1、By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or l
2、egal action: accessing or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. 2010 Level II Mock Exam: Morning Session The morning session of the 2009 Level II Chartered F
3、inancial Analyst Mock Examination has 60 questions. To best simulate the exam day experience, candidates are advised to allocate an average of 18 minutes per item set (vignette and 6 multiple choice questions) for a total of 180 minutes (3 hours) for this session of the exam. By accessing this mock
4、exam, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing
5、or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. Theresa Lecompte Case Scenario Theresa Lecompte, CFA, is an equity analyst for Topaz Group, a large full-service fin
6、ancial firm that offers insurance, investment banking, brokerage and investment management services. Topaz has adopted the CFA Institute Research Objectivity Standards to demonstrate their commitment to managing and fully disclosing conflicts of interest to all investors that have access to the firm
7、s research. Lecomptes primary responsibility is to follow the information technology sector for the firms research department. She is working on two follow-up reports for NanoMem (NM) and UniFlash (UF). Topaz makes markets in both companies securities and Lecompte owns a small position in NM only. L
8、ecompte has an excellent relationship with company officials at NM. In the past, LeCompte has made favorable recommendations regarding NM. In appreciation, she was invited to attend a company-sponsored event last December that was held at an exclusive ski resort overseas. NM paid all expenses relati
9、ng to the trip and provided some excellent entertainment activities for the attendees. Lecompte disclosed this benefit to her supervisor at Topaz. Shortly thereafter, Topaz issued a secondary offering for NM. Lecompte believes that her excellent relationship with the firm played a large part in secu
10、ring this business. However, Lecompte considers her relationship with UF to be contentious since company officials seem reluctant to share as much information with her as they have in the past. She believes the change in their behavior is a direct result of recent reports she has written on the comp
11、any, which have been less than favorable. Prior to publication of her follow-up reports, Lecompte shares her report on NM in its entirety with top management at NM. She shares only the part of her report on UF that provides factual information with UF management. Lecomptes compensation at Topaz incl
12、udes an annual salary plus a bonus based on both the accuracy of her recommendations over time and the overall profitability of the company. Topaz makes public disclosure of the extent to which research analyst compensation in general is dependent upon the firms investment banking revenues. Followin
13、g the release of her reports in early March, Lecompte is invited to appear on a television program to discuss her recommendations. During her appearance, she makes the following statements: 1. “My firm makes markets in the securities of both NanoMem and UniFlash and I currently own a position in Nan
14、oMem .” 2. “Although, I just issued my report on UniFlash which reflected a neutral rating, I really believe a sell rating is more appropriate.” By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may vie
15、w and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributi
16、ng and/or reprinting the mock exam for any purpose. When she returns to her office the following day, Lecompte is informed by her supervisor that a company official at UF called to express his disappointment and anger regarding the negative remarks she had made about UF during her television appeara
17、nce. Lecompte states that she believes her deteriorating relationship with UF will make it difficult to effectively cover the company in the future and recommends that Topaz discontinue coverage of UF immediately. 1. In sharing her research material with the subject companies, Lecompte most likely v
18、iolated CFA Institute Research Objectivity Standards with respect to her report(s) on: A. UniFlash. B. NanoMem. C. Both NanoMem and UniFlash. 2. With respect to the company-sponsored event that Lecompte attended, did she violate any CFA Institute Standards? A. Yes. B. No, because she disclosed it to
19、 her employer. C. No, because the Standards permit entertainment as long as it is business related. 3. Regarding Lecomptes compensation structure is Topaz in violation of CFA Institutes Research Objectively Standards? A. No. B. Yes, with respect to overall profitability of the firm. C. Yes, with res
20、pect to accuracy of her recommendations. 4. According to the CFA Institute Research Objectivity Standards, does the first statement Lecompte makes in her television appearance provide all the recommended disclosures relating to potential conflicts of interest? A. Yes. B. Only with respect to UniFlas
21、h. C. Only with respect to NanoMem. 5. Does Lecomptes second statement during her TV appearance comply with the CFA Institute Research Objectivity Standards recommended procedures? A. Yes. B. No, with regard to her rating system. C. No, with regard to personal investments By accessing this mock exam
22、, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or p
23、ermitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. 6. With respect to Lecomptes coverage of UniFlash, according to the CFA Institute Standards, the least appropriate cours
24、e of action for Topaz to take would be to: A. discontinue coverage. B. change assigned analyst. C. upgrade recommendation. By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may view and print the exam f
25、or personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting t
26、he mock exam for any purpose. Erica Huang Case Scenario Erica Huang is a derivatives trading advisor for Eastern Funds Company with expertise in forward and futures markets and contracts. She helps Easterns portfolio managers to evaluate forward and futures contracts and to make appropriate decision
27、s when the use of these derivatives is required. When working with the portfolio managers, who have varying levels of derivatives knowledge, Huang is asked for input on issues of both an analytical and a conceptual nature. Three managers have approached her with the situations described below. Some
28、of her responses to the portfolio managers rely on the financial market information given in Exhibit 1. Exhibit 1 Financial Market Information U.S. Three-month (90 day) Annualized Risk-free Rate 6.00% U.S. Continuously Compounded Six-month (180-day) Annualized Risk-free Rate 5.83% Broad Equity Index
29、 Level 1,250.00 Broad Equity Index Continuously Compounded Annualized Dividend Yield 3.00% Japanese Three-month (90 day) Annualized Risk-free Rate 1.00% Japanese Yen Spot Price 112.00/$ Manager A, an equity manager, has two requests: 1) Six months ago, to hedge against an expected decline in the val
30、ue of a common stock of which he held 100,000 shares, he entered into a forward contract to sell the underlying stock at a price of $80. The forward contract has three months to expiration and the stock is currently trading at $75. He wants to know the value of his current position on a per share ba
31、sis. 2) He expects equities to go up and would like to take a long position in a 180-day forward contract on the Broad Equity Index, which a dealer has priced at 1,285.88. He wants to know whether the forward contract is fairly priced. Manager B manages Easterns Global Fund whose shareholders have a
32、pproved the use of derivatives for hedging purposes. Knowing that she will receive a yen dividend payment in 90 days, she wants to know at what forward price she can sell yen for dollars. She also wants to understand the risks, if any, of entering into a forward contract and asks the following quest
33、ion: By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and
34、/or legal action: accessing or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. “If I agree to sell yen for dollars through a forward contract, am I guaranteed to be ab
35、le to sell the number of yen at the price stated in the forward contract at its expiration?” Manager C is responsible for a commodity portfolio and asks Huang the following questions: 1) “Because of mark-to-market, does a futures contract always have zero value? 2) Do convenience yields impact futur
36、es prices?” 7. Using a 360-day year, the current value of Manager As short position in the stock forward contract is closest to: A. $2.73. B. $3.84. C. $5.00. 8. Using a 365-day year, Huangs most appropriate response to Manager A with regard to the Broad Equity Index forward contract is that the con
37、tract is: A. fairly priced. B. not fairly priced because the no-arbitrage price should be 1,267.57. C. not fairly priced because the no-arbitrage price should be 1,268.36. 9. Using a 365-day year, the 90-day yen/dollar forward price should be closest to: A. 106.72/$US. B. 110.67/$US. C. 113.34/$US.
38、10. Huangs most appropriate response to Manager Bs question is no, because if the yen decreases in value compared to the dollar, Manager B: A. will terminate the forward contract early. B. faces the risk the other party will default at expiration. C. will pay a mark-to-market adjustment resulting in
39、 a higher overall cost. 11. What is Huangs most appropriate response to Manager Cs first question? A. Yes. B. No, a futures contract has a value based on the price change since its last mark-to-market. C. No, a futures contract has a value based on the price change expected prior to expiration. By a
40、ccessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal
41、 action: accessing or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. 12. Huangs most appropriate response to Manager Cs second question is they will: A. increase the
42、futures price. B. decrease the futures price. C. not impact the futures price. By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently-registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The follo
43、wing activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. Yeongsan Secur
44、ities Case Scenario Hee-young Park, CFA is a senior portfolio manager at Yeongsan Securities, a Korean investment management firm. She manages the firms U.S. fixed income investments. Yeongsan owns $15 million in Alleghany Manufacturing Corp bonds. In preparation for analyzing the credit quality of
45、the Alleghany bonds, Park has gathered financial data for the firm for 2007-2009, which is presented in Exhibit 1 below. Exhibit 1 Alleghany Financial Data (millions of US$) 2009 2008 2007 Revenue 1,245 1,174 1,149 COGS 641 638 672 Selling copying, posting to any website, emailing, distributing and/
46、or reprinting the mock exam for any purpose. Factor 3: expect to see periodic certification by Alleghany that it is in compliance with all of the bonds covenants. Park is evaluating a number of other securities for possible purchase. The bonds being considered include callable and non-callable corpo
47、rate bonds with the same credit rating. Park wants a measure of how cheap or rich each security is relative to the others. In addition to managing credit risk, Park is responsible for managing the interest rate risk of her portfolios. She measures the interest rate risk of each portfolio for four ma
48、turities; 2, 5, 10, and 20 years. Each portfolios interest rate sensitivity is measured for a variety of yield curve change scenarios. Exhibit 2 below shows one portfolios dollar exposure to the four maturities, the key rate duration of maturity, the current yield at each maturity, and three yield c
49、urve scenarios. Exhibit 2 Key Rate Exposure, Current Yield Curve and Yield Curve Scenarios Maturity (years) 2 5 10 20 Key rate durations (years) 2 5 10 20 Portfolio key rate exposure ($millions) 60 30 15 40 Current yield curve 3.20% 3.85% 4.30% 4.75% Yield curve scenario 1 +0.50% +0.50% +0.50% +0.50% Yield curve scenario 2 +0.25% +0.50% +0.75% +1.00% Yield curve scenario 3 +1.00% +0.75% +0.50% +0.25% 13. Alleghanys pretax return on capital indicates that its financial performance has most likely: A. improved. B. worsened. C. stayed the same. 14. Which of t
