CFA特許金融分析師-CFA二級-新手入門(參考)-FixedIncome_第1頁
CFA特許金融分析師-CFA二級-新手入門(參考)-FixedIncome_第2頁
CFA特許金融分析師-CFA二級-新手入門(參考)-FixedIncome_第3頁
CFA特許金融分析師-CFA二級-新手入門(參考)-FixedIncome_第4頁
CFA特許金融分析師-CFA二級-新手入門(參考)-FixedIncome_第5頁
已閱讀5頁,還剩1頁未讀, 繼續(xù)免費(fèi)閱讀

下載本文檔

版權(quán)說明:本文檔由用戶提供并上傳,收益歸屬內(nèi)容提供方,若內(nèi)容存在侵權(quán),請進(jìn)行舉報(bào)或認(rèn)領(lǐng)

文檔簡介

CFA特許金融分析師-CFA二級-新手入門(參考)-FixedIncome共享題干題LizTyoisafundmanagerforanactivelymanagedglobalfixe(江南博哥)d-incomefundthatbuysbondsissuedinCountriesA,B,andC.Sheandherassistantarepreparingthequarterlymarketsupdate.Tyobeginsthemeetingbydistributingthedailyratessheet,whichincludesthecurrentgovernmentspotratesforCountriesA,B,andCasshowninExhibit1.Tyoasksherassistanthowthesespotrateswereobtained.Theassistantreplies,“Spotratesaredeterminedthroughtheprocessofbootstrapping.Itentailsbackwardsubstitutionusingparyieldstosolveforzero-couponratesonebyone,inorderfromlatesttoearliestmaturities.”Tyothenprovidesareviewofthefund'sperformanceduringthelastyearandcomments,“Thechoiceofanappropriatebenchmarkdependsonthecountry'scharacteristics.Forexample,althoughCountriesAandBhavebothanactivegovernmentbondmarketandaswapmarket,CountryC'sprivatesectorismuchbiggerthanitspublicsector,anditsgovernmentbondmarketlacksliquidity.”Tyofurtherpointsout,“Thefund'sresultsweremixed;returnsdidnotbenefitfromtakingonadditionalrisk.Weareespeciallymonitoringtheriskinessofthecorporatebondholdings.Forexample,ourlargestholdingsconsistofthreefour-yearcorporatebonds(Bonds1,2,and3)withidenticalmaturities,couponrates,andothercontractterms.ThesebondshaveZ-spreadsof0.55%,1.52%,and1.76%,respectively:”Tyocontinues,“Wealsolookatriskintermsoftheswapspread.Weconsideredhistoricalthree-yearswapspreadsforCountryB,whichreflectthatmarket'screditandliquidityrisks,atthreedifferentpointsintime.”TyoprovidestheinformationinExhibit2.Tyothensuggeststhatthefirmwasabletoaddreturnbyridingtheyieldcurve.Thefundplanstocontinuetousethisstrategybutonlyinmarketswithanattractiveyieldcurveforthisstrategy.Shemovesontopresenthermarketviewsontherespectiveyieldcurvesforafive-yearinvestmenthorizon.CountryA:

“Thegovernmentyieldcurvehaschangedlittleintermsofitslevelandshapeduringthelastfewyears,and1expectthistrendtocontinue.Weassumethatfuturespotratesreflectthecurrentforwardcurveforallmaturities.”CountrγB:

“Becauseofrecenteconomictrends,Iexpectareversalintheslopeofthecurrentyieldcurve.Weassumethatfuturespotrateswillbehigherthancurrentforwardratesforallmaturities.”CountryC:

"Toimproveliquidity,CountryC'scentralbankisexpectedtointervene,leadingtoareversalintheslopeoftheexistingyieldcurve.Weassumethatfuturespotrateswillbelowerthantoday'sforwardratesforallmaturities.”Tyo'sassistantasks,“Assuminginvestorsrequireliquiditypremiums,howcanayieldcurveslopedownward?Whatdoesthisimplyaboutforwardrates?"Tyoanswers,“Evenifinvestorsrequirecompensationforholdinglonger-termbonds,theyieldcurvecanslopedownward-----forexample,ifthereisanexpectationofseveredeflation.Regardingforwardrates,itcanbehelpfultounderstandyieldcurvedynamicsbycalculatingimpliedforwardrates.ToseewhatImean,wecanuseExhibit1tocalculatetheforwardrateforatwo-yearCountryCloanbeginninginthreeyears.”[單選題]1.DidTyo'sassistantaccuratelydescribetheprocessofbootstrapping?A.YesB.No,withrespecttoparyieldsC.No,withrespecttobackwardsubstitution正確答案:C參考解析:Theassistantstatesthatbootstrappingentailsbackwardsubstitutionusingparyieldstosolveforze1'o-couponratesonebyone,inorderfromlatesttoearliestmaturities.Bootstrappingentailsforwardsubstitution,however,usingparyieldstosolveforzero-couponratesonebyone,inorderfromearliesttolatestmaturities.[單選題]2.Theswapcurveisabetterbenchmarkthanthegovernmentspotcurvefor:A.CountryAB.CountryBC.CountryC正確答案:C參考解析:Ciscorrect.CountryC'sprivatesectorismuchbiggerthanthepublicsector,andthegovernmentbondmarketinCountryCcurrentlylacksliquidity.Undersuchcircumstances,theswapcurveisamorerelevantbenchmarkforinterestrates.[單選題]3.BasedonthegivenZ-spreadsforBonds1,2,and3,whichbondhasthegreatestcreditandliquidityrisk?A.Bond1B.Bond2C.Bond3正確答案:C參考解析:Althoughswapspreadsp1'ovideaconvenientwaytomeasurerisk,moreaccuratemeasureofcreditandliquidityriskiscalledthezero-spread(Z-spread).Itistheconstantspreadthat,addedtotheimpliedspotyieldcurve,makesthediscountedcashflowsofabondequaltoitscurrentmarketprice.Bonds1,2,and3areotherwisesimilarbuthaveZ-spreadsof0.55%,1.52%,and1.76%,respectively.Bond3hasthehighestZ-spreadimplyingthatthisbondhasthegreatestcreditandliquidityrisk.[單選題]4.BasedonExhibit2,theimpliedcreditandliquidityrisksasindicatedbythehistoricalthree-yearswapspreadsforCountryBwerethelowest:A.1monthago.B.6monthsago.C.12monthsago.正確答案:B參考解析:Thehistoricalthree-yearswapspreadforCountryBwasthelowestsixmonthsago.Swapspreadisdefinedasthespreadpaidbythefixed-ratepayerofaninterestrateswapovertherateofthe"ontherun"(mostrecentlyissued)governmentbondsecuritywiththesamematurityastheswap.Thelower(higher)theswapspread,thelower(higher)thereturnthatinvestorsrequireforcreditand/orliquidityrisks.Thefixedrateofthethree-yearfixed-for-floatingLiborswapwas0.01%sixmonthsago,andthethree-yeargovernmentbondyieldwas---0.08%sixmonthsago.Thustheswapspreadsixmonthsagowas0.01%-(-0.08%)=0.09%.Onemonthago,thefixedrateofthethree-yearfixed-for-floatingLiborswapwas0.16%,andthethree-yeargovernmentbondyieldwas-0.10%.Thustheswapspreadonemonthagowas0.16%-(-0.10%)=0.26%.Twelvemonthsago,thefixedrateofthethree-yearfixed-for-floatingLiborswapwas0.71%,andthethree-yeargovernmentbondyieldwas0.07%.Thus,theswapspread12monthsagowas0.71%-(-0.07%)=0.78%.[單選題]5.BasedonExhibit1,andTyo'sexpectations,whichcountry'stermstructureiscurrentlybestfortradersseekingtoridetheyieldcurve?A.CountryAB.CountryBC.CountryC正確答案:A參考解析:CountryA’syieldcurveisupwardsloping--aconditionforthestrategy--andmoresothanCountryB's.[單選題]6.BasedonExhibit1andassumingTyo'smarketviewsonyieldcurvechangesarerealized,theforwardcurveofwhichcountrywillliebelowitsspotcurve?A.CountryAB.CountryBC.CountryC正確答案:B參考解析:TheyieldcurveforCountryBiscurrentlyupwardsloping,butTyoexpectsareversalintheslopeofthecurrentyieldcurve.ThismeanssheexpectstheresultingyieldcurveforCountryBtoslopedownward,whichimpliesthattheresultingforwardcurvewouldliebelowthespotyieldcurve.Theforwardcurveliesbelowthespotcurveinscenariosinwhichthespotcurveisdownwardslopingtheforwardcurveliesabovethespotcurveinscenariosinwhichthespotcurveisupwardsloping.AisincorrectbecausetheyieldcurveforCountryAiscurrentlyupwardslopingandTyoexpectsthattheyieldcurvewillmaintainitsshapeandlevel.Thatexpectationimpliesthattheresultingforwardcurvewouldbeabovethespotyieldcurve.CisincorrectbecausetheyieldcurveforCountryCiscurrentlydownwardslopingandTyoexpectsareversalintheslopeofthecurrentyieldcurve.ThismeanssheexpectstheresultingyieldcurveforCountryCtoslopeupward,whichimpliesthattheresultingforwardcurvewouldbeabovethespotyieldcurve.[單選題]7.BasedonExhibit1andTyo'sexpectationsfortheyieldcurves,Tyomostlikelyperceivesthebondsofwhichcountrytobefairlyvalued?A.CountryAB.CountryBC.CountryC正確答案:A參考解析:Tyo'sprojectedspotcurveassumesthatfuturespotratesreflect,orwillbeequalto,thecurrentforwardratesforallrespectivematurities.ThisassumptionimpliesthatthebondsforCountryAarefairlyvaluedbecausethemarketiseffectivelydiscountingthebond'spaymentsatspotratesthatmatchthoseprojectedbyTyo.BandCareincorrectbecauseTyo'sprojectedspotcurvesforthetwocountriesdonotmatchthecurrentforwardratesfora11respectivematurities.InthecaseofCountryB,sheexpectsfuturespotr

溫馨提示

  • 1. 本站所有資源如無特殊說明,都需要本地電腦安裝OFFICE2007和PDF閱讀器。圖紙軟件為CAD,CAXA,PROE,UG,SolidWorks等.壓縮文件請下載最新的WinRAR軟件解壓。
  • 2. 本站的文檔不包含任何第三方提供的附件圖紙等,如果需要附件,請聯(lián)系上傳者。文件的所有權(quán)益歸上傳用戶所有。
  • 3. 本站RAR壓縮包中若帶圖紙,網(wǎng)頁內(nèi)容里面會有圖紙預(yù)覽,若沒有圖紙預(yù)覽就沒有圖紙。
  • 4. 未經(jīng)權(quán)益所有人同意不得將文件中的內(nèi)容挪作商業(yè)或盈利用途。
  • 5. 人人文庫網(wǎng)僅提供信息存儲空間,僅對用戶上傳內(nèi)容的表現(xiàn)方式做保護(hù)處理,對用戶上傳分享的文檔內(nèi)容本身不做任何修改或編輯,并不能對任何下載內(nèi)容負(fù)責(zé)。
  • 6. 下載文件中如有侵權(quán)或不適當(dāng)內(nèi)容,請與我們聯(lián)系,我們立即糾正。
  • 7. 本站不保證下載資源的準(zhǔn)確性、安全性和完整性, 同時(shí)也不承擔(dān)用戶因使用這些下載資源對自己和他人造成任何形式的傷害或損失。

評論

0/150

提交評論