Kostenlos und ohne Konto. Zu jeder Frage gibt es den vollständigen Lösungsweg, einschließlich der Begründung, warum jede falsche Option falsch ist. Die Fragen sind eigene Aufgaben von Preparaio auf Englisch, keine offiziellen Fragen des CFA Institute.
1. The finance ministry of the Republic of Ombrana sells its new 10-year bonds through a single-price (uniform-price) auction that accepts both competitive and non-competitive bids. Which statement about this auction is least likely accurate?
A. All winning competitive bidders receive the same yield, which is the highest yield the ministry accepts. B. Non-competitive bidders are filled at the yield determined by the accepted competitive bids. C. Each winning competitive bidder receives its own bid yield, so winners pay different prices.
Lösung und Erklärung Richtige Antwort: C Each winning competitive bidder receives its own bid yield, so winners pay different prices.
The ministry ranks competitive bids from the lowest yield upward and accepts bids until the issue is filled; the last accepted yield is the stop-out yield. In a single-price auction all winners, competitive and non-competitive, receive that yield. A rule in which each winner receives its own bid yield applies to a multiple-price auction, not to this one.
Warum die anderen Optionen falsch sind
A: This is accurate: the defining feature of a single-price auction is that every accepted bid is filled at the highest accepted yield. B: This is accurate: non-competitive bidders accept whatever yield the competitive bids set, which here is the stop-out yield. Kernregel: In a single-price auction every successful bidder receives the same, highest accepted (stop-out) yield; paying each bidder its own bid describes a multiple-price auction.
Merksatz: Single-price auction: one yield for all winners; multiple-price auction: each winner gets its own bid.
2. The credit committee of Oyapock Asset Management discusses the risks of holding BBB-rated bonds issued by Maroni Bauxite. Which of the following statements made at the meeting is least likely accurate?
A. Downgrade risk is part of spread risk: if the bonds are cut to a lower rating, their spread will usually widen even if no default occurs. B. Market liquidity risk is part of spread risk and shows up in wider bid-ask spreads and higher yields for bonds that trade infrequently. C. A higher expected recovery rate in default would raise the spread investors require, because it increases the loss given default.
Lösung und Erklärung Richtige Antwort: C A higher expected recovery rate in default would raise the spread investors require, because it increases the loss given default.
Loss given default equals exposure times (1 − recovery rate). A higher expected recovery therefore reduces loss given default and expected loss, so investors would require a smaller, not larger, credit spread. The other two statements correctly describe the two components of spread risk: downgrade risk and market liquidity risk.
Warum die anderen Optionen falsch sind
A: This is accurate: downgrade risk, the risk that a rating cut widens the spread and lowers the price, is a key part of spread risk. B: This is accurate: investors demand extra yield for bonds that are costly to trade, and this market liquidity premium is part of the credit spread. Kernregel: Expected loss, and hence the credit-loss part of the spread, rises with the probability of default and with loss severity (1 − recovery rate), so a higher recovery rate lowers it.
Merksatz: Credit spreads compensate for expected loss (PD x loss severity) plus liquidity and uncertainty premia; higher recovery means lower loss.
3. Mahakam River Credit Fund holds USD 7,325,000 of senior unsecured notes issued by Sepinggan Harbor Towage. The fund's analysts estimate a one-year probability of default of 2.85% and expect to recover 42% of the exposure if a default occurs. The notes' expected loss over the next year is closest to:
A. 87,680.25 B. 121,082.25 C. 208,762.50
Lösung und Erklärung Richtige Antwort: B 121,082.25
Loss severity is 1 − 0.42 = 58%, so loss given default is 7,325,000 x 0.58 = USD 4,248,500. Weighting that loss by the 2.85% probability of default gives an expected loss of USD 121,082.25.
Rechenweg
Loss severity = 1 − 0.42 = 0.58 Loss given default = 7,325,000 x 0.58 = 4,248,500 Expected loss = 0.0285 x 4,248,500 = 121,082.25 BA-II-Plus-Tastenfolge
7325000 × 0.0285 × ( 1 − 0.42 ) = [121,082.25]
Warum die anderen Optionen falsch sind
A: This multiplies by the 42% recovery rate instead of the 58% loss severity, so it measures the amount recovered rather than the amount lost. C: This multiplies the exposure by the probability of default but ignores the 42% expected recovery, overstating the loss. Intermediate displayed workings may be rounded; retain full precision until the final answer.
Kernregel: Expected loss = probability of default x exposure x (1 − recovery rate).
Merksatz: Multiply exposure by the loss severity (1 − recovery), not by the recovery rate, and then by the probability of default.
4. Ladinia Hypothekenbank issues covered bonds backed by a cover pool of residential mortgages that remains on the bank's balance sheet. One year after issuance, several mortgages in the cover pool stop performing. The bank itself remains solvent. Under typical covered bond terms, what happens next?
A. The bank must replace the non-performing mortgages with performing assets that meet the eligibility criteria of the cover pool. B. The most junior tranche of the covered bond issue absorbs the losses, and the senior tranches are protected by subordination. C. Covered bondholders bear the losses on those mortgages, because their claim is limited to the pool and not to the bank itself.
Lösung und Erklärung Richtige Antwort: A The bank must replace the non-performing mortgages with performing assets that meet the eligibility criteria of the cover pool.
Unlike a typical ABS, the mortgages are not sold to an SPE but stay on the bank's balance sheet in a segregated cover pool. Covered bond terms require the issuer to replace non-performing or prepaid assets so the pool keeps meeting its eligibility and collateral requirements. Bondholders are also protected by dual recourse: they have a claim on the bank and on the cover pool.
Warum die anderen Optionen falsch sind
B: Loss allocation through a waterfall of junior and senior tranches is a feature of credit-tranched ABS; covered bonds are generally issued without such tranching. C: Covered bondholders have dual recourse, to the issuing bank as well as to the cover pool, so losses on individual pool mortgages do not pass directly to them. Kernregel: Covered bonds use a dynamic cover pool that the issuer must keep topped up with performing assets, and investors have dual recourse to the issuer and the pool.
Merksatz: Covered bonds: assets stay on balance sheet, the pool is dynamic and investors have recourse to both issuer and pool.
5. Mirela Dragomir is reviewing a new 12-year senior unsecured bond issued by Tanager Bay Ports under an indenture that names Corran Fiduciary Services as trustee. She writes three statements about the bond. Which of her statements is least likely accurate?
A. Because the bonds are senior unsecured, holders rank ahead of subordinated creditors but have no claim on any specific asset. B. The trustee monitors whether the issuer complies with the covenants and can take action for bondholders if a default occurs. C. Because a trustee has been appointed, it will cover any shortfall if the issuer fails to pay interest or principal.
Lösung und Erklärung Richtige Antwort: C Because a trustee has been appointed, it will cover any shortfall if the issuer fails to pay interest or principal.
The trustee's role is administrative and protective: it checks covenant compliance, keeps records and, after a default, can enforce bondholders' rights. It does not stand behind the issuer's obligations with its own money, so bondholders still bear the issuer's credit risk. A guarantee would be an external credit enhancement, which the bond does not have.
Warum die anderen Optionen falsch sind
A: This is accurate: senior unsecured debt ranks above subordinated debt but, unlike secured debt, is backed only by the issuer's general assets. B: This is accurate: monitoring covenant compliance and acting for bondholders after a default are the trustee's core duties under the indenture. Kernregel: A trustee is a fiduciary that monitors the issuer's compliance with the indenture and acts for bondholders; it does not guarantee the issuer's payments.
Merksatz: The trustee protects bondholders' rights; it does not insure them against the issuer's default.
6. Rubén Iturralde, a portfolio manager at Urdaibai Previsión, holds an option-free bond of Bizkaia Tidal Energy with an annual modified duration of 6.15 and an annual convexity of 48.3. If the bond's yield to maturity rises immediately by 80 basis points, the estimated percentage change in the bond's full price, including the convexity adjustment, is closest to:
A. −4.92% B. −4.77% C. −4.61%
Lösung und Erklärung Richtige Antwort: B −4.77%
The duration effect of an 80 bp rise is −6.15 x 0.0080 = −4.92%. The convexity adjustment is 0.5 x 48.3 x 0.0080^2 = +0.15%. Adding the two gives about −4.77%, a smaller loss than duration alone predicts because the price-yield curve is convex.
Rechenweg
Duration effect = −6.15 x 0.0080 = −0.0492, or −4.92% Convexity effect = 0.5 x 48.3 x (0.0080)^2 = 0.0015456, or +0.15% Estimated %ΔP = −4.92% + 0.15% = −4.77% BA-II-Plus-Tastenfolge
( 6.15 +|- × 0.008 ) + ( 0.5 × 48.3 × 0.008 x² ) = × 100 = [−4.77]
Warum die anderen Optionen falsch sind
A: This is the duration-only estimate; it ignores the positive convexity adjustment, which reduces the estimated loss. C: This adds the full convexity term without the factor 1/2, so it overstates the convexity adjustment. Intermediate displayed workings may be rounded; retain full precision until the final answer.
Kernregel: %ΔP ≈ −AnnModDur x Δy + 1/2 x AnnConvexity x (Δy)^2, and for positive convexity the second term is added whether yields rise or fall.
Merksatz: Positive convexity always adds to the duration estimate: losses are smaller and gains larger than duration alone implies.
7. Oluwaseun Adeyinka, an analyst at Ibadan Crest Assurance, values an option-free bond of Oyo Savanna Rail that was issued when rates were very low. The bond has a 1.75% annual coupon rate paid semiannually and exactly 19 years to maturity. Today is a coupon date, and comparable bonds yield 5.50%, stated on a semiannual bond basis. What is the bond's price per 100 of par value?
A. 56.14 B. 72.54 C. 76.61
Lösung und Erklärung Richtige Antwort: A 56.14
The bond pays 0.875 every six months for 38 periods plus 100 at maturity, discounted at a periodic yield of 2.75%. The present value is 56.14. The deep discount reflects the large gap between the 1.75% coupon and the 5.50% market yield over a long remaining life.
Rechenweg
Periodic coupon = 1.75 / 2 = 0.875; periodic yield = 5.50% / 2 = 2.75%; N = 19 x 2 = 38 PV of coupons = 0.875 x [1 − 1.0275^−38] / 0.0275 = 0.875 x 23.3931 = 20.4690 PV of principal = 100 / 1.0275^38 = 35.6690 Price = 20.4690 + 35.6690 = 56.14 BA-II-Plus-Tastenfolge
Calculator setup first: 2ND [P/Y] 1 ENTER (C/Y = 1), 2ND [BGN] showing END, then 2ND [QUIT] to exit the settings. 2ND [CLR TVM] clears the TVM values but does not reset P/Y, C/Y or END/BGN. Periodic inputs below are entered manually.
2ND CLR TVM; 38 N; 2.75 I/Y; 0.875 PMT; 100 FV; CPT PV [−56.14]
Warum die anderen Optionen falsch sind
B: This uses the semiannual coupon and yield but only 19 periods, which treats the bond as if it matured in 9.5 years and overstates its price. C: This pays the full annual coupon of 1.75 every six months while discounting at the semiannual yield, which doubles the coupon income. Intermediate displayed workings may be rounded; retain full precision until the final answer.
Kernregel: For a semiannual bond, discount the half-year coupon at half the annual yield over twice the number of years.
Merksatz: Match all inputs to the payment period: half the coupon, half the yield, twice the years.
8. Ngaio Parata, a risk analyst at Kaiwaka Mutual, reviews three holdings at a time when market yields are well below the coupon rates of the bonds involved. Which holding is least likely to have negative effective convexity at current yields?
A. A bond of Pūkeko Grid Services that the issuer can call at par B. An agency mortgage pass-through security backed by fixed-rate home loans C. A bond of Rangitoto Dairy that the investor can put back at par
Lösung und Erklärung Richtige Antwort: C A bond of Rangitoto Dairy that the investor can put back at par
When yields are low, the issuer of a callable bond is likely to call it, so its price is compressed near the call price, and homeowners refinance their mortgages, which caps the price gains of a pass-through. Both therefore show negative effective convexity. A putable bond gives the investor the right to sell at par, which limits price falls if yields rise; an option held by the investor can only add convexity, so the putable bond's effective convexity stays positive.
Warum die anderen Optionen falsch sind
A: A callable bond trading at low yields is the classic case of negative convexity, because the likely call caps its price near the call price. B: Falling rates speed up prepayments on a mortgage pass-through, which limits its price gains and produces negative convexity. Kernregel: Negative convexity arises when an option held by the borrower caps price gains as yields fall; an option held by the investor, such as a put, adds positive convexity.
Merksatz: Options owned by the borrower (call, prepayment) create negative convexity; a put owned by the investor adds positive convexity.
9. The indenture for a senior bond of Molara Point Ferries contains the clauses listed in the options. Which clause is least likely an affirmative covenant?
A. The company must keep its vessels and terminals adequately insured. B. The company may not sell more than 15% of its fleet without bondholder consent. C. The company must deliver audited financial statements within 90 days of year-end.
Lösung und Erklärung Richtige Antwort: B The company may not sell more than 15% of its fleet without bondholder consent.
A limit on asset sales prevents the company from taking an action that could weaken bondholders' position, so it is a negative (restrictive) covenant. Maintaining insurance and reporting audited financial statements on time are actions the company must perform, which makes them affirmative covenants.
Warum die anderen Optionen falsch sind
A: Keeping assets insured is a duty the issuer must carry out, which is the defining feature of an affirmative covenant. C: Providing audited financial statements by a deadline is an action the issuer must take, so it is an affirmative covenant. Kernregel: Affirmative covenants require the issuer to do something; negative covenants restrict what the issuer may do.
Merksatz: "Must do" clauses are affirmative covenants; "may not do" clauses are negative covenants.
10. Dagny Holmsen, a portfolio manager at Porsanger Fjordkapital, is considering a high-yield note of Finnmark Fleet Finance that pays interest monthly and yields 13.40%, stated as an annual rate with monthly compounding. She wants to compare it with corporate bonds whose yields are stated on a semiannual bond basis. The note's yield restated on a semiannual bond basis is closest to:
A. 13.041% B. 13.400% C. 13.780%
Lösung und Erklärung Richtige Antwort: C 13.780%
The monthly periodic rate is 13.40%/12 = 1.1167%. Compounding it over six months gives a semiannual periodic rate of 1.011167^6 − 1 = 6.890%. Doubling that rate states it on a semiannual bond basis: 13.780%. Fewer compounding periods require a higher stated rate to deliver the same annual return.
Rechenweg
Monthly periodic rate = 0.134 / 12 = 0.0111667 Semiannual periodic rate = (1.0111667)^6 − 1 = 0.068898 Semiannual-bond-basis yield = 2 x 0.068898 = 0.13780, or 13.780% BA-II-Plus-Tastenfolge
2ND ICONV; NOM = 13.4 ENTER ↓; ↓ C/Y = 12 ENTER; ↑ CPT [EFF = 14.254]; ↓ C/Y = 2 ENTER; ↑ ↑ CPT [NOM = 13.780]
Warum die anderen Optionen falsch sind
A: This lowers the rate, as if converting from semiannual to monthly compounding; moving to fewer compounding periods must raise the stated rate. B: This compares the monthly-compounded rate directly with semiannual-basis yields, ignoring the extra compounding within each half-year. Intermediate displayed workings may be rounded; retain full precision until the final answer.
Kernregel: Yields with different periodicities are compared by equating their growth over a year: (1 + APR_m/m)^m = (1 + APR_n/n)^n.
Merksatz: Moving to less frequent compounding raises the stated annual rate needed for the same effective return.
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