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时光伤痕 · 2024年04月10日

这题是看1-30% 1-40% 1-50%吗，然后因为C不在senor里只看A和B，然后A是60% B是50%， A怎么就更便宜

  1. CFA II
  2. Fixed Income

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。

这题是看1-30% 1-40% 1-50%吗，然后因为C不在senor里只看A和B，然后A是60% B是50%， A怎么就更便宜了呀。

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1 个答案

吴昊_品职助教 · 2024年04月10日

嗨，努力学习的PZer你好：


Bond 1一旦违约，交易价格为40%的面值，相当于一旦违约只能卖出去40%的面值，损失就是60%的本金。

Bond 2一旦违约，交易价格为50%的面值，相当于一旦违约只能卖出去50%的面值，损失就是50%的本金。

按照CTD的原则，赔付最便宜的债券，现在1和2债券中，Bond 1卖的更便宜，所以按照债券1的损失进行赔付。债券1和债券2相比，它的损失也是更大的，所以赔付最便宜的债券，也就是赔付一个最大损失。

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努力的时光都是限量版，加油！

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