8.2017年6月CFA2级Mock Exam AM（试题版）

2017 Level II Mock Exam AM The morning session of the 2017 Level II Chartered Financial Analyst Mock Examination has 60 questions. To best simulate the exam day experience, candidates are advised to allocate an average of 18 minutes per item set (vignette and 6 multiple choice questions) for a total of 180 minutes (3 hours) for this session of the exam. QuestionsTopicMinutes 16Ethical and Professional Standards18 712Ethical and Professional Standards18 1318Financial Reporting and Analysis18 1924Financial Reporting and Analysis18 2530Corporate Finance18 3136Equity18 3742Fixed Income18 4348Derivatives18 4954Derivatives18 5560Portfolio Management18 Total:180 By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam prepara- tion only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently- registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose 2017 CFA Institute. All rights reserved. 22017 Level II Mock Exam AM 2017 LEVEL II MOCK EXAM AM Blevin Case Scenario Trevor Blevin, a CFA candidate and a former employee of Regal Bank (Regal), recently joined Spalding Asset Management as the head of compliance. He is shocked by todays front- page business news headline: “Regal Depositors Left in the Cold: Central Bank Regulator Places Bank under Statutory Management.” The article mentions the reason for Regals closure was the CEOs illegal behavior, including fraud, as well as money laundering associated with a major client. The discovery occurred one month after the death of Regals CEO, Mr. James Antonio. Up until three weeks ago, Blevin headed Regals internal audit department and knew nothing of any fraud or client money laundering, despite having recently supervised a major internal audit exercise. Wanting to get more information, Blevin calls his former colleague, Mira Chaudry, CFA. Chaudry, who works in Regals business development department, acts as the investor relations officer and headed the team for Regals recent corporate bond issue. The bond issue, approved by the central bank and the capital markets regulator, was hugely successful and oversubscribed. Chaudry tells Blevin she too was shocked by the central banks actions. Nothing seemed out of line or suspicious regarding Regals financial well- being when the team diligently prepared the bond offering documents. She reminds Blevin, that he, along with Regals compliance officer, signed off on all of the public marketing materials used for the bond issue, which included reviewing all of the extensive financial analysis undertaken. Chaudry adds, “In the latest regulatory inspection, all of the anti- money- laundering and lending procedures were reviewed with no queries raised.” Regals board of directors is concerned that the newspapers headline will cre- ate panic among depositors and cause a run on Regal if it is allowed to reopen. In an attempt at damage control, the board instructs Chaudry to draft a public press release regarding the central banks investigations of fraud by the deceased CEO and the money laundering charges made against one of the banks major clients. Chaudry presents the following three draft statements to the board. Statement 1 “Regal Bank has been placed under statutory management by the central bank as a result of illegal activity by Mr. Antonio, the deceased CEO, and Wesley Mining Corp, a major client.” Statement 2 “The central bank has placed Regal Bank under statutory man- agement pending further investigation into alleged illegal activity by a former senior manager and a bank client.” Statement 3 “Regal Bank has been placed under statutory management by the central bank as a result of illegal activity.” During the next few days, Chaudry receives several phone calls from disgrun- tled financial advisers who purchased the bonds for their clients. In a heated phone conversation, one adviser, Paul Meshak, CFA, threatens to report Chaudry to CFA Institute for violating her fiduciary duty. He adds, “Im going to make sure you never work in this industry again.” Chaudry responds, “Go ahead and report this to CFA Institute, but I didnt violate the Code of Ethics and Standards of Professional Conduct. I understand my obligations. For your information, I passed all three CFA exams, including the ethics portions, consecutively.” Meanwhile, Blevin, still reeling from the Regal Bank saga, decides to take another look at Spaldings compliance policies and procedures to ensure they are fully in line with the CFA Institute Standards of Professional Conduct. While reviewing the firms 32017 Level II Mock Exam AM anti- money- laundering policies, he notices lapses with respect to recently implemented laws, and he is afraid the firm may already be in violation. He plans to update the existing policies as soon as possible. After concluding his review, Blevin recommends to Spaldings board of directors changes to the firms conflicts of interest policies. Blevin is concerned the staff may not be putting clients interests ahead of their own when trading for their personal accounts. He asks for the boards endorsement of revisions in the following two policies: Policy 1 Staff are not allowed to participate in any private placements. Policy 2 Any client accounts that include staff as beneficiaries must trade after all other client accounts. Spaldings business development manager asks Blevin to make a presentation to a potential pension fund client, Makar Staff Retirement Fund. The manager informs him that the firm previously managed the Makar account but lost it. A Makar trustee informs him that Spalding was fired because the trustees could not understand their monthly statements and could not tell how they performed relative to other pension accounts under Spaldings management. During the presentation, Blevin states, “We are in the process of updating our compliance policies, including our minimum requirements for performance presentation reporting.” 1 Based on the information given, are Blevin and/or Chaudry most likely in viola- tion of the CFA Institute Standards of Professional Conduct regarding their role in Regals corporate bond issuance and the subsequent statutory management of Regal Bank? A No. B Yes, Blevin is likely in violation with regard to Standard IV(C): Responsibilities of Supervisors. C Yes, both Blevin and Chaudry are likely to be in violation with regard to Standard V(A): Diligence and Reasonable Basis. 2 To prevent violating any of the CFA Institute Standards of Professional Conduct, which statement should Chaudry most likely recommend that the board of directors use for Regals press release? A Statement 1 B Statement 2 C Statement 3 3 Who most likely violates the CFA Institute Standards of Professional Conduct during the phone conversation between Meshak and Chaudry? A Chaudry B Both Meshak and Chaudry C Meshak 4 What action should Blevin most likely take regarding his discovery about Spaldings anti- money- laundering policies so as to comply with CFA Institute Standards of Professional Conduct? A Arrange an annual review of all the firms compliance policies. B Set up procedures to obtain timely information regarding any changes in legislation. C Require all client service employees to undergo training regarding the new legislation. 5 Would Blevins suggested revisions in Spaldings conflict of interest policies most likely violate the CFA Institute Standards of Professional Conduct? 42017 Level II Mock Exam AM A Yes, in regard to Policy 1. B Yes, in regard to Policy 2. C No. 6 Which of the following should Blevin least likely consider for inclusion in the new performance presentation policy to address why Makar previously fired Spalding? A A weighted composite of all client accounts must be included in client presentations. B Performance presentation language must be easily understood with a glossary. C Clients must be offered annual training on various performance measure- ment aspects. McGuinn Case Scenario Forster Investment Advisors (Forster) is a small asset management firm managing funds for both retail and institutional clients. Forster also undertakes investment- banking activities, including market making, but only for the shares of a few companies that it follows closely. Forsters finance director, who also serves as the firms compliance officer, has given notice he will retire in one months time. Forsters managing director asks Terry McGuinn, CFA, if he would be interested in being the compliance officer after the finance director retires. McGuinn, an independent compliance consultant whose clients mostly include pension funds, agrees to meet the managing director to discuss the position. At the meeting, McGuinn is told, “Forster adopted the CFA Code and Standards 10 years ago. The outgoing finance director assured us at the time we adopted the Code, all of Forsters policies and procedures met the requirements of the Code and Standards and most of their recommendations as well. As a result, we mention com- pliance with the Code and Standards in all of our marketing material. We encourage you to implement new changes, but the implementation will need to be coordinated through the human resources department.” After agreeing on written specific duties and responsibilities for the role, McGuinn accepts the offer to act as Forsters com- pliance officer on a part- time consultancy basis. On his first day as the new compliance officer, McGuinn immediately reviews a draft response to a request for proposal (RFP) to be submitted the next day to a potential pension fund client. The proposal is identical to another RFP sent out three months ago and includes Forsters organizational chart, an in- depth description of its invest- ment process and the occasional use of third- party research providers, a guarantee of a minimum 5% investment return and return of principal through a guaranteed structured savings product, underwritten by an investment- grade life insurance com- pany. McGuinn approves the RFP document without making any changes. That same day, Colleen Collins, a research analyst, approaches McGuinn, con- cerned that she may be in possession of insider information. Collins relates how she was at a party the night before and overheard a conversation between two CEOs of competing, publicly listed manufacturing companies. The CEOs discussed, but did not express their opinions on, the validity of a recent article published in an online industry newsletter, which was speculating on the benefits of a merger between their two companies. The newsletter is available by subscription only. One of these com- panies is on Forsters recommended buy list. 52017 Level II Mock Exam AM Following this conversation, McGuinn feels it is necessary to enhance Forsters rules and procedures when dealing with possible insider information. He recommends the following changes to the companys policies and procedures: Recommendation 1: Stop market- making activities when in possession of mate- rial nonpublic information. Recommendation 2: Regularly review employee and proprietary trading. Recommendation 3: Require all employees to attend an annual refresher course on how to identify and handle material nonpublic information. After reviewing how Forster chooses and retains its stockbrokers every year, McGuinn makes several changes in the policy. The following guidelines are imple- mented and communicated to clients. Stockbroker selection must be based on the brokers ability to: Guideline 1: provide accounting software. Guideline 2: execute client transactions efficiently. Guideline 3: obtain invitations to investment conferences for loyal clients. After undertaking investigations based on an anonymous report McGuinn con- firms several Forster fund managers were witnessed being wined and dined over the past few weeks by large brokerage firms trying to get Forsters business. The same employees have not notified him about these dinners, a violation of Forsters internal policies. McGuinn notifies the employees in writing that they have been violating the company policy. In the letter of notification, he requires the employees to abide by the policy in the future 7 Is McGuinns proposed compliance officer structure most likely consistent with the CFA Institute Code and Standards? A Yes. B No, with regard to policies and procedures. C No, with regard to authority and responsibility. 8 Which item in the request for proposal (RFP) is least likely consistent with Standard I (C) Misrepresentation? A Guaranteed investment return B The firms organizational structure C Use of third- party research providers 9 Did Collins most likely receive insider information as defined by the CFA Standards? A Yes. B No, because the information is considered public. C No, because the information is considered non- material. 10 Which of McGuinns recommendations is least appropriate to implement as per recommended procedures for compliance of Standard II (A) Material Nonpublic Information? A Recommendation 1 B Recommendation 2 C Recommendation 3 11 Which guideline with regard to choosing stockbroking services is most likely consistent with Standard Ill (A) Duty to Clients? A Guideline 1 62017 Level II Mock Exam AM B Guideline 2 C Guideline 3 12 With regard to the fund managers under investigation, the most appropriate additional action McGuinn should take is to: A monitor their future actions. B report the misconduct up the chain of command. C require a statement stating the behavior will cease. Anish Shah Case Scenario Anish Shah is doing a credit analysis on Silver Maple College (SMC), a mid- sized private university seeking to place a bond issue to finance a new sports facility on campus. Today Shah is interested in determining the full extent of SMCs obligations, and its ability to support those obligations from operating cash flows. SMC is established as a not- for- profit organization and prepares its financial statements using IFRS. Shah starts his analysis by looking at SMCs post- employment plans. He has found the following description of the plans offered (Exhibit 1) and has prepared sum- mary information about the plans from the universitys 2015 Notes to the Financial Statements (Exhibits 2, 3, 4). To assess the long- term credit risk of SMC, Shah wants to determine the potential risk exposure presented from each post- employment plan and the associated future cash flows expected, as well as the current level of funding for each plan. Exhibit 1 Description of Post- Employment Plans at Silver Maple College (SMC) Pension Plan A: All employees who started employment with the University before January 1, 2012, are eligible to be members of this plan. Employee contributions are 5% of annual salary. The benefits paid on retire- ment are a lifetime annuity of 2% the number of years of service the highest average salary measured over a five- year period during service. Pension Plan B:All employees who started employment with the University on, or after, January 1, 2012 are eligible to be members of this plan. Employee contributions are 5% of salary and are matched by equiv- alent annual contributions by SMC. The combined contributions are accumulated in the Plans fund based on asset allocation options selected by the employee. Upon retirement the accumulated amount per employee is available for the retiree to purchase a life annuity or make other investment choices. Health Care Plan: All employees of the University are eligible to be members of this plan. The plan entitles employees to purchase supplemental health coverage, after retirement, up to a maximum insurance premium of $5,000 per year. No employee contribution is required. Upon studying the information in Exhibits 2 and 3 on SMCs Health Care Plan, Lucy Zhang, Shahs assistant, asks him why the plan is unfunded. 72017 Level II Mock Exam AM Exhibit 2 Post- Employment Plan Assets in $ thousands December 31, 2015 Pension Plan AHealth Care Plan Fair value, beginning of year40,9000 Interest income on plan assets1,636 Remeasurement gains recognized in other comprehensive income 1,841 Employer contribution3,150950 Participant contribution1,250 Benefits paid(2,080)(950) Fair value, end of year46,6970 Reviewing the present value of the defined obligations (Exhibit 3) Shah notices that SMC has made changes in underlying assumptions of the plans. He instructs Zhang to prepare an analysis of the changes in each assumption and its impact on the obligation. Zhang asks Shah: Where will I find the information for that analysis? Exhibit 3 Present Value of the Defined Obligations in $ thousands December 31, 2015 Pension Plan A Health Care Plan Balance beginning of year58,7006,900 Current service cost1,850300 Interest cost2,348276 Participant contributions1,2500 Benefits paid(2,080)(950) Remeasurement losses recognized in other comprehensive income due to changes in assumptions 3,4602,400 Balance end of year65,5288,926 Exhibit 4 Post- Employment Plan Expenses and Other Information in $ thousands December 31, 2015 Pension Plan A Health Care Plan Current service cost1,850300 Net interest expense712276 (continued) 82017 Level II Mock Exam AM December 31, 2015 Pension Plan A Health Care Plan Net retirement expense for the year2,562576 Actual return on plan assets3,4770 Total expense under Pension Plan B was $2,400 thousand and employer contributions made under that plan in 2015 were $2,750 thousand. Shah starts his cash flow analysis by determining the total cash outflow from the post- employment plans for SMC in 2015. He explains to Zhang that from an economic perspective sometimes a portion of a compan