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Joanne · 2023年04月30日

为什么不是选B?

NO.PZ2019011002000013

问题如下:

ABC is a French wealth management company. It invested $10 million in Corporation D’s 10-year senior unsecured bond. Being afraid that company D would default, ABC purchased a $10 million CDS on company D with a standardized coupon rate of 5%.

3 months later, company D files for bankruptcy, triggering various CDS contracts. ABC wealth company assesses the credit quality of the corporate bond they invested and the value of the CDS on the bond.

The following is the relevant information on Corporation D’s bonds currently trading in the market:

Bond 1: A 5-year senior unsecured bond trading at 40% of par.

Bond 2: A 10-year senior unsecured bond trading at 50% of par

Bond 3: A 6-year subordinated unsecured bond trading at 30% of par.

According to the information above, what is the cheapest-to-deliver obligation for a senior CDS contract?

选项:

A.

30%

B.

40%

C.

50%

解释:

B is correct.

考点:CDS cheapest-to-deliver的理解

解析:

从Senior债券里面找Cheapest-to-deliver,Bond 1符合条件。注意,尽管Bond 3的价格更低,但是他是Subordinated,不在Senior CDS的保护范围里。

 题目中提到“It invested $10 million in Corporation D’s 10-year senior unsecured bond”,B对应的是10-year senior unsecured bond,为什么选择5-year senior unsecured bond对应的rate?

1 个答案

pzqa015 · 2023年05月01日

嗨,从没放弃的小努力你好:


CDS赔偿时,只要是senior bond,都可以根据CTD原则赔付一样的金额,不论期限是否一样。

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