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。
美国重组不是算在破产里面的吗?只有破产才会发生强制重组。这道题说强制重组那说明公司破产了咯?那既然破产了,难道不算发生信用事件吗?