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dolphin · 2024年05月05日

为什么不选B

NO.PZ2024050101000098

问题如下:

Local Company, a frequent user of swaps, often enters into transactions with Global Bank, a major provider of swaps. Recently, Global Bank was downgraded from a rating of AA+ to a rating of A, while Local Company was downgraded from a rating of A to a rating of A-. During this time, the credit spread for Global Bank increased from 20 bps to 150 bps. While the credit spread for Local Company increased from 130 bps to 170 bps. Which of the following is the most likely action that the counterparties will request on their credit value adjustment (CVA)?

选项:

A.

The credit qualities of the counterparties have changed, but not enough to justify amending existing CVA arrangements

B.

Global Bank requests an increase in the CVA charge it receives

C.

Local Company requests a reduction in the CVA charge it pays

D.

CVA is no longer a relevant factor, and the counterparties will use other mitigants of counterparty risk

解释:

creadti spread 都增加了,彼此的CVA也都增加了,为什么选C呢

1 个答案
已采纳答案

pzqa39 · 2024年05月05日

嗨,爱思考的PZer你好:


 the credit spread for Global Bank increased from 20 bps to 150 bps.

While the credit spread for Local Company increased from 130 bps to 170 bps

上涨过后Global Bank150bps, Local Company 170bps,

虽然Global Bank 上涨幅度大,但还是Global Bank 信用质量好

现在信用质量之间的差距为20 bps (170-50), Global Bank需要得到20 bps 补偿,Local Company 需要支付20 bps 补偿,

之前信用质量之间的差距为110 bps (130-20),Global Bank需要得到110 bps 补偿,Local Company 需要支付110 bps 补偿,


Global Bank需要得到的补偿减少,Local Company 需要支付的补偿减少

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