2025年CFA《固定收益》真題匯編（含答案）考試時間：______分鐘總分：______分姓名：______試卷內(nèi)容1.Acompany's10-year,zero-couponbondispricedat$714.29.Themarketyieldtomaturityonsimilarbondsis8%.Whatisthedurationofthebondusingtheapproximateformula?2.Whichofthefollowingstatementsabouttherelationshipbetweenyieldtomaturityanddurationismostaccurate?3.Aportfoliomanagerisconsideringaddinganewlyissued5-yearbondwithacouponrateof4%andayieldtomaturityof3.5%totheirportfolio.Thecurrentmarketyieldcurveisflatat3.5%.Whichofthefollowingbestdescribestheexpectedbehaviorofthebond'spriceiftheyieldcurveremainsflatforthenextyear?4.Whatistheeffectiveannualyield(EAY)forasemi-annualcouponbondwithastatedannualcouponrateof6%ifthebondispricedatadiscounttoitsparvalueof$1,000?5.Afixed-incomeinvestorisevaluatingtwobonds.BondAhasadurationof5yearsandamodifieddurationof5.1.BondBhasadurationof4years.Whichofthefollowingstatementsismostlikelytrueregardingthesensitivityofthebonds'pricestochangesininterestrates?6.Acorporatebondwithafacevalueof$1,000andacouponrateof5%payscouponssemi-annually.Thebondhas8yearstomaturity.Ifthebond'syieldtomaturityis6%,whatistheapproximatepricechangeiftheyieldtomaturityincreasesto6.5%usingduration?7.Aninvestorholdsaportfolioofbondswithatotalmarketvalueof$10million.Theportfoliohasadurationof6.5years.Ifinterestratesareexpectedtoincreaseby1%,whatistheapproximatechangeintheportfolio'svalue?8.Whichofthefollowingstatementsaboutconvexityismostaccurate?9.Abondhasayieldtomaturityof5%andadurationof7years.Ifthebond'syieldtomaturityincreasesby10basispoints,whatistheapproximatepercentagechangeinthebond'spriceusingmodifiedduration?Assumeconvexityiszeroforthiscalculation.10.Whatisthekeydifferencebetweennominaldurationandmodifiedduration?11.Abondfundinvestsprimarilyininvestment-gradecorporatebonds.Whichofthefollowingtypesofriskisthefundmostexposedto?12.Afixed-incomeinvestorisconsideringinvestinginacountrywithahighcreditrating.Whichofthefollowingfactorswouldmostlikelyincreasethecreditriskoftheinvestment?13.Whatistheprimarypurposeofacreditdefaultswap(CDS)?14.AbondhasacreditratingofBBB.IfthecreditratingisdowngradedtoBB,whathasoccurred?15.Whichofthefollowingstatementsabouttherelationshipbetweencreditratingandyieldismostaccurate?16.Aninvestorisconsideringpurchasingabondthatpaysafloatingcoupon.Thecouponrateisbasedonareferencerateplusaspread.Whichofthefollowingrisksistheinvestormostexposedtoifthereferencerateincreases?17.Afixed-incomeinvestorismanagingaportfoliooffloating-ratenotes.Whichofthefollowingstrategieswouldbemosteffectiveinprotectingtheportfolioagainstinterestraterisk?18.Whichofthefollowingstatementsaboutinflationriskismostaccurate?19.Abondhasacouponrateof4%andayieldtomaturityof5%.Iftheexpectedinflationrateis3%,whatistherealyieldtomaturity?20.AninvestorisconsideringinvestinginaTreasuryInflation-ProtectedSecurity(TIPS).WhichofthefollowingstatementsismostaccurateregardingTIPS?21.Afixed-incomeinvestorisevaluatingtwobonds.Bothbondshavethesamematurity,couponrate,andcreditrating.BondApaysafixedcoupon,whileBondBpaysafloatingcoupon.Whichofthefollowingstatementsismostlikelytrueregardingtheyieldspreadbetweenthetwobonds?22.Whatistheprimarydifferencebetweenamoneymarketinstrumentandabond?23.Whichofthefollowingstatementsaboutthetermstructureofinterestratesismostaccurate?24.Afixed-incomeinvestorisconsideringinvestinginazero-couponbond.Whichofthefollowingstatementsismostaccurateregardingthereinvestmentriskassociatedwiththisinvestment?25.Acompany's10-yearbondhasayieldtomaturityof5%.Thecompany's5-yearbondhasayieldtomaturityof4%.Basedonthisinformation,whichofthefollowingconclusionsismostlikelycorrectregardingtheshapeoftheyieldcurve?26.Whatistheprimaryfunctionofabondmarketintermediary?27.Whichofthefollowingtypesoffixed-incomesecuritiesistypicallythemostliquid?28.Afixed-incomeinvestorisconsideringinvestinginabondthatpaysacouponof5%annually.Thebondhasafacevalueof$1,000andmaturesin10years.Iftheinvestorrequiresayieldtomaturityof6%,whatisthepriceofthebond?29.Abondhasapriceof$920.Thebondhasacouponrateof6%andayieldtomaturityof7%.Whatistheapproximatedurationofthebond?30.Whichofthefollowingstatementsabouttherelationshipbetweenbondpriceandyieldtomaturityismostaccurate?試卷答案1.7.6years解析思路：使用近似公式D≈(1/2)*n*(1+y/t)=(1/2)*10*(1+0.08/2)=7.6years。其中n是年數(shù)，y是YTM，t是付息頻率。2.Asyieldtomaturityincreases,durationgenerallydecreases.解析思路：對于大多數(shù)債券，價格和收益率呈反向關(guān)系。當收益率增加時，債券價格下降，但價格下降的幅度在債券到期前的早期階段更大，因此久期會縮短。3.Thebond'spricewillincrease.解析思路：如果收益率曲線保持平坦，新發(fā)行債券的收益率等于其couponrate(4%)。由于初始YTM(3.5%)低于couponrate，債券是溢價發(fā)行的。隨著時間推移，債券逐漸接近其parvalue，溢價逐漸攤銷，導致價格上升。4.6.09%解析思路：EAY=(1+(statedrate/t))^t-1=(1+(0.06/2))^2-1=(1.03)^2-1=1.0609-1=0.0609or6.09%。5.BondAismoresensitivetointerestratechanges.解析思路：Modifieddurationmeasuresthepercentagechangeinpricefora1%changeinYTM.SinceBondAhasahighermodifiedduration(5.1vs4),itspricewillchangebyagreaterpercentageforthesamechangeinYTM.6.Thepricewilldecreasebyapproximately$36.67.解析思路：Pricechange≈-D*(Δy/(1+y))=-5.1*(0.005/(1+0.06))=-5.1*(0.005/1.06)≈-5.1*0.004717≈-0.02403ora$24.03decreasefromthepreviousprice.Thenewpriceisapprox$1000-$24.03=$975.97.Thechangefromtheinitialprice(approx$943.39)is$943.39-975.97=-$32.58.Theinitialapproximationusingjustduration(-$24.03)isclose.7.Theportfolio'svaluewilldecreasebyapproximately$650,000.解析思路：Valuechange≈-D*(Δy*PortfolioValue)=-6.5*(0.01*$10,000,000)=-6.5*$100,000=-$650,000.8.Convexitymeasuresthecurvatureoftheprice-yieldrelationship,providingamoreaccurateestimateofpricechangesforlargerinterestratemovementsthandurationalone.解析思路：Durationprovidesalinearapproximationofpricechanges.Convexityaccountsforthefactthattheprice-yieldrelationshipiscurved,improvingtheaccuracyoftheestimate,especiallyforlargerchangesinyield.9.Thepricewilldecreasebyapproximately0.65%.解析思路：Pricechange≈-ModDur*Δy=-5*(0.0010)=-0.005or-0.5%.10.Modifieddurationincorporatestheyieldtomaturityintothedurationcalculation,makingitamoreaccuratemeasureofpricesensitivity.解析思路：Nominalduration(orMacaulayduration)iscalculatedwithoutadjustingforyieldtomaturity.Modifiedduration=NominalDuration/(1+y/t),whereyistheYTMandtisthecouponfrequency.Thisadjustmentmakesmodifieddurationabetterproxyforthepercentagepricechange.11.Creditrisk解析思路：Thedescription"investsprimarilyininvestment-gradecorporatebonds"indicatestheprimaryriskexposureisthepossibilityofdefaultorcreditdeteriorationbythecorporateissuers.12.Politicalinstabilityoradeteriorationinthecountry'seconomicfundamentals.解析思路：Creditriskforacountryinvolvestheriskthatthegovernmentorrelatedentitiesmightdefaultontheirdebtobligations.Thisriskisheightenedbypoliticalinstabilityorweakeconomicperformance.13.Acreditdefaultswapisafinancialderivativeusedtotransferthecreditriskofabondorloanfromonepartytoanother.解析思路：ThefundamentalpurposeofaCDSisrisktransfer.Thebuyerpaysapremiumtothesellerinexchangeforprotectionagainstthedefaultoftheunderlyingreferenceentity.14.Acreditratingdowngradeoccurswhenaratingagencylowersitsassessmentofabondissuer'screditworthiness.解析思路：Adowngradesignifiesincreasedperceivedriskofdefault.ComparingBBB(InvestmentGrade)toBB(SpeculativeGradeorJunk)showsasignificantdeteriorationintheissuer'sfinancialhealthorabilitytomeetobligations.15.Highercreditratingsareassociatedwithloweryields(lowercreditrisk),whilelowercreditratingsareassociatedwithhigheryields(highercreditrisk).解析思路：Investorsrequireahigherreturn(yield)tocompensatefortheincreasedriskofdefaultassociatedwithlower-ratedbondscomparedtohigher-ratedbonds.16.Interestraterisk解析思路：Floating-ratenoteshavecouponsthatadjustwithchangesinareferencerate.Whilethiscanmitigateinterestraterisk*totheissuer*,italsoexposestheinvestortotheriskthatrateswillrisesignificantly,increasingthecostofreinvestmentforanyproceedsreceived,andpotentiallyincreasingthebond'sprice(ifmarketratesrisefasterthanthecouponadjusts),alteringtheexpectedyield.17.Usingdurationmatchingwithintheportfolio.解析思路：Durationmatchinginvolvesconstructingaportfoliowherethedurationofassetsequalsthedurationofliabilities(ortheinvestor'stargetduration).Thisstrategyaimstoimmunizetheportfolioagainstsmall,parallelshiftsininterestrates,asthevaluechangeinassetswillapproximatelyoffsetthevaluechangeinliabilities.18.Inflationrisk,alsoknownaspurchasingpowerrisk,istheriskthatthenominalreturnonaninvestmentwillbeerodedbyinflation.解析思路：Inflationreducesthepurchasingpowerofmoney.Evenifabondoffersahighnominalyield,ifinflationisalsohigh,therealreturn(whattheyieldcanactuallybuy)maybelowornegative.19.Therealyieldtomaturityisapproximately0.91%.解析思路：RealYield≈NominalYield-InflationRate=5%-3%=2%.AmoreprecisecalculationusestheFisherequation:(1+RealYield)=(1+NominalYield)/(1+InflationRate)=>(1+RealYield)=(1.05)/(1.03)≈1.0194.RealYield≈1.0194-1=0.0194or1.94%.Let'srecalculateusingtheapproximation:RealYield≈(5%-3%)/(1+3%)=2%/1.03≈1.94%.Theinitial5-3calculationisanapproximation.20.TIPSprovideprotectionagainstinflationbecausetheprincipalvalueadjustsupwardswiththeConsumerPriceIndex(CPI),andinterestpaymentsarebasedontheadjustedprincipal.解析思路：ThekeyfeatureofTIPSisthattheprincipalisindexedtoinflation(CPI),meaningitincreaseswheninflationrises.Thisprotectstheinvestor'spurchasingpower.Couponpaymentsaremadeonthisadjustedprincipal,alsoprotectingtherealvalueofthecoupon.21.TheyieldspreadbetweenthetwobondsislikelytobewiderforBondA.解析思路：BondA(fixedcoupon)ismoresensitivetointerestraterisk.Tocompensateinvestorsforthishigherinterestrateriskwithoutafloatingcoupontohedgeit,investorswilldemandawideryieldspreadforBondAcomparedtoBondB(whichbenefitsfromlowerinterestrateriskviaitsfloatingcoupon).22.Moneymarketinstrumentsareshort-term(typicallylessthanoneyear),highlyliquid,andhavelowcreditrisk,whilebondsaregenerallylonger-term,mayhavelowerliquidity,andvaryincreditrisk.解析思路：Thishighlightsthekeydifferencesbasedonstandarddefinitions.Moneymarketsfocusonshortmaturitiesandhighsafety/liquidity.Bondscoverawiderrangeofmaturitiesandcreditqualities.23.Thetermstructureofinterestratesreflectstherelationshipbetweentheyieldsonbondsofdifferentmaturities;itcanindicateexpectationsaboutfutureinterestrates,riskpremiums,andeconomicconditions.解析思路：Theyieldcurve(termstructure)plotsyieldsagainsttimetomaturity.Itsshape(normal,inverted,flat)providesinsights.Forexample,anormalcurvesuggestsexpectedfutureratestorise;aninvertedcurvesuggestsexpectationsoffutureratecuts.24.Reinvestmentriskistheriskthatfuturecashflows(Couponsorprincipal)fromabondwillneedtobereinvestedatalowerinterestratethantheoriginalyieldtomaturity.解析思路：Zero-couponbondsdonotpayperiodiccoupons.Theentirereturndependsonthedifferencebetweenthepurchasepriceandtheparvalueatmaturity.Thereisnoreinvestmentriskconcerningcouponpaymentsbecausetherearenocoupons.However,iftheinvestorneedstosellthebondbeforematurity,theyfacereinvestmentriskontheproceeds.25.Theyieldcurveislikelyupwardsloping.解析思路：Along-termbond(10-year,5%)yieldingmorethanashorter-termbond(5-year,4%)indicatesthatinvestorsgenerallyexpectyieldstoincreaseinthefuture,ortheyrequireahighercompensationpremiumforholdingthelonger-termbondduetogreateruncertaintyorrisk.Thisshapeistypicallyreferredtoasa"normal"yieldcurve.26.Bondmarketintermediaries,suchasdealersandbrokers,facilitatethebuyingandsellingofbonds,providemarketmakingservices,facilitatepricediscovery,andprovidecreditenhancementorrisktransferservices.解析思路：Intermediariesplaycrucialrolesinmakingthebondmarketefficientandliquid.Theyconnectbuyersandsellers,provideliquiditybybeingreadytotrade,helpestablishmarketprice