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1、CFA一级百题预测1.ETHICSANDPROFESSIONALSTANDARDS2.QUANTITATIVEMETHODS3.ECONOMICS4.FINANCIALREPORTINGANDANALYSIS5.CORPORATEFINANCE6.EQUITY7.Fixedincome8.DERIVATIVES9.ALTERNATIVEINVESTMENT10.PORTFOLIOMANAGEMENT7.FixedIncome7.1.BasicFeaturesofAFixed-IncomeSecurity7.1.1.重要知识点71.11描述basicfeaturesofafixed-income
2、securityAIssuerSupranationalorganizationsSovereign(national)governmentsNon-sovereign(local)governmentsQuasi-governmententitiesCompanies(ie,corporateissuers)AMaturity:thedatewhentheissuerisobligatedtoredeemthebondbypayingtheoutstandingprincipalamount.Tenor:thetimeremaininguntilthebondsmaturitydate.AT
3、ermtomaturityMoneymarketsecurities:fixed-incomesecuritieswithmaturitiesatissuance(originalmaturity)ofoneyearorless.Capitalmarketsecurities:fixed-incomesecuritieswithoriginalmaturitiesthatarelongerthanoneyear.Perpetualbonds:theconsolsissuedbythesovereigngovernmentintheUnitedKingdom,whichhavenostatedm
4、aturitydate.AParvalue/facevalue/maturityvalue/principal/redemptionvalueACouponrateandfrequencyACurrencyDual-currencybond:makecouponpaymentsinonecurrencyandpaytheparvalueatmaturityinanothercurrency.Currencyoptionbond:acombinationofasingle-currencybondplusaforeigncurrencyoption.7.1.2.基础题Q-l.Asovereign
5、bondwhichhasamaturityof15yearscanbedescribedasa:A.perpetualbond.B.purediscountbond.C.capitalmarketsecurity.Q-2.ChinaConstructionDevelopmentCorporationneedstofinanceathree-yearconstructionprojectinSingapore.ThecorporationplanstoissueabondwithcouponpaymentstobepaidinChineseyuanandprincipaltoberepaidin
6、Singaporedollars.Thisbondismostlikelyanexampleofa:A.dualcurrencybond.B.currencyoptionbond.C.foreigncurrencybond.7.2.SectorsoftheBondMarket7.2.1.重要知识点7.2.1.1,SectorsofthebondmarketATheplaceswherefixed-incomesecuritiesareissuedandtradedNationalbondmarketDomesticbond:Bondsissuedbyentitiesthatareincorpo
7、ratedinthatcountry.Foreignbond:BondsSoldinacountryanddenominatedinthatcountrysCUrrenCVbyanentityfromanothercountry(foreigncountry)arereferredtoasforeignbonds.EurobondmarketEurobond:Typeofbondissuedinternationally,outsidethejurisdictionofthecountryinwhosecurrencythebondisdenominated.Bondsissuedandtra
8、dedontheEurobondmarket.Globalbonds:issuedsimultaneouslyintheEurobondmarketandinatleastonedomesticbondmarket.7.2.2.基础题Q-3.ASouthKoreanelectronicscompanyissuedbondsdenominatedinUSdollarsintheUnitedStatesandregisteredwiththeSEC.ThesebondsaremostlikelyknownasaA.Foreignbond.B.Eurobond.C.Globalbond.7.3.Is
9、suersLegalInformation7.3.1.重要知识点7.3.1.1Issuingentities:Sovereignbonds:arebackedbythefullfaithandcreditwofthenationalgovernment.ACorporatebonds:theissuerisusuallythecorporatelegalentity.ASecuritizedbonds:islegallyindependentandisconsideredbankruptcyremotefromtheselleroftheloanswhichiscalledSDeCialDUn
10、X)Seentities(SPES)inU.S,andSPeCialPlJrPoSeVehiCleS(SPVS)inEurope.SPVisbankruptcyremotebecausetheassetscanprovidecashflowstosupportthepaymentofthebondevenifthecompanydefaults.Thetransferofassetsbythesponsorisconsideredalegalsale;oncetheassetshavebeensecuritized,thesponsornolongerhasownershiprights.An
11、ypartymakingclaimsfollowingthebankruptcyofthesponsorwouldbeunabletorecovertheassetsortheirproceeds.7.3.1.2.Sourcesofrepayment:TypesofbondSourceofrepaymentSupranationalorganizationsRepaymentofpreviousloansPaid-incapitalfromitsmembersSovereignbondsTaxrevenuesPrintmoneyNon-sovereigndebtGeneraltaxingaut
12、horityofissuerCashflowsofthefinancedproject(revenues)SpecialtaxesorfeesCorporatebondsCashflowsfromoperationsSecuritizationsCashflowsgeneratedbyoneormoreunderlyingfinancialassets.73.2.基础题Q-4.Agencybondsareissuedby:A.localgovernments.B.nationalgovernments.C.quasi-governmententities.Q-5.Whichofthefollo
13、wingaremostlikelyakindofsupranationalbonds?Bondsissuedbythe:A.FederalFarmAgencyoftheUnitedStates.B.GovernmentofMalaysia.C.EuropeanInvestmentBank.Q-6.Proceedsforrepayingsecuritizedbondsmostlikelycomefromthe:A.claims-payingabilityoftheoperatingentity.B.cashflowsoftheprojectthebondisfinancing.C.cashflo
14、wsoftheunderlyingfinancialassets.7.4.CollateralandCreditEnhancements7.4.1.重要知识点7.4.1.1.CollateralAssetorcollateralbacking:awaytoreducecreditrisk.Unsecuredbonds:havenocollateral;bondholdershaveonlyageneralclaimontheissuersassetsandcashflows.Securedbonds:Arebackedbyassetsorfinancialguaranteespledgedto
15、ensuredebtrepaymentinthecaseofdefault.Unsecuredbondsarepaidaftersecuredbondsintheeventofdefault.Inmanyjurisdictions,debenturesareunsecuredbonds,withnocollateralbackingassignedtothebondholders.Typesofcollateralbacking:TypesofbondCollateralbackingCollateraltrustbondsFinancialassetsEquipmenttrustcertif
16、icatesSpecifictypesOfequipmentorphysicalassets(e.g.railroadcards,oildrilling)Mortgage-backedsecurities(MBS)MortgageloansCoveredbondAsegregatedpoolofassetscalledartcoveredpoolw7.4.1.2.Creditenhancement:avarietyofprovisionsusedtoreducethecreditriskofabondissue.Internalcreditenhancement:Overcollaterali
17、zation:theprocessofpostingmorecollateralthanisneededtoobtainorsecurefinancing.Reserveaccountsorreservefunds:providecreditsupportbypayingforpossiblefuturelosses.Cashreservefund:depositofcashthatcanbeusedtoabsorblosses.Excessspread:involvestheallocationintoanaccountofanyamountsleftoverafterpayingoutth
18、einteresttobondholders.Divideabondintotrancheswithdifferentseniorityofclaims:anylossesofassetssupportingasecuritizedbondarefirstabsorbedbythebondswiththelowestseniority,thenthebondswiththenext-lowestpriorityofclaimsWaterfallStnJCtUre.AExternalcreditenhancement:Suretybond:issuedbyinsuranceComPanieSan
19、disapromisetomakeupanyshortfallinthecashavailabletoservicethedebt.Bankguarantee:similartosuretybond,themajordifferenceisthatitissuedbyabank.Letterofcredit:apromisetolendmoneytotheissuingentityifitdoesnothaveenoughcashtomakethepromisedpaymentsonthecovereddebt.Limitationofexternalcreditenhancement:whi
20、leexternalcreditenhancementsincreasethecreditqualityofdebtissuesanddecreasetheyields,deteriorationOfCeditqualityOftheguarantorwillalsoreducetheCreditCIUalityOfthecoveredissue.Suretybonds,bankguarantees,andlettersofcreditexposetheinvestortothirdpartv(OrCOUnterPartV)risk,thepossibilitythataguarantorca
21、nnotmeetitsobligations.AAcashcollateralaccount:theissuerimmediatelyborrowsthecreditenhancementamountandtheninveststhatamountusuallyinhighlyratedshort-termcommercialpaper.Acashcollateralaccountmitigatesinvestors*exposuretothethird-partyrisk,whichisthepossibilitythataguarantorcannotmeetitsobligation.7
22、.4.2.基础题Q-7.Whichofthefollowingismostlikelyaformofinternalcreditenhancement?A.LetterofcreditB.suretybondC.OvercollateralizationQ-8.Whichofthefollowingexternalcreditenhancementhastheleastamountofthird-partyrisk?A.SuretybondB.LetterofcreditC.Cashcollateralaccount7.5.BondIndenture,AffirmativeandNegativ
23、eCovenants7.5.1.重要知识点7511.描述functionsofabondindentureDescribestheformofthebond,theobligationsoftheissuer,andtherightsofthebondholders.7.5.1.2.区分negativecovenants和affirmativecovenantsANegativecovenants:frequentlycostlyanddomateriallyconstraintheissuerspotentialbusinessdecisions.Restrictionsonassetdis
24、posals.NegativepledgesRestrictionsonpriorclaims.AAffirmativecovenants:aretypicallyadministrativeinnature.Complywithalllawsandregulations;Maintainitscurrentlinesofbusiness;Insureandmaintainitsassets,andpaytaxesastheycomedue.7.5.2.基础题Q-9.Whichofthefollowingcontentisincludedinnegativebondcovenants.Thei
25、ssueris:A.requiredtopaytaxesastheycomedue.B.prohibitedfrominvestinginriskyprojects.C.requiredtomaintainitscurrentlinesofbusiness.Q-10.Ananalystreviewsacorporatebondindenturethatcontainsthesetwocovenants:1Theborrowerwillpayinterestsemiannuallyandprincipalatmaturity.2Theborrowerwillnotincuradditionald
26、ebtifitsdebt-to-capitalratioismorethan50%.Whattypesofcovenantsarethese?A.Covenant1isaffirmative,andCovenant2isnegative.B.Bothareaffirmativecovenants.C.Covenant1isnegative,andCovenant2isaffirmative.7.6.TaxationofBondIncome7.6.1.重要知识点7.6.1.1.TaxconsiderationInterestincome:taxedasordinaryincomeatthesam
27、erateaswageandsalaryincome.Interestincomefrombondsissuedbymunicipalgovernment:tax-exempt.ACapitalgain:gainorlossbetweenpurchasepriceandsellingprice.税率高低比较：利息税税率高于资本利得税税率。Originalissuediscount(OID)bonds:aportionofthediscountfromparatissuanceistreatedastaxableinterestincomeeachyear.Thisallowsinvestors
28、toincreasetheircostbasisinthebondssothatatmaturity,theyfacenocapitalgainorloss.Pure-discountbonds:aportionofthediscountfromparatissuanceistreatedastaxableinterestincome.Premiumbonds:allowinvestorstodeductaproratedportionoftheamountpaidinexcessofthebond,sparvaluefromtheirtaxableincomeeverytaxyearunti
29、lmaturity.7.6.2.基础题Q-ll.TedNguyenisaninvestordomiciledinacountrywithanoriginalissuediscounttaxprovision.Hepurchasesazero-couponbondatadeepdiscounttoparvaluewiththeintentionofholdingthebonduntilmaturity.Atmaturity,hewillmostlikelyface:A.neitheracapitallossnorgain.B.acapitalloss.C.acapitalgain.7.7.Cas
30、hFlowStructure771重要知识点7.7.1.1.PrincipalrepaymentstructurePrincipalrepaymentstructureBulletstructureperiodicinterestpayment(couponpayments)overthelifeofthebond.entireprincipalvalueatmaturity.Amortizingstructure:repaypartofprincipalateachpaymentdate.fullyamortizingstructure:equallyperiodicpayment(inte
31、rest+principal).partiallyamortizingstructure:aballoonpaymentatmaturity,whichrepaystheremainingprincipalasalumpsum.Sinkingfundprovisionrequirestheissuertoretireaportionofabondissueatspecifiedtimesduringthebondslife.Theissuercanusuallyrepurchasethebondsatthemarketprice,atpar,orataspecifiedsinkingfundp
32、rice,whicheveristhelowest.AdvantagesanddisadvantagesofsinkingfundprovisionAdvantages:lesscreditriskduetotheperiodicredemptionsoftheprincipal.Disadvantages:morereinvestmentrisk.Wheninterestratedecreases,themarketpriceisgreaterthantheredemptionprice./First,investorsfacereinvestmentrisk,theriskassociat
33、edwithhavingtoreinvestcashflowsataninterestratethatmaybelowerthanthecurrentyieldtomaturity./Anotherpotentialdisadvantageforinvestorsoccursiftheissuerhastheoptiontorepurchasebondsatbelowmarketprices.ACouponpaymentstructureFloating-ratenotes:couponratesthatareadjustedbasedonareferenceratesuchasLIBOR.C
34、ouponrate=referenceratequotedmarginThecouponratedeterminedatthecouponresetdateistheratethattheissuerpromisestopayatthenextcoupondate.Capandfloor/Theupperlimitiscalledthecap./Thelowerlimitiscalledthefloor./Whenafloating-ratesecurityhasbothanupperlimitandalowerlimit,thefeatureiscalledacollar.Inversefl
35、oaters(alsocalledreversefloaters)havecouponratesthatmoveintheoppositedirectionfromthechangeinthereferencerate.Step-upcouponbonds:maybefixedorfloating,increasingbyspecifiedmarginsatspecifieddates.Credit-linkedcouponbond:hasacouponthatchangeswhenthebondscreditratingchanges.Pay-in-kind(PIK)bond:allowst
36、heissuertopayinterestintheformofadditionalamountsofthebondissueratherthanasacashpayment.Deferredcouponbonds(splitcouponbond):interestpaymentsaredeferredforaspecifiednumberofyears.AIndex-linkedbond:hasitscouponpaymentsand/orprincipalrepaymentlinkedtoaspecifiedindex.Equity-linkednotes(ELNs):noperiodic
37、interestpaymentandthepaymentatmaturityarebasedonanequityindex.Inflation-linkedbonds/linkers:areanexampleOfindex-Iinkedbonds.lndeed-annuitybonds:arefullyamortizedbonds,incontrasttointerest-indexedandcapital-indexedbondsthatarenon-amortizingcouponbondsIndexedzero-couponbonds:Theprincipalamounttoberepa
38、idatmaturityincreasesinlinewithincreasesinthepriceindexduringthebond,slife;Interest-indexedbonds:payafixednominalprincipalamountatmaturity,andtheinflationadjustmentappliestotheinterestpaymentsonly.Capital-indexedbonds:payafixedcouponratebutitisappliedtoaprincipalamountthatincreasesinlinewithincrease
39、sintheindexduringthebondslife.Principalprotectedbonds:promisetopayatleasttheprincipalatmaturity.7.7.2.基础题Q12.Abondthatischaracterizedbyafixedperiodicpaymentschedulethatreducesthebondsoutstandingprincipalamounttozerobythematuritydateisbestdescribedasa:A.bulletbond.B.plainvanillabond.C.fullyamortizedb
40、ond.Q-13.Relativetoafullyamortizedbond,thecouponpaymentsofanotherwisesimilarpartiallyamortizedbondare:A.lowerorequal.B.equal.C.higherorequal.Q-14.Thetypeofresidentialmortgageleastlikelytocontainaballoonpaymentisa(n):A.interest-onlymortgage.B.fullyamortizingmortgage.C.partiallyamortizingmortgage.Q-15
41、.Whichofthefollowingtermsinabondissuemostlikelyhelpstoreducecreditrisk?:A.SinkingfundarrangementB.FloatingratenoteC.TermmaturitystructureQ-16.Aninvestorisleastlikelyexposedtoreinvestmentriskfromowninga(n):A.amortizingsecurity.B.zero-couponbond.C.callablebond.Q-17.Ifinterestratesareexpectedtodecline,
42、aninvestorcanearnahighercouponinterestratebypurchasinga(n):A.callablebond.B.inversefloater.C.floaterwithacap.Q-18.A5-yearfloatingratesecuritywasissuedonJanuary1,2006.Thecouponrateformulawas1-yearLIBOR+300bpswithacapof10%andafloorof5%andannualreset.The1-yearLIBORrateonJanuary1stofeachyearofthesecurit
43、y,slifeisprovidedinthefollowingtable:YearI-YearLIBOR20063.5%20074.0%20083.0%20092.0%2010L5%During2010,thepaymentsowedbytheissuerwerebasedonacouponrateclosestto:A.4.5%.B.5.0%.C.6.5%.Q-19.A10-yearzcapital-indexedbondlinkedtotheConsumerPriceIndex(CPI)isissuedwithacouponrateof8%andaparvalueof1,000.Thebo
44、ndpaysinterestsemi-annually.Duringthefirstsixmonthsafterthebondsissuance,theannualizedCPIincreasesby6%.Onthefirstcouponpaymentdate,thebonds:A.couponrateincreasesto11%.B.couponpaymentisequalto41.2.C.principalamountincreasestol,lQ20,Acompanyissuesa10-yearbondon1January2014.Itscontractrequiresthattheco
45、uponrateincreasebyspeciedmarginsatspecieddatesasshowninthefollowingtable:CouponPaymentDateRangeCouponRate1Jan2014-31Dec20154.00%Uan2016-31Dec2017s.oo%1Jan2018-31Dec20197.50%1Jan2020-31Dec20239.00%Thesecurityismostlikelya(n):A.step-upnote.B.deferredcouponbond.C.floatingratebond.Q-21.CentroCorp,recent
46、lyissuedafloating-ratenote(FRN)thatincludesafeaturethatpreventsitscouponratefromfallingbelowaprespecifiedminimumrate.ThisfeatureinanFRNismostlikelyreferredtoasa:A.Floor.B.Collar.C.Cap.78.ContingencyProvisions7.8.1.重要知识点7.8.1.1.CallablebondCalloption:allowtheissuertoredeembondsataspecifiedcallprice,c
47、allablebond=VprebodVcallopttonIfinterestratesfallIssuercanretirethebondpayinghighcouponrate,andreplaceitwithlowercouponbonds.Whenthebondiscalled,theproceedscanonlybereinvestedatalowerinterestrate.ThreestylesofexerciseforcallablebondsAmericanstyle:sometimesreferredtoascontinuouslycallable,forwhichtheissuerhastherighttocallabondatanytimestartingonthefirstcalldate;Europeanstyle:theissuerhastherighttocallabondonlyonceonthecalldate;Bermudastyle:theissuer
