CFA二级知识精讲-集训营直播-固收-习题.docx

Fixed Income Level Reading35:TheArbitrage-FreeValuationFrameworkValuationReading36:ValuationandAnalysis:BondswithEmbeddedOptionsInterestrateriskReading34:TheTermStructureandInterestRateDynamicsRjSkReading37:CreditAnalysisModelsCreditriskReading38:CreditDefaultSwapsArbitrage-freevaluation+ValuationBinomialInterestRateTreeMonteCarloSimulationCallable/putablebonds+Capped/flooredfloating-ratebonds*Convertiblebonds®Reading35ArbitrageThelawofonepriceBondswithembeddedoption®Valuation磅Callable/putablebondsValuationofoption®OASInterestraterisk©Reading36Cappedfloating-ratebondsDefinitionFkx>redfloating-ratebondsCdPPed/flooredHoatingMdtebondsCappedfloating-ratebondsValuation卜/Flredfloating-ratebondsConvertiblebondConversionratioTerms三""""""""1"""il"""(PrkeValueConvertiblebondsConvertiblebondValuationCallableconvertiblebondPuttableconvertiblebondRisk-returncharacteristicsBenchfr>arkRateSpotrateForwardrate©YTMDefinitionSwap spreadI-spreadInterest Rate RiskReading 34Yield Spread * Z-spreadTED spreadSwap rateLibor-OIS spreadAdvantagesTraditionaltermstructuremodels®TermStructureTheoriesModerntermstructuremodels®YieldcurvefactorYieldCurveRiskManagingyieldcurverisk®YieldcurvevolatilityMeasuresofcreditrisk©Creditmodels©Basicconcepts©CDS二（PriCingApplication®Definition1.ongCDSShortCDSNotionala11x>untFeaturesCDSspreadCDScouponrateUpfrontpaymentBaskconceptsBankruptcyCrediteventsFailuretopayRestructuringSettlementPhysical SettJementCashsettlementTysSingle name CDS !*Reading 38CDSIndex CDS Upfront premiumPricing, CDS spread ®AdjustmentofcreditexposureNakedCDSLong/short tradeManagingcreditexposure-ApplicationCurvetrade9BasistradeValuationdisparityArbitragetrade!Case1ThefollowinginformationrelatestoQuestions1-6CaidenJackson,aprivateentrepreneur,ispreparingforhispost-retirementinvestmentplan.HeplanstoobtainmoreinvestmentknowledgebytakingtheCFAexamandhealsohiresaseniorfinancialconsultantWesleySongtohelphim.JacksontellsSongthathehaspassedtheCFAlevelItwoyearsagoandwantstofinishtheuncompletedlevelsafterretirement.DuringstudyinglevelI,hefoundanunfamiliarconcept"risk-neutrality”whichwasonlyinvolvedinderivativespartandheignoredtheconceptatthattime.Butnowhefindsthattheconceptisalsousedinthepartofthetraditionaltermstructuretheories.JacksonasksSongthatifthereisanyinvestmenttheorydoesnotinvolvethisconceptsincehethinksitisnotpracticallysignificant.SonganswersJackson,squestionandexplainshisopinionsabouttherisk-neutralconcept.Throughhard-workingandwithSong,shelp,JacksonfinishedalllevelsofCFAexamthreeyearslaterandplanstoinvestinthefixedincomefieldbyhimselffirst.HecollectsthecurrentmarketinformationshowninExhibit1,Year1Year2Year3Year4Parrate(%)2.53.54.55.5Case1Accordingtohisanalysisandprediction,healsosummarizesabinomialtreeofinterestrateinExhibit2.Year 1Year 2Year 3Year 42.5%2.9%3.6%4.6%2.7%3.3%4.2%3.0%3.8%3.4%Somedayslater,themarketpriceofthe3-yearannuallypaymentbondwiththecouponrateof4.5%revertstothepricethatJacksoncalculated.Thisresultstrengthenshisconfidenceintheinvestmentfield.Fivedayslater,hepurchasesanannuallypaymentcallablebondat$99.2.Theinformationforthebondaregivenbelow.iCase1TenorCouponpaymentProvisionBondA3year$4peryearCallableat$102inoneyearandtwoyearsfromtodayBecauseofthepreviouslysuccessfuljudgments,Jacksonwantstoexpandhisavailableinvestmentsetoffixed-incomeproducts.Recently,hehasintenseinterestsincreditdefaultswaps(CDS).JacksonnoticesHiTechcompanyintheITindustryissufferedfromuncertaintyintheleadershiptransition.JacksonfindsthattheHi-Techcompanybondsyields4%andmaturesinthreeyears.TherelevantCDSontheHi-Techcompanybondhasa1.75%creditspread.JacksonforecaststhatthenewleaderfortheHi-Techcompanyisgoingtoacquireatargetcompanybyissuingadditionaldebt.AftertheanalysisoftheHi-Techcompany,Jacksonlearnscollateralizeddebtobligation(CDO)throughafinancialproseminar.JacksonseeksadvicefromSongaboutCDO.SongrespondsthatCDOcanbecreatedbycollectingapoolofdefault-freebondsandundertakingasaprotectionsellerinCDS.1.WhichoneofthefollowingtheoriesismostsuitableforJackson,srequirement?A.UnbiasedexpectationtheoryB.LocalexpectationtheoryC1Preferredhabitattheory2.AccordingtotheExhibit1,thespotrateofyear4isclosesttoA.5.65%B.5.61%C.6.68%3.AccordingtotheExhibits1and2ifthepriceofa3-yearannuallystraightbondisatpar,theintrinsicvalueofa3-yearbondisclosestto?A.104.66768B.102.77452C.103.265474.AccordingtoExhibits2and3,theoptioncostofthecallablebondisclosestto:A.0.03B.0.05C.0.07A-SnO(Dup=nusPUoqAUEdlUOORLJHUoSaO=DSPUEPUoqAUPdiU0。qoH,Hfq二一UsU>?Sno(usUIISPUoqAUPdul0。qalIHUosuAnqPUPPUoqAUPdIU0。qoHHUq二IUSPQA-Sno<usUJ-SPUoqAUBduIo。IPgUHUosuAnqPUEPUoqAUBduJo。05-Anq<-OJSIUoS士。二JsA岁EJlSUJEKdOJddPISouI幺UBdUJo°IPgIJHDqJJOJS-SA-BUEUo°SECQc6.IsSong,sstatementonCDOcorrect?A.Yes.B.No,becauseheisincorrectwithregardtodefault-freebonds.C.No,becauseheisincorrectwithregardtoprotectionsellerinCDS.ICase2ThefollowinginformationrelatestoQuestions7-12MichaelGrossisthejuniorstudentofpsychologyinDukeUniversity.Intheperiodofschool,heattemptedtoearnhistuitionbypokergameinLasVegasduringthesummervacation.InLasVegas,hefoundthatthepokerplayermustbecapableoffinishingthelogicalprocessquicklyinthelightofthesituationsongamblinggames.Buthecannotfinishthereasoningprocessattheshorttime.Histeachersuggeststhattheinvestmentanalystisprobablysuitableforhim.Theanalysthasenoughtimetocometotheconclusionbecauseofthesignificanceofinvestment'sresult.Therefore,Hewantstofindaninternjobinthefixed-incomedepartmentofGaodunFinance.Evenifhehasanexcellentbackground,hestillneedstopasstheexaminationbyansweringthequestionsfromtheinterviewer.iCase2GloriaDavies,theofficialleaderofthefixedincomedepartment,isdesignatedtobetheinterviewer,butsheneedstodealswithherjobfirst.JohnThomas,theseniorinterestrateanalyst,providesherwiththespotratecurveshowninExhibit1basedonthecollectedmarketinformation.DavieschecksthedataandasksThomastocalculatetheforwardratesbasedontheinformation.Maturity1year2year3yearSpotrate(%)1.0001.2011.251NickLesson,thejuniorassistant,islearningfromThomas,sworkabouttheimpliedinterestratebinomialtree.ThetreeisshowninExhibit2exceptthatNode2-2cannotbeseenbecauseoftheinkmarks.LessonstatesthatNode2-2isequalto1.38325%because1.38325%isthearithmeticmeanofNode2-1andNode2-3.Exhibit2impliedinterestratebinomialtreebasedontheconstantvolatilityofinterestrateCase2TimeOTime1Time21.00%1.6121%1.7862%1.1943%Node2-20.9803%AfterteachingLessontheknowledgeaboutbinomialtrees,DaviesbeginstheinterviewwithGross.Daviesthinksthatthebondwithembeddedoptionisincreasinglyimportanttothebondmarket.Hence,shedecidestoexaminetheinterviewee,sunderstandingofthistopicwiththefollowingquestions.Question1,Howcanwemeasurethecreditriskofthecallablebond?"Question2,Becauseoftheinferiorrating,itishardtoissuethefixedratebonds.Theinferiorcompanyshouldissuethefloating-ratebondbuttheinterestrateriskofthefloating-ratebondisdifficulttocontrol.Howcantheissuermanagetheinterestriskofthefloating-ratebond?"ICase2Becauseoftheperfectperformanceintheinterview,GrossisenrolledinGaodunFinanceasanintern.Oneday,GrossisconfusedaboutcreditanalysisandconsultswithLesson.Grossasks”Isthereanycreditanalysismethodthatcanprovidequantitativeresultsonthedefaultprobabilityandexpectlossgivendefaultandthatcantakeintoconsiderationsofdifferentbusinessstages?”Afterthediscussionofcreditanalysis,DaviesasksGrosstointroduceasset-backedSecurities(ABS)tothepotentialclientsofGaodunFinance.Duringtheseminar,GrosspresentsthatthecreditanalysisprocessforABSisdifferentfromtraditionalbondsduetothetranchestructureofABS.Forexample,ifanyprincipalorinterestsrepay,allthetranchesoftheABSproductionclaimtheprincipalequallybutthehighesttranchereceivestheinterestsforemost.7.AccordingtotheExhibit1,thef(l,2)isclosestto:A.1.40%B.1.35%C.1.38%8.AccordingtotheExhibit2,thedifferencebetweenLesson,sforecastvalueforNode2-2andtheactualvalueforNode2-2isclosestto:A.0B.0.06%C.0.03%9.WhichoneofthefollowingspreadsisthemostappropriateresponsetoQuestion1?A.Z-spreadB.Option-adjustedspreadC.G-spread10.Whichofthefollowingbehaviorsofmanagingtheinterestrateofthefloating-ratebondisleastbeneficialtoissuer?A.Theissuercanaddtheinterestcaptoreducetheinterestrateriskofthefloating-ratebond.B.Theissuercanaddtheinterestfloortoreducetheinterestrateriskofthefloating-ratebond.C.Theissuercantransferthefloating-paymentintofixed-paymentbymakingtheinterestrateswap.11.ForGross,Squestionaboutcreditanalysis,themostappropriateanswergivenbyLessonis:A.creditratingB.structuremodelC.reducedmodelsu>USjS<J(Dc-PUPWd一。u'cdJo.J0ydIUgUIAPd2Ooq=MJ。JJOJ三SIgqCoNSSgOOJdSlSA-BUBI-P巴。Oouq=MJEJoq三SIoqON<otooscQ<UoIUQUJ-PJSSeSSo-IDSIZlCase3ThefollowinginformationrelatestoQuestions13-18PhillipsJosephisaseniorcreditanalystworkingforLoftyTowerCompany,Inc.Recently,heisaskedtopressacreditreportonSliverForwardCompany,acompanyintheconsultingarea.HensonLeonard,acolleagueofJoseph,isaspecialistinquantitativeanalysis.Leonardsuggeststhat44insteadofcreditrating,Ipreferstructuralmodelbecausestructuralmodelrendersquantitativeresults,suchasthepresentvalueoftheexpectedlossandtheprobabilityofdefault,andithasnolimitationonthecompany'sbalancesheet."Josephreplies"Althoughtherearetremendouslyobviousadvantagesofthestructuralmodel,itisrelativelycomplicatedforinvestorstounderstand.Incontrast,thecreditratingisstraightforwardbecausetheratingprovidesasimplestatisticthatsummarizestheestimatedfutureperformanceonapotentialdebtissuer.Furthermore,creditratingisrelativelystableovertimewhichresultsinlowvolatilityinthedebtmarket.,Afterthediscussion,JosephfulfillsthecreditreportonSliverForwardCompany.Case3Accordingtothepreviousanalysis,Sumail,oneofJoseph,scolleagues,concludesthatthecorporationhashighcreditqualityandlistssupportingevidenceinthereportofcreditanalysis.Buttheinvestorthinksthatthedecisionofinvestmentisbasedonthepreciselyquantitativestandardratherthanthequalitativeconclusions.Hence,Sumailisrequiredtoofferanumericalindicatorformeasuringthechangeofthecorporation'screditrisk.Hethinksthatthecreditriskofthecorporationisconstantoveralong-termperiodandZ-spreadcanbeanappropriateriskmeasurement.Hesummarizesthespotratecurvebasedonthereportfromthedepartmentofprediction.Exhibit1Year1Year2Year3Year4Spotrate(%)2.003.004.005.00Case3Exhibit2CouponrateCouponfrequencyMarketpriceProvisionMaturityBondA4%Annually98.7713N/A3yearAccordingtotheZ-spreadgiveninthecreditanalysisreport,ZhileiXumakesalargetradinglossatthepositionofBondA.Hehiresanewinvestmentconsultantwhoisspecializinginthevaluationoffloating-ratebondbecauseXuthinksthatthefloating-ratebond,spropertyoftimelyfeedbackformarketenvironmentalchangeisdesirabletobothparty.Fortheissuingparty,itwillpaytheborrowingcostthatisexactlyequaltoitsriskpremium.Forthepurchaser,thefloating-ratebondtremendouslyreducestheinterestratesensitivity.Theinvestorwillnotsufferalargelossandalsonotmakealargeprofit.Xudecidestoinvestinthefloating-ratebondwithinterestratecapissuedbyEvilgeniusandherequiresaconsultanttoofferafairvalueofthecappedfloating-ratebond.Hisconsultantcollectsinformationasfollow.Case3Exhibit3CouponfrequencyCouponrateMaturityProvisionFloating-ratebondBAnnuallyTIIB0R+2OObp3YearCappedat8%Exhibit4BinominalinterestratetreeofTIIBORBasedonthepredictionoftheinterestratebinominaltree,Xuexpressesthattheprotectionofdownsideinterestrateisnecessarybecausehehasapredictablefixedcashoutflowoverthenextthreeyears.Hehopesthatthecouponpaymentfromthefloating-ratebondisneverbelow6%.TheconsultantstatesthatouranalystgivestheexpectationofhigherTIIBORrelativetothecurrentexpectationofTIIBOR.U8SUEWqSCAUEdtUO0UqJUoUoPE=UI=UqIojPJP岂0。110。.£SIONU>3CoiPjPMgJm-UOJUISl<qCoNw留A一号<JJoO-UPoIUWJnIurulsUqlUoluIUgEISoJSlEI-Jq<p三SO>三三Sl三S2q-qMiu>o>SIM三JPJ=P2。-ocSICoN.0.JgMOJJOqIgluulodEJoSUBUUOJJgdJSEdUqlUOPUSPqSIC三gsnpugqJ。-UOJ三SI<qCoNw留A.<djugjjo。MUPEJEPgJOUqlUo-5srtSCqdOSOfSIT-15.AccordingtotheExhibits1and2,theZ-spreadofbondAisclosestto:A.30basispointB.40basispointC.50basispoint16.AccordingtotheExhibits3and4,thefairlyestimatedpriceofthefloating-ratebondBisclosestto:A.99.19B.100.00C.10l.2517.AccordingtotheExhibits3and4,thecostofdownsideprotectionfortheinterestrateisclosestto:A.2.91B.0.95C.0.8118.Basedontheconsultant'sstatement,whichoneofthefollowingbondsismostlikelyinvested?A.Thecappedfloating-ratebondB.Theflooredfloating-ratebondC.Thefloating-ratebond