CFA Level 1 － Mock Exam 1 模拟真题－Q101-105 face, normal, style, class

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101、The zero-volatility spread (Z-spread) is a measure of the spread off:

Select exactly 1 answer(s) from the following:

A. all points on the spot curve.

B. one point on the spot curve.

C. all points on the Treasury yield curve.

D. one point on the Treasury yield curve.

 

102、The difference between nominal spread and zero-volatility spread will most likely be greater for a:

Select exactly 1 answer(s) from the following:

A. zero coupon Treasury security.

B. mortgage-backed security in flat yield curve environment.

C. U.S. Treasury security with short maturity in a flat yield curve environment.

D. mortgage-backed security in a steep upward-sloping yield curve environment.

 

103、The option adjusted spread (OAS) is best described as the:

Select exactly 1 answer(s) from the following:

A. Z-spread minus the option cost.

B. Z-spread plus the cost of the option.

C. value of the security's embedded option.

D. effect of changes in interest rates on the value of the security.

 

104、If interest rates are expected to decline, an investor can earn a higher coupon interest rate by purchasing a(n):

Select exactly 1 answer(s) from the following:

A. callable bond.

B. inverse floater.

C. floater with a cap.

D. mortgage-backed security.

 

105、The duration of a fixed-income portfolio is best interpreted as the:

Select exactly 1 answer(s) from the following:

A. first derivative of the price function for the bonds in the portfolio.

B. total number of years to receive the present value of the portfolio's cash flows.

C. percentage change in the portfolio's value if interest rates change by 100 basis points.

D. weighted average number of years to receive the present value of the portfolio's cash flows.

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答案和详解如下：

101 Correct answer is C

“Yield Measures, Spot Rates, and Forward Rates,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 446-449
Study Session 16-68-f
differentiate between the nominal spread, the zero-volatility spread, and the option-adjusted spread
The zero-volatility spread is a measure of the spread that the investor would realize over the entire Treasury spot rate curve if the bond is held to maturity.

102 Correct answer is D

“Yield Measures, Spot Rates, and Forward Rates,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 449-450
Study Session 16-68-f
differentiate between the nominal spread, the zero-volatility spread, and the option-adjusted spread
The difference between the Z-spread and the nominal spread is greater for issues in which the principal is repaid over time rather than only at maturity. In addition, the difference between the Z-spread and the nominal spread is greater in a steep yield curve environment.

103 Correct answer is A

“Yield Measures, Spot Rates, and Forward Rates,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 451-452
Study Session 16-68-g
describe how the option-adjusted spread accounts for the option cost in a bond with an embedded option
The Z-spread is the sum of the OAS and the option cost.

104 Correct answer is B

“Features of Debt Securities,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 242-245
Study Session 15-62-b, e
describe the basic features of a bond, the various coupon rate structures, and the structure of floating-rate securities;
identify the common options embedded in a bond issue, explain the importance of embedded options, and state whether such options benefit the issuer or the bondholder
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.

105 Correct answer is C

“Introduction to the Measurement of the Interest Rate Risk,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 498-499
Study Session 16-69-e
distinguish among the alternative definitions of duration, and explain why effective duration is the most appropriate measure of interest rate risk for bonds with embedded options;
Users of this interest rate risk measure are interested in what it tells them about the price sensitivity of a bond or a portfolio to change in interest rates.

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