2011金程教育CFA一级源代码系列NO.3权益专题

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金程教育 2011 年 CFA 一级“源代码”系列 ──CFA I 源代码 NO.3 权益专题
特别批注：金程“源代码”NO.3 权益专题
第一部分：Equity 中知识点补充 1. short position：short seller create short positions in contracts by selling contracts that they do not own. 成为 issuer of the contract 当更低价格 repurchase 时候能获得盈利 Short 方的 Losses 无限（股份涨得越高，亏得越多） ，收益有限（股价最多跌 至到零，此时的最高收益为期初的卖价） Short seller 需要支付该期间卖空股票已经发放的股利，payments-in-lieu of dividends，可能税务处理上与实际发生股利（利息）是不同的，different tax treatments than actual dividends and interest 合同中会 protect the lenders of securities in the event of a stock split To secure the security loans, lenders require that the short seller leave the proceeds of the short sale on deposit with them as collateral for the stock loan. 所以，Short sale 的一方不需额外支付 initial margin. They invest the collateral in short-term securities, and they rebate the interest to the short sellers at rates called short rebate rates. 一般比
1-7 专业来自百分百的投入

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隔夜拆解利率低 0.1% Traders who sell securities short are also subject to margin requirements, because they have borrowed securities. Initially, the trader’s equity supporting the short position must be at least equal to the margin requirement times the initial value of the short position. If prices rise, equity will be lost. At some point, the short seller will have to contribute additional equity to meet the maintenance margin requirement. Otherwise, the broker will buy the security back to cover the short position to prevent further losses and thereby secure repayment of the stock loan. 2. leveraged positions trader 可以向 broker 借款买股票，该借款利率称为 call money rate call money rate 高于 government bill rate 并且可以协商 大机构的 call money rate 往往相当低，因为 loans are generally well secured by securities held as collateral by the lender. 在美国，Federal Reserve Board 设定 initial margin requirement To prevent losses, brokers require that margin buyers always have a minimum amount of equity in their positions. This minimum is called the maintenance margin requirement. The maximum leverage ratio = 1/minimum margin requirement. If the requirement is 40%, the maximum leverage ratio is 2.5 = 100% position /40% equity 3. comparsion of Potential gains/loss between long and short positions The potential gains in a long position generally are unbounded. The potential losses on long positions are limited to no more than 100% - a complete loss for long positions without any associated liabilities. In contrast, the potential gains on a short position are limited to no more than 100%, whereas the potential losses are unbounded. 4. Computation of the Price Triggering a Margin Call when margin purchase Margin Call Price for a Long Position
? 1 ? IM ? PL' = P0 ? ? ? 1 ? MM ?
5.
stop order 分为 stop-buy order 和 stop-sell order. stop-buy order 类似于 call, 因为约定将来以一个价格买入 stop-sell order 类似于 put，因为约定将来以一个价格卖出
6.
习题一：Lauren has a margin account and deposits $50,000. Assuming the
2-7 专业来自百分百的投入

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prevailing margin requirement is 40 percent, commissions are ignored, and the Gentry Shoe Corporation is selling at $35 per share. If the maintenance margin is 30 percent, to what price can Gentry Shoe fall before Lauren will receive a margin call? Solution: Margin = (Market value - Debit balance)/Market value, where Market value = Price per share*Number of shares Initial loan value= Total investment - Initial margin= $125,000 - $50,000 = $75,000 Therefore, if maintenance margin is 30 percent: 0.30 =[(3,571* Price) - $75,000]/(3,571 * Price) Price = $30.00 或者：我们也可以直接公式进行计算：
7.
? 1 ? IM ? ? 1 ? 40% ? PL' = P0 ? ? = 30 ? = 35? ? 1 ? MM ? ? 1 ? 30% ? 习题二：Suppose you buy a round lot of Magin Industries stock on 55 percent
margin when the stock is selling at $20 a share. The broker charges a 10 percent annual interest rate, and commissions are 3 percent of the total stock value on both the purchase and sale. A year later you receive a $0.50 per share dividend and sell the stock for 27. What is your rate of return on the investment?
Solution： Profit = Ending value - Beginning value + Dividends - Transaction costs – interest of loan Beginning value of investment = $20*100 shares =$2,000 Your investment= Margin requirement + Commission =(0.55*$2,000) + (0.03*$2,000)=($1,100 + $60)= $1,160 Ending value of investment = $27*100 shares=$2,700 Dividends = $0.50*100 shares = $50.00 Transaction costs (Commission) = (0.03*$2,000) + (0.03*$2,700) = $60 + $81= $141 Interest of loan=0.10*(0.45*$2,000) =$90.00 Therefore: Profit =$2,700 - $2,000 + $50 - $141- $90=$519 The rate of return on your investment of $1,160 is: $519/$1,160 =44.74% 第二部分：答疑
1. 2010mock-m percentage-of-completion method 问题 3-7 专业来自百分百的投入

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48. A company entered into a three-year construction project with a total contract price of $5.3 million and an expected total cost of $4.4 million. The following table provides cash flow information relating to the contract: All figures in $ Year 1 Costs incurred and paid Amounts billed and payments received recognized in Year 2 will be closest to: A. 2,800,000. B. 3,372,727. C. 3,616,636. Answer: C The revenue reported is equal to the percentage of the contract that is completed in that period, where percentage completion is based on costs. In year 1, the percent completed is 600,000/4,400,000=13.64%, Revenue recognized=5.3m× 13.64% in year1 In Year 2, the percent completed is $( 600,000+3,000,000)/$4,400,000 = 81.82%, resulting in 81.82% x 5.3m, revenue being recognized during in year1 and year2. Therefore, revenue recognized in year 2=81.82% x 5.3m-5.3m×13.64% 当然，在此题中，由于预计成本是不变的，也可以直接用第 2 年发生的成本除以总成本就可以算出第 2 年 的完工比例，即第 2 年确认的销售收入＝3,000,000/$4,400,000×5.3m 2011mock -49 A company uses the percentage-of-completion method to recognize revenue from its long term construction contracts and estimates percent completion based on expenditures incurred as a percentage of total estimated expenditures. A three-year contract for €10 million was undertaken with a 30% gross profit anticipated. The project is now at the end of its second year, and the following end-of-year information is available: Year 1 Costs incurred during year €3,117,500 Estimated total costs A. €617,500. B. €880,000. C. €960,000. Answer = A 第 1 年： 完工比例为＝ 3,117,500/7,250,000 = 43.0%， 则销售收入＝10,000,000×43％＝4,300,000, 则第 1 年的毛利＝销售收入-成本＝4,300,000-3,117,500＝1,182,500 第 2 年：完工比例为=(3,117,500+2,582,500)/ 7,600,000=5,700,000/7,600,000 = 75.0%，则第 1 年和第 2 年累计销售收入＝10,000,000×75％＝7,500,000, 第 1 年和第 2 年累计确认的毛利＝ 7,500,000-5,700,000＝1,800,000 则第 2 年确认的毛利＝第 1 年和第 2 年累计确认的毛利-第 1 年的毛利＝1,800,000-1,182,500=617,500 解释：在确认收入时，要按照成本的进度来进行，但是每次都是累计确认的，再减去以前年度确认的，就 可得到本年确认的。如果预计成本不变时，可以直接用成本的比例计算当期的收入（如本例的第一题）； 如果预计成本变化时，要逐年累积计算，方法如本例的第二题。 7,250,000 Year 2 €2,582,500 7,600,000 600,000 1,200,000 Year 2 3,000,000 2,800,000 Year 3 800,000 1,300,000
If the company uses the percentage-of-completion method, the amount of revenue (in $)
The gross profit recognized in year 2 is closest to:
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A 182-day U.S. Treasury bill has a face value of $100,000 and currently sells for $98,500. Which of the following yields is most likely the lowest?
A. Bank discount yield B. Money market yield C. Holding period yield Answer: C “Discounted Cash Flow Applications,” Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA 2010 Modular Level I, Vol. 1, pp. 253-257 Study Session 2-6-d, e Calculate and interpret the bank discount yield, holding period yield, effective annual yield, and money market yield for a U.S. Treasury bill. Convert among holding period yields, money market yields, effective annual yields, and bond equivalent yields. The holding period yield is: (100 – 98.5) / 98.5 = 0.015228. This is less than the bank discount yield: ((100-98.5) / 100) × (360 / 182) = 0.02967. It is also less than the money market yield: (360 × 0.02967) / (360 – 182 × 0.02967) = 0.030122. Money market yield 不太理解什么意思，答案的公式好像和书上的公式不太一样，希望能给解释下 解答： 持有期收益率＝（P1-P0+income）/P0＝ (100 – 98.5) / 98.5 = 0.015228 the bank discount yield=discount/F×360/t =((100-98.5) / 100) × (360 / 182) = 0.02967 the money market yield=interest/P0×360/t =((100-98.5) / 98.5) × (360 / 182)= 0.030122 此处：P0=98.5，P1=100, Interest＝Discount＝P1-P0 这个题比较怪！主要是考定义，直接按公式来计算就可以了。持有期收益率没有年化，其他的都年化了。 而且，对于这笔投资来讲，Money market rate>bank discount rate, 因为前者是按 P0 来计算，后者 是按 P1 来计算，由于利息是一样的。 如果计算 EAR，则 EAR 是最小的，因为它有复利因素的影响。所以，对于两样的一笔投资来讲，在比较 收益率关系时，一定有：(EAR 与 bank discount rate 的比较，要取决于具体的题目) Money market rate>bank discount rate Money market rate>EAR 最简单的方法，按定义直接计算。 3. money-weighted return 总是小于 time-weighted return 吗？ 如果写的是 made an investment at the end of every year,答案会不同么？ 解答：最笨的方法，利用现金流直接进行计算。 首先，time-weighted return（几何平均数），是不会受了现金流（时期、方向和大小）的影响。 其次，money-weighted return（IRR），是会受到现金流（时期、方向和大小）的影响。 最后，给两个例子说明问题。初始投资一定是存在的。 如果收益率的关系为： r1=10%, r2=-10%， 如果在第一年的年末投资一笔， 此时 money-weighted return 小于 time-weighted return 如果收益率的关系为：r1=-10%, r2=＋10%，如果在第一年的年末投资一笔，此时 money-weighted return 大于 time-weighted return
5-7 专业来自百分百的投入

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你所说的“如果写的是 made an investment at the end of every year,答案会不同么”是有点问题的， 因为第一期的期初一定是有投入的，否则第一期是不要讨论的。我们要关注的是，如果中间有投入将会怎 样？具体分析如上，即如果投入期的收益率较高，则提升 IRR；如果投入期的收益率较低，则降低 IRR。 4. 老师问一下, 会计里面, bond 那部分如果 interest rate change. B/S 中了 libility 中 bond 价值 要变吗? 2011 notes 中 273 页第 6 题怎么解释啊 5. 百题 Q75-1
Q1:discretionary and nondiscretionary accounts 指的是？ Q2:怎么看出来题目里面说了含有两种不 同的投资风格？ 解答： 原题：★★Fundamental?Asset?Managers?(FAM)?claims?compliance?with?the?CFA?Institute?Global?
Investment?Performance?Standards?(GIPS)?and?manages?both?discretionary?and?nondiscretionary accounts. Alma Dzuya, CFA, includes all discretionary, fee‐paying value and growth accounts when?constructing?a?composite?for?FAM.?Does?the?composite?Dzuya?constructed?most?likely?meet GIPS?criteria??(Mock79‐11) A. Yes. B. No,?because?value?and?growth?accounts?are?included, C. No,?because?nondiscretionary?accounts?are?not?included?
在 GIPS 中， 在构建 Composite 时， 必须将相同或类似投资策略或风格的组合放在同一个 Composite 中， 在本题中 Value 和 Growth 属于两个不同的投资风格， 应该放在两个不同的 Composites 中， 而不是放在 一起。此题太“阴险”了! 应该选 B。 6. Mock 80 的 63 A company reported net income of 130 million and cash flow from operations of 100 milllion. The most likely explannation for the net income being larger than the cfo is that the: A realized a loss on long-term investments sold during the year B. purchased new property, plant and equipment at the beginning of the year C. took advantage of substantial trade discounts, lowering the balance in accounts payable during the year. 为什么选 A， 而其他两个选项不可以 解答：应该选 C。 CFO=NI+loss-gain+depreciation-△inventroy-△A/R+△A/P A 选项，有 Loss 则应该加回来，则 CFO 会增加 B 选项，购买了长期资产，则折旧较大，则要加，则 CFO 会增加 C 选项，由于归还了应付帐款（A/P）,则应付帐款减少，则 CFO 减少。
7.
关于 treasury stock 问题 Mock 75/87
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Stock price:78, shares currently outstanding: 1000000, Contributed CapitalL 42000000, adiitional paid-capital: 135000000, Treasury stocks(5000):14000000, Ending R/E: 21000000. 求 price/book value Mock80/90 Common Stock($2.00par value. Authorized: 3million shares; issued: 2million shares) additional paid-in-capital:12000000 R/E: 5000000 Treasury Stock: 3000000 Current stock price per share:20 求 price to book value per share 请问这两道题中都要在总股本中把 treasury stock 减掉吗？ 解答： Treasury stock 是指股票的回购， 在没有注销前， 作为资本的备抵项 （offset items against capital） , 在计算权益时，要将 Treasury stock 减掉。举一个简单例子，如果一家公司的股本是 100，资本公积为 50，库存股为 30，其在 B/S 表中所列如下： Common Stock Paid-in capital in excess of par (Treasury Stock Equity=100+50-30=120 100 50 30)
7-7 专业来自百分百的投入