CFA Level II　考古題與解析

(A)Incorrect. USD 450,000 eliminates 25% of the entire USD 200,000 profit. The 60% of the goods already resold to outside parties has been confirmed by a third-party transaction, so that profit is realised and stays in income.

(B)Correct. The sale is upstream, so the profit sits in the associate's reported income. Of the USD 200,000 gross profit, 40%, or USD 80,000, is unrealised because the goods remain in the investor's inventory, and the investor eliminates its 25% share, USD 20,000, from USD 500,000. Under the equity method the same proportionate elimination applies whether the sale is upstream or downstream.

(C)Incorrect. USD 500,000 is the unadjusted 25% share of reported net income. Ignoring unrealised profit would let an associate inflate the investor's earnings simply by shipping goods that have not left the group.

(A)Incorrect. The currency in which books are kept or statutory accounts are filed is a bookkeeping and legal-filing matter. Functional currency is determined by the economic substance of the entity's operations, not by the ledger currency.

(B)Correct. The primary indicators are the currency that mainly influences sales prices and the currency of the costs of providing goods and services. Prices set by the parent and denominated in US dollars point to a US dollar functional currency, which means the subsidiary is remeasured using the temporal method.

(C)Incorrect. Locally sourced and locally settled costs are an indicator pointing the other way, toward the local currency being functional and therefore toward the current rate method with a cumulative translation adjustment.

(A)Incorrect. Capital measured against risk-weighted assets is precisely the C in CAMELS, and it is the component read most directly off reported regulatory data.

(B)Correct. CAMELS is assembled from reported, largely backward-looking data on one institution. Business model and competitive position, the mission and culture of the bank, and whether a government would stand behind it in stress fall outside the six components and have to be assessed separately.

(C)Incorrect. Non-performing loans as a share of total loans is a standard measure of A, asset quality, and is among the most closely watched CAMELS inputs of all.

(A)Incorrect. 13.00% takes the 2.50% sovereign spread itself as the country risk premium. That spread prices default risk on bonds; scaling it by the equity-to-bond volatility ratio is what converts it into an equity premium.

(B)Incorrect. 10.00% is the plain CAPM required return with no country risk premium at all, which would be appropriate only for a company operating in a mature market.

(C)Correct. The country risk premium is the sovereign yield spread scaled by the ratio of equity to bond volatility: 2.50% x (30% / 20%) = 3.75%. It is added to the mature-market premium before beta is applied: 4.00% + 1.20 x (5.00% + 3.75%) = 14.50%.

(A)Incorrect. Concentration does not automatically dampen rivalry. With an undifferentiated product bought on price and capacity that must be filled, rivalry is intense; concentration limits rivalry only where the product is differentiated or capacity is disciplined.

(B)Correct. A capital requirement of that scale, with no offsetting patent or brand to protect, is a classic barrier to entry: the sunk cost and the added capacity a new plant would bring make entry unattractive, so the threat of entry is the weak force here.

(C)Incorrect. A concentrated set of large buyers purchasing a commodity they can source from any of four producers describes strong, not weak, buyer power; the buyers can credibly play suppliers against each other.

(A)Incorrect. Reflecting the interest burden is not an advantage when the object is to compare operating businesses; it is the very contamination that makes the two P/E ratios non-comparable. Financing differences belong in the discount rate instead.

(B)Incorrect. Leverage raises EPS while also raising the risk attached to that EPS, and the two do not offset in a way that leaves P/E unchanged. Higher financial risk normally compresses the P/E a levered firm can command.

(C)Correct. Earnings are struck after interest and the share price reflects levered equity, so P/E mixes operating performance with financing decisions. EV/EBITDA compares a pre-interest cash flow measure with the value of debt and equity together, which is why it is preferred when capital structures differ.

(A)Correct. The OIS rate reflects the expected average overnight rate and carries almost no credit or term-funding risk, so subtracting it from Libor isolates what banks are charged for unsecured term funding. The TED spread, Libor less the T-bill yield, is the older version of the same idea.

(B)Incorrect. The Z-spread measures the compensation one bond offers over the risk-free curve, reflecting that issuer's credit and liquidity. It says nothing about conditions in the banking system's funding market.

(C)Incorrect. The swap spread points the same way but is blunter: it mixes interbank credit with government-specific supply, repo and flight-to-quality effects in the benchmark bond. Libor-OIS removes the government leg from the comparison.

(A)Incorrect. 1.54 comes from multiplying each expected exposure by the recovery rate of 40% instead of by loss given default. Loss given default is the exposure net of recovery, so the multiplier is 1 - 0.40 = 0.60.

(B)Correct. CVA is the present value of expected credit losses: for each year, loss given default = expected exposure x (1 - recovery rate), multiplied by that year's probability of default and then discounted. Year 1 gives 101.00 x 0.60 x 0.02 x 0.9600 = 1.164 and year 2 gives 105.00 x 0.60 x 0.02 x 0.9100 = 1.147, a total of 2.31.

(C)Incorrect. 2.47 is the sum of the two annual expected losses (1.212 + 1.260) left undiscounted. CVA is a present value, so each year's expected loss must be discounted back at the risk-free rate.

(A)Correct. A true sale to a bankruptcy-remote SPE puts the collateral beyond the reach of the originator's creditors. Investors then bear the risk of the pool rather than of the seller, which is why an ABS can be rated above the entity that originated it.

(B)Incorrect. There is no fixed notching relationship to the originator; breaking that link is the whole purpose of the structure, and servicing can be transferred to a back-up servicer if the originator fails.

(C)Incorrect. A true sale addresses the seller's bankruptcy risk, not the borrowers' default risk. The pool's own credit losses remain and are handled by credit enhancement such as subordination, overcollateralisation and reserve accounts.

(A)Correct. Standard I(C) prohibits plagiarism, which covers using another party's work product, including charts and graphs, without acknowledgement. Factual data from recognised public statistical sources may be used without attribution.

(B)Incorrect. The guidance carves out information from recognised financial and statistical reporting services and government agencies, so routinely published official statistics need not be cited.

(C)Incorrect. The two are not equivalent. One appropriates another firm's analytical work product; the other uses public factual data the guidance expressly exempts from attribution.

(A)Correct. Where a member manages to a specific mandate or strategy, Standard III(C) requires investments to be consistent with that stated mandate. Fitting the fund into the client's overall allocation is the client's or his adviser's responsibility.

(B)Incorrect. Testing each holding against the client's total wealth is the standard for an advisory relationship covering that whole portfolio. A specialist pooled mandate cannot be run against every investor's individual situation.

(C)Incorrect. The Standard contains no average-investor test, and the composition of the investor base does not change what the fund has told the market it will do.

(A)Incorrect. Referral fees are permitted. What the Standard demands is disclosure to clients and prospects and to the employer, not abstention from the arrangement.

(B)Incorrect. Late disclosure defeats the purpose. The client has already committed and can no longer weigh the referral's cost and the planner's possible partiality in deciding whether to engage the manager.

(C)Correct. Standard VI(C) requires the nature and value of a referral arrangement to be disclosed to clients and prospects before they enter into any formal agreement, precisely so the information can inform that decision.

(A)Correct. In a swap-based structure the fund holds collateral and contracts with a counterparty to receive the index return. If that counterparty fails, the fund is left with the collateral and an unpaid claim, so credit exposure to the swap provider is an explicit added risk that collateral and frequent resets limit but do not remove.

(B)Incorrect. Synthetic ETFs still operate a creation and redemption process, usually settled in cash rather than in kind. Their secondary-market liquidity rests on the same primary-market arbitrage as any other ETF.

(C)Incorrect. A swap is normally written to pay the index return less an agreed fee, so synthetic replication typically produces lower tracking error than physical sampling. Reduced tracking error is the main reason such structures are used for hard-to-access indexes.

(A)Incorrect. Ordinary market conditions are what a VaR model already describes reasonably well. The purpose of stress testing is to escape the recent distribution altogether, not to characterise an average bad day.

(B)Incorrect. A scenario result is a conditional what-if, not an estimate carrying a confidence level, so it is not a more reliable version of VaR. Conditional VaR is the measure that puts a statistical number on the average tail loss.

(C)Correct. A stress test asks what a named set of moves would do to the portfolio, whether or not anything like it appears in the estimation sample and without claiming a likelihood for it. That directly covers the region a VaR number leaves undescribed.

(A)Correct. Adding cash moves the portfolio along the line joining the risk-free asset to the risky portfolio, so return in excess of the risk-free rate and standard deviation both fall in the same proportion and their ratio is preserved. The same invariance holds for leverage taken at the risk-free rate.

(B)Incorrect. The information ratio is measured against a benchmark that is not being scaled, so active return and active risk do not move in the same proportion. Adding cash generally reduces it, and it would only be invariant if the benchmark position were adjusted too.

(C)Incorrect. One of the two is invariant. The Sharpe ratio's insensitivity to cash and leverage is the standard reason it is used to compare whole portfolios, whereas the information ratio is used to judge active decisions against a fixed benchmark.

(A)Correct. For a large sample DW is approximately 2(1 - r), so r is approximately 1 - DW/2 = 1 - 0.55 = 0.45. Because DW = 1.10 is below d(l) = 1.51, the null of no positive serial correlation is rejected. The standard remedy is serial-correlation-consistent (Newey-West) standard errors, which also correct for heteroskedasticity.

(B)Incorrect. The inconclusive region lies between d(l) and d(u), that is between 1.51 and 1.65. A statistic of 1.10 falls below d(l) and gives a clear rejection.

(C)Incorrect. 0.90 is 2 - DW, which is not the approximation. Positive serial correlation understates the standard errors and overstates the t-statistics, so it does matter which number is used to gauge its severity.

(A)Incorrect. This is the outcome under low capital mobility, where trade flows rather than capital flows set the currency and a fiscal expansion weakens it by pulling in imports. With high mobility the capital inflow swamps the trade effect.

(B)Incorrect. The policies do not cancel. Expansionary fiscal policy and restrictive monetary policy both push interest rates up. It is the expansionary-fiscal plus expansionary-monetary combination that leaves the rate effect, and therefore the currency, indeterminate.

(C)Correct. With high capital mobility the interest rate channel dominates. Fiscal expansion raises domestic real rates through increased government borrowing, and monetary tightening raises them again; the resulting capital inflow bids the currency up. The two policies reinforce rather than offset each other here.

(A)Incorrect. That principal-agent conflict characterises a dispersed ownership structure, in which no single holder has enough at stake to monitor management. Here voting power is highly concentrated and management's accountability to the founder is not in doubt.

(B)Incorrect. The shareholder-creditor conflict arises over risk-shifting and distributions that move value to equity at the expense of debt, not from how voting rights are allocated across share classes.

(C)Correct. Dual-class shares separate control from economic exposure, so the founder can take decisions that harm outside holders while bearing only 15% of their cost, and those holders lack the votes to replace the board. This is the principal-principal conflict typical of concentrated control.

(A)Correct. The risk-neutral probability is (1.04 - 0.80)/(1.20 - 0.80) = 0.60. Only the up-up node finishes in the money, at 144.00 - 100.00 = 44.00, so the value is (0.60)^2(44.00)/(1.04)^2 = 15.84/1.0816 = 14.64.

(B)Incorrect. 15.23 is 15.84/1.04, discounting the expected payoff over one period only. The payoff is received two periods from today, so the discounting must run over both periods.

(C)Incorrect. 10.17 is (0.50)^2(44.00)/(1.04)^2, treating up and down moves as equally likely. The risk-neutral probability is pinned down by u, d and r, and here it works out to 0.60, not 0.50.

(A)Incorrect. $20.00 is the gross value of the operating properties per share. Net asset value is a net figure, so all liabilities, and the $220 million of debt in particular, must be subtracted before dividing by shares outstanding.

(B)Incorrect. $11.20 omits the $20 million of land held for development. Non-income-producing assets carried at market value are added to the capitalised value of the operating portfolio precisely because capitalising current net operating income captures none of their worth.

(C)Correct. Capitalising cash net operating income gives $30 million / 0.06 = $500 million for the operating properties. Adding cash, receivables and development land ($40 million) and deducting debt and other liabilities ($240 million) leaves net asset value of $300 million, or $12.00 across 25 million shares.