R50 练习: 公司发行人的固定收益市场
考纲范围
Compare short-term funding alternatives available to corporations and financial institutions.
Describe repurchase agreements (repos), their uses, and their benefits and risks.
Contrast the long-term funding of investment-grade versus high-yield corporate issuers.
Q1.
Credit lines are widely used by non-financial corporations, which of the following statements about common instruments of credit lines is most likely correct?
A. Uncommitted lines of credit can serve as a primary source of short-term funding due to the flexibility and reliability.
B. Committed lines of credit are less reliable than uncommitted lines.
C. Revolving credit agreements are multiyear credit commitments and are more reliable than the committed lines of credit.
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答案：C
解析：循环信贷协议(revolving credit agreement/revolver)是多年期信贷承诺，是最可靠的短期融资方式。Uncommitted信贷额度银行在放款前仍需审核，不需要支付commitment fee，不够可靠。Committed和Revolver都需要付commitment fee，融资成本更高但更可靠。
选项 判断 解析 A ✗ uncommitted lines不可靠，银行可随时拒绝放款，不能作为主要融资来源 B ✗ committed lines比uncommitted更可靠，而非更不可靠 C ✓ revolver是多年期承诺，可靠性最高，比committed lines更可靠
Q2.
Asset-based loans and commercial paper are two common sources for corporations to raise funds, which of the following statements is least accurate?
A. Corporations which have sufficient credit quality for unsecured loan will most probably choose to arrange for asset-based loans.
B. Although commercial paper is usually issued by the most stable and highly rated corporations, roll over risk is a concern.
C. Both non-financial corporations and financial institutions issue commercial paper.
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答案：A
解析：信用质量好的公司能获得无担保贷款，不需要安排资产抵押贷款(asset-based loans)。资产抵押贷款通常是信用质量较低、无法获得无担保融资的公司才会选择的方式。商业票据确实存在rollover risk，且非金融和金融机构都可以发行。
选项 判断 解析 A ✓ 信用好的公司会选择无担保贷款，而非asset-based loans，说法最不准确 B ✗ 商业票据确实有rollover risk，说法正确 C ✗ 金融和非金融机构都可发行commercial paper，说法正确
Q3.
Which of the following statements related to short-term funding to banks is or are correct?
Statement 1: The interbank funds market is the market of loans and deposits between banks.
Statement 2: In the central bank funds market, banks run short of required reserves can borrow money from other banks that have a surplus of funds.
A. Only statement 1 is correct.
B. Only statement 2 is correct.
C. Both statements are correct.
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答案：C
解析：银行间资金市场(interbank funds market)确实是银行之间相互借贷和存款的市场。中央银行资金市场(central bank funds market)中，准备金不足的银行可以从有盈余的银行借入资金。两个说法都是正确的。
选项 判断 解析 A ✗ Statement 2也正确 B ✗ Statement 1也正确 C ✓ 两个说法都正确描述了银行短期融资市场
Q4.
Which condition would most likely lead to a lower repo rate in a repurchase agreement?
A. A rise in money market interest rate
B. A lower collateral quality
C. A shorter repo term
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答案：C
解析：repo rate的高低取决于风险：风险越大，repo rate越高。较短的回购期限意味着较低的风险，因此repo rate更低。货币市场利率上升会导致repo rate上升；抵押品质量较低意味着风险更高，repo rate也更高。
选项 判断 解析 A ✗ 货币市场利率上升会推高repo rate B ✗ 抵押品质量低意味着更高风险，repo rate更高 C ✓ 回购期限越短风险越低，repo rate越低
Q5.
A bank initiated a three-month repurchase agreement by selling Treasury notes and received $1,000,000. What is the repo rate if the repurchase price is $1,002,513?
A. 0.25%
B. 0.95%
C. 1.01%
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答案：C
解析：Repo rate的计算基于回购价格与初始卖出价格之差：
选项 判断 解析 A ✗ 0.25%仅是3个月的回报率，未年化 B ✗ 计算有误 C ✓ 年化后repo rate约为1.01%
Q6.
A hedge fund paid \for a Treasury note priced at \to enter a 30-day reverse repo. The haircut is closest to:
A. 1.52%.
B. 1.50%.
C. 18.00%.
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答案：B
解析：Haircut是抵押品价值与贷款金额之差占抵押品价值的比例：
选项 判断 解析 A ✗ 1.52%是以贷款金额为分母计算的，不是标准haircut公式 B ✓ haircut = 15,200/1,015,200 ≈ 1.50% C ✗ 计算方法完全错误
Q7.
Relative to investment-grade bonds, high-yield bonds have the following features except:
A. more restrictions on issuers.
B. equity-like cash flows.
C. lower yield proportion due to credit spreads.
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答案：C
解析：高收益债券相比投资级债券：更多的发行人限制(more restrictions)，类似股权的现金流特征(equity-like cash flows)。但高收益债券的收益率中信用利差占比更高（而非更低），因为其信用风险更大。
选项 判断 解析 A ✗ 高收益债确实对发行人有更多限制，这是其特征 B ✗ 高收益债确实具有equity-like cash flows特征 C ✓ 高收益债的credit spread占yield比例更高而非更低，此为例外项
Q8.
Which of the following statements concerning investment-grade and high-yield issuance is most likely correct?
A. Unlike investment-grade bonds, longer maturities are associated with lower interest rates for high-yield bonds.
B. Investment-grade bonds have a higher proportion of YTM attributed to risk-free rate.
C. The flexibility and market availability of investment-grade issuers are lower.
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答案：B
解析：投资级债券的YTM中，无风险利率占比更高，因为其信用利差较小。高收益债券的YTM中信用利差占比更大。投资级发行人具有更大的灵活性和市场可得性。
选项 判断 解析 A ✗ 高收益债的期限与利率关系并非如此简单 B ✓ 投资级债券信用利差小，YTM中risk-free rate占比更高 C ✗ 投资级发行人的flexibility和market availability更高，而非更低