金融市場與機構(gòu)Madura第九版題庫ch13.doc

Financial Futures Markets v 13Chapter 13Financial Futures Markets1.A(n) _ is a standardized agreement to deliver or receive a specified amount of a specified financial instrument at a specified price and date.A)option contractB)brokerage contractC)financial futures contractD)margin callANSWER: C 2. Interest rate futures are not available onA) Treasury bonds.B) Treasury notes.C) Eurodollar CDs.D) the S&P 500 index.ANSWER:D3. _ take positions in futures to reduce their exposure to future movements in interest rates or stock prices.A) HedgersB) Day tradersC) Position tradersD) none of the aboveANSWER:A4._ trade futures contracts for their own account.A)Commission brokersB)Floor brokersC)Commission tradersD)Floor tradersANSWER: D 5. The initial margin of a futures contract is typically between _ percent of a futures contracts full value.A) 0 and 2B) 5 and 18C) 25 and 40D) 45 and 60ANSWER:B6. Futures exchanges facilitate the trading process and take buy or sell positions on futures contracts.A) TrueB) FalseANSWER: B7.If the prices of Treasury bonds _, the value of an existing Treasury bond futures contract should _.A)increase; be unaffectedB)decrease; be unaffectedC)A and BD)decrease; decreaseE)decrease; increaseANSWER: D 8.Assume that a Tbill futures contract with a face value of $1 million is purchased at a price of $95.00 per $100 face value. At settlement, the price of Tbills is $95.50. What is the difference between the selling and purchase price of the futures contract?A)$.50B)$50C)$500D)$5,000E)none of the aboveANSWER: D 9.If speculators believe interest rates will _, they would consider _ a Tbill futures contract today.A)increase; sellingB)increase; buyingC)decrease, sellingD)decrease; purchasing a call option onANSWER: A 10.Financial futures contracts on U.S. securities are _ by non-U.S. financial institutions.A)not allowed to be tradedB)are rarely desiredC)are commonly tradedD)A and BANSWER: C11.Assume that speculators had purchased a futures contract at the beginning of the year. If the price of a security represented by a futures contract _ over the year, then these speculators would likely have purchased the futures contract for _ than they can sell it for.A)increased; moreB)decreased; lessC)remains the same; moreD)increased; lessANSWER: D 12.Assume that a futures contract on Treasury bonds with a face value of $100,000 is purchased at 9300. If the same contract is later sold at 9418, what is the gain, ignoring transactions costs?A)$1,180,000B)$118C)$11,800D)$15,625E)$1,562.50ANSWER: E 13. The use of financial leverageA) magnifies the positive returns of futures contracts.B) magnifies losses of futures contracts.C) both A and BD) none of the aboveANSWER:C14.According to the text, when a financial institution sells futures contracts on securities in order to hedge against a change in interest rates, this is referred to asA)a long hedge.B)a short hedge.C)a closed out position.D)basis trading.ANSWER: B 15.A financial institution that maintains some Treasury bond holdings sells Treasury bond futures contracts. If interest rates increase, the market value of the bond holdings will _ and the position in futures contracts will result in a _.A)increase; gainB)increase; lossC)decrease; gainD)decrease; lossANSWER: C 16.The basis is theA)difference between the price of a security and the price of a futures contract on the security.B)gain or loss from hedging with futures contracts.C)difference between a futures contract price and the initial deposit required.D)price paid for a futures contract after accounting for transactions costs.E)price paid for an option contract.ANSWER: A 17.The profits of a financial institution with interestrate sensitive liabilities and interest rateinsensitive assets are _ with hedging than without hedging if interest rates decrease.A)higherB)the sameC)lowerD)higher or the sameANSWER: C 18.Assume that a bank obtains most of its funds from large CDs with a oneyear maturity. Its assets are in the form of loans with rates that adjust every six months. The bank would be _ affected if interest rates increase. To partially hedge its position, it could _ futures contracts.A)adversely; purchaseB)favorably; sellC)favorably; purchaseD)adversely; sellANSWER: C 19.According to the text, a futures contract on one financial instrument to protect a position in a different financial instrument is known asA)crosshedging.B)ratio hedging.C)basis hedging.D)liquid hedging.ANSWER: A 20. The effectiveness of a cross-hedge depends on the degree of correlation between the market values of the two financial instruments.A) TrueB) FalseANSWER:A21.If a futures contract is more volatile than the portfolio value, the amount of principal represented by the futures contracts to hedge the portfolio is _ the market value of the securities to be hedged.A)smaller thanB)greater thanC)equal toD)B and C are both possibleANSWER: A 22. In cross-hedging, if the futures contract value is _ volatile than the portfolio value, hedging will require a _ amount of principal represented by the futures contracts.A) less; greaterB) more; greaterC) more; smallerD) none of the aboveANSWER:B23. Municipal Bond Index (MBI) futuresA) involve a physical exchange of bonds.B) are based on a Treasury bond index.C) are based on actively traded corporate bonds.D) are settled in cash.ANSWER:D24.Systemic risk reflects the risk that a particular event couldA)cause losses at a firm due to inadequate management control.B)spread adverse effects among several firms or among financial markets.C)cause a loss in value due to market conditions.D)have a larger effect on the futures position than on the position being hedged.ANSWER: B 25.A savings and loan association has longterm fixedrate mortgages financed by shortterm funds. It hedges by selling Treasury bond futures. If interest rates decline, and many mortgages are prepaid A)the gain on the futures contracts offsets the loss on the mortgages.B)the gain on the mortgages offsets the loss on the futures contracts.C)the gain on the futures contracts more than offsets any unfavorable effects on mortgages.D)a loss on the futures contracts more than offsets the favorable effect on the mortgage portfolio.ANSWER: D 26.If a financial institution expects that the market value of its municipal bonds will decline because of economic conditions, it could hedge its position by _ futures contracts on _.A)purchasing; Treasury bondsB)purchasing; the S&P 500 IndexC)purchasing; a Municipal Bond IndexD)selling; a Municipal Bond IndexANSWER: D27.The net gain or loss on a futures contract for a stock index that is not closed out is based on the difference between the futures price when the initial position was created and the futures price atA)the settlement date.B)the date at which the futures price reaches its maximum.C)the date at which the futures price reaches its minimum.D)the date three months beyond the date when the initial position was taken.ANSWER: A 28.The value of an S&P 500 futures contract is $500 times the index. Assume the futures price on the S&P 500 index is 1612 at the time of purchase. If the index price is $1619 when the position is closed out, the gain isA)$700.B)$7,000.C)$3,190.D)$3,120.E)$3,500.ANSWER: E 29.Assume that a stock mutual fund uses stock index futures as it conducts dynamic asset allocation. This means that the mutual fundA)liquidates its stocks whenever it expects a market downturn.B)maintains a constant buy position in stock index futures.C)maintains a constant sell position in stock index futures.D)none of the aboveANSWER: D30.Companies with international trade can hedge _ by _ currency futures.A)payables; sellingB)receivables; buyingC)payables; buyingD)A and BE)B and CANSWER: C 31.Assume that corporate bond portfolio managers are concerned about the possibility of many bond defaults resulting from a future recession. A short position in Treasury bond futures _ an effective hedge against the default risk. A short position in Treasury bill futures _ an effective hedge against the default risk.A)would be; would beB)would be; would not beC)would not be; would not beD)would not be; would beANSWER: C 32.The buying or selling of stock index futures with a simultaneous opposite position in the stocks comprising that index is known asA)program arbitrage.B)covered interest arbitrage.C)index arbitrage.D)future arbitrage.ANSWER: C 33.When securities firms capitalize on discrepancies between prices of index futures and stocks, they are acting as so-calledA)raiders.B)greenmailers.C)buyout artists.D)arbitrageurs.ANSWER: D 34.Trading restrictions imposed on specific stocks or stock indices are referred to asA)index busters.B)index options.C)circuit breakers.D)protective covenants.ANSWER: C 35. Financial leverage, when used in association with a futures contract, _ the positive returns and _ losses.A) magnifies; reducesB) reduces; magnifiesC) magnifies; magnifiesD) reduces; reducesANSWER: C 36.Currency futures may be purchased to hedge _ or to capitalize on the expected _ of that currency against the dollar.A)receivables; appreciationB)receivables; depreciationC)payables; depreciationD)payables; appreciationANSWER: D 37.The risk that the position being hedged by a futures position is not affected in the same manner as the instrument underlying the financial futures contract, is referred to asA)market risk.B)liquidity risk.C)default risk.D)basis risk.ANSWER: D 38. Dynamic asset allocation involves the switching between risky and low-risk investments by institutional investors over time in response to changing expectations.A) TrueB) FalseANSWER:A39. The prices of stock index futuresA) are always the same as the prices of the stocks representing the index.B) are always a little above the prices of the stocks representing the index.C) are always a little below the prices of the stocks representing the index.D) none of the aboveANSWER: D40.The actions of numerous institutional investors to sell stock index futures instead of selling stocks to prepare for a market decline would likely cause the index futures price to beA)equal to the prevailing stock prices.B)below the prevailing stock prices.C)above the prevailing stock prices.D)negative.ANSWER: B 41.Speculators in futures contracts that normally close out their futures positions on the same day that the positions were initiated are referred to asA)day traders.B)hedgers.C)closed-end traders.D)position traders.ANSWER: A42.Speculators in futures contracts that normally maintain the futures position that they initiate for extended periods of time (such as weeks or months) are referred to asA)day traders.B)hedgers.C)closed-end traders.D)position traders.ANSWER: D43. Which of the following is incorrect regarding organized exchanges trading financial futures contracts?A) Organized exchanges establish and enforce rules for the trading of financial futures contracts.B) Organized exchanges ensure that the seller of the futures contract always delivers the securities covered by the contract, whether the contract was settled prior to the settlement date or not.C) Organized exchanges clear, settle, and guarantee all transactions that occur on their exchanges.D) The operations of financial futures exchanges are regulated by the Commodity Futures Trading Commission (CFTC).E) All of the above are correct.ANSWER: B44. Marcia buys an S&P 500 futures contract with a September settlement date when the index is 1,750. By the settlement date, the S&P 500 index falls to 1,400. The return on Marcias position in the S&P 500 futures contract is _ percent.A) -20B) -10C) 25D) 20E) 0ANSWER: A45. Laura sells an S&P 500 futures contract with a September settlement date when the index is 1,750. By the settlement date, the S&P 500 index falls to 1,400. The return on Lauras position in the S&P 500 futures contract is _ percent.A) -20B) -10C) 25D) 20E) 0ANSWER: C46. Assume a corporation is receiving a large amount of funds in the near future. The company plans to use the funds to purchase municipal bonds. Also assume that the company is concerned that interest rates decrease before the purchase date, which would make the municipal bonds more expensive. In order to hedge against this possibility, the company should _ MBI futures contracts. If interest rates decrease, the futures contract will generate a _.A) sell; lossB) purchase; gainC) purchase; lossD) sell; gainE) none of the aboveANSWER: B47. If there are _ traders with buy offers than sell offers for a particular contract, the futures price will _ until this imbalance is removed.A) more; decreaseB) more; riseC) fewer; riseD) none of the aboveANSWER: B48. Which of the following statements is incorrect?A) Circuit breakers are trading restrictions imposed on specific stocks or stock indexes.B) Circuit breakers guarantee that prices will turn upward.C) Circuit breakers may be able to prevent large declines in prices that would be attributed to panic selling rather than to fundamental forces.D) Circuit breakers may allow investors to determine whether circulating rumors are true.ANSWER: B49. _ risk is the risk of losses as a result of inadequate management or controls.A) BasisB) SystemicC) OperationalD) PrepaymentANSWER: C50. Financial futures contracts on stock indexes are referred to as interest rate futures.A) TrueB) FalseANSWER:B51. Financial futures contracts are rarely sold over the counter.A) TrueB) FalseANSWER:B52. Brokers commonly require margin deposits from their customers above those required by the exchanges.A) TrueB) FalseANSWER:A53. Purchasers of financial futures contracts usually know who the sellers are, and vice versa.A) TrueB) FalseANSWER:B54. The futures price is mainly a function of the prevailing price of the underlying security plus an expected adjustment in that price by the settlement date.A) TrueB) FalseANSWER:A55. A financial institution that hedges with interest rate futures is less sensitive to economic events than an institution that does not hedge.A) TrueB) FalseANSWER:A56. A bond index futures contract allows for the buying, but not the selling, of a bond index for aspecified price at a specified date.A) TrueB) FalseANSWER:B57. Market participants who expect the stock market to perform poorly before the settlement date may consider selling S&P 500 index futures.A) TrueB) FalseANSWER:A58. Stock index futures cannot be closed out before the settlement date.A) TrueB) FalseANSWER:B59. The value of a stock index futures contract has little correlation with the value of the underlying stockindex.A) TrueB) FalseANSWER:B60. Since stock index futures prices are primarily driven by movements in the corresponding stockindexes, participants in stock index futures monitor indicators that may signal changes in the stock indexes.A) TrueB) FalseANSWER:A61. The price of stock index futures may reflect investor expectations about the market more rapidly thanstock prices.A) TrueB) FalseANSWER:A62. Financial futures contracts on U.S. securities are commonly traded by non-U.S. financial institutionsthat maintain holdings of U.S. securities.A) TrueB) FalseANSWER:A63. Purchasers of currency futures contracts are required to hold the contract until the settlement date andaccept delivery of the foreign currency at that time.A) TrueB) FalseANSWER:B64. Which of the following statements is incorrect regarding organized exchanges trading financialfutures contracts?A) Organized exchanges establish and enforce rules for the trading of financial futures contracts.B) Organized exchanges ensure that the seller of the futures contract always delivers the securities covered by the contract, whether the contract was settled prior to the settlement date or not.C) Organized exchanges clear, settle, and guarantee all transactions that occur on their exchanges.D) The operations of financial futures exchanges are regulated by the Commodity Futures Trading Commission (CFTC).E) All of the above are correct.ANSWER: B65. Stock index futures are priced _ than the stock index itself.A) higherB) lowerC) either higher or lowerD) none of the aboveANSWER: C66. An unexpected _ in the consumer price index tends to create expectations of _interest rates and places _ pressure on Treasury bond futures prices.A) increase; higher; downwardB) increase; lower; downwardC) increase; high