of$9,850,000.B.3.6%of$10,000,000.C.4.8%of$9,850,000.Solution:Solution:Aiscorrect.Adurationof4.8meansthattheapproximatepercentagepricechangefor100basispointchangeinyieldwillbe4.8%.A75basispointchangewouldbe4.8(0.75)=3.6%.Thepricechangewouldbe3.6%ofthemarketvalue.SSSS 1515 BasicBasic ConceptsConcepts _ _ ReadingReading 6363 ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 435435 4.4.Supposeaportfoliomanagerpurchases$1millionofparvalueofaTreasuryinflationprotectionsecurity.Therealrate(determinedattheauction)is3.2%.A.AssumethatattheendofthefirstsixmonthstheCPIUis3.6%(annualrate).Computethe(i)(i)inflationadjustmenttoprincipalattheendofthefirstsixmonths,(ii)(ii)theinflationadjustedprincipalattheendofthefirstsixmonths,and(iii)(iii)thecouponpaymentmadetotheinvestorattheendofthefirstsixmonths.Solution:Solution:Sincetheinflationrate(asmeasuredbytheCPIU)is3.6%,thesemiannualinflationrateforadjustingtheprincipalis1.8%.(i)(i)Theinflationadjustmenttotheprincipalis$1,000,000X0.018%=$18,000(ii)(ii)The inflationadjusted principal is$1,000,000+Inflation adjustment to theprincipal=$1,000,000+$18,000=$1,018,000(iii)(iii)ThecouponpaymentisequaltoInflationadjustedprincipalX(Realrate/2)=$1,018,000X(0.032/2)=$16,288.00B.B.AssumethatattheendofthesecondsixmonthstheCPIUis4.0%(annualrate).Computethe(i)(i)inflationadjustmenttoprincipalattheendofthesecondsixmonths,(ii)(ii)theinflationadjustedprincipalattheendofthesecondsixmonths,and(iii)(iii)thecouponpaymentmadetotheinvestorattheendofthesecondsixmonths.Solution:Solution:Since the inflation rate is 4.0%,the semiannual inflation rate for adjusting theprincipalis2.0%.(i).(i).Theinflationadjustmenttotheprincipalis$1,018,000*0.02%$20,360(ii).(ii).The inflationadjusted principal is$1,018,000+Inflation adjustment to theprincipal=$1,018,000+$20,360=$1,038,360(iii).(iii).ThecouponpaymentisequaltoInflationadjustedprincipal*(Realrate/2)=$1,038,360*(0.032/2)=$16,613.76 ReferRefer toto Curriculum.Curriculum.VolumeVolume 5.5.PagePage 437437 29.29.Whichofthefollowingisleastlikelyatypeofcollateralforassetbackedsecurities?A.Creditcards.B.Homeequity.C.NegotiableCDs.Solution:Solution:C is correct.Negotiable CDs are a financial asset issued by a bank and are notcollateralized.Both credit card receivables and home equity loans are types ofcollateralusedtosupportassetbackedsecurities.30.30.AU.S.Treasurynotewithexactlyfouryearstomaturitymostlikelycanbebrokenintoasmanyas:A.fourTreasurySTRIPS.B.eightTreasurySTRIPS.C.nineTreasurySTRIPS.Solution:Solution:Ciscorrect.EachoftheeightcouponscouldbeaTreasurySTRIPandtheprincipalcouldformthebasisofaninthSTRIP.31.31.Considerthefollowingstatementsaboutmortgagesandmortgagesecurities:Statement1:“Prepaymentsofmortgagesgenerallyincreaseasinterestratesincrease.”Statement2:“Mortgagepassthroughsecuritieseliminateprepaymentrisk.”Arethestatementsmostlikelycorrectorincorrect?A.Bothstatementsareincorrect.B.StatementIisIncorrect,butStatement2iscorrect.C.Statement1iscorrect,butStatement2isincorrect.Solution:Solution:Aiscorrect.Prepaymentsincreaseasinterestratesdecrease.Mortgagepassthroughsecurities show some reduction in prepayment risk due to diversification,butprepaymentriskisnoteliminated.32.32.Whichofthefollowingisleastlikelyanexampleofsecureddebt?A.Collateraltrustbonds.B.Subordinateddebenturebonds.C.Generalandrefundingmortgagebond