FRM一级模拟题
1 . Which of the following statements regarding the lease rate in commodity futures contracts is incorrect?
I The lease rate is the return required by the lender in exchange for lending a commodity.
II Assuming it is positive, as the lease rate increases, the futures price for a commodity increases.
III In a cash-and-carry arbitrage, the lease rate is earned whether or not the underlying commodity is actually loaned.
IV Lease rates are similar to dividends paid lo the lender of a share of common stock.
V If the lease rate is less than the risk-free rate, the forward market is said to be in contango.
A . II and III
B . III and V
C . I, III, and V
D . II and IV
Answer: A
The lease rate is the amount that a lender requires as compensation for Jending a commodity. In determining the price of a commodity futures contract, the lease rate, 81, is subtracted from the risk-free rate, r, as follows:
Assuming a positive lease rate, the lease rate effectively reduces the futures price, all else constant.
This also assumes that there is an active market for lending the commodity underlying the futures contract. The lease rate can only be earned by actually lending the underlying commodity.
2 . .Consider the factors that affect the price of futures contracts on various commodities. Which of the following statements does not accurately describe the relationship between a commodity's futures price and its underlying factors?
A. Gold futures have an implicit lease rate which, because it is not actually paid by commodity borrowers, creates incentive to' hold physical rather than synthetic gold as ideal strategy to gain gold exposure.
B. Natural gas is produced relatively consistently but has seasonal demand, causing the futures price to rise steadily in the fall months, since natural gas is too expensive to store.
C. The cost of storing corn, which has relatively constant demand, causes the futures price to rise until the next harvest at which point the price falls.
D. Relatively constant worldwide demand for oil and its ability to be cheaply transported keep oil prices relatively stable in the absence of short-run supply and demand.
Answer: A
Gold futures have an implicit lease rate, because it is not actually paid by commodity borrowers, which creates incentive to hold physical rather than synthetic gold as ideal strategy to gain gold exposure.
(the price for borrowing the gold) to the lender. Thus, holding physical gold requires the investor to forgo earning the lease rate while also incurring storage costs. Therefore, the ideal gold exposure strategy is generally to hold synthetic gold.
3 . The S&P 500 index is trading at l,025. The S&P 500 pays an expected dividend yield of l .2% and the current risk-free rate is 2.75%. The value of a 3-month futures contract on the S&P 500 index is closest to:
A. $1,028.98
B. $1,108.59
C. $984.86
D. $1,025.00
Answer: A
4 . Which of the following statements describing the role of a convenience yield in pricing commodity futures is true? The convenience yield:
I will cause contango in the futures pricing relationship.
II Effectively reduces the cost of carry in the futures pricing relationship.
III Eliminates the potential for arbitrage between the futures and spot price.
IV Accounts for additional costs for storing an asset in the futures pricing Relationship.
A. I only
B. II only
C. II, III, an d IV only
D. I and II only
Answer: B
The convenience yield suggests there is a benefit, or convenience, to owning the spot asset. This generally means the spot price of the underlying asset will be above the futures price (normal backwardation). The convenience yield serves to reduce the cost of carry in the futures pricing relationship. .
5 . Consider a 6-month futures contract on the S&P 500, and suppose the current value of the index is1330. Suppose the dividend yield is l.5% annually for the stocks underlying the index, and that the continuously compounded risk-free interest rate is 5.5% annually. What is the cost of carry for this futures contract?
A. 4.0%
B. -4.0%
C. 2.0%
D. -2.0%