新用户扫码下载
扫码下载APP
及时接收最新考试资讯及
备考信息
"Fixed Income": Introduction to Asset-Backed Securities
学习是一个不断积累的过程，每天学习一点，每天进步一点！为了帮助大家更高效地备考2021年CFA考试，正保会计网校每日为大家上新CFA习题供大家练习。让网校与您一起高效备考2021年CFA考试，梦想成真！
Questions 1:
An investor who owns a mortgage pass-through security is exposed to contraction risk,which is the risk that when interest rates:
A 、decline, the security will effectively have a longer maturity than was anticipated at the time of purchase.
B 、decline, the security will effectively have a shorter maturity than was anticipated at the time of purchase.
C 、rise, the security will effectively have a shorter maturity than was anticipated at the time of purchase.
Questions 2:
How much will the value of a three-year $100 par value coupon bond with annual payments, a coupon rate of 9%, and a discount rate of 7% most likely change if market interest rates immediately increase by 1%?
A 、–2.68
B、 –3.47
C、 –2.40
View answer resolution
【Answer to question 1】B
【analysis】
B is correct. Contraction risk is the risk faced by investors when interest rates fall in that the security will effectively have a shorter maturity than was anticipated at the time of purchase because homeowners can refinance at new, lower interest rates.
A is incorrect because contraction risk is the risk faced by investors when interest rates fall in that the security will effectively have a shorter, not longer, maturity than was anticipated at the time of purchase because homeowners can refinance at new, lower interest rates.
C is incorrect because contraction risk is the risk faced by investors when interest rates fall, not rise, in that the security will effectively have a shorter maturity than was anticipated at the time of purchase because homeowners can refinance at new, lower interest rates.
【Answer to question 2】A
【analysis】
B is incorrect because it assumes a year passes before the discount rate increases from 7% to 8% and calculates a new bond value of 101.75.
C is incorrect because it reverses the coupon rate and discount rate in the calculations.
成功=时间+方法，自制力是这个等式的保障。世上无天才，高手都是来自刻苦的练习。而人们经常只看到“牛人”闪耀的成绩，其成绩背后无比寂寞的勤奋。小编相信，每天都在勤奋练习，即使是一点点的进步，大家一定可以成为人人称赞的“牛人”。
推荐阅读
新用户扫码下载
扫一扫关注
京公网安备 11010802023314号
