2010年5月FRM1级第三部分金融市场与产品模拟练习题答案2010年3月21日上海王迪共50题.pdf

Financial Markets and Products 1. If the lease rate of commodity A is less than the risk-free rate, what is the market structure of commodity A? a. Backwardation b. Contango c. Flat d. Inversion Answer: b Explanation: 1. Contango occurs when futures prices are higher than current spot, so in this case the risk-free rate is greater than the lease rate. 2. Backwardation occurs when futures prices are less than spot, so in this case the lease rate is greater than risk-free rate. So, if the lease rate is less than the risk-free rate, the futures price is above the current spot price. 2. On March 13, 2008, William Tell, a fund manager for the Rossini fund, takes a short position in the March Treasury bond (T-bond) futures contract. He plans to deliver the cheapest-to-deliver Treasury bond with a coupon of 4.5% payable semiannually on May 15 and November 15 (182 days between), a conversion factor of 1.3256, and a face value of USD 100,000. The delivery date is Friday, March 15 (121 days after November 15 coupon payment date). The settlement price for the cheapest-to-deliver Treasury bond on March 13 is 68 2/32. Which of the following is the best estimate of the invoice price? a. USD 90,118.87 b. USD 91,719.53 c. USD 92,367.75 d. USD 95,619.47 Answer: b The invoice is based on a settlement price of 68 2/32 or 68.0625. The accrued interest is calculated on the basis of the number of days since the last coupon payment date, November 15, and the delivery date, March 15. That is 121. During the current six-month period between coupon payment dates, November 15 to May 15, there are 182 days. Thus the accrued interest on USD 100,000 face value of the bond is 121/182 * USD 100,000 * 0.045/2 = USD 1,495.88 Explanation: The invoice price is USD 100,000 * 0.680625 * 1.3256 + USD 1,495.88 = 91,719.53 3. The yield curve is upward sloping, and a portfolio manager has a long