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1、438PRACTICEPROBLEMS1Aderivativeisbestdescribedasafinancialinstrumentthatderivesitsperformanceby：ApassingthroughthereturnsOftheunderlying.Breplicatingtheperformanceoftheunderlying.Ctransformingtheperformanceoftheunderlying.2Derivativesaresimilartoinsuranceinthatboth:Ahaveanindefinitelifespan.Ballowfo
2、rthetransferofriskfromonepartytoanother.(allowforthetransformationoftheunderlyingriskitself.3Abeneficialopportunitycreatedbythederivativesmarketistheabilityto:Aadjustriskexposurestodesiredlevels.Bgeneratereturnsproportionaltomovementsintheunderlying.Csimultaneouslytakelongpositionsinmultiplehighlyli
3、quidfixed-incomesecurities.4Comparedwithexchange-tradedderivatives,over-the-counterderivativeswouldmostlikelybedescribedas:Astandardized.Blesstransparent.Cmoretransparent.5Exchange-tradedderivativesare:Alargelyunregulated.Btradedthroughaninformalnetwork.Cguaranteedbyaclearinghouseagainstdefault.6The
4、clearingandsettlementprocessofanexchange-tradedderivativesmarket:Aprovidesacreditguarantee.Bprovidestransparencyandflexibility*(takeslongerthanthatofmostsecuritiesexchanges.7Whichofthefollowingstatementsbestportraysthefullimplementationofpost-financial-crisisregulationsintheOTCderivativesmarket?ATra
5、nsactionsarenolongerprivate.BMosttransactionsneedtobereportedtoregulators.IAlltransactionsmustbeclearedthroughcentralclearingagencies.8Acharacteristicofforwardcommitmentsisthatthey:Aprovidelinearpayoffs.Bdonotdependontheoutcomeorpayoffofanunderlyingasset.Cprovideonepartytherighttoengageinfuturetrans
6、actionsontermsagreedoninadvance.9Incontrasttocontingentclaims,forwardcontracts:Rhavetheirpriceschosenbytheparticipants.Bcouldendindefaultbyeitherparty.2019CFAInstitute.Allrightsreserved.(canbeexercisedbyphysicalorcashdelivery.10Whichofthefollowingstatementsbestdescribesthepayofffromaforwardcontract?
7、AThebuyerhasmoretogaingoinglongthanthesellerhastolosegoingshort.BThebuyerprofitsifthepriceoftheunderlyingatexpirationexceedstheforwardprice.(Thegainsfromowningtheunderlyingversusowningtheforwardcontractareequivalent.11WhiChofthefollowingstatementsregardingthesettlementofforwardcontractsiscorrect?ACo
8、ntractsettlementbycashhasdifferenteconomiceffectsfromthoseofasettlementbydelivery.BNon-deliverableforwardsandcontractsfordifferenceshavedistinctsettlementprocedures.(Atcashsettlement,whenthelongPartyacquirestheassetinthemarket,iteffectivelypaystheforwardprice.12Afuturescontractisbestdescribedasacont
9、ractthatis:Astandardized.Bsubjecttocreditrisk.(markedtomarketthroughoutthetradingday.13Whichofthefollowingstatementsexplainsacharacteristicoffuturespricelimits?Pricelimits:Ahelptheclearinghousemanageitscreditexposure.Bcantypicallybeexpandedintra-daybywillingtraders.Cestablishabandaroundthefinaltrade
10、ofthepreviousday.14Whichofthefollowingstatementsdescribesanaspectofmarginaccountsforfutures?AJhemaintenancemarginisalwayslessthantheinitialmargin,BTheinitialmarginrequiredistypicallyatleast10%ofthefuturesprice.(Amargincallrequiresadepositsufficienttoraisetheaccountbalancetothemaintenancemargin.15Whi
11、chofthefollowingfactorsissharedbyforwardsandfuturescontracts?ATimingofprofitsBFlexiblesettlementarrangements(Nearlyequivalentprofitsbyexpiration16WhiChofthefollowingderivativesisclassifiedasacontingentclaim?AFuturescontractsBInterestrateswaps(Creditdefaultswaps17Incontrasttocontingentclaims,forwardc
12、ommitmentsprovidethe:Arighttobuyorselltheunderlyingassetinthefuture,Bobligationtobuyorselltheunderlyingassetinthefuture.Cpromisetoprovidecreditprotectionintheeventofdefault.18WhiChofthefollowingderivativesprovidepayoffsthatarenon-linearlyrelatedtothepayoflfcoftheunderlying?AOptionsBForwardsCInterest
13、-rateswaps19Aninterestrateswapisaderivativecontractinwhich:Atwopartiesagreetoexchangeaseriesofcashflows.Bthecreditsellerprovidesprotectiontothecreditbuyer.Ithebuyerhastherighttopurchasetheunderlyingfromtheseller.20Forwardcommitmentssubjecttodefaultare：Afb11rardsandfutures.Bfuturesandinterestrateswap
14、s.Cinterestrateswapsandforwards.21Aswapis:Amorelikeaforwardthanafuturescontract.Bsubjecttosimultaneousdefaultbybothparties.(basedonanexchangeoftwoseriesofftxedcashflows.22Aplainvanillainterestrateswapisalsoknownas：Aabasisswap.Bafixed-for-floatingswap.(anovernightindexedswap.23Thenotionalprincipalofa
15、swapis:Anotexchangedinthecaseofaninterestrateswap.Bafixedamountwheneveritismatchedwithaloan.(equaltotheamountowedbyoneswappartytotheother.24Whichofthefollowingderivativesisleastlikelytohaveavalueofzeroatinitiationofthecontract?AFuturesBOptions(Forwards25fhebuyerofanoptionhasacontingentclaiminthesens
16、ethattheoptioncreates:Aaright.Banobligation.(alinearpayoffwithrespecttogainsandlossesoftheunderlying.26Wliichofthefollowingoptionsgrantstheholdertherighttopurchasetheunderlyingpriortoexpiration?AAmerican-StyleputoptionBEuropean-Stylecalloption(American-Stylecalloption27Acreditderivativeisaderivative
17、contractinwhichthe:Aclearinghouseprovidesacreditguaranteetoboththebuyerandtheseller.Rsellerprovidesprotectiontothebuyeragainstthecreditriskofathirdparty.Cthebuyerandsellerprovideaperformancebondatinitiationofthecontract.28Thejuniorandseniortranchesofanasset-backedsecurity:Ahaveequivalentexpectedretu
18、rns.Bhaveclaimsonseparateunderlyingportfolios.Cmaybedifferentiallyimpactedbyprepaymentsorcreditlosses.29Inadeclininginterestrateenvironment,comparedwithaCMosClassAtranche,itsClassCtranchewillberepaid:Aearlier.Batthesamepace.Ilater.30ForagivenCDO,whichofthefollowingtranchesismostlikelytohavethehighes
19、texpectedreturn?AEquityBSenior(Mezzanine31WhiChofthefollowingderivativesallowsaninvestortopaythereturnonastockindexandreceiveafixedrate?AEquityswapBStockwarrant(Indexfuturescontract32Whichofthefollowingismostlikelytheunderlyingofaplainvanillainterestrateswap?A180-dayLiborB10-yearUSTreasurybond(Bloom
20、bergBarclay,sUSAggregateBondIndex33Currencyswapsare：Ararelyused.Bcommonlyusedtomanageinterestraterisk.(executedbytwopartiesmakingaseriesofinterestratepaymentsinthesamecurrency.34WhiChofthefollowingstatementsregardingcommodityderivativesiscorrect?ATheprimarycommodityderivativesarefutures.BCommodities
21、aresubjecttoasetofwell-definedriskfactors.ICommoditytradersandfinancialtraderstodayaredistinctgroupswithinthefinancialworld.35Comparedwiththeunderlyingspotmarket,derivativemarketsaremorelikelytohave:Agreaterliquidity.Bhighertransactioncosts.Chighercapitalrequirements.36Whichofthefollowingcharacteris
22、ticsisleastlikelytnbeabenefitassociatedwithusingderivatives?AMoreeffectivemanagementofriskBPayoffssimilartothoseassociatedwiththeunderlying(Greateropportunitiestogoshortcomparedwiththespotmarket37Whichofthefollowingstatementsbestrepresentsinformationdiscoveryinthefuturesmarket?AThSturespriceispredic
23、tive.BInformationflowsmoreslowlyintothefuturesmarketthanintothespotmarket.(Thefuturesmarketrevealsthepricethattheholderoftheassetcantaketoavoiduncertainty.38Thederivativemarketstendto:AtransferIiquidityrfromthebroaderfinancialmarkets.Bnotreflectfundamentalvalueafteritisrestoredintheunderlyingmarket(
24、offeralesscostlywaytoexploitmispricingincomparisontootherfreeandcompetitivefinancialmarkets.39WhiChofthefollowingstatementsmostlikelycontributestotheviewthatderivativeshavesomeroleincausingfinancialcrashes?ADerivativesaretheprimarymeansbywhichleverageandrelatedexcessiveriskisbroughtintofinancialmark
25、ets.BGrowthinthenumberofinvestorswillingtospeculateinderivativesmarketsleadstoexcessivespeculativetrading.IRestrictionsonderivatives,suchasenhancedcollateralrequirementsandcreditmitigationmeasures,intheyearsleadinguptocrashesintroducemarketrigidity.40incontrasttogambling,derivativesspeculation：Ahasa
26、positivepublicimage.Bisaformoffinancialrisktaking.(benefitsthefinancialmarketsandthussociety.41Derivativesmaycontributetofinancialcontagionbecauseofthe:AcentrallyclearednatureofOTCderivatives.Bassociatedsignificantcostsandhighcapitalrequirements.Creliancebyderivativesspeculatorsonlargeamountsoflever
27、age.4211ecomplexnatureofderivativeshasledto:Areliablefinancialmodelsofderivativesmarkets.Bwidespreadtrustinapplyingscientificprinciplestoderivatives.Cfinancialindustryemploymentofmathematiciansandphysicists.43Whichofthefollowingismostlikelytobeadestabilizingconsequenceofspeculationusingderivatives?A
28、IncreaseddefaultsbyspeculatorsandcreditorsBMarketpriceswingsresultingfromarbitrageactivitiesCThecreationoftradingstrategiesthatresultinasymmetricperformance44felawofonepriceisbestdescribedas:AthetruefundamentalvalueofanassetBearningarisk-freeprofitwithoutcommittinganycapital.Ctwoassetsthatwillproduc
29、ethesamecashflowsinthefuturemustsellforequivalentprices.45Arbitrageopportunitiesexistwhen:Atwoidenticalassetsorderivativessellfordifferentprices.Bcombinationsoftheunderlyingassetandaderivativeearntherisk-freerate.Iarbitrageurssimultaneouslybuytakeovertargetsandselltakeoveracquirers.Forquestions46-49
30、,consideracalloptionsellingfor$4inwhichtheexercisepriceis$50.46Determinethevalueatexpirationandtheprofileforabuyerifthepriceoftheunderlyingatexpirationis$55.$5B$1C-$147Determinethevalueatexpirationandtheprofileforabuyerifthepriceoftheunderlyingatexpirationis$48.A-$4B$0C$248Determinethevalueatexpirat
31、ionandtheprofitforasellerifthepriceoftheunderlingatexpirationis$49.A$4B$0c-$149Determinethevalueatexpirationandtheprofitforaselie,ifthepriceoftheunderlingatexpirationis$52.A-$2B$5C$2Forquestions50-52,considerthefollowingscenario:Supposeyoubelievethatthepriceofaparticularunderlying,currentlysellingat
32、S99,isgoingtoincreasesubstantiallyinthenextsixmonths.Youdecidetopurchaseacalloptionexpiringinsixmonthsonthisunderlying.Thecalloptionhasanexercisepriceof$105andsellsfor$7.50Determinetheprofitifthepriceoftheunderlyingsixmonthsfromnowis$99.A$6B$0C-S751Determinetheprofitifthepriceoftheunderlyingsixmonth
33、sfromnowis$112.a$7B$0C-$352Determinetheprofitifthepriceoftheunderlyingsixmonthsfromnowis$115.A$0B$3CT3Forquestions53-55considerthefollowingscenario:Supposeyoubelievethatthepriceofaparticularunderlying,currentlysellingat$99,isgoingtodecreasesubstantiallyinthenextsixmonths.Youdecidetopurchaseaputoptio
34、nexpiringinsixmonthsonthisunderlying.Theputoptionhasanexercisepriceof$95andsellsfor$5.53Determinetheprofitforyouifthepriceoftheunderlyingsixmonthsfromnowis$100.A$0B$5C-$554Determinetheprofitforyouifthepriceoftheunderlyingsixmonthsfromnowis$95.A$0B$5c-$555Determinetheprofitforyouifthepriceoftheunderl
35、yingsixmonthsfromnowis$85.A$10R$5c$0SOLUTIONS1Ciscorrect.Aderivativeisafinancialinstrumentthattransformstheperformanceoftheunderlying.Thetransformationofperformancefunctionofderivativesiswhatdistinguishesitfrommutualfundsandexchangetradedfundsthatpassthroughthereturnsoftheunderlying,Aisincorrectbeca
36、usederivatives,incontrasttomutualfundsandexchangetradedfunds,donotsimplypassthroughthereturnsoftheunderlyingatpayout.Bisincorrectbecauseaderivativetransformsratherthanreplicatestheperformanceoftheunderlying.2Biscorrect.InsuranceisafinancialcontractthatProVideSprotectionagainstloss.Thepartybearingthe
37、riskpurchasesaninsurancepolicy,whichtransferstherisktotheotherparty,theinsurer,foraspecifiedperiodoftime.Theriskitselfdoesnotchange,butthepartybearingitdoes.Derivativesallowforthissametypeofrisktransfer.Aisincorrectbecausederivatives,likeinsurance,haveadefinite,asopposedtoindefinite,lifespanandexpir
38、eonaspecifieddate.Cisincorrectbecausebothderivativesandinsuranceallowforthetransferofriskfromoneparty(thepurchaseroftheinsurancepolicyorofaderivative)toanotherparty(theinsureroraderivativeseller),foraspecifiedperiodoftime.Theriskitselfdoesnotchange,butthepartybearingitdoes.3Aiscorrect.Derivativesall
39、owmarketparticipantstopracticemoreeffectiveriskmanagement,aprocessbywhichanorganization,orindividual,definesthelevelofriskitwishestotake,measuresthelevelofriskitistaking,andadjuststhelattertoequaltheformer.Bisincorrectbecausederivativesarecharacterizedbyarelativelyhighdegreeofleverage,meaningthatpar
40、ticipantsinderivativestransactionsusuallyhavetoinvestonlyasmallamount,asopposedtoalargeamount,oftheirowncapitalrelativetothevalueoftheunderlying.ThiSallowsparticipantstogeneratereturnsthataredisproortionalrasopposedtoproportional,tomovementsintheunderlying.Cisincorrectbecausederivativesarenotneededt
41、ocopystrategiesthatcanbeimplementedwiththeunderlyingonastandalonebasis.Rather,derivativescanbeusedtocreatestrategiesthatcannotbeimplementedwiththeunderlyingalone.Simultaneouslytakinglongpositionsinmultiplehighlyliquidfixed-incomesecuritiesisastrategythatcanbeimplementedwiththeunderlyingsecuritiesona
42、standalonebasis.1Biscorrect.Over-theCOUnter-derivativesmarketsarecustomizedandmostlyunregulated.Asaresult,over-the-countermarketsarelesstransparentincomparisonwiththehighdegreeoftransparencyandstandardizationassociatedwithexchange-tradedderivativemarkets.Aisincorrectbecauseexchange-tradedderivatives
43、arestandardized,whereasover-thecounterderivativesarecustomized.Cisincorrectbecauseexchange-tradedderivativesarecharacterizedbyahighdegreeOftransparencybecausealltransactionsaredisclosedtoexchangesandregulatoryagencies,whereasover-the-counterderivativesarerelativelyopaque.5Ciscorrect.Exchanged-traded
44、derivativesareguaranteedbyaclearinghouseagainstdefault.Aisincorrectbecausetradedderivativesarecharacterizedbyarelativelyhighdegreeofregulation.Bisincorrectbecausethetermsofexchange-tradedderivativestermsarespecifiedbytheexchange.6Aiscorrect.Theclearingandsettlementprocessofderivativetransactionsprov
45、idesacreditguarantee.Bisincorrectbecausealthoughtheexchangemarketsaresaidtohavetransparency,theyalsoinvolvestandardization.Thatentailsalossofflexibility,withparticipantslimitedtoonlythosetransactionspermittedontheexchange.Cisincorrectbecausederivativesexchangesclearandsettleallcontractsovernight,whi
46、chisfasterthanmostsecuritiesexchanges,whichrequiretwobusinessdays.7Biscorrect.WithfullimplementationoftheseregulationsintheOTCderivativesmarket,mostOTCtransactionsneedtobereportedtoregulators.AisincorrectbecausealthoughunderfullimplementationoftheregulationsinformationonmostOTCtransactionsneedstober
47、eportedtoregulators,manytransactionsretainadegreeofprivacywithlowertransparency.CisincorrectbecausealthoughunderfullimplementationofnewregulationsanumberofOTCtransactionshavetobeclearedthroughcentralclearingagencies,thereareexemptionsthatcoverasignificantpercentageofderivativetransactions.XAiscorrec
48、tbecauseforwardcommitmentsprovidelinearpayoffs.Bisincorrectbecauseforwardcommitmentsdependontheoutcomeorpayoffofanunderlyingasset.Cisincorrectbecauseforwardcommitmentsobligatepartiestomake(notprovidetherighttoengage)afinalpaymentcontingentontheperformanceoftheunderlying.9Biscorrect.Inaforwardcontract,eitherpartycoulddefault,whereasinacontingentclaim,defaultispossibleonlyfrom
