1、注册金融分析师一级-28 及答案解析(总分：37.00，做题时间：90 分钟)一、单项选择题(总题数：37，分数：37.00)1.Which of the following bond price calculations is INCORRECT? An investor would pay:（分数：1.00）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 corporat
2、e bond quoted at 95 20/32.2.An analyst gathered the following information: Taxable security, quoted yield 9.8% Tax-exempt security, quoted yield 5.7% Investor“s marginal tax rate 35% For the tax-exempt security, the investor“s tax-equivalent yield is closest to（分数：1.00）A.5.7%B.8.8%C.10.7%3.Which of
3、the following statements does NOT describe a characteristic of an illiquid asset or market ?（分数：1.00）A.Large block trades that do not materially affect prices.B.Wide bid-ask spreads.C.Small trading volumes.4.An investor is choosing between a 10% corporate bond and a 6% municipal bond with similar ri
4、sk and similar maturity. What is the marginal tax rate that will make the investor indifferent between the two bonds?（分数：1.00）A.0%.B.30%.C.40%.5.Which of the following investors is least likely to have liquidity risk concerns? A:（分数：1.00）A.financial institution heavily involved in the repurchase mar
5、ket.B.portfolio manager for an emerging-market fund.C.trader who invests exclusively in Treasury bonds.6.A municipal bond selling at 12% above par offers a yield of 3.2%. A taxable Treasury note selling at an 8% discount offers a yield of 4. 6%. An investor in the 32.5% tax bracket wishes to purchas
6、e an equal dollar amount of both bonds. The after-tax yield of the two-bond portfolio is closest to:（分数：1.00）A.2.63%.B.3.90%.C.3.15%.7.Which of the following is TRUE about a bond with a deferred call provision?（分数：1.00）A.It could be called at any time during the initial call period, but not later.B.
7、It could not be called right after the date of issue.C.Principal repayment can be deferred until it reaches maturity.8.When determining credit risk spread, the benchmark security is most likely a(n):（分数：1.00）A.Low-yield corporate bond.B.Treasury bond.C.AA rated bond.9.Benjamin Zoeller and Tara McGon
8、igal 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 percent and a risk premium of 3.00 percent. What does Zoell
9、er tell her to use for the default free rate?（分数：1.00）A.12.50%.B.4.50%.C.6.50%.10.The liquidity preference theory holds that:（分数：1.00）A.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 t
10、o Treasury securities because it is more liquid.11.As compared to an equivalent non-put-able bond, a put-able bond“s yield should be:（分数：1.00）A.higher.B.the same.C.lower.12.A bond issued by the government of Italy is likely to be denominated in which one of the following currencies?（分数：1.00）A.U. S.
11、dollars.B.Swiss francs.C.Euros.13.Which of the following is least likely allowed if a bond is non-refundable? A corporation:（分数：1.00）A.issues zero coupon bonds at a yield that is lower than the current rate on their bonds and redeems the old bond issue.B.calls its nonrefundable bonds and issues comm
12、on equity in their place.C.gets a revolving credit line at the bank at a rate lower than that on their bonds and redeems the bonds.14.Suppose a treasury inflation protective security (TIPS) is currently trading at its par value of $100000, and has a 4 percent coupon rate paid semi-annually. If the a
13、nnual inflation rate is 2.5 percent, what is the coupon payment after six months has passed?（分数：1.00）A.$2000.B.$2025.C.$2050.15.The concept of spot and forward rates is most closely associated with which of the following explanations of the term structure of interest rates?（分数：1.00）A.Segmented marke
14、t theory.B.Expectations hypothesis.C.Liquidity premium theory.16.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 decline by 25 basis points, the approximate new price of
15、 the bonds after the decline in yield will be closest to:（分数：1.00）A.$5053250.B.$5070000.C.$5196750.17.Which of the following statements about embedded options and yield volatility is FALSE?（分数：1.00）A.As yield volatility increases, the value of the call option increases along with the value of the ca
16、llable 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.18.Which of the following institutions are federally-related institutions?（分数：1.00）A.Student Loan Marketing Associat
17、ion.B.Government National Mortgage Association.C.Federal National Mortgage Association.19.Generally speaking, all else being equal, an upward-sloping yield curve can be expected when:（分数：1.00）A.inflationary expectations are beginning to subside and investors begin to show a preference for more liqui
18、d/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.20.John Harris earns $ 800000, and pays $200000 in taxes. His margin
19、al tax rate is 40%. What would the taxable-equivalent yield be for John if he were to purchase a municipal bond with a yield of 3.25%?（分数：1.00）A.4.33%.B.5.42%.C.3.25%.21.The issuance of asset backed securities (ABSs) versus straight debt would be desirable if:（分数：1.00）A.a better credit quality is de
20、sired on the asset backed versus the corporation.B.there are regulatory constraints on the deal.C.the corporation“s credit rating may go up in the future.22.Which of the following is a general problem associated with external credit enhancements? External credit enhancements:（分数：1.00）A.only provide
21、protection against systematic risk, not against idiosyncratic risk.B.are very long-term agreements and are therefore relatively expensive.C.are subject to the credit risk of the third-party guarantor.23.Which of the following statements regarding mortgage-backed securities (MBS) and collateralized m
22、ortgage obligations (CMOs) is most likely correct?（分数：1.00）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.24.To reduce the cost of long-term borrowing, a corpor
23、ation with a below average credit rating could:（分数：1.00）A.issue asset backed securities.B.decrease credit enhancement.C.increase debt outstanding.25.According to the pure expectations theory, an upward-sloping yield curve implies:（分数：1.00）A.interest rates are expected to decline in the future.B.inte
24、rest rates are expected to increase in the future.C.longer-term bonds are riskier than short-term bonds.26.Suppose that the one-year forward rate starting one year from now is 6%. Which of the following statements is TRUE under the pure expectations hypothesis? The expected:（分数：1.00）A.future risk pr
25、emium for short-term bills is 6%.B.future one-year spot rate in one year“s time is equal to 6%.C.future risk premium for long-term bonds is 6%.27.Gabrielle Daniels and Edin Roth, CFA candidates, are discussing the relationship between a bond“s coupon rate and the required market yield. Looking throu
26、gh the local newspaper, they see a new-issue, 10-year, $1000 face value 8.00 percent semi-annual coupon bond priced at $950. Daniels makes the following statements. Which statement does Roth tell her is CORRECT?（分数：1.00）A.The current market required rate is less than the coupon rate.B.The bond is se
27、lling at a premium.C.The bond is selling at a discount.28.Which of the following institutions is NOT a government-sponsored enterprise (GSE)?（分数：1.00）A.Government National Mortgage Association.B.Student Loan Marketing Association.C.Federal National Mortgage Association.29.Which of the following stat
28、ements about creating a collateralized mortgage obligation (CMO) is FALSE? A CMO:（分数：1.00）A.redistributes the risk between the tranches on an unequal basis.B.redistributes the risk between the tranches on a random basis.C.does not affect the overall risk of prepayment.30.A coupon bond:（分数：1.00）A.doe
29、s 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 stock in the issuing company.C.pays interest on a regular basis (typically semi-annually).31.An investor most concerned with reinvestment risk would be least li
30、kely to:（分数：1.00）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.32.David Korotkin, CFA and a broker at an investment bank, has a client who is very concerned abou
31、t 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 bank“s research department has estimated next year“s inflation rate at 2.0 percent. The client specifically wants to invest in a fixed-coupon bo
32、nd. 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.will realize a real gain.B.will not lose purchasing power.C.may lose purchasing power.33.Which of the following statements about currency risk is most accurate? Gene
33、rally:（分数：1.00）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 fore
34、ign cash flow will be worth less for the domestic investor.34.Which of the following does NOT represent a primary market offering? When bonds are sold:（分数：1.00）A.from a dealer“s inventory.B.on a best-efforts basis.C.in a private placement.35.A portfolio of option-free bonds is least likely to be exp
35、osed to（分数：1.00）A.reinvestment risk.B.interest rate risk.C.volatility risk.36.Which of the following statements about special purpose vehicles (SPVs) is most accurate?（分数：1.00）A.SPVs have no role in the asset backed credit rating process.B.SPVs are used exclusively for asset backed transactions.C.If
36、 bankruptcy occurs, a judge could rule that the SPVs assets can be considered general assets of the corporation.37.Which of the following statements regarding Treasury bills (T-bills) is TRUE? T-bills:（分数：1.00）A.have maturities greater than 6 months and can be sold at a price greater than par.B.are
37、considered the risk-free instrument, which means there exists no interest rate risk.C.carry no coupon.注册金融分析师一级-28 答案解析(总分：37.00，做题时间：90 分钟)一、单项选择题(总题数：37，分数：37.00)1.Which of the following bond price calculations is INCORRECT? An investor would pay:（分数：1.00）A.$9684. 38 for a $10000 Treasury note quo
38、ted 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.解析：Bond prices are quoted in 32nds. A quote of 94 10/32=94.3125% , for a price of $943.125 for a $1000 Treasury bond. A quote of 96 27/32=96.84, for a price of $9684.38 for
39、 a $10000 bond. A quote of 95 20/32=95.625, for a price of $956.25 for a $1000 bond.2.An analyst gathered the following information: Taxable security, quoted yield 9.8% Tax-exempt security, quoted yield 5.7% Investor“s marginal tax rate 35% For the tax-exempt security, the investor“s tax-equivalent
40、yield is closest to（分数：1.00）A.5.7%B.8.8% C.10.7%解析：5.7%/(1-35%)=8.8%.3.Which of the following statements does NOT describe a characteristic of an illiquid asset or market ?（分数：1.00）A.Large block trades that do not materially affect prices. B.Wide bid-ask spreads.C.Small trading volumes.解析：In a liqui
41、d market with large trading volumes, large block trades should not affect prices. All other choices are characteristics of illiquid markets or assets.4.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 t
42、hat will make the investor indifferent between the two bonds?（分数：1.00）A.0%.B.30%.C.40%. 解析：10%(1-x)=6%, x=40%.5.Which of the following investors is least likely to have liquidity risk concerns? A:（分数：1.00）A.financial institution heavily involved in the repurchase market.B.portfolio manager for an em
43、erging-market fund.C.trader who invests exclusively in Treasury bonds. 解析：6.A municipal bond selling at 12% above par offers a yield of 3.2%. A taxable Treasury note selling at an 8% discount offers a yield of 4. 6%. An investor in the 32.5% tax bracket wishes to purchase an equal dollar amount of b
44、oth bonds. The after-tax yield of the two-bond portfolio is closest to:（分数：1.00）A.2.63%.B.3.90%.C.3.15%. 解析：The after-tax yield of the Treasury note is the stated yield times one minus the tax rate, or 4.6% times 67.5% , or 3.1%. To calculate the portfolio yield, take the average after-tax yields of
45、 both bonds, which is 3.15%.7.Which of the following is TRUE about a bond with a deferred call provision?（分数：1.00）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 reac
46、hes maturity.解析：A deferred call provision means 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.8.Wh
47、en determining credit risk spread, the benchmark security is most likely a(n):（分数：1.00）A.Low-yield corporate bond.B.Treasury bond. C.AA rated bond.解析：The credit 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
48、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.9.Benjamin Zoeller and Tara McGonigal are preparing for the L
49、evel 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 percent 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.12.50%.B.4.50%.C.6.50%. 解析：The formula for credit spread risk( or the yield on a risky asset) is: Yield Risky = Yield RF + Risk Premium, where RF = default - free rate. Rearranging this formula results in : Yield RF = Yield Risky = Risk Premium, or Yielder = 9.5
