Number

DescriptionSecurity market indexes are:

CommentSecurity market indexes are constructed and managed like a portfolio of securities.

SectionLearning Module 1 The Firm and Market StructuresLearning Module 2 Understanding Business CyclesLearning Module 3 Fiscal PolicyLearning Module 4 Monetary PolicyLearning Module 5 Introduction to GeopoliticsLearning Module 6 International TradeLearning Module 7 Capital Flows and the FX MarketLearning Module 8 Exchange Rate CalculationsLearning Module 1 Market Organization and StructureLearning Module 2 Security Market IndexesLearning Module 3 Market EfficiencyLearning Module 4 Overview of Equity SecuritiesLearning Module 5 Company Analysis: Past and PresentLearning Module 6 Industry and Competitive AnalysisLearning Module 7 Company Analysis: ForecastingLearning Module 8 Equity Valuation: Concepts and Basic ToolsLearning Module 1 Ethics and Trust in the Investment ProfessionLearning Module 2 Code of Ethics and Standards of Professional ConductLearning Module 3 Guidance for Standards I–VIILearning Module 4 Introduction to the Global Investment Performance Standards (GIPS)Learning Module 1 Derivative Instrument and Derivative Market FeaturesLearning Module 10 Valuing a Derivative Using a One-Period Binomial ModelLearning Module 2 Forward Commitment and Contingent Claim Features and InstrumentsLearning Module 3 Derivative Benefits, Risks, and Issuer and Investor UsesLearning Module 5 Pricing and Valuation of Forward Contracts and for an Underlying with Varying MaturitiesLearning Module 6 Pricing and Valuation of Futures ContractsLearning Module 7 Pricing and Valuation of Interest Rates and Other SwapsLearning Module 8 Pricing and Valuation of OptionsLearning Module 9 Option Replication Using Put–Call Parity

Answer

Intro<p>A dealer provides spot rate quotes for the following currencies</p> <table style="width:80%;text-align:center"> <tr> <th>Currency</th> <th>Spot rate</th> </tr> <tr> <td>CNY/HKD</td> <td>0.8422</td> </tr> <tr> <td>CNY/ZAR</td> <td>0.9149</td> </tr> <tr> <td>CNY/SEK</td> <td>1.0218</td> </tr> </table><p>A market has the following limit orders standing on its book for a particular stock. The bid and ask sizes are number of shares in hundreds</p> <table style="width:80%;text-align:center"> <tr> <th>Bid Size</th> <th>Limit Price (€)</th> <th>Offer Size</th> </tr> <tr> <td>5</td> <td>9.73</td> <td></td> </tr> <tr> <td>12</td> <td>9.81</td> <td></td> </tr> <tr> <td>4</td> <td>9.84</td> <td></td> </tr> <tr> <td>6</td> <td>9.95</td> <td></td> </tr> <tr> <td></td> <td>10.02</td> <td>5</td> </tr> <tr> <td></td> <td>10.10</td> <td>12</td> </tr> <tr> <td></td> <td>10.14</td> <td>8</td> </tr> </table><p>Consider the following limit order book for a stock. The bid and ask sizes are number of shares in hundreds.</p> <table style="width:80%;text-align:center"> <tr> <th>Bid Size</th> <th>Limit Price (¥)</th> <th>Offer Size</th> </tr> <tr> <td>3</td> <td>122.80</td> <td></td> </tr> <tr> <td>8</td> <td>123.00</td> <td></td> </tr> <tr> <td>4</td> <td>123.35</td> <td></td> </tr> <tr> <td></td> <td>123.80</td> <td>7</td> </tr> <tr> <td></td> <td>124.10</td> <td>6</td> </tr> <tr> <td></td> <td>124.50/td> <td>7</td> </tr> </table><table style="width:80%;text-align:center"> <tr> <th>Order</th> <th>Time of Arrival (HH:MM:SS)</th> <th>Limit Price (€)</th> <th>Special Instruction (If any)</th> </tr> <tr> <td>I</td> <td>9:52:01</td> <td>20.33</td><td></td> </tr> <tr> <td>II</td> <td>9:52:08</td> <td>20.29</td><td>Hidden order</td> </tr> <tr> <td>III</td> <td>9:53:04</td> <td>9:53:04</td><td></td> </tr> <tr> <td>IV</td> <td>9:53:49</td> <td>20.29</td><td></td> </tr> </table><p>A market has the following limit orders standing on its book for a particular stock:</p> <table style="width:90%;text-align:right"> <tr> <th>Buyer</th> <th>Bid Size (Number of Shares)</th> <th>Limit Price (£)</th> <th>Offer Size (Number of Shares)</th> <th>Seller</th> </tr> <tr> <td>Keith</td> <td>1,000</td> <td>19.70</td><td></td><td></td> </tr> <tr> <td>Paul</td> <td>200</td> <td>19.84</td><td></td><td></td> </tr> <tr> <td>Ann</td> <td>400</td> <td>19.89</td><td></td><td></td> </tr> <tr> <td>Mary</td> <td>300</td> <td>20.02</td><td></td><td></td> </tr> <tr> <td></td> <td></td> <td>20.03</td><td>800</td><td>Jack</td> </tr> <tr> <td></td> <td></td> <td>20.11</td><td>1,100</td><td>Margaret</td> </tr> <tr> <td></td> <td></td> <td>20.16</td><td>400</td><td>Jeff</td> </tr> </table><p>An analyst gathers the following information for an equal-weighted index comprised of assets Able, Baker, and Charlie</p> <table style="width:80%;text-align:center"> <tr> <th>Security</th> <th>Beginning of Period Price (€)</th> <th>End of Period Price (€)</th> <th>Total Dividends (€)</th> </tr> <tr> <td>Able</td> <td>10.00</td> <td>12.00</td><td>0.75</td> </tr> <tr> <td>Baker</td> <td>20.00</td> <td>19.00</td><td>1.00</td> </tr> <tr> <td>Charlie</td> <td>30.00</td> <td>30.00</td><td>2.00</td> </tr> </table><p>An analyst gathers the following information for an equal-weighted index comprised of assets Able, Baker, and Charlie</p> <table style="width:80%;text-align:center"> <tr> <th>Security</th> <th>Beginning of Period Price (€)</th> <th>End of Period Price (€)</th> <th>Total Dividends (€)</th> </tr> <tr> <td>Able</td> <td>10.00</td> <td>12.00</td><td>0.75</td> </tr> <tr> <td>Baker</td> <td>20.00</td> <td>19.00</td><td>1.00</td> </tr> <tr> <td>Charlie</td> <td>30.00</td> <td>30.00</td><td>2.00</td> </tr> </table><p>An analyst gathers the following information for a price-weighted index comprised of securities ABC, DEF, and GHI:</p> <table style="width:80%;text-align:center"> <tr> <th>Security</th> <th>Beginning of Period Price (€)</th> <th>End of Period Price (€)</th> <th>Total Dividends (€)</th> </tr> <tr> <td>ABC</td> <td>25.00</td> <td>27.00</td><td>1.00</td> </tr> <tr> <td>DEF</td> <td>35.00</td> <td>25.00</td><td>1.50</td> </tr> <tr> <td>GHI</td> <td>15.00</td> <td>16.00</td><td>1.00</td> </tr> </table><p>An analyst gathers the following information for a market-capitalization-weighted index comprised of securities MNO, QRS, and XYZ:</p> <table style="width:80%;text-align:center"> <tr> <th>Security</th> <th>Beginning of Period Price (¥)</th> <th>End of Period Price (¥)</th> <th>Dividends per Share (¥)</th> <th>Shares Outstanding</th> </tr> <tr> <td>MNO</td> <td>2,500</td> <td>2,700</td><td>100</td><td>5,000</td> </tr> <tr> <td>QRS</td> <td>3,500</td> <td>2,500</td><td>150</td><td>7,500</td> </tr> <tr> <td>XYZ</td> <td>1,500</td> <td>1,600</td><td>100</td><td>10,000</td> </tr> </table><p>An analyst gathers the following data for a price-weighted index:</p> <table style="width:80%;text-align:center"> <tr> <th></th> <th colspan="2">Beginning of Period</th> <th colspan="2">End of Period</th> </tr> <tr> <th>Security</th> <th>Price (€)</th> <th>Shares Outstanding</th> <th>Price (€)</th> <th>Shares Outstanding</th> </tr> <tr> <td>A</td> <td>20.00</td> <td>300</td><td>22.00</td><td>300</td> </tr> <tr> <td>B</td> <td>50.00</td> <td>300</td><td>48.00</td><td>300</td> </tr> <tr> <td>C</td> <td>26.00</td> <td>2,000</td><td>30.00</td><td>2,000</td> </tr> </table><p>An analyst gathers the following data for a value-weighted index:</p> <table style="width:80%;text-align:center"> <tr> <th></th> <th colspan="2" >Beginning of Period</th> <th colspan="2" >End of Period</th> </tr> <tr> <th>Security</th> <th>Price (£)</th> <th>Shares Outstanding</th> <th>Price (£)</th> <th>Shares Outstanding</th> </tr> <tr> <td>A</td> <td>20.00</td> <td>300</td><td>22.00</td><td>300</td> </tr> <tr> <td>B</td> <td>50.00</td> <td>300</td><td>48.00</td><td>300</td> </tr> <tr> <td>C</td> <td>26.00</td> <td>2,000</td><td>30.00</td><td>2,000</td> </tr> </table><p>An analyst gathers the following data for an equally-weighted index:</p> <table style="width:80%;text-align:center"> <tr> <th></th> <th colspan="2" >Beginning of Period</th> <th colspan="2" >End of Period</th> </tr> <tr> <th>Security</th> <th>Price (¥)</th> <th>Shares Outstanding</th> <th>Price (¥)</th> <th>Shares Outstanding</th> </tr> <tr> <td>A</td> <td>20.00</td> <td>300</td><td>22.00</td><td>300</td> </tr> <tr> <td>B</td> <td>50.00</td> <td>300</td><td>48.00</td><td>300</td> </tr> <tr> <td>C</td> <td>26.00</td> <td>2,000</td><td>30.00</td><td>2,000</td> </tr> </table><p>Joshua Hu, a research analyst, is initiating coverage on several companies in the ocean freight shipping industry. OldShips is a mature company with high fixed costs and a high capital expenditure to sales ratio because it owns and operates its own fleet of ships. CleanYards is a technologically advanced, sustainable shipyard with a focus on specialized repairs and ship construction. Hu has compiled the following data for the two companies:</p> <table style="width:80%;text-align:center"> <tr> <th></th> <th>OldShips</th> <th>CleanYards</th> </tr> <tr> <td class="left">Degree of Financial Leverage (DFL)</td> <td>2.0</td> <td>2.0</td> </tr> <tr> <td class="left">Degree of Operating Leverage (DOL)</td> <td>1.0</td> <td>2.0</td> </tr> <tr> <td class="left">Asset turnover ratio</td> <td>0.84×</td> <td>0.42×</td> </tr> <tr> <td class="left">DSO</td> <td>27</td> <td>98</td> </tr> <tr> <td class="left">DOH</td> <td>12</td> <td>46</td> </tr> <tr> <td class="left">DPO</td> <td>55</td> <td>40</td> </tr> </table> <p>NewShips, a third company, is a web-based shipping technology platform that connects ship operators such as OldShips with customers in a wide variety of industries who need ocean freight shipping. NewShips’ customers place orders online and pay for freight to be placed on a container to any destination in the world. NewShips’ partners, like OldShips, provide vessels on both long- and short-term charters. </p> <p>In 2X19, NewShips’ platform brokered orders for 900,000 twenty-foot equivalent unit (TEU) containers in aggregate, with an average gross freight rate of USD3,848 per TEU. On average, NewShips’ commission, which it receives as a broker from the customer, was 5% of the freight rate. </p><p>Calculate the book value of a company using the following information:</p> <table style="width:80%;text-align:center"> <tr> <td class="left">Number of shares outstanding</td> <td class="right">100,000</td> </tr> <tr> <td class="left">Price per share</td> <td class="right">€52</td> </tr> <tr> <td class="left">Total assets</td> <td class="right">€12,000,000</td> </tr> <tr> <td class="left">Total liabilities</td> <td class="right">€7,500,000</td> </tr> <tr> <td class="left">Net Income</td> <td class="right">€2,000,000</td> </tr> </table><p>Calculate the return on equity (ROE) of a stable company using the following data:</p> <table style="width:80%;text-align:center"> <tr> <td class="left">Total sales</td> <td class="right">£2,500,000</td> </tr> <tr> <td class="left">Net income</td> <td class="right">£2,000,000</td> </tr> <tr> <td class="left">Beginning of year total assets</td> <td class="right">£50,000,000</td> </tr> <tr> <td class="left">Beginning of year total liabilitiess</td > <td class="right">£35,000,000</td> </tr> <tr> <td class="left">Number of shares outstanding at the end of the year</td> <td class="right">1,000,000</td> </tr> <tr> <td class="left">Price per share at the end of the year</td> <td class="right">£20</td> </tr> </table><p>An analyst gathers or estimates the following information about a stock:</p> </br> &emsp; <table style="width:80%;text-align:center"> <tr> <td class="left">Current price per share</td> <td class="right">€22.56</td> </tr> <tr> <td class="left">Current annual dividend per share</td> <td class="right">€1.60</td> </tr> <tr> <td class="left">Annual dividend growth rate for Years 1–4</td> <td class="right">9.00%</td> </tr> <tr> <td class="left">Annual dividend growth rate for Years 5+</td > <td class="right">4.00%</td> </tr> <tr> <td class="left">Required rate of return</td> <td class="right">12%</td> </tr> </table><p>Unless otherwise stated in the question, all individuals in the following questions are CFA Institute members or candidates in the CFA Program and, therefore, are subject to the CFA Institute Code of Ethics and Standards of Professional Conduct.</p><p>Montau AG is a German capital goods producer that manufactures its products domestically and delivers its products to clients globally. Montau’s global sales manager shares the following draft commercial contract with his Treasury team:</p> </br> &emsp; <table style="width:80%;text-align:left"> <caption>Montau AG Commercial Export Contract</caption> <tr> <th>Contract Date:</th> <td>[Today]</td> </tr> <tr> <th>Goods Seller:</th> <td>Montau AG, Frankfurt, Germany</td> </tr> <tr> <th>Goods Buyer:</th> <td>Jeon Inc., Seoul, Korea</td> </tr> <tr> <th>Description of Goods</th> <td>A-Series Laser Cutting Machine</td> </tr> <tr> <th>Quantity:</th> <td>One</td> </tr> <tr> <th>Delivery Terms:</th> <td>Freight on Board (FOB), Busan Korea with all shipping, tax and delivery costs payable by Goods Buyer</td> </tr> <tr><th>Delivery Date:</th> <td>[75 Days from Contract Date]</td> </tr> <tr><th>Payment Terms:</th> <td>100% of Contract Price payable by Goods Buyer to Good Seller on Delivery Date</td> </tr> <tr><th>Contract Price:</th> <td>KRW650,000,000</td> </tr> </table> <p>Montau AG’s Treasury manager is tasked with addressing the financial risk of this prospective transaction. </p>Biomian Limited is a Mumbai-based biotech company with common stock and listed futures and options on the National Stock Exchange (NSE). The Viswan Family Office (VFO) currently owns 10,000 Biomian common shares. VFO would like to reduce its long Biomian position and diversify its equity market exposure but will delay a cash sale of shares for tax reasons for six months.<p>Privatbank Kleinert KGaA, a private wealth manager in Munich, has a number of clients with large holdings in the German fintech firm SparCoin AG. Kleinert’s analyst is concerned about a drop in SparCoin’s share price in the next year and is recommending to clients that they consider purchasing a one-year put with an exercise price of €100. SparCoin’s spot price (S₀) is €105.25, and it pays no dividends. The risk-free rate is 0.37%. </p><p>Consider the following structured note offered by Baywhite Financial</p> </br> &emsp; <table style="width:80%;text-align:left"> <caption>Baywhite Financial LLC 80% Principal Protected Structured Note</caption> <tr> <th>Description:</th> <td>The Baywhite Financial LLC 80% Principal Protected Structured Note (“the Note”) is linked to the performance of the S&P 500 Health Care Select Sector Index (SIXV).</td> </tr> <tr> <th>Issuer:</th> <td>Baywhite Financial LLC</td> </tr> <tr> <th>Start Date:</th> <td>[Today]</td> </tr> <tr> <th>Maturity Date:</th> <td>[Six months from Start Date]</td> </tr> <tr> <th>Issuance Price:</th> <td>102% of Face Value</td> </tr> <tr> <th>Face Value</th> <td>Sold in a minimum denomination of USD1,000 and multiple units thereo</td> </tr> <tr><th>Payment at Maturity:</th> <td>At maturity, you will receive a cash payment, for each USD1,000 principal amount note, of USD800 plus the Additional Amount, which may be zero.</td> </tr> <tr><th>Partial Principal Protection Percentage:</th> <td>80% Principal Protection (20% Principal at Risk)</td> </tr> <tr><th>Additional Amount:</th> <td>At maturity, you will receive the greater of 100% of the returns on the S&P 500 Health Care Select Sector Index (SIXV) in excess of 5% above the current spot price of the SIXV or zero</td> </tr> </table> <p>As a financial analyst for a wealth management advisory firm, you have been tasked with comparing the features of the Baywhite Financial LLC Structured Note with those of a similar exchange-traded, stand-alone derivative instrument alternative in order to make a recommendation to the firm’s clients. </p><p><i>Baywhite Financial is a broker-dealer and wealth management firm that helps its clients manage their portfolios using stand-alone derivative strategies. A new Baywhite analyst is asked to evaluate the following client situations.</i></p><p><i>Ace Limited is a financial intermediary active in both futures and forward markets. You have been hired as an investment consultant and asked to review Ace’s activities and answer the following questions</i><p><p><i>Ace Limited is a financial intermediary that is active in forward and swap markets with its issuer and investor clients. You have been asked to consult on a number of client situations to determine the best course of action. </i></p><p><i>The Viswan Family Office (VFO) owns non-dividend-paying shares of Biomian Limited that are currently priced (S₀) at INR 295 per share. VFO’s CIO is considering an offer to sell shares at a forward price (F₀(T)) of INR 300.84 per share in six months based on a risk-free rate of 4%. You have been asked to advise on the purchase of a put option or the sale of a call option with an exercise price (X) equal to the forward price (F₀(T)) as alternatives to a forward share sale.</i></p><i> <strong><p>South China Sprintwyck Investments (SCSI)</p></strong> <p>South China Sprintwyck Investments (SCSI) has a Chinese equity portfolio that has outperformed in the first half of the year due to an overweight position in health care industry shares. SCSI is considering option-based alternatives for one of its current overweight positions, ChinaWell Inc. (CWI). CWI has a current price (S₀) of CNY127.50 and pays no dividends. The current risk-free rate is 4%. You are a new SCSI analyst hired to evaluate several alternatives for CWI stock.</p></i>

Mise à jour