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