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1.[单选题] 纠错收藏提问移除

The provision that provides bondholders the right to sell the bond back to the issuer at a predetermined price prior to the bond’s maturity date is referred to as:

A
a put provision.
B
a make-whole call provision.
C
an original issue discount provision.

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2.[单选题] 纠错收藏提问移除

Which of the following provisions is a benefit to the issuer?

A
Put provision
B
Call provision
C
Conversion provision

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3.[单选题] 纠错收藏提问移除

Which of the following type of debt obligation most likely protects bondholders when the assets serving as collateral are non-performing?

A
Covered bonds
B
Collateral trust bonds
C
Mortgage-backed securities

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4.[单选题] 纠错收藏提问移除

Which type of call bond option offers the greatest flexibility as to when the issuer can exercise the option?

A
A Bermuda call
B
A European call
C
An American call

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5.[单选题] 纠错收藏提问移除

The distinction between investment grade debt and non-investment grade debt is best described by differences in:

A
tax status.
B
credit quality.
C
maturity dates.

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6.[单选题] 纠错收藏提问移除

The variability of the coupon rate on a Libor-based floating-rate bond is most likely due to:

A
periodic resets of the reference rate.
B
market-based reassessments of the issuer’s creditworthiness.
C
changing estimates by the Libor administrator of borrowing capacity.

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7.[单选题] 纠错收藏提问移除

Corporate bond secondary market trading most often occurs:

A
on a book-entry basis.
B
on organized exchanges.
C
prior to settlement at T + 1.

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8.[单选题] 纠错收藏提问移除

Agency bonds are issued by:

A
local governments.
B
national governments.
C
quasi-government entities.

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9.[单选题] 纠错收藏提问移除

Which of the following statements relating to commercial paper is most accurate?

A
There is no secondary market for trading commercial paper.
B
Only the strongest, highly rated companies issue commercial paper.
C
Commercial paper is a source of interim financing for long-term projects.

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10.[单选题] 纠错收藏提问移除

Which of the following is a source of wholesale funds for banks?

A
Demand deposits
B
Money market accounts
C
Negotiable certificates of deposit

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11.[单选题] 纠错收藏提问移除

The repo margin is:

A
negotiated between counterparties.
B
established independently of market-related conditions.
C
structured on an agreement assuming equal credit risks to all counterparties.

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12.[单选题] 纠错收藏提问移除

The repo margin on a repurchase agreement is most likely to be lower when:

A
the underlying collateral is in short supply.
B
the maturity of the repurchase agreement is long.
C
the credit risk associated with the underlying collateral is high.

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13.[单选题] 纠错收藏提问移除

Which bond will most likely experience the smallest percent change in price if the market discount rates for all three bonds increase by 100 basis points?

A
Bond A
B
Bond B
C
Bond C

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14.[单选题] 纠错收藏提问移除

All three bonds pay interest annually.

Based upon the given sequence of spot rates, the yield-to-maturity of Bond Z is closest to:

A
9.00%.
B
9.92%.
C
11.93%

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15.[单选题] 纠错收藏提问移除

The bond equivalent yield of a 180-day banker’s acceptance quoted at a discount rate of 4.25% for a 360-day year is closest to:

A
4.31%.
B
4.34%.
C
4.40%.

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16.[单选题] 纠错收藏提问移除

Which of the following statements describing a par curve is incorrect?

A
A par curve is obtained from a spot curve.
B
All bonds on a par curve are assumed to have different credit risk.
C
A par curve is a sequence of yields-to-maturity such that each bond is priced at par value.

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17.[单选题] 纠错收藏提问移除

All rates are annual rates stated for a periodicity of one (effective annual rates).

The value per 100 of par value of a two-year, 3.5% coupon bond, with interest payments paid annually, is closest to:

A
101.58.
B
105.01.
C
105.82.

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18.[单选题] 纠错收藏提问移除

The spread component of a specific bond’s yield-to-maturity is least likely impacted by changes in:

A
its tax status.
B
its quality rating.
C
inflation in its currency of denomination.

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19.[单选题] 纠错收藏提问移除

Securitization benefits financial markets by:

A
increasing the role of intermediaries.
B
establishing a barrier between investors and originating borrowers.
C
allowing investors to tailor credit risk and interest rate risk exposures to meet their individual needs.

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20.[单选题] 纠错收藏提问移除

In a securitization, the special purpose entity (SPE) is responsible for the:

A
issuance of the asset-backed securities.
B
collection of payments from the borrowers.
C
recovery of underlying assets from delinquent borrowers.

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21.[单选题] 纠错收藏提问移除

A special purpose entity issues asset-backed securities in the following structure.

At which of the following amounts of default in par value would Bond Class A experience a loss?

A
€20 million
B
€25 million
C
€26 million

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22.[单选题] 纠错收藏提问移除

In the context of mortgage-backed securities, a conditional prepayment rate (CPR) of 8% means that approximately 8% of the outstanding mortgage pool balance at the beginning of the year is expected to be prepaid:

A
in the current month.
B
by the end of the year.
C
over the life of the mortgages.

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23.[单选题] 纠错收藏提问移除

Which of the following best describes the cash flow that owners of credit card receivable asset-backed securities receive during the lockout period?

A
No cash flow
B
Only principal payments collected
C
Only finance charges collected and fees

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24.[单选题] 纠错收藏提问移除

An investor purchases a nine-year, 7% annual coupon payment bond at a price equal to par value. After the bond is purchased and before the first coupon is received, interest rates increase to 8%. The investor sells the bond after five years. Assume that interest rates remain unchanged at 8% over the five-year holding period. Per 100 of par value, the future value of the reinvested coupon payments at the end of the holding period is closest to:

A
35.00.
B
40.26.
C
41.07.

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25.[单选题] 纠错收藏提问移除

A Canadian pension fund manager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager determines the present value of the liabilities under three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, and a 100 basis point drop in rates down to 6%. The results of the manager’s analysis are presented below:

The effective duration of the pension fund’s liabilities is closest to:

A
1.49.
B
14.99.
C
29.97.

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26.[单选题] 纠错收藏提问移除

bond portfolio consists of the following three fixed-rate bonds. Assume annual coupon payments and no accrued interest on the bonds. Prices are per 100 of par value.

The bond portfolio’s modified duration is closest to:

A
7.62.
B
8.08.
C
8.20.

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27.[单选题] 纠错收藏提问移除

A bond with exactly nine years remaining until maturity offers a 3% coupon rate with annual coupons. The bond, with a yield-to-maturity of 5%, is priced at 85.784357 per 100 of par value. The estimated price value of a basis point for the bond is closest to:

A
0.0086.
B
0.0648
C
0.1295.

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28.[单选题] 纠错收藏提问移除

The holding period for a bond at which the coupon reinvestment risk offsets the market price risk is best approximated by:

A
duration gap.
B
modified duration.
C
Macaulay duration.

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29.[单选题] 纠错收藏提问移除

A manufacturing company receives a ratings upgrade and the price increases on its fixed-rate bond. The price increase was most likely caused by a(n):

A
decrease in the bond’s credit spread.
B
increase in the bond’s liquidity spread.
C
increase of the bond’s underlying benchmark rate.

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30.[单选题] 纠错收藏提问移除

During bankruptcy proceedings of a firm, the priority of claims was not strictly adhered to. Which of the following is the least likely explanation for this outcome?

A
Senior creditors compromised.
B
The value of secured assets was less than the amount of the claims.
C
A judge’s order resulted in actual claims not adhering to strict priority of claims.

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31.[单选题] 纠错收藏提问移除

A fixed income analyst is least likely to conduct an independent analysis of credit risk because credit rating agencies:

A
may at times mis-rate issues.
B
often lag the market in pricing credit risk.
C
cannot foresee future debt-financed acquisitions.

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32.[单选题] 纠错收藏提问移除

Holding all other factors constant, the most likely effect of low demand and heavy new issue supply on bond yield spreads is that yield spreads will:

A
widen.
B
tighten.
C
not be affected.

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33.[单选题] 纠错收藏提问移除

The risk that the price at which investors can actually transact differs from the quoted price in the market is called:

A
spread risk.
B
credit migration risk.
C
market liquidity risk.

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34.[单选题] 纠错收藏提问移除

The priority of claims for senior subordinated debt is:

A
lower than for senior unsecured debt.
B
the same as for senior unsecured debt.
C
higher than for senior unsecured debt.

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35.[单选题] 纠错收藏提问移除

Which of the following corporate debt instruments has the highest seniority ranking?

A
Second lien
B
Senior unsecured
C
Senior subordinated

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36.[单选题] 纠错收藏提问移除

Which of the following statements about credit ratings is most accurate?

A
Credit ratings can migrate over time.
B
Changes in bond credit ratings precede changes in bond prices.
C
Credit ratings are focused on expected loss rather than risk of default.

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37.[单选题] 纠错收藏提问移除

Which industry characteristic most likely has a positive effect on a company’s ability to service debt?

A
Low barriers to entry in the industry
B
High number of suppliers to the industry
C
Broadly dispersed market share among large number of companies in the industry

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38.[单选题] 纠错收藏提问移除

Which of the following accounting issues should mostly likely be considered a character warning flag in credit analysis?

A
Expensing items immediately
B
Changing auditors infrequently
C
Significant off-balance-sheet financing

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39.[单选题] 纠错收藏提问移除

A 10-year bond pays no interest for three years, then pays $229.25, followed by payments of $35 semiannually for seven years, and an additional $1,000 at maturity. This bond is:

A
a step-up bond.
B
a zero-coupon bond.
C
a deferred-coupon bond.

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40.[单选题] 纠错收藏提问移除

Sovereign bonds are described as on-the-run when they:

A
are the most recent issue in a specific maturity.
B
have increased substantially in price since they were issued.
C
receive greater-than-expected demand from auction bidders.

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41.[单选题] 纠错收藏提问移除

A financial instrument is structured such that cash flows to the security holder increase if a specified reference rate increases. This structured financial instrument is best described as:

A
a participation instrument.
B
a capital protected instrument.
C
a yield enhancement instrument.

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42.[单选题] 纠错收藏提问移除

Smith Bank lends Johnson Bank excess reserves on deposit with the central bank for a period of three months. Is this transaction said to occur in the interbank market?

A
Yes.
B
No, because the interbank market refers to loans for more than one year.
C
No, because the interbank market does not include reserves at the central Bank.

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43.[单选题] 纠错收藏提问移除

An analyst observes a 5-year, 10% semiannual-pay bond. The face amount is£1,000. The analyst believes that the yield-to-maturity on a semiannual bondbasis should be 15%. Based on this yield estimate, the price of this bond would be:

A
£828.40.
B
£1,189.53.
C
£1,193.04.

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44.[单选题] 纠错收藏提问移除

A $1,000, 5%, 20-year annual-pay bond has a YTM of 6.5%. If the YTM remains unchanged, how much will the bond value increase over the next three years?

A
$13.62.
B
$13.78.
C
$13.96.

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45.[单选题] 纠错收藏提问移除

A corporate bond is quoted at a spread of +235 basis points over an interpolated 12-year U.S. Treasury bond yield. This spread is:

A
a G-spread.
B
an I-spread.
C
a Z-spread.

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46.[单选题] 纠错收藏提问移除

A 14% annual-pay coupon bond has six years to maturity. The bond is currently trading at par. Using a 25 basis point change in yield, the approximate modified duration of the bond is closest to:

A
0.392.
B
3.888.
C
3.970.

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47.[单选题] 纠错收藏提问移除

Effective duration is more appropriate than modified duration for estimatinginterest rate risk for bonds with embedded options because these bonds:

A
tend to have greater credit risk than option-free bonds.
B
exhibit high convexity that makes modified duration less accurate.
C
have uncertain cash flows that depend on the path of interest rate changes.

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48.[单选题] 纠错收藏提问移除

Two bonds are similar in all respects except maturity. Can the shorter-maturity bond have greater interest rate risk than the longer-term bond?

A
No, because the shorter-maturity bond will have a lower duration.
B
Yes, because the shorter-maturity bond may have a higher duration.
C
Yes, because short-term yields can be more volatile than long-term yields.

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答题卡

The provision that provides bondholders the right to sell the bond back to the issuer at a predetermined price prior to the bond’s maturity date is referred to as:

Which of the following provisions is a benefit to the issuer?

Which of the following type of debt obligation most likely protects bondholders when the assets serving as collateral are non-performing?

Which type of call bond option offers the greatest flexibility as to when the issuer can exercise the option?

The distinction between investment grade debt and non-investment grade debt is best described by differences in:

The variability of the coupon rate on a Libor-based floating-rate bond is most likely due to:

Corporate bond secondary market trading most often occurs:

Agency bonds are issued by:

Which of the following statements relating to commercial paper is most accurate?

Which of the following is a source of wholesale funds for banks?

The repo margin is:

The repo margin on a repurchase agreement is most likely to be lower when:

Which bond will most likely experience the smallest percent change in price if the market discount rates for all three bonds increase by 100 basis points?

All three bonds pay interest annually. Based upon the given sequence of spot rates, the yield-to-maturity of Bond Z is closest to:

The bond equivalent yield of a 180-day banker’s acceptance quoted at a discount rate of 4.25% for a 360-day year is closest to:

Which of the following statements describing a par curve is incorrect?

All rates are annual rates stated for a periodicity of one (effective annual rates). The value per 100 of par value of a two-year, 3.5% coupon bond, with interest payments paid annually, is closest to:

The spread component of a specific bond’s yield-to-maturity is least likely impacted by changes in:

Securitization benefits financial markets by:

In a securitization, the special purpose entity (SPE) is responsible for the:

A special purpose entity issues asset-backed securities in the following structure. At which of the following amounts of default in par value would Bond Class A experience a loss?

In the context of mortgage-backed securities, a conditional prepayment rate (CPR) of 8% means that approximately 8% of the outstanding mortgage pool balance at the beginning of the year is expected to be prepaid:

Which of the following best describes the cash flow that owners of credit card receivable asset-backed securities receive during the lockout period?

bond portfolio consists of the following three fixed-rate bonds. Assume annual coupon payments and no accrued interest on the bonds. Prices are per 100 of par value. The bond portfolio’s modified duration is closest to:

A bond with exactly nine years remaining until maturity offers a 3% coupon rate with annual coupons. The bond, with a yield-to-maturity of 5%, is priced at 85.784357 per 100 of par value. The estimated price value of a basis point for the bond is closest to:

The holding period for a bond at which the coupon reinvestment risk offsets the market price risk is best approximated by:

A manufacturing company receives a ratings upgrade and the price increases on its fixed-rate bond. The price increase was most likely caused by a(n):

During bankruptcy proceedings of a firm, the priority of claims was not strictly adhered to. Which of the following is the least likely explanation for this outcome?

A fixed income analyst is least likely to conduct an independent analysis of credit risk because credit rating agencies:

Holding all other factors constant, the most likely effect of low demand and heavy new issue supply on bond yield spreads is that yield spreads will:

The risk that the price at which investors can actually transact differs from the quoted price in the market is called:

The priority of claims for senior subordinated debt is:

Which of the following corporate debt instruments has the highest seniority ranking?

Which of the following statements about credit ratings is most accurate?

Which industry characteristic most likely has a positive effect on a company’s ability to service debt?

Which of the following accounting issues should mostly likely be considered a character warning flag in credit analysis?

A 10-year bond pays no interest for three years, then pays $229.25, followed by payments of $35 semiannually for seven years, and an additional $1,000 at maturity. This bond is:

Sovereign bonds are described as on-the-run when they:

A financial instrument is structured such that cash flows to the security holder increase if a specified reference rate increases. This structured financial instrument is best described as:

Smith Bank lends Johnson Bank excess reserves on deposit with the central bank for a period of three months. Is this transaction said to occur in the interbank market?

An analyst observes a 5-year, 10% semiannual-pay bond. The face amount is£1,000. The analyst believes that the yield-to-maturity on a semiannual bondbasis should be 15%. Based on this yield estimate, the price of this bond would be:

A $1,000, 5%, 20-year annual-pay bond has a YTM of 6.5%. If the YTM remains unchanged, how much will the bond value increase over the next three years?

A corporate bond is quoted at a spread of +235 basis points over an interpolated 12-year U.S. Treasury bond yield. This spread is:

A 14% annual-pay coupon bond has six years to maturity. The bond is currently trading at par. Using a 25 basis point change in yield, the approximate modified duration of the bond is closest to:

Effective duration is more appropriate than modified duration for estimatinginterest rate risk for bonds with embedded options because these bonds:

Two bonds are similar in all respects except maturity. Can the shorter-maturity bond have greater interest rate risk than the longer-term bond?

考试形式介绍

All three bonds pay interest annually.

Based upon the given sequence of spot rates, the yield-to-maturity of Bond Z is closest to:

All rates are annual rates stated for a periodicity of one (effective annual rates).

The value per 100 of par value of a two-year, 3.5% coupon bond, with interest payments paid annually, is closest to:

A special purpose entity issues asset-backed securities in the following structure.

At which of the following amounts of default in par value would Bond Class A experience a loss?

bond portfolio consists of the following three fixed-rate bonds. Assume annual coupon payments and no accrued interest on the bonds. Prices are per 100 of par value.

The bond portfolio’s modified duration is closest to: