CFA特許金融分析師-CFA一級-固收

CFA特許金融分析師-CFA一級-固收

［單選題］1.Whichofthefollowingbestdescribesaconvertiblebond,s

conversionpremium?（江南博哥）

A.Bondpriceminusconversionvalue

B.Parvaluedividedbyconversionprice

C.Currentsharepricemultipliedbyconversionratio

正確答案：A

參考解析：：AiscoirecI.TheconveisioiipremiuuiisIliedirfeience

betweentheconvertiblebond,spriceanditsconversionvalue.：A

是正確的。轉(zhuǎn)換溢價是可轉(zhuǎn)換債券價格與其轉(zhuǎn)換價值之間的差額。

［單選題］2.Thebenefittotheissuerofadeferredcouponbondismost

likelyrelatedto:

A.taxmanagement.

B.cashflowmanagement.

C.originalissuediscountprice.

正確答案：B

參考解析：：Biscorrect.Deferredcouponbondspaynocouponfor

theirfirstfewyearsbutthenpayhighercouponsthantheyotherwise

normallywouldfortheremainderoftheirlife.Deferredcouponbonds

arecommoninprojectfinancingwhentheassetsbeingdevelopedmay

notgenerateanyincomeduringthedevelopmentphase,thusnot

providingcashflowstomakeinterestpayments.Adeferredcoupon

bondallowstheissuertodelayinterestpaymentsuntiltheproject

iscompletedandthecashflowsgeneratedbytheassetscanbeused

toservicethedebt.：B是正確的。遞延息票債券最初幾年不支付息票，但

隨后支付的息票要比通常情況下在其余生中支付的要高。遞延息票債券在項(xiàng)目

融資中很常見，因?yàn)殚_發(fā)中的資產(chǎn)在開發(fā)階段可能不會產(chǎn)生任何收入，因此不

會提供現(xiàn)金流來支付利息。遞延息票債券允許發(fā)行人延遲支付利息，直到項(xiàng)目

完成，資產(chǎn)產(chǎn)生的現(xiàn)金流可用于償還債務(wù)。

［單選題］3.Abondthatischaracterizedbyafixedperiodicpayment

schedulethatreducesthebond,soutstandingprincipalamountto

zerobythematuritydateisbestdescribedasa:

A.bulletbond.

B.plainvanillabond.

C.fullyamortizedbond.

正確答案：C

參考解析：：Ciscorrect.Afullyamortizedbondcallsforequal

cashpaymentsbythebond,sissuerpriortomaturity.Eachfixed

paymentincludesbothaninterestpaymentcomponentandaprincipal

repaymentcomponentsuchthatthebond'soutstandingprincipal

amountisreducedtozerobythematuritydate.AandBareincorrect

becauseabulletbondorplainvanillabondonlymakeinterest

paymentspriortomaturity.Theentireprincipalrepaymentoccursat

maturity.：C是正確的。完全攤銷的債券要求債券發(fā)行人在到期前支付同等

的現(xiàn)金。每筆固定支付包括利息支付部分和本金償還部分，以便債券的未償本

金在到期口減至零。A和B是不正確的，因?yàn)樽訌梻蚱胀▊辉诘狡谇?/p>

支付利息。全部本金在到期時償還。

［單選題］4.Whenunderwritingnewcorporatebonds,matrixpricingis

usedtogetanestimateofthe:

A.requiredyieldspreadoverthebenchmarkrate.

B.marketdiscountrateofothercomparablecorporatebonds.

C.yield-to-maturityonagovernmentbondhavingasimilartime-to-

maturity.

正確答案：A

參考解析：：Aiscorrect.Matrixpricingisusedinunderwritingnew

bondstogetanestimateoftherequiredyieldspreadoverthe

benchmarkrate.Thebenchmarkrateistypicallytheyield-to-maturity

onagovernmentbondhavingthesame,orclosetothesame,time-to-

maturity.Thespreadisthedifferencebetweentheyield-to-maturity

onthenewbondandthebenchmarkrate.Theyieldspreadisthe

additionalcompensationrequiredbyinvestorsforthedifferencein

thecreditrisk,liquidityrisk,andtaxstatusofthebondrelative

tothegovernmentbond.Inmatrixpricing,themarketdiscountrates

ofcomparablebondsandtheyield-to-maturityonagovernmentbond

havingasimilartime-to-maturityarenotestimated.Rathertheyare

knownandusedtoestimatetherequiredyieldspreadofanew

bond.：A是正確的。矩陣定價用于承銷新債券，以獲得所需收益率與基準(zhǔn)利

率之差的估計(jì)值?；鶞?zhǔn)利率通常是具有相同或接近相同到期時間的政府債券的

到期收益率。利差是新債券到期收益率與基準(zhǔn)利率之間的差額。利差是投資者

對債券相對于政府債券的信用風(fēng)險、流動性風(fēng)險和稅收狀況差異所要求的額外

補(bǔ)償。在矩陣定價中，可比債券的市場貼現(xiàn)率和具有類似到期時間的政府債券

的到期收益率是不估計(jì)的。相反，它們是已知的，用于估計(jì)新債券所需的收益

率邛。

［單選題］5.Contrarytopositivebondcovenant,negativecovenantsare

mostlikely:

A.costlier.

B.legallyenforceable.

C.enactedattimeofissue.

正確答案：A

參考解析：：Aiscorrect.Affirmativecovenantstypicallydonot

imposeadditionalcoststotheissuer,whilenegativecovenantsare

frequentlycostly.Bisincorrectbecauseallbondcovenantsare

legallyenforceablerules,sothereisnodifferenceinthisregard

betweenposiliveandnegcilivebondcovenants.CisincoirecLbecause

borrowersandlendersagreeonallbondcovenantsatthetimeofa

newbondissue,sothereisnodifferenceinthisregardbetween

positiveandnegativebondcovenants.：A是正確的?？隙ㄐ詶l款通常不

會給發(fā)行人帶來額外的成本，而否定性條款通常成本高昂。B是不正確的，因?yàn)?/p>

所有的債券條款都是法律上可執(zhí)行的規(guī)則，所以在這方面，肯定性條款和否定

性條款沒有區(qū)別。C是不正確的，因?yàn)榻杩钊撕唾J款人在新債券發(fā)行時就所有債

券條款達(dá)成一致，因此在這方面，肯定性條款和否定性條款沒有區(qū)別。

［單選題］6.Atwo-yearfloating-ratenotepays6-monthLiborplus80

basispoints.Thefloaterispricedat97per100ofparvalue.

Current6-monthLiboris1.00%.Assumea30/360day-countconvention

andevenlyspacedperiods.Thediscountmarginforthefloaterin

basispoints(bps)isclosestto:

A.180bps.

B.236bps.

C.420bps.

正確答案：B

參考解析：Biscorrect.Thediscountorrequiredmarginis236basis

points.Giventhefloaterhasamaturityoftwoyearsandislinked

to6-monthLibor,theformulaforcalculatingdiscountmargin

Substitutinggivenvaluesin:

(0.01+0.0080)x100(0.01+0.0080)x100(0.01,0.0080)x100^^

2

97=-------------Z--------+---------Z------:

。0.01+2DA-/VJ"f,0-.01r+d,0.01+DM

I+---------------

0.900.900.900.90+100

97=

0.01+DA/Vf,0.01+DA/V-----------------------r+-----------------------r

r—2—}f.0.01+DMXf.0.0!+DM\

TocalculateDM,beginbysolvingforthediscountrateperperiod:

0.900.900.900.90+100

97=

(1+r)1(1+r)2(1+J(1+r)4

r=0.0168

Now,solveforDM:

竺3"=0.0168

2

DM=0.0236

IS：

B是正確的。折現(xiàn)率差為236個基點(diǎn)。鑒于浮動利率的到期日為兩年，且與6個

月倫敦銀行同業(yè)拆借利率掛鉤，計(jì)算折現(xiàn)率差的公式為：

［單選題］7.A10-year,capital-indexedbondlinkedtotheConsumer

PriceIndex(CPI)isissuedwithacouponrateof6%andaparvalue

of1,000.Thebondpaysinterestsemi-annually.Duringthefirstsix

monthsafterthebond'sissuance,theCPIincreasesby2%.Onthe

firstcouponpaymentdate,thebond,s:

A.couponrateincreasesto8%.

B.couponpaymentisequalto40.

C.principalamountincreasesto1,020.

正確答案：C

參考解析：：Ciscorrect.Capital-indexedbondspayafixedcoupon

ratethatisappliedtoaprincipalamountthatincreasesinline

withincreasesintheindexduringthebond,slife.Iftheconsumer

priceindexincreasesby2%,thecouponrateremainsunchangedat6%,

buttheprincipalamountincreasesby2%andthecouponpaymentis

basedontheinflation-adjustedprincipalamount.Onthefirstcoupon

paymentdate,theinflation-adjustedprincipalamountisandthe

semi-annualcouponpaymentisequalto(0.06X1,020)4-2=

30.60.：C是正確的。資本指數(shù)債券支付固定息票利率，該利率適用于在債券

存續(xù)期間隨著指數(shù)的增加而增加的本金金額。如果消費(fèi)物價指數(shù)上漲2%,息票

利率保持在6%不變，但本金金額上漲2%,息票付款以通貨膨脹調(diào)整后的本金金

額為基礎(chǔ)。在第一個息票支付口，通貨膨脹調(diào)整后的本金金額為半年度息票支

付等于(0.06X1020)+2=30.60。

［單選題］8.Afive-yearbondhasthefollowingcash

￡230.97￡230.97￡230.97￡230.97￡230.97

I

flows:口'000Thebondcanbestbe

describedasa:

A.bulletbond.

B.fullyamortizedbond.

C.partiallyamortizedbond.

正確答案：B

參考解析：：Biscorrect.Abondthatisfullyamortizedis

characterizedbyafixedperiodicpaymentschedulethatreducesthe

bond'soutstandingprincipalamounttozerobythematuritydate.

Thestreamof￡230.97paymentsreflectsthecashflowsofafully

amortizedbondwithacouponrateof5%andannualinterest

payments.：B是正確的。完全攤銷的債券的特點(diǎn)是固定的定期付款計(jì)劃，在

到期日前將債券的未償本金減至零。230.97英鎊的支付反映了票面利率為5%的

完全攤銷債券的現(xiàn)金流和年利息支付。

［單選題］9.Investorswhobelievethatinterestrateswi11risemost

likelyprefertoinvestin:

A.inversefloaters.

B.fixed-ratebonds.

C.floating-ratenotes.

正確答案：C

參考解析：：Ciscorrect.Incontrasttofixed-ratebondsthat

declineinvalueinarisinginterestrateenvironment,floating-rate

notes(FRNs)arelessaffectedwheninterestratesincreasebecause

theircouponratesvarywithmarketinterestratesandareresetat

regular,short-termintervals.Consequently,FRNsarefavoredby

investorswhobelievethatinterestrateswillrise.Aisincorrect

becauseaninversefloaterisabondwhosecouponratehasaninverse

relationshiptothereferencerate,sowheninterestratesrise,the

couponrateonaninversefloaterdecreases.Thus,inversefloaters

arefavoredbyinvestorswhobelievethatinterestrateswilldecline,

notrise.Bisincorrectbecausefixedrate-bondsdeclineinvaluein

arisinginterestrateenvironment.Consequently,investorswho

expectinterestratestorisewilllikelyavoidinvestinginfixed-

ratebonds.：C是正確的。與在利率上升環(huán)境下價值下降的固定利率債券不

同，浮動利率債券（FRN）在利率上升時受影響較小，因?yàn)樗鼈兊钠泵胬孰S市

場利率而變化，并按定期、短期間隔重置。因此，frn受到相信利率會上升的投

資者的青睞。A是不正確的，因?yàn)槟娓永适瞧淦泵胬逝c參考利率成反比

的債券，因此當(dāng)利率上升時，逆浮動利率的票面利率下降。因此，反向浮動利

率受到投資者的青睞，他們認(rèn)為利率將下降，而不是上升。B是不正確的，因?yàn)?/p>

在利率上升的環(huán)境下，固定利率債券的價值下降。因此，期望利率上升的投資

者可能會避免投資于固定利率債券。

［單選題］10.A3-yearbondoffersa10%couponratewithinterestpaid

annually.Assumingthefollowingsequenceofspotrates,thepriceof

Tlm?-to-Matur1tySpotRates

1year8.0%

2year*9J0%

3ye?n9.5%

thebondisclosestto:

A.96.98.

B.101.46.

C.102.95.

正確答案：B

參考解析:Biscorrect.Thebondpriceisclosestto

101.46.

101010+100

PV=(1+0.08)1(1+0.09)2+(1+0.095)3

PV=9.26+8.42+83.78=101.46

［單選題］11.Whichfactorisassociatedwithamorefavorablequality

sovereignbondcreditrating?

A.Issuedinlocalcurrency,only

B.Strongdomesticsavingsbase,only

C.Issuedinlocalcurrencyofcountrywithstrongdomesticsavings

base

正確答案：C

參考解析：：Ciscorrect.Bondsissuedinthesovereign,scurrency

andastrongdomesticsavingsbasearebothfavorablesovereign

ratingfactors.Itiscommontoobserveahighercreditratingfor

sovereignbondsissuedinlocalcurrencybecauseofthesovereign's

abilitytotaxitscitizensandprintitsowncurrency.Although

therearepracticallimitstothesovereignJstaxingandcurrency-

printingcapacities,eachtendstosupportasovereign?sabilityto

repaydebt.Astrongdomesticsavingsbaseisadvantageousbecauseit

supportsthesovereignJsabilitytoissuedebtinlocalcurrencyto

domesticinvesLors.：C是正確的。以主權(quán)貨幣發(fā)行的債券和強(qiáng)大的國內(nèi)儲

蓄基礎(chǔ)都是有利的主權(quán)評級因素。人們普遍認(rèn)為，以本幣發(fā)行的主權(quán)債券信用

評級較高，因?yàn)橹鳈?quán)國家有能力對其公民征稅并印制自己的貨幣。盡管對主權(quán)

國家的征稅和印鈔能力有實(shí)際限制，但每一項(xiàng)都增強(qiáng)了主權(quán)國家償還債務(wù)的能

力。強(qiáng)大的國內(nèi)儲蓄是有利的，因?yàn)樗怪鳈?quán)國家有能力向國內(nèi)投資者發(fā)行本

幣債券。

［單選題］12.Whichtypeofbondmostlikelyearnsinterestonan

impliedbasis?

A.Floater

B.Conventionalbond

C.Purediscountbond

正確答案：C

參考解析：：Ciscorrect.Azero-coupon,orpurediscount,bondpays

nointerest;instead,itisissuedatadiscounttoparvalueand

redeemedatpar.Asaresult,theinterestearnedisimpliedand

equaltothedifferencebetweentheparvalueandthepurchase

price.：C是正確的。零息票或純折扣債券不付利息；相反，它是以票面價值

的折扣發(fā)行并按票面價值贖回的。因此，賺取的利息是隱含的，等于票面價值

和購買價格之間的差額。

［單選題］13.Anoption-adjustedspread(OAS)onacallablebondisthe

Z-spread:

A.overthebenchmarkspotcurve.

B.minusthestandardswaprateinthatcurrencyofthesametenor.

C.minusthevalueoftheembeddedcalloptionexpressedinbasis

pointsperyear.

正確答案：C

參考解析：：Ciscorrect.Theoptionvalueinbasispointsperyear

issubtractedfromtheZ-spreadtocalculatetheoption-adjusted

spread(OAS).TheZ-spreadistheconstantyieldspreadoverthe

benchmarkspotcurve.TheI-spreadistheyieldspreadofaspecific

bondoverthestandardswaprateinthatcurrencyofthesame

tenor.：C是正確的。每年以基點(diǎn)為單位的期權(quán)價值從Z價差中減去，以計(jì)算

期權(quán)調(diào)整價差(OAS)。Z利差是基準(zhǔn)即期曲線上的恒定收益率利差。1-利差是

指某一特定債券在同一期限貨幣的標(biāo)準(zhǔn)互換利率上的收益率利差。

［單選題］14.Theannualyield-to-maturity,statedforwitha

periodicityof12,fora4-year,zero-couponbondpricedat75per

100ofparvalueisclosestto:

A.6.25%.

B.7.21%.

C.7.46%.

正確答案：B

參考解析：：Biscorrect.Theannualyield-to-maturity,statedfora

periodicityof12,is7.21%.N=48,PV=-75,PMT=0,FV=100CPT

(I/Y)=0.601(%)YTM=I/Y*12=7.21(%)：B是正確的。年到期收益率為

7.21%,周期為12。N=48,PV=-75,PMT=0,FV=100CPT(I/Y)=0.601(%)

YTM=I/Y*12=7.21(%)

［單選題］15.Whichofthefollowingtypeofdebtobligationmostlikely

protectsbondholderswhentheassetsservingascollateralarenon-

performing?

A.Coveredbonds

B.Collateraltrustbonds

C.Mortgage-backedsecurities

正確答案：A

參考解析：：Aiscorrect.Acoveredbondisadebtobligationbacked

byasegregatedpoolofassetscalledacoverpool."Whenthe

assetsthatareincludedinthecoverpoolbecomenon-performing

(i.e.,theassetsarenotgeneratingthepromisedcashflows),the

issuermustreplacethemwithperformingassets.：A是正確的。擔(dān)保債

券是由被稱為“擔(dān)保池”的獨(dú)立資產(chǎn)池支持的債務(wù)義務(wù)。當(dāng)擔(dān)保池中包含的資

產(chǎn)變成不良資產(chǎn)(即，這些資產(chǎn)沒有產(chǎn)生承諾的現(xiàn)金流)時，發(fā)行人必須用有

效資產(chǎn)替換它們。

［單選題］16.Thedistinctionbetweeninvestmentgradedebtandnon-

investmentgradedebtisbestdescribedbydifferencesin:

A.taxstatus.

B.creditquality.

C.maturitydates.

正確答案：B

參考解析：：Biscorrect.Thedistinctionbetweeninvestmentgrade

andnon-investmentgradedebtrelatestodifferencesincredit

quality,nottaxstatusormaturitydates.Debtmarketsare

classifiedbasedontheissuer'screditworthinessasjudgedbythe

creditratingsagencies.RatingsofBaa3orabovebyMoody's

InvestorsServiceorBBB-orabovebyStandard&Poor'sandFitch

Ratingsareconsideredinvestmentgrade,whereasratingsbelowthese

levelsarereferredtoasnon-investmentgrade(alsocalledhigh

yield,speculative,orjunk).：B是正確的。投資級債務(wù)和非投資級債務(wù)

之間的區(qū)別涉及信貸質(zhì)量的差異，而不是稅務(wù)狀況或到期口。債務(wù)市場根據(jù)信

用評級機(jī)構(gòu)判斷的發(fā)行人信譽(yù)進(jìn)行分類。穆迪投資者服務(wù)公司(Moody飛

InvestorsService)或標(biāo)準(zhǔn)普爾(Standard&Poor's)和惠譽(yù)(Fitch)評級

機(jī)構(gòu)對Baa3或以上的評級被視為投資級別，而低于這些級別的評級則被稱為非

投資級別(也稱為高收益、投機(jī)性或垃圾級)。

［單選題］17.Abondoffersanannualcouponrateof5%,withinterest

paidsemiannually.Thebondmaturesinsevenyears.Atamarket

discountrateof3%,thepriceofthisbondper100ofparvalueis

closestto:

A.106.60.

B.112.54.

C.143.90.

正確答案：B

參考^軍析：：Biscorrect.Thebondpriceisclosestto112.54.The

formulaforcalculatingthisbondpriceis:N=14,I/Y=l.5,PMT=2.5,

FV=100CPT(PV)=112.54：B是正確的。債券價格接近112.54。計(jì)算此債券

價格的公式為：N=14,I/Y=1.5,PMT=2.5,FV=100CPT(PV)=112.54

［單選題］18.Acompanyhasissuedafloating-ratenotewithacoupon

rateequaltothethree-monthLibor+65basispoints.Interest

paymentsaremadequarterlyon31March,30June,30September,and

31December.On31Marchand30June,thethree-monthLiboris1.55%

and1.35%,respectively.Thecouponratefortheinterestpayment

madeon30Juneis:

A.2.00%.

B.2.10%.

C.2.20%.

正確答案：C

參考解析：：Ciscorrect.Thecouponratethatappliestothe

interestpaymentdueon30Juneisbasedonthethree-monthLibor

rateprevailingon31March.Thus,thecouponrateis1.55%+0.65%

=2.20%.：C是正確的。適用于6月30日到期利息支付的息票利率以3月31

日的三個月倫敦銀行同業(yè)拆借利率為基礎(chǔ)。因此，票面利率為1.55%+

0.65%=2,20%o

［單選題］19.Thetypeofbondissuedbyamultilateralagencysuchas

theInternationalMonetaryFund(IMF)isbestdescribedasa:

A.sovereignbond.

B.supranationalbond.

C.quasi-governmentbond.

正確答案：B

參考解析：：Biscorrect.TheIMFisamultilateralagencythat

issuessupranationalbonds.AandCareincorrectbecausesovereign

bondsandquasi-governmentbondsareissuedbynationalgovernments

andbyentitiesthatperformvariousfunctionsfornational

governments,respectively.：B是正確的。國際貨幣基金組織是一個發(fā)行超

國家債券的多邊機(jī)構(gòu)。A和C是不正確的，因?yàn)橹鳈?quán)債券和準(zhǔn)政府債券分別由國

家政府和為國家政府履行各種職能的實(shí)體發(fā)行。

［單選題］20.Ayieldcurveconstructedfromasequenceofyields-to-

maturityonzero-couponbondsisthe:

A.parcurve.

B.spotcurve.

C.forwardcurve.

正確答案：B

參考解析：：Biscorrect.Thespotcurve,alsoknownasthestripor

zerocurve,istheyieldcurveconstructedfromasequenceofyields-

to-maturitiesonzero-couponbonds.Theparcurveisasequenceof

yields-to-maturitysuchthateachbondispricedatparvalue.The

forwardcurveisconstructedusingaseriesofforwardrates,each

havingthesametimeframe.：B是正確的。即期收益率曲線，是由零息債券

的到期收益率構(gòu)成的收益率曲線。平價收益率曲線的每個債券都是按票面價值

定價的。遠(yuǎn)期曲線是使用一系列遠(yuǎn)期利率構(gòu)建的，每個遠(yuǎn)期利率具有相同的時

間。

［單選題］21.Matrixpricingallowsinvestorstoestimatemarket

discountratesandpricesforbonds:

A.withdifferentcouponrates.

B.thatarenotactivelytraded.

C.withdifferentcreditquality.

正確答案：B

參考解析：：Biscorrect.Forbondsnotactivelytradedornotyet

issued,matrixpricingisapriceestimationprocessthatusesmarket

discountratesbasedonthequotedpricesofsimilarbonds(similar

times—to-maturity,couponrates,andcreditquality).：B是正確的。

對于未活躍交易或尚未發(fā)行的債券，矩陣定價是一種價格估算過程，它使用基

于類似債券報(bào)價(類似到期時間、息票利率和信用質(zhì)量)的市場貼現(xiàn)率。

［單選題］22.Whichofthefollowingisasourceofwholesalefundsfor

banks?

A.Demanddeposits

B.MoneyiiiaikeIaccounts

C.Negotiablecertificatesofdeposit

正確答案：C

參考解析：：Ciscorrect.Wholesalefundsavailableforbanks

includecentralbankfunds,interbankfunds,andnegotiable

certificatesofdeposit.AandBareincorrectbecausedemand

deposits(alsoknownascheckingaccounts)andmoneymarketaccounts

areretaildeposits(notwholesalefunds).：C是正確的?？晒┿y行使用

的批發(fā)基金包括中央銀行基金、銀行間基金和可轉(zhuǎn)讓存款證。A和B是不正確

的，因?yàn)榛钇诖婵?也稱為支票賬戶)和貨幣市場賬戶是零售存款(而不是批

發(fā)基金)。

［單選題］23.A365-dayyearbankcertificateofdeposithasaninitial

principalamountofUSD96.5millionandaredemptionamountdueat

maturityofUSD100million.Thenumberofdaysbetweensettlement

andmaturityis350.Thebondequivalentyieldisclosestto:

A.3.48%.

B.3.65%.

C.3.78%.

正確答案：C

參考解析：Ciscorrect.Thebondequivalentyieldisclosestto

,八n『365)<100-96.5

AOR=——x-------------

1350JI96.5

AOR=1.04286x0.03627

AOR=0.03783orapproximately3.78%

3.78%.C是正確的。債

券等價收益率接近3.78%,

［單選題］24.Whenissuingdebt,acompanymayuseasinkingfund

arrangementasameansofreducing:

A.creditrisk.

B.inflationrisk.

C.interestraterisk.

正確答案：A

參考解析：：Aiscorrect.Asinkingfundarrangementisawayto

reducecreditriskbymakingtheissuersetasidefundsovertimeto

retirethebondissue.BandCareincorrectbecauseasinkingfund

ariangenieiilhasnoeffecloninflaLionriskorinleresIralerisk.：

A是正確的。償債基金安排是一種降低信用風(fēng)險的方法，通過使發(fā)行人在一段時

間內(nèi)留出資金以償還債券。B和C是不正確的，因?yàn)閮攤鸢才艑νㄘ浥蛎涳L(fēng)

險或利率風(fēng)險沒有影響。

［單選題］25.Clausesthatspecifytherightsofthebondholdersandany

actionsthattheissuerisobligatedtoperformorisprohibitedfrom

performingare:

A.covenants.

B.collaterals.

C.creditenhancements.

正確答案：A

參考解析：：Aiscorrect.Covenantsspecifytherightsofthe

bondholdersandanyactionsthattheissuerisobligatedtoperform

orisprohibitedfromperforming.：A是正確的。條款規(guī)定了債券持有人

的權(quán)利以及發(fā)行人有義務(wù)履行或禁止履行的任何行為。

［單選題］26.Thebondequivalentyieldofa180-daybankerJs

acceptancequotedatadiscountrateof4.25%fora360-dayyearis

closestto:

A.4.31%.

B.4.34%.

C.4.40%.

正確答案：C

參考解析：Ciscorrect.Thebondequivalentyieldisclosestto

PV=100x|l--x0.0425

I360

PV-100x(1-0.02125)

100x0.97875

PV=97.875

…(365、(100-97.875)

AOR=——x----------------

1180JV97.875

AOR=2.02778x0.02171

AOR=0.04402,orapproximately4.40%

4.40%.NotethatthePVis

calculatedusinganassumed360-dayyearandtheAOR(bondequivalent

yield)iscalculatedusinga365-dayyear.

C是正確的。債券等價收益率接近4.40機(jī)注意：PV使用假定的360天年計(jì)

算，AOR(債券等價收益率)使用365天年計(jì)算。

［單選題］27.Whichofthefollowingstatementsdescribingaparcurve

isincorrect?

A.Aparcurveisobtainedfromaspotcurve.

B.Allbondsonaparcurveareassumedtohavedifferentcreditrisk.

C.Aparcurveisasequenceofyields-to-maturitysuchthateachbond

ispricedatparvalue.

正確答案：B

參考解析：：Biscorrect.Allbondsonaparcurveareassumedto

havesimilar,notdifferent,creditrisk.Parcurvesareobtained

fromspotcurvesandallbondsusedtoderivetheparcurveare

assumedtohavethesamecreditrisk,aswellasthesameperiodicity,

currency,liquidity,taxstatus,andannualyields.Aparcurveisa

sequenceofyields-to-maturitysuchthateachbondispricedatpar

value.：B是正確的。假設(shè)平價收益率曲線上的所有債券都有相似而非不同的

信用風(fēng)險。平價收益率曲線是從即期收益率曲線中獲得的，所有用于獲得平價

收益率曲線的債券都假定具有相同的信用風(fēng)險，以及相同的周期、貨幣、流動

性、稅務(wù)狀況和年收益率。平價收益率曲線中每一種債券都是按票面價值定價

的。

［單選題］28.Corporatebondsecondarymarkettradingmostoftenoccurs:

A.onabook-entrybasis.

B.onorganizedexchanges.

C.priortosettlementatT+1.

正確答案：A

參考解析：：Aiscorrect.Thevastmajorityofcorporatebondsare

tradedinover-the-counter(OTC)marketsthatuseelectronictrading

platformsthroughwhichuserssubmitbuyandsellorders.Settlement

oftradesintheOTCmarketsoccursbymeansofasimultaneous

exchangeofbondsforcashonthebooksoftheclearingsystem“ona

paperless,cumpuLerizedbuok-enlrybasis."：A是正確的。絕大多數(shù)公

司債券在場外交易市場(0TC)進(jìn)行交易，這些市場使用電子交易平臺，用戶通

過這些平臺提交買賣訂單。場外交易市場的交易結(jié)算是在“無紙化、電腦化記

賬”的基礎(chǔ)上，在結(jié)算系統(tǒng)的賬簿上同時以債券換現(xiàn)金的方式進(jìn)行的。

［單選題］29.Aninvestorwhoownsabondwitha9%couponratethat

paysinterestsemiannuallyandmaturesinthreeyearsisconsidering

itssale.Iftherequiredrateofreturnonthebondis11%,the

priceofthebondper100ofparvalueisclosestto:

A.95.00.

B.95.11.

C.105.15.

正確答案：A

參考解析：：Aiscorrect.Thebondpriceisclosestto95.00.The

bondhassixsemiannualperiods.Halfoftheannualcouponispaidin

eachperiodwiththerequiredrateofreturnalsobeinghalved.The

priceisdeterminedinthefollowingmanner:N=6,I/Y=5.5,PMT=4.5,

FV=IOOCPT(PV)=95：A是正確的。債券價格接近95.00美元。債券有六個半

年期。年息票的一半在每個時期支付，要求的回報(bào)率也減半。價格按下列方式

確定：N=6,I/Y=5.5,PMT=4.5,FV=100CPT(PV)=95

［單選題］30.Whenclassifiedbytypeofissuer,asset-backedsecurities

arepartofthe:

A.corporatesector.

B.structuredfinancesector.

C.governmentandgovernment-relatedsector.

正確答案：B

參考解析：：Biscorrect.Asset-backedsecurities(ABS)are

securitizeddebtinstrumentscreatedbysecuritization,aprocess

thatinvolvestransferringownershipofassetsfromtheoriginal

ownerstoaspeciallegalentity.Thespeciallegalentitythen

issuessecuritiesbackedbythetransferredassets.Theassets'cash

flowsareusedtopayinterestandrepaytheprincipalowedtothe

holdersofthesecurities.Assetsthataretypicallyusedtocreate

securitizeddebtinstrumentsincludeloans(suchasmortgageloans)

andreceivables(suchascreditcardreceivables).Thestructured

financesectorincludessuchsecuritizeddebtinstruments(also

calledasset-backedsecurities).：B是正確的。資產(chǎn)支持證券(Asset

backedsecurities,ABS)是由證券化產(chǎn)生的證券化債務(wù)工具,是指將資產(chǎn)所

有權(quán)從原所有者轉(zhuǎn)移到特定法人實(shí)體的過程。然后，特殊法人實(shí)體發(fā)行有資產(chǎn)

擔(dān)保的證券。資產(chǎn)的現(xiàn)金流用于支付利息和償還欠證券持有人的本金。通常用

于創(chuàng)建證券化債務(wù)工具的資產(chǎn)包括貸款(如抵押貸款)和應(yīng)收賬款(如信用卡

應(yīng)收賬款)。結(jié)構(gòu)性金融包括此類證券化債務(wù)工具(也稱為資產(chǎn)支持證券)。

［單選題］31.Relativetoanotherwisesimilaroption-freebond,a:

A.putablebondwilltradeatahigherprice.

B.callablebondwilltradeatahigherprice.

C.convertiblebondwilltradeatalowerprice.

正確答案：A

參考解析：：Aiscorrect.Aputfeatureisbeneficialtothe

bondholders.Thus,thepriceofaputablebondwilltypicallybe

higherthanthepriceofanotherwisesimilarnon-putablebond.Bis

incorrectbecauseacallfeatureisbeneficialtotheissuer.Thus,

thepriceofacallablebondwilltypicallybelower,nothigher,

thanthepriceofanotherwisesimilarnon-callablebond.Cis

incorrectbecauseaconversionfeatureisbeneficialtothe

bondholders.Thus,thepriceofaconvertiblebondwilltypicallybe

higher,notlower,thanthepriceofanotherwisesimilarnon-

convertiblebond.：A是正確的?？吹跈?quán)有利于債券持有人。因此，可售

回債券的價格通常高于其他類似的不可贖回債券的價格。B是不正確的，因?yàn)?/p>

看漲期權(quán)對發(fā)行人有利。因此，可贖回債券的價格通常比其他類似的不可贖回

債券的價格低，而不是高。C是不正確的，因?yàn)榭赊D(zhuǎn)換有利于債券持有人。因

此，可轉(zhuǎn)換債券的價格通常比其他類似的不可轉(zhuǎn)換債券的價格高，而不是低。

［單選題］32.Whichofthefollowingstatementsrelatingtocommercial

paperismostaccurate?

A.Thereisnosecondarymarketfortradingcommercialpaper.

B.Onlythestrongest,highlyratedcompaniesissuecommercialpaper.

C.Commercialpaperisasourceofinterimfinancingforlong-term

projects.

正確答案：C

參考解析：：Ciscorrect.Companiesusecommercialpapernotonlyas

asourceoffundingworkingcapitalandseasonaldemandforcash,but

alsoasasourceofinterimfinancingforlong-termprojectsuntil

permanentfinancingcanbearranged.Aisincorrectbecausethereis

asecondarymarketfortradingcommercialpaper,althoughtradingis

limitedexceptforthelargestissues.Bisincorrectbecause

commercialpaperisissuedbycompaniesacrosstheriskspectrum,

althoughonlythestrongest,highlyratedcompaniesissuelow-cost

commercialpaper.：C是正確的。公司不僅利用商業(yè)票據(jù)作為流動資金和季

節(jié)性現(xiàn)金需求的資金來源，而且還作為長期項(xiàng)目的臨時融資來源，直到可以安

排永久性融資。A是不正確的，因?yàn)橛幸粋€交易商業(yè)票據(jù)的二級市場，盡管交易

是有限的，除了大規(guī)模發(fā)行。B是不正確的，因?yàn)樯虡I(yè)票據(jù)是由風(fēng)險范圍內(nèi)的公

司發(fā)行的，盡管只有實(shí)力最強(qiáng)、評級較高的公司發(fā)行低成本的商業(yè)票據(jù)。

［單選題］33.Investorsseekingsomegeneralprotectionagainstapoor

economyaremostlikelytoselecta:

A.deferredcouponbond.

B.credit-linkedcouponbond.

C.payment-in-kindcouponbond.

正確答案：B

參考解析：：Biscorrect.Acredit-linkedcouponbondhasacoupon

thatchangeswhenthebond?screditratingchanges.Becausecredit

ratingstendtodeclinethemostduringrecessions,credit-linked

couponbondsmaythusprovidesomegeneralprotectionagainstapoor

economybyofferingincreasedcouponpaymentswhencreditratings

decline.：B是正確的。與信用掛鉤的息票債券有一張息票，當(dāng)債券的信用評

級發(fā)生變化時，該息票會發(fā)生變化。由于信用評級在衰退期間往往下降最多，

因此，信用掛鉤息票債券可能在信用評級下降時提供更多的息票支付，從而提

供一些抵御經(jīng)濟(jì)衰退的一般保護(hù)。

［單選題］34.Aninvestorinacountrywithanoriginalissuediscount

taxprovisionpurchasesa20-yearzero-couponbondatadeepdiscount

toparvalue.Theinvestorplanstoholdthebonduntilthematurity

date.Theinvestorwillmostlikelyreport:

A.acapitalgainatmaturity.

B.ataxdeductionintheyearthebondispurchased.

C.taxableincomefromthebondeveryyearuntilmaturity.

正確答案：C

參考解析：：Ciscorrect.Theoriginalissuediscounttaxprovision

requirestheinvestortoincludea