CFA二級(jí)知識(shí)精講-集訓(xùn)營(yíng)直播-固收-習(xí)題

科目集訓(xùn)營(yíng)（2019.06）

固收

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Case1

ThefollowinginformationrelatestoQuestions1–6

CaidenJackson,aprivateentrepreneur,ispreparingforhispost-retirementinvestmentplan.Heplanstoobtain

moreinvestmentknowledgebytakingtheCFAexamandhealsohiresaseniorfinancialconsultantWesley

Songtohelphim.

JacksontellsSongthathehaspassedtheCFAlevelItwoyearsagoandwantstofinishtheuncompletedlevels

afterretirement.DuringstudyinglevelI,hefoundanunfamiliarconcept“risk-neutrality”whichwasonly

involvedinderivativespartandheignoredtheconceptatthattime.Butnowhefindsthattheconceptisalso

usedinthepartofthetraditionaltermstructuretheories.JacksonasksSongthatifthereisanyinvestment

theorydoesnotinvolvethisconceptsincehethinksitisnotpracticallysignificant.SonganswersJackson’s

questionandexplainshisopinionsabouttherisk-neutralconcept.

Throughhard-workingandwithSong’shelp,JacksonfinishedalllevelsofCFAexamthreeyearslaterand

planstoinvestinthefixedincomefieldbyhimselffirst.Hecollectsthecurrentmarketinformationshownin

Exhibit1.

Year1Year2Year3Year4

Parrate(%)

2.5

3.5

4.5

5.5

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Case1

Accordingtohisanalysisandprediction,healsosummarizesabinomialtreeofinterestratein

Exhibit2.

Year1

2.5%

Year2

2.9%

2.7%

Year3

3.6%

3.3%

3.0%

Year4

4.6%

4.2%

3.8%

3.4%

Somedayslater,themarketpriceofthe3-yearannuallypaymentbondwiththecouponrateof4.5%

revertstothepricethatJacksoncalculated.Thisresultstrengthenshisconfidenceintheinvestment

field.

Fivedayslater,hepurchasesanannuallypaymentcallablebondat$99.2.Theinformationforthe

bondaregivenbelow.

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Case1

Tenor

3year

Couponpayment

Provision

BondA

$4peryear

Callableat$102inoneyearandtwoyearsfromtoday

Becauseofthepreviouslysuccessfuljudgments,Jacksonwantstoexpandhisavailableinvestmentsetof

fixed-incomeproducts.Recently,hehasintenseinterestsincreditdefaultswaps(CDS).JacksonnoticesHi-

TechcompanyintheITindustryissufferedfromuncertaintyintheleadershiptransition.Jacksonfindsthat

theHi-Techcompanybondsyields4%andmaturesinthreeyears.TherelevantCDSontheHi-Tech

companybondhasa1.75%creditspread.JacksonforecaststhatthenewleaderfortheHi-Techcompanyis

goingtoacquireatargetcompanybyissuingadditionaldebt.AftertheanalysisoftheHi-Techcompany,

Jacksonlearnscollateralizeddebtobligation(CDO)throughafinancialproseminar.Jacksonseeksadvice

fromSongaboutCDO.SongrespondsthatCDOcanbecreatedbycollectingapoolofdefault-freebonds

andundertakingasaprotectionsellerinCDS.

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1.WhichoneofthefollowingtheoriesismostsuitableforJackson’srequirement?

A.Unbiasedexpectationtheory

B.Localexpectationtheory

C.Preferredhabitattheory

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2.AccordingtotheExhibit1,thespotrateofyear4isclosestto

A.5.65%

B.5.61%

C.6.68%

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3.AccordingtotheExhibits1and2,ifthepriceofa3-yearannuallystraightbondisatpar,the

intrinsicvalueofa3-yearbondisclosestto?

A.104.66768

B.102.77452

C.103.26547

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4.AccordingtoExhibits2and3,theoptioncostofthecallablebondisclosestto:

A.0.03

B.0.05

C.0.07

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5.BaseontheanalysisfortheHi-Techcompany,themostappropriatestrategyforJacksonisto:

A.buytheHi-TechcompanybondandbuyCDSonHi-Techcompanybondsimultaneously

B.selltheHi-TechcompanybondandbuyCDSonHi-Techcompanybondsimultaneously

C.selltheHi-TechcompanybondandsellCDSonHi-Techcompanybondsimultaneously

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6.IsSong’sstatementonCDOcorrect?

A.Yes.

B.No,becauseheisincorrectwithregardtodefault-freebonds.

C.No,becauseheisincorrectwithregardtoprotectionsellerinCDS.

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Case2

ThefollowinginformationrelatestoQuestions7–12

MichaelGrossisthejuniorstudentofpsychologyinDukeUniversity.Intheperiodofschool,heattemptedto

earnhistuitionbypokergameinLasVegasduringthesummervacation.InLasVegas,hefoundthatthepoker

playermustbecapableoffinishingthelogicalprocessquicklyinthelightofthesituationsongamblinggames.

Buthecannotfinishthereasoningprocessattheshorttime.Histeachersuggeststhattheinvestmentanalystis

probablysuitableforhim.Theanalysthasenoughtimetocometotheconclusionbecauseofthesignificanceof

investment’sresult.Therefore,Hewantstofindaninternjobinthefixed-incomedepartmentofGaodunFinance.

Evenifhehasanexcellentbackground,hestillneedstopasstheexaminationbyansweringthequestionsfrom

theinterviewer.

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Case2

GloriaDavies,theofficialleaderofthefixedincomedepartment,isdesignatedtobetheinterviewer,butshe

needstodealswithherjobfirst.JohnThomas,theseniorinterestrateanalyst,providesherwiththespotrate

curveshowninExhibit1basedonthecollectedmarketinformation.DavieschecksthedataandasksThomasto

calculatetheforwardratesbasedontheinformation.

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Case2

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Case2

Becauseoftheperfectperformanceintheinterview,GrossisenrolledinGaodunFinanceasanintern.Oneday,

GrossisconfusedaboutcreditanalysisandconsultswithLesson.Grossasks”Isthereanycreditanalysismethod

thatcanprovidequantitativeresultsonthedefaultprobabilityandexpectlossgivendefaultandthatcantakeinto

considerationsofdifferentbusinessstages?”Afterthediscussionofcreditanalysis,DaviesasksGrossto

introduceasset-backedsecurities(ABS)tothepotentialclientsofGaodunFinance.Duringtheseminar,Gross

presentsthatthecreditanalysisprocessforABSisdifferentfromtraditionalbondsduetothetranchestructureof

ABS.Forexample,ifanyprincipalorinterestsrepay,allthetranchesoftheABSproductionclaimtheprincipal

equallybutthehighesttranchereceivestheinterestsforemost.

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7.AccordingtotheExhibit1,thef(1,2)isclosestto:

A.1.40%

B.1.35%

C.1.38%

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8.AccordingtotheExhibit2,thedifferencebetweenLesson’sforecastvalueforNode2-2andthe

actualvalueforNode2-2isclosestto:

A.0

B.0.06%

C.0.03%

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9.WhichoneofthefollowingspreadsisthemostappropriateresponsetoQuestion1？

A.Z-spread

B.Option-adjustedspread

C.G-spread

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10.Whichofthefollowingbehaviorsofmanagingtheinterestrateofthefloating-ratebondisleast

beneficialtoissuer?

A.Theissuercanaddtheinterestcaptoreducetheinterestrateriskofthefloating-ratebond.

B.Theissuercanaddtheinterestfloortoreducetheinterestrateriskofthefloating-ratebond.

C.Theissuercantransferthefloating-paymentintofixed-paymentbymakingtheinterestrateswap.

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11.ForGross’squestionaboutcreditanalysis,themostappropriateanswergivenbyLessonis:

A.creditrating

B.structuremodel

C.reducedmodel

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12.IsGross’sstatementonABScorrect?

A.No,heisincorrectwithrespecttothecreditanalysisprocess.

B.No,heisincorrectwithrespecttorepaymentpriorityofprincipalandinterests.

C.Yes.

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Case3

ThefollowinginformationrelatestoQuestions13–18

PhillipsJosephisaseniorcreditanalystworkingforLoftyTowerCompany,Inc.Recently,heisaskedtopressa

creditreportonSliverForwardCompany,acompanyintheconsultingarea.HensonLeonard,acolleagueof

Joseph,isaspecialistinquantitativeanalysis.Leonardsuggeststhat“insteadofcreditrating,Ipreferstructural

modelbecausestructuralmodelrendersquantitativeresults,suchasthepresentvalueoftheexpectedlossandthe

probabilityofdefault,andithasnolimitationonthecompany’sbalancesheet.”Josephreplies”Althoughthereare

tremendouslyobviousadvantagesofthestructuralmodel,itisrelativelycomplicatedforinvestorstounderstand.

Incontrast,thecreditratingisstraightforwardbecausetheratingprovidesasimplestatisticthatsummarizesthe

estimatedfutureperformanceonapotentialdebtissuer.Furthermore,creditratingisrelativelystableovertime

whichresultsinlowvolatilityinthedebtmarket.”Afterthediscussion,JosephfulfillsthecreditreportonSliver

ForwardCompany.

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Case3

Accordingtothepreviousanalysis,Sumail,oneofJoseph’scolleagues,concludesthatthecorporationhashigh

creditqualityandlistssupportingevidenceinthereportofcreditanalysis.Buttheinvestorthinksthatthedecision

ofinvestmentisbasedonthepreciselyquantitativestandardratherthanthequalitativeconclusions.Hence,

Sumailisrequiredtoofferanumericalindicatorformeasuringthechangeofthecorporation’screditrisk.He

thinksthatthecreditriskofthecorporationisconstantoveralong-termperiodandZ-spreadcanbean

appropriateriskmeasurement.Hesummarizesthespotratecurvebasedonthereportfromthedepartmentof

prediction.

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Case3

AccordingtotheZ-spreadgiveninthecreditanalysisreport,ZhileiXumakesalargetradinglossattheposition

ofBondA.Hehiresanewinvestmentconsultantwhoisspecializinginthevaluationoffloating-ratebond

becauseXuthinksthatthefloating-ratebond’spropertyoftimelyfeedbackformarketenvironmentalchangeis

desirabletobothparty.Fortheissuingparty,itwillpaytheborrowingcostthatisexactlyequaltoitsrisk

premium.Forthepurchaser,thefloating-ratebondtremendouslyreducestheinterestratesensitivity.Theinvestor

willnotsufferalargelossandalsonotmakealargeprofit.Xudecidestoinvestinthefloating-ratebondwith

interestratecapissuedbyEvilgeniusandherequiresaconsultanttoofferafairvalueofthecappedfloating-rate

bond.Hisconsultantcollectsinformationasfollow.

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Case3

Basedonthepredictionoftheinterestratebinominaltree,Xuexpressesthattheprotectionofdownsideinterest

rateisnecessarybecausehehasapredictablefixedcashoutflowoverthenextthreeyears.Hehopesthatthe

couponpaymentfromthefloating-ratebondisneverbelow6%.

TheconsultantstatesthatouranalystgivestheexpectationofhigherTIIBORrelativeto