金程教育 WWW.GFEDU.NET
专业••经验•增值
2012 年 06 月 CFA 一级百题预测范例
Fixed Income 1‐7 Features of Debt Securities Q1‐7 ★Inverse floaters are issues whose coupon rate moves in the opposite direction from the reference rate. An analyst is reviewing a corporate bond with the following coupon structure: Coupon rate = 40% ‐ 2 × (10 ‐ year Treasury rate) This corporate bond is most appropriately classified as a(n): A. step‐up note. B. inverse floater. C. deferred coupon bond. Solutions: B The coupon formula for an inverse floater is: Coupon rate = K ‐ I. × (Reference rate) where K and L are values specified in the prospectus. The coupon rate is inversely related to the reference rate. 金
程
金
Q2‐7
1
教
育
★The quoted price of a corporate bond is 90 . The par value is $5,000. The dollar price
程
教
2
is closest to: $4,500. $4,525. $4,750. A.
B.
C.
Solution: B The dollar price of the bond can be calculated as follows: 0.905 x $5,000 = $4,525 Q3‐7 ★Which of the following is not an embedded option that benefits the bondholder? A. A floor on a floater. B. A conversion privilege. C. An accelerated sinking fund provision. Solutions: C An accelerated sinking fund provision is an example of an option that benefits the bond issuer. Q4‐7 ★Do embedded options designed to benefit bondholders (investors) include: an accelerated sinking fund provision? a cap on a floater?
育
A.
B.
C.
No
No
Yes
No
Yes
No
1-4
专业来自百分百的投入
金程教育 WWW.GFEDU.NET
专业••经验•增值
Solution: A An accelerated sinking fund provision benefits the issuer (borrower) by granting the borrower the
option to retire a portion of the debt that is greater than the sinking fund requirement. A cap on a
floater benefits the issuer (borrower) by limiting the level of interest that may be paid on a floating
rate security. Thus, neither embedded option benefits the bondholder (investor).
Q5‐7 ★★Which of the following is most benefit to the issuer when the interest rate increase: A. Callable bond
B. Floating rate security with cap
C. Accelarate sinking fund
金
程
Solution: B When the interest rate increases, issuer will not be called back with callable bond. Of course,
issuer will also not use accelerate provision. When the interest rate increases, cap puts a maximum
on the interest rate paid by the borrower. Q6‐7 ★Sinking funds are most likely to: A. reduce credit risk (default risk). B. never allow issuers to retire more than the sinking fund requirement. C. always reduce the outstanding balance of the bond issue to zero prior to maturity. Solutions: A Sinking funds are designed to reduce default risk (the crisis‐at‐maturity). If present in the indenture, sinking funds must be met. They are not optional. Some sinking funds allow for accelerated sinking funds provisions. Some sinking funds pay only part of the outstanding balance, leaving a balloon payment at maturity. Q7‐7 If interest rates are expected to decline, an investor can earn a higher coupon interest rate by purchasing a (n): A. callable bond B. inverse floater C. floater with a cap Solution: B Inverse floaters have a coupon formula such that the coupon rate increases when the reference rate decreases and decreases when reference rate increases. The coupon rate moves in the opposite direction from the change in the reference rate. Q8‐7 "The sale of a security with a commitment by the seller to buy the same security back at a specified price at a designated future date" best describes: A. prepayment risk. B. a repurchase agreement. C. an adjustable price issue. 教
育
金
程
教
育
2-4
专业来自百分百的投入
金程教育 WWW.GFEDU.NET
专业••经验•增值
Solution: B The statement is the definition of a repurchase agreement. Q9‐7 Which of the following is least likely a provision for the early retirement of debt by the issuer? A. A conversion option B. A call option C. A sinking fund Solution: A A conversion option allows bondholders to exchange their bonds for common stock. Q10‐7 ★★An investor sells a bond at the quoted price of $98.00. In addition he receives
accrued interest of $4.40. The clean price of the bond is: A. par value plus accrued interest. B. accrued interest plus agreed upon bond price. C. agreed upon bond price excluding accrued interest. Solution: C C is correct because the agreed upon bond price without accrued interest is simply referred to as
the price as well as the clean price. 金
程
教
育
金
程
教
R1‐7 Bond Provisions： ¾ Negative covenants: prohibitions on the borrower. ¾ Negative covenants include restrictions on asset sales, negative pledge of collateral, and restrictions on additional borrowings. ¾ Affirmative covenants: actions that the borrower promises to perform. 一般牵扯到 ratio，
都是 affiemative 的内容。 ¾ Set‐up notes: it has coupon rates that increases over time at a specific rate. ¾ Deferred‐coupon bonds: 早期不负息，到了期末一次性付息（pay a lump sum at the end of period）。 ¾ Inverse floater, for example : coupon rate= 12%‐reference rate ¾ Inflation‐indexed bonds, for example : coupon rate= 3%+annual change in CPI ¾ Full price (dirty price) = clean price+ accrued interest. ¾ There are exceptions to the rule that the bond buyer must pay the bond seller accrued interest. The most important exception is when the issuer has not fulfilled its promise to make the periodic interest payments. In this case, the issuer is said to be in default. In such instances, the bond is sold without accrued interest. and is said to he traded flat. R2‐7 Margin Buying Arrangement: ¾ Borrowing funds from a broker or a bank to purchase securities (collateral: the securities themselves). ¾ The margin amount is regulated by the Federal Reserve. ¾ Margin buying arrangement: borrow from a broker or banker to purchase securities as 育
3-4
专业来自百分百的投入
金程教育 WWW.GFEDU.NET
专业••经验•增值
collateral, regulated by Federal reserve. R3‐7 Repurchase (repo) Agreement ¾ An institution sells a security with a commitment to buy it back at a later date at a specified price. ¾ Most bond‐dealer financing is achieved through repurchase agreements rather than through margin loans. ¾ Repurchase agreements are not regulated by the Federal Reserve. ¾ Collateral position of the lender in a repo is better in the event of bankruptcy of the dealer. (liquidity) R4‐7 概念：各种 embedded options ¾ Granted to issuers 1) The right to call the issue 2) The right of the underlying borrowers in a pool of loans to prepay principal above the scheduled principal payment 3) Sink fund provision: 要求发行者必须以一定的速度偿还本金。 4) The accelerated sinking fund provision: allows the issuer the choice of retiring more than the amount of bonds specified in the sinking fund requirement. 5) The cap on a floater：浮动利息债券，的利息上限利息 ¾ Granted to bondholders 1) Conversion privilege 2) The right to put the issue 3) Floor on a floater：浮动债券利息的利息下限。 R5‐7 callable, putable Æ相对于 pure bond 来说 duration 变小 interest rate risk 下降; 但同
时，reinvestment risk 上升 R6‐7 问 puttable bond、prepayable bond、and convertible bond 这三个债券，其他所有的都
一样的情况下，哪个投资者要求的 yield to marutity 是最大的？对投资不利的，收益
要求高，应该是 Prepayable。 R7‐7 Non‐refundable cann’t refinance with lower coupon. Refunding protection merely prevents redemption from certain sources, namely the proceeds of other debt issues sold at a lower cost of money. The holder is protected only if interest rates decline and the borrower can obtain lower‐cost money to pay off the debt. 金
程
育
金
程
教
教
育
4-4
专业来自百分百的投入