CFA特許金融分析師-CFA二級-新手入門（參考）-Economics

CFA特許金融分析師-CFA二級-新手入門（參考）-Economics共享題干題AnnaGoldsworthyisthechieffinancialofficerofamanufactur（江南博哥）ingfirmheadquarteredintheUnitedKingdom.Sheisresponsibleforoverseeingexposuretopriceriskinboththecommodityandcurrencymarkets.Goldsworthyissettlingherend-of-quartertransactionsandcreatingreports.Herintern,ScottUnderwood,assistsherinthisprocess.ThefirmhedgesinputcostsusingforwardcontractsthatarepricedinUSdollars(USD)andMexicanpesos(MXN).Processedgoodsarepackagedforsaleunderlicensingagreementswithfirmsinforeignmarkets.GoldsworthyisexpectingtoreceiveacustomerpaymentofJPY225,000,000(Japaneseyen)thatshewantstoconverttopoundssterling(GBP).UnderwoodgatherstheexchangeratesfromDealerAinExhibit1.ThefirmmustalsobuyUSDtopayamajorsupplier.GoldsworthycallsDealerAwithspecificdetailsofthetransactionandaskstoverifytheUSD/GBPquote.DealerAcallsherbacklaterwitharevisedUSD/GBPbid/offerquoteof1.5760/1.5768.GoldsworthymustpurchaseMXN27,000,000topayaninvoiceattheendofthequarter.InadditiontothequotesfromDealerA,UnderwoodcontactsDealerB,whoprovidesabid/offerpriceofGBP/MXN0.0366/0.0372.Tocheckwhetherthedealerquotesarereflectiveofanefficientmarket,Underwoodexamineswhetherthepricesallowforanarbitrageprofit.Inthreemonths,thefirmwillreceiveEUR5,000,000(euros)from.anothercustomer.Sixmonthsago,thefirmsoldEUR5,000,000againsttheGBPusinganine-monthforwardcontractatanall-inpriceofGBP/EUR0.7400.Tomarkthepositiontomarket,UnderwoodcollectstheGBP/EURforwardratesinExhibit2.Goldsworthyalsoasksforthecurrent90-dayLiborsforthemajorcurrencies.Selectedthree-monthLibors(annualized)areshowninExhibit3.GoldsworthystudiesExhibit3andsays,"Wehavethespotrateandthe90-dayforwardrateforGBP/EUR.AslongaswehavetheGBP90-dayLibor,wewillbeabletocalculatetheimpliedEUR90-dayLibor.”Afterreadingadraftreport,Underwoodnotes,"WedonothedgetheincomingJapaneseyencashflow.YourreportasksforaforecastoftheJPY/GBPexchangeratein90days.WeknowtheJPY/GBPspotexchangerate.”Heasks,"DoestheinformationwehavecollectedtelluswhattheJPY/GBPexchangeratewillbein90days?"Goldsworthyreplies,"TheJPY/GBPexchangeratein90dayswouldbeavaluablepieceofinformationtoknow.Aninternationalparityconditioncanbeusedtoprovideanestimateofthefuturespotrate.”[單選題]1.UsingthequotesinExhibit1,theamountreceivedbyGoldsworthyfromconvertingJPY225,000,000willbeclosestto:A.GBP1,200,448.B.GBP1,200,576.C.GBP1,200,704.正確答案：A參考解析：表格1中給出了JYP/GBP的報(bào)價(jià)，由于分母貨幣是GBP所以這個(gè)報(bào)價(jià)是基于GBP而言。Goldsworthy想要將日元轉(zhuǎn)換成英鎊，相當(dāng)于他要賣日元買英鎊，那么相對于dealer而言就是要買日元賣英鎊，那么賣英鎊就是要用offerprice，因此是225,000,000/187.43=1,200,448，本題選A。[單選題]2.UsingExhibit1,whichofthefollowingwouldbethebestreasonfortherevisedUSD/GBPdealerquoteof1.5760/1.5768?A.ArequestforamuchlargertransactionB.AdropinvolatilityintheUSD/GBPmarketC.ArequesttotradewhenbothNewYorkandLondontradingcentersareopened正確答案：A參考解析：Postedquotesaretypicallyfortransactionsin1millionunitsofthebasecurrency.Largertransactionsmaybeharderforthedealertosellintheinterbankmarketandwouldlikelyrequirethedealertoquoteawiderspread(lowerbidpriceandhigherofferprice).影響dealer的外匯買賣價(jià)差因素有：①.銀行間市場的外匯買賣價(jià)差。主要貨幣的流動(dòng)性越好，價(jià)差更??；在主要的外匯交易中心開市時(shí)進(jìn)行交易則流動(dòng)性好，價(jià)差更?。皇袌霾▌?dòng)性越大，價(jià)差更大。②.交易規(guī)模越大，價(jià)差越大③.dealer與客戶的關(guān)系。dealer會通過降低價(jià)差來留住客戶，但信用質(zhì)量差的客戶會有更高的價(jià)差。根據(jù)表格1，原來的USD/GBP是1.5762—1.5766，現(xiàn)在修正后的價(jià)差是1.5760—1.5768，所以價(jià)差是擴(kuò)大了，那么只有A選項(xiàng)是正確的，更大的交易量會使得價(jià)差上升，其他兩個(gè)選項(xiàng)都是使價(jià)差下降。[單選題]3.UsingthequotesfromDealerAandB,thetriangulararbitrageprofitonatransactionofMXN27,000,000wouldbeclosestto:A.GBP0.B.GBP5,400.C.GBP10,800.正確答案：A參考解析：TocomparewithDealerB'squote,shemusttaketheinverseofMXN/GBP,sothatshehasanoffertosellMXNatarateof1/27.0271=GBP0.0370andabidtopurchaseMXNatarateof1/27.3225=GBP0.0366.DealerAiseffectivelyquotingMXN/GBPat0.0366/0.0370.AlthoughshecaneffectivelybuypesosmorecheaplyfromDealerA(GBP0.0370fromDealerA,versusGBP0.0372fromDealerB),shecannotresellthemtoDealerBforahigherpricethanGBP0.0366.Thereisnoprofitfromtriangulararbitrage.[單選題]4.BasedonExhibits1,2,and3,themark-to-marketgainforGoldsworthy'sforwardpositionisclosestto:A.GBP20,470.B.GBP20,500.C.GBP21,968.正確答案：A參考解析：[單選題]5.BasedonExhibit2,Underwoodshouldconcludethatthree-monthEURLiboris:A.belowthree-monthGBPLibor.B.equaltothree-monthGBPLibor.C.abovethree-monthGBPLibor.正確答案：A參考解析：suggestsaforwardrategreaterthanthespotraterequiresanon-domesticrisk-freerate(inthiscase,theGBPLibor)greaterthanthedomesticrisk-freerate(EURLibor).Whencoveredinterestrateparityisviolated,traderscanstepinandconductarbitrage.[單選題]6.BasedontheexchangeratemidpointinExhibit1andtheratesinExhibit3,the90-dayforwardpremium(discount)fortheUSD/GBPwouldbeclosestto:A.-0.0040.B.-0.0010.C.+0.0010.正確答案：B參考解析：[單選題]7.UsingExhibits1,2,and3,whichinternationalparityconditionwouldGoldsworthymostlikelyusetocalculatetheEURLibor?A.RealinterestrateparityB.CoveredinterestrateparityC.Uncoveredinterestrateparity正確答案：B參考解析：specifiestheforwardexchangeratethatmustholdtopreventarbitragegiventhespotexchangerateandtherisk-freeratesinbothcountries.Iftheforwardandspotexchangeratesarekn