1.2010年6月CFA2级Mock Exam PM（答案版）

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 preparation 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. 2010 Level II Mock Exam: Afternoon Session The afternoon session of the 2009 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. 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 preparation 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. Trendwise Case Scenario Trendwise is an investment firm advising individual clients, as well as, offering a variety of mutual funds, including the Omega Fund (OF). OF has a large ownership stake in Cyclical Industries (CI). OF and CI have one director in common, Glenn Libra. At the April OF board meeting, portfolio manager Ileana Natali, CFA, stated that after conducting thorough research and analysis, she was firmly convinced the fund should sell its shares of CI. One director advised Natali, “Dont sell CI. Its a great stock, isnt it Mr. Libra?” Libra listened but did not respond. Hearing the directors comment, Natali decided not to sell the shares as planned. In the following weeks the stock price rose dramatically. One month later, Libra phoned Natali, requesting she vote OFs shares to reelect him to the CI board of directors. Natali then sent Libra an email saying, “I voted OFs shares for you, a step I feel is in the best interest of our fundholders.” Natali continued, “Please be aware we recently conducted a cost-benefit analysis and determined it is not worthwhile to vote all proxies. We are sending all clients a copy of our new proxy-voting policies which will explain, we may not vote all proxies in the future.” Libra warned, “Voting proxies is an integral part of the management of investments. A fiduciary who fails to vote proxies may violate CFA Standards.” In response, Natali agreed to consult counsel and the CFA handbook regarding the new policies. The following week, Natalis supervisor asked her to evaluate a proposal from Brock Securities Brokerage (Brock). Brock recently proposed a soft dollar arrangement with Trendwise. Trendwise claims compliance with the CFA Institute Soft Dollar Standards. In her evaluation, Natali noted Brock proposes a higher commission rate than Trendwise pays its current brokerage firm. She also indicated Brocks fees are within a reasonable range. In addition, Natali indicated Brock could possibly provide better trade execution than Trendwises present broker. Natali proposes to use Brock on a trial basis. In a memorandum to Trendwises compliance officer, Natali states: “I believe the proposed brokerage arrangement from Brock satisfies the two fundamental principles in the CFA Institute Soft Dollar Standards Trendwise must use in evaluating soft dollar arrangements: Principle 1: All client commissions paid to a broker are the property of the client. Principle 2: Mutual funds, such as Omega, establish their own policies with respect to the use of certain brokers. 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 preparation 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. I recommend we use Brock only for OF transactions. This will allow us to verify the quality of Brocks trade execution, and the soft dollar credits will decrease the research costs to OFs fundholders. After a one-year trial period, we will inform our directors of this new arrangement and report the results of the arrangement. If the directors decide to renew the contract, we will inform the fundholders. The following week Natalis supervisor sent her a memo asking if the following firm policies need any revisions to comply with the CFA Institute Research Objectivity Standards: Policy 1. Base compensation for analysts is determined from the quality of research performed. Year-end bonuses may be adjusted based on an analysts work with investment banking and corporate finance teams. Policy 2. In their relationships with corporate issuers, analysts are prohibited from either directly or indirectly promising favorable reports, or threatening negative reports. Price targets may be agreed upon as long as the corporate issuer meets all disclosure requirements prior to the report being issued. Policy 3. In their relationships with corporate issuers, analysts are prohibited from sharing with or communicating to a subject company, prior to publication, any section of a research report. Policy 4. Ensure that covered employees do not share information about the subject company or security with any person who could have the ability to trade in advance of or otherwise disadvantage the firms mutual funds. 1. With respect to her actions concerning Libra and Cyclical Industries (CI), Natali least likely violated the CFA Institute Standards of Professional Conduct concerning: A. Loyalty. B. Conflicts of interest. C. Independence and Objectivity. 2. In their discussion of the new proxy voting policy, whose statements are consistent with the CFA Institute Standards? A. Libras only. B. Natalis only. C. Both Libras and Natalis. 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 preparation 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. 3. Which aspect of Trendwises duty to its clients is most likely to be violated by its proposed soft dollar arrangement with Brock? A. All soft dollar practices must be fully disclosed. B. Investment managers must at all times seek best trade execution. C. Commissions paid must be reasonable in relation to the research and execution services provided. 4. In her statement about evaluating soft dollar arrangements, Natali is most likely correct with respect to: A. Principle 1. B. Principle 2. C. Both Principles 1 and 2. 5. In response to her supervisors question regarding the firms policies on research objectivity, Natalis best response would be: A. both policies 1 and 2 are consistent with the current Standards. B. both policies 1 and 2 are inconsistent with the current Standards and require changes. C. the policy on analyst compensation requires changes, but the policy regarding relationships with corporate issuers is consistent with current Standards. 6. To make the firms policies consistent with CFA Institute Research Objectivity Standards, Natali should suggest the following regarding Policy 3 and 4: A. both policies 3 and 4 are consistent with the current Standards. B. both policies 3 and 4 are inconsistent with the current Standards. C. policy 3 requires changes, but policy 4 is consistent with current Standards. 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 preparation 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. Walter Speckley Case Scenario Walter Speckley is a high net worth individual who recently relocated from Europe to the United States. Speckley sold his European properties and will receive the 10 million proceeds 180 days from now. The terms of the sale require the funds to remain in escrow for an additional 180 days after receipt. He intends to invest the escrowed funds in a 180- day euro-denominated money market instrument. When the escrow period ends 360 days from now, Speckley intends to convert these funds to U.S. dollars and buy stock in the First Bank of Kanata (FBK), a small regional U.S. bank that he has identified as an attractive investment opportunity. FBK stock is priced in U.S. dollars and the company will pay a dividend of $5.00 per share 180 days from now. Speckleys investment objectives are to lock in: 1. the yield he will receive on his euro-denominated money market investment 180 days from now; 2. the exchange rate he will receive when he converts his funds from euros to U.S. dollars 360 days from now; and 3. the current purchase price of FBK stock. To accomplish these objectives, Speckley plans to use forward contracts. Exhibit 1 describes the transactions proposed by Speckley. Exhibit 1 Time-line of Events Now 180 Days from Now 360 Days from Now Cash transactions Property sale proceeds received - 10,000,000 - Euro-denominated money market investment - 10,000,000 Investment matures Euros converted into U.S. dollars - - Dollars received FBK stock purchase (in U.S. dollars) - - Stock purchased Dividend paid on FBK stock - $5.00 per share - Derivatives transactions Euribor forward rate agreement Contract entered - Contract matures Forward currency contract Contract entered - Contract matures Forward contract on FBK stock Contract entered - Contract matures 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 preparation 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. Speckley approaches Illing copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. 9. Dunns explanation of the currency forward price is most likely: A. correct. B. incorrect because forward exchange rates are not affected by current domestic and foreign interest rates. C. incorrect because forward exchange rates are not affected by domestic and foreign interest rate expectations. 10. Dunns explanation of the difference between the 360-day forward exchange rate and the current spot exchange rate is most likely: A. correct. B. incorrect because the forward exchange rate will also depend upon inflation expectations. C. incorrect because the forward exchange rate will be higher than the spot rate when U.S. interest rates are lower than European interest rates. 11. The credit risk of the currency forward contract from Speckleys perspective is closest to: A. $0. B. $37,250. C. $149,000. 12. Based on the information in Exhibits 1 and 2 and assuming a 360-day year, the rate on a Euribor forward rate agreement (FRA) that meets Speckleys needs is closest to: A. 2.22%. B. 3.00%. C. 4.44%. 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 preparation 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. Sofiya Prutko Case Scenario Sofiya Prutko, CFA, is a partner at Fedir Investments, a firm that acts as a private conduit for issuing securities backed by non-conforming residential mortgages. Fedir has assembled an $80 million pool of 30-year, fixed-rate mortgages with unusually high loan- to-value ratios and intends to privately place the securities created from this pool. Prutkos task is to determine the best structure for the securities. As part of that process, she has scheduled a series of meetings with current and potential investors. Her first meeting is with an endowment fund manager who may purchase a portion of the securities if they meet his needs. During the meeting, Prutko is asked about the pools characteristics and its estimated cash flows. She explains that the pool has a WAC of 7.10 percent and a WAM of 356 months and that, under current market conditions, prepayments are expected at 310 PSA. Later in the discussion, she presents a table showing pool cash flow estimates for a different prepayment assumption. An incomplete part of that table appears in Exhibit 1. Exhibit 1 Mortgage Pool Monthly Cash Flow Estimate Months From Now Outstanding Balance Mortgage Payment Net Interest Scheduled Principal Prepayment 24 $47,563,831 $327,321 $281,419 $45,901 The endowment fund manager explains that one of his primary concerns is that market interest rates will rise, leading to prepayment rates that are much lower than currently expected. He also explains that he wants a relatively long-term investment (average life greater than 5 years) and does not want to receive any cash flow from it for a number of years. Prutkos second meeting is with the manager of a public pension fund that invests in a wide variety of fixed income securities. The manager is currently concerned about credit risk but states that, “Although Im concerned because some non-agency issuers have more credit risk than Fannie Mae and Freddie Mac, credit enhancement can be used to achieve a credit rating equal to that of Fannie and Freddie securities.” Prutko describes the credit risk characteristics of Fedirs securitizations relative to agency securities and adds, “in addition, for each $100 in mortgage principal, we issue only $95 in par-value securities, retaining $5 as an equity position.” 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 preparation 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. After meeting with these two individuals and others, Prutko decides to separate the pool into two $40 million pools. The first pool is used to back a pair of interest-only and principal-only stripped securities with a $38 million par value. The second pool is used to back a CMO structure with two $12 million sequential planned amortization class (PAC) tranches, PAC-A and PAC-B, and one $14 million support tranche. Interest rates at new issue suggest that prepayments will occur at 310 PSA and the initial PAC collar is 200-450 PSA for PAC-A and 230-420 PSA for PAC-B. Each strip security and CMO tranche is privately placed, as was originally desired. 13. Given the 310 PSA prepayment assumption, the current prepayment rate of the pool is closest to a CPR of: A. 2.5%. B. 18.6%. C. 41.3%. 14. Given a single monthly mortality prepayment assumption of 2.1482 percent and the other information about the 24th month of the pools life that is provided in Exhibit 1, the expected prepayment amount is closest to: A. $1,014,735. B. $1,020,780. C. $1,021,766. 15. The endowment fund managers concern about the impact of movements in market interest rates is best described as a concern about: A. extension risk. B. contraction risk. C. prepayment risk. 16. The pension fund managers statement about the credit risk of non-agency mortgage-backed securities is most likely: A. correct. B. incorrect, with respect to the use of credit enhancement. C. incorrect, with respect to the credit risk of non-agency issuers. 17. According to the information that Prutko provided to the pension fund manager, the kind of credit enhancement that Fedir provides is best described as: A. wrapping. B. overcollateralization. C. excess spread accounts. 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 preparation 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. 18. Which type of CMO tranche would most likely m