NO.PZ2019011002000021
问题如下：
Foodsdelivery is a US company. The bonds issued by this company are included in the on-the-run CDX high yield (HY) index. TXT, a derivatives trading company sold $200 million of protection on this CDX index and the index contains 100 entities. Recently, Foodsdelivery is forced by its creditors to involuntarily restructure on its debt, and as a result, all outstanding principal obligations will be reduced by 50%.
According to the information above, following Foodsdelivery restructuring, the CDX HY notional will be closest to:
选项：
A.200 million
B.198 million
C.194 million
解释：
A is correct.
考点：对CDS index的理解，以及对Restructuring的理解
解析：
CDS index里面每一个成份都是等权重的，当某家公司发生Credit events之后，该公司就按照比例从该Index去除，index的Notional principal也按照比例下降。所以关键就是要确定该公司的Restructuring能否算作Credit event。Restructuring要算作Credit event需要满足两点，第一是由债权人强制公司 （ Forced on the borrower ），即公司被动地执行 （ involuntarily ）。本题信息满足这两点，但是需要注意在美国Restructuring不能算作Credit event，而在欧洲Restructuring算作Credit event。因此本题的CDX HY notional不变。
Foodsdelivery is a US company. The bonds issued by this company are included in the on-the-run CDX high yield (HY) index. TXT, a derivatives trading company sold $200 million of protection on this CDX index and the index contains 100 entities. Recently, Foodsdelivery is forced by its creditors to involuntarily restructure on its debt, and as a result, all outstanding principal obligations will be reduced by 50%.
According to the information above, following Foodsdelivery restructuring, the CDX HY notional will be closest to:
老师您好，请问下这题sold $200 million of protection on this CDX index and the index contains 100 entities，有个问题不是太懂，就是这个200 million是FOOD这家公司支付的保费吗？还有就是这题这个我和那个赔付的金额有点混在一起，请问这个赔付的金额是200/100*0.5吗？
