106、An analyst gathered the following information about the market prices of two option-free bonds, and their expected prices given a 50 basis point increase or decrease in yield.

		Expected Price for
Bond.	Market Price	50 bp Increase	50 bp decrease
A	102.00	101.04	102.97
B	88.69	83.81	94.07

The effective durations of Bond A and Bond B are closest to:

	Bond A	Bond B
A.	0.95	5.78
B.	0.95	11.57
C.	1.89	5.78
D.	1.89	11.57

Select exactly 1 answer(s) from the following:

A. Answer A.

B. Answer B.

C. Answer C.

D. Answer D.

107、A U.S. investor has purchased a tax-exempt 5-year municipal bond at a yield of 3.86%, which is 100 basis points less than the yield on a 5-year option-free U.S. Treasury. If the investor's marginal tax rate is 32%, then the taxable-equivalent yield and the yield ratio are closest to:

	Taxable Equivalent Yield	Yield Ratio
A.	2.62	0.79
B.	2.62	1.26
C.	5.68	0.79
D.	5.68	1.26

Select exactly 1 answer(s) from the following:

A. Answer A.

B. Answer B.

C. Answer C.

D. Answer D.

108、An analyst gathered the following information about a portfolio comprised of three bonds:

Bond	Price ($)	Par Amount Owned	Duration
A	102,000	$7 million	1.89
B	94.356	$5 million	7.70
C	88.688	$3 million	11.55

Assuming there is no accrued interest, then the portfolio duration is closest to:

Select exactly 1 answer(s) from the following:

A. 5.55 years.

B. 5.76 years.

C. 6.82 years.

D. 7.05 years.

109、Which of the following statements is least accurate with respect to the advantages of open-end exchange traded funds (ETFs)? Open-end ETFs:

Select exactly 1 answer(s) from the following:

A. tend to trade closer to their net asset values than close-end index funds.

B. provide for more immediate reinvestment of dividends than index mutual funds.

C. provide a more cost-effective way for large institutions to invest in emerging markets.

D. provide lower exposure to capital gains distribution taxes than traditional mutual funds. 

110、A real estate investment has the following characteristics:

Annual rental income	$1,800,000
Annual operating expenses	$1,200,000
Available mortgage rate	6%
Financing percentage	90%
Required rate of return	15%
Estimated holding period	5 years
Investor’s tax rate	25%

Based on the income approach, the value of the investment is closest to:

Select exactly 1 answer(s) from the following:

A. $4,000,000.

B. $5,455,000.

C. $6,133,000.

D. $8,696,000.

[此贴子已经被作者于2008-11-6 11:42:59编辑过]

答案和详解如下：

106 Correct answer is D

“Introduction to the Measurement of the Interest Rate Risk,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 488-489
Study Session 16-69-d
compute and interpret the effective duration of a bond, given information about how the bond’s price will increase and decrease for given changes in interest rates, and compute the approximate percentage price change for a bond, given the bond’s effective duration and a specified change in yield
Effective duration = (V_ - V+ ) / (2 × Vo × Δy)
Duration for Bond A = (102.97 - 101.04) / (2 × 102.00 × 0.005) = 1.89Duration for Bond B = (94.07 - 83.81) / (2 × 88.69 × 0.005) = 11.57

107 Correct answer is C

“Understanding Yield Spread,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 352-355, 359-361
Study Session 16-65-e, i
compute, compare, and contrast the various yield spread measures;
compute the after-tax yield of a taxable security and the tax-equivalent yield
of a tax-exempt security
Taxable equivalent yield = (tax-exempt yield) / (1 - marginal tax rate) =

   3.86 / (1 - 0.32) = 5.68%

Yield ratio = (yield on tax-exempt bond) / (yield of US Treasury) =

   3.86 / (3.86 + 100bp) = 3.86 / 4.86 = 0.79

108 Correct answer is A

“Introduction to the Measurement of the Interest Rate Risk,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 500-501
Study Session 16-69-f
compute the duration of a portfolio, given the duration of the bonds comprising the portfolio, and explain the limitations of portfolio duration
Portfolio value = (1.02 x 7 mil) + (0.94356 x 5 mil) + (0.88688 x 3 mil) = 14,518,440
Weight, Bond A = 7,140,000 / 14,518,440 = 0.492
Weight, Bond B = 4,717,800 / 14,518,440 = 0.325
Weight, Bond C = 2,660,640 / 14,518,440 = 0.183
Portfolio duration = (0.492 x 1.89) + (0.325 x 7.70) + (0.183 x 11.55) = 5.55

109    Correct answer is C

“Alternative Investments,” Bruno Solnik and Dennis McLeavey
2008 Modular Level I, Vol. 6, pp. 184-185
Study Session 18-76-c
explain the advantages and risks of ETFs
Some sector and international ETFs have large bid-ask spreads and substantial expense ratios compared to managed portfolios, which may provide a more cost-efficient alternative to ETFs, particularly for large institutional investors.

110 Correct answer is A

“Alternative Investments,” Bruno Solnik and Dennis McLeavey
2008 Modular Level I, Vol. 6, pp. 193-194
Study Session 18-76-f
calculate the net operating income (NOI) from a real estate investment, the value of a property using the sales comparison and income approaches, and the after-tax cash flows, net present value, and yield of a real estate investment
Using the income approach:
($1,800,000 - $1,200,000) / 0.15 = $4,000,000

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