NO.PZ2020033002000073
问题如下:
A three-year credit-linked note (CLN) with underlying company X has a LIBOR+90bp semiannual coupon with USD 100 million face value. LIBOR is 5% for all maturities and the current three-year CDS spread for company X is 60bp. The fair value of this CLN is closest to
选项:
A.USD 100.00 million
B.USD 100.3 million
C.USD 100.82 million
D.USD 99.19 million
解释:
C is correct.
考点:CLN
解析:
PMT = 100 * (5%+0.9%)/2 = 2.95 million
I/Y = (5% +0.6%)/2 = 2.8%
N = 6
FV = 100 million
代入计算可得 PV = -100.82 million
老师LIBOR is 5% for all maturities and the current three-year CDS spread for company X is 60bp.
这道题题干表示标的资产的coupon是5%+0.9%半年付息。又去买了一个CDS,而这个CDS的spread 我以为就是60bps,没理解为什么要加上libor,也就是这句话不太理解。
然后还有个问题是关于解析当中讲CDS spread 直接默认为债券的require rate,又该怎么理解呢?