2024知到网课 CFA固定收益证券智慧树答案

6、单选题：The flat price for Bond A in Question 4 on 16 June 2018 is closest to
A:102.18
B:103.10
C:104.02
正确答案:【102.18】

7、单选题：Matrix pricing allows investors to estimate market discount rates and prices for bonds
A:that are not actively trade
B:with different credit quality
C:with different coupon rates
正确答案:【that are not actively trade】

8、单选题：A two-year floating-rate note pays 6-month Libor plus 80 basis points. The floater is priced at 97 per 100 of par value. Current 6-month Libor is 1.00%. Assume a 30/360 day-count convention and evenly spaced periods. The discount margin for the floater in basis points is closest to
A:236 bps
B:180 bps
C:420 bps
正确答案:【236 bps】

9、单选题：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:4.4%
B:4.31%
C:4.34%
正确答案:【4.4%】

10、单选题：The 2-year and 4-year spot rates are 3.5% and 4.2%, respectively. What is the implied 2-year forward rate 2-year from now, if the rate is semi-annually compounded?
A:0.05025
B:0.04905
C:0.04902
正确答案:【0.04902】

第四章 单元测试

1、单选题：Securitization benefits financial markets by
A:establishing a barrier between investors and originating borrowers
B:allowing investors to tailor credit risk and interest rate risk exposures to meet their individual needs
C:increasing the role of intermediaries
正确答案:【allowing investors to tailor credit risk and interest rate risk exposures to meet their individual needs】

2、单选题：In a securitization, the special purpose entity (SPE) is responsible for the
A:recovery of underlying assets from delinquent borrowers
B:issuance of the asset-backed securities
C:collection of payments from the borrowers
正确答案:【issuance of the asset-backed securities】

3、单选题：In a securitization, time tranching provides investors with the ability to choose between
A:senior and subordinated bond classes
B:fully amortizing and partially amortizing loans
C:extension and contraction risks
正确答案:【extension and contraction risks】

4、单选题：If interest rates increase, an investor who owns a mortgage pass-through security is most likely affected by
A:extension risk
B:contraction risk
C:credit risk
正确答案:【extension risk】

5、单选题：The tranches in a collateralized mortgage obligation (CMO) that are most likely to provide protection for investors against both extension and contraction risk are
A:sequential-pay tranches
B:planned amortization class (PAC) tranches
C:support tranches
正确答案:【planned amortization class (PAC) tranches】

6、单选题：Credit risk is an important consideration for commercial mortgage-backed securities (CMBS) because the CMBS are backed by mortgage loans that
A:have prepayment penalty points
B:have call protection
C:are non-recourse
正确答案:【are non-recourse】

7、单选题：Which of the following best describes the cash flow that owners of credit card receivable asset-backed securities receive during the lockout period?
A:Only finance charges collected and fees
B:No cash flow
C:Only principal payments collected
正确答案:【Only finance charges collected and fees】

8、单选题：A debt security that is collateralized by a pool of the sovereign debt of several developing countries is most likely a
A:CDO
B:CMBS
C:CMO
正确答案:【CDO】

9、单选题：Residential mortgages that may be included in agency RMBS are least likely required to have
A:insurance on the mortgaged property
B:a minimum percentage down payment
C:a minimum loan-to-value ratio
正确答案:【a minimum loan-to-value ratio】

10、单选题：Support tranches are most appropriate for investors who are
A:concerned about their exposure to extension risk
B:willing to accept prepayment risk in exchange for higher returns
C:concerned about their exposure to concentration risk
正确答案:【willing to accept prepayment risk in exchange for higher returns】

第五章 单元测试

1、单选题：A “buy- and- hold” investor purchases a fixed- rate bond at a discount and holds the security until it matures. Which of the following sources of return is least likely to contribute to the investor’s total return over the investment horizon, assuming all payments are made as scheduled?
A:Capital gain
B:Principal payment
C:Reinvestment of coupon payments
正确答案:【Capital gain】

2、单选题：Which of the following sources of return is most likely exposed to interest rate risk for an investor of a fixed- rate bond who holds the bond until maturity？
A:Reinvestment of coupon payments
B:Capital gain or loss
C:Redemption of principal
正确答案:【Reinvestment of coupon payments】

3、单选题：An investor purchases a bond at a price above par value. Two years later, the investor sells the bond. The resulting capital gain or loss is measured by com-paring the price at which the bond is sold to the:
A:carrying value.
B:original purchase price value plus the amortized amount of the premium.
C:original purchase price.
正确答案:【carrying value.】

4、单选题：An investor buys a three- year bond with a 5% coupon rate paid annually. The bond, with a yield- to- maturity of 3%, is purchased at a price of 105.657223 per 100 of par value. Assuming a 5- basis point change in yield- to- maturity, the bond’s approximate modified duration is closest to:
A:5.56
B:2.86
C:2.78
正确答案:【2.78】

5、单选题：An investor buys a 6% annual payment bond with three years to maturity. The bond has a yield- to- maturity of 8% and is currently priced at 94.845806 per 100 of par. The bond’s Macaulay duration is closest to:
A:2.83
B:2.62
C:2.78
正确答案:【2.83】

6、单选题：Which of the following is most appropriate for measuring a bond’s sensitivity to shaping risk?
A:modified duration
B:key rate duration
C:effective duration
正确答案:【key rate duration】

7、单选题：The interest rate risk of a fixed-rate bond with an embedded call option is best measured by:
A:Effective duration
B:Macaulay duration
C:Modified duration
正确答案:【Effective duration】

8、单选题：Assuming no change in the credit risk of a bond, the presence of an embedded put option:
A:increases the effective duration of the bond.
B:does not change the effective duration of the bond.
C:reduces the effective duration of the bond.
正确答案:【reduces the effective duration of the bond.】

9、单选题：A limitation of calculating a bond portfolio’s duration as the weighted average of the yield durations of the individual bonds that compose the portfolio is that it:
A:is not applicable to portfolios that have bonds with embedded options.
B:is less accurate when the yield curve is less steeply sloped.
C:assumes a parallel shift to the yield curve.
正确答案:【assumes a parallel shift to the yield curve.】

10、单选题：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 per100 of par value. The estimated price value of a basis point for the bond is closest to:
A:0.0648
B:0.0086
C:0.1295
正确答案:【0.0648】

第六章 单元测试

1、单选题：The risk that a bond’s creditworthiness declines is best described by:
A:spread widening risk
B:market liquidity risk
C:credit migration risk
正确答案:【credit migration risk】

2、单选题：Stedsmart Ltd and Fignermo Ltd are alike with respect to financial and operating characteristics, except that Stedsmart Ltd has less publicly traded debt outstanding than Fignermo Ltd. Stedsmart Ltd is most likely to have
A:lower market liquidity risk
B:no market liquidity risk
C:higher market liquidity risk
正确答案:【higher market liquidity risk】

3、单选题：In the event of default, debentures’ claims will most likely rank:
A:the same as that of secured debt holders
B:above that of secured debt holders
C:below that of secured debt holders
正确答案:【below that of secured debt holders】

4、单选题：In the event of default, the recovery rate of which of the following bonds would most likely be the highest?
A:First mortgage debt
B:Senior unsecured debt
C:Junior subordinate debt
正确答案:【First mortgage debt】

5、单选题：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:The value of secured assets was less than the amount of the claims
B:Senior creditors compromised
C:A judge’s order resulted in actual claims not adhering to strict priority of claims
正确答案:【The value of secured assets was less than the amount of the claims】

6、单选题：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:cannot foresee future debt- financed acquisitions
C:often lag the market in pricing credit risk
正确答案:【cannot foresee future debt- financed acquisitions】

7、单选题：If goodwill makes up a large percentage of a company’s total assets, this most likely indicates that:
A:a large percentage of the company’s assets are not of high quality
B:there is a low likelihood that the market price of the company’s common stock is below book value
C:the company has low free cash flow before dividends
正确答案:【a large percentage of the company’s assets are not of high quality】

8、单选题：In order to analyze the collateral of a company a credit analyst should assess the:
A:value of the company’s assets in relation to the level of debt
B:soundness of management’s strategy
C:cash flows of the company
正确答案:【value of the company’s assets in relation to the level of debt】

9、单选题：In order to determine the capacity of a company, it would be most appropriate to analyze the:
A:company’s strategy
B:growth prospects of the industry
C:aggressiveness of the company’s accounting policies
正确答案:【growth prospects of the industry】

10、单选题：A credit analyst is evaluating the credit worthiness of three companies: a construction company, a travel and tourism company, and a beverage company. Both the construction and travel and tou