NO.PZ201701230200000601
问题如下：
1. If UNAB experienced a credit event on 1 July, Watt should recommend that Deem Advisors:
选项：
A.
prefer a cash settlement.
B.
prefer a physical settlement.
C.
be indifferent between a cash or a physical settlement.
解释：
A is correct.
Deem Advisors would prefer a cash settlement. Deem Advisors owns Bond 2 (trading at 50% of par), which is worth more than the cheapest-todeliver obligation (Bond 1, also a senior secured bond, trading at 40% of par). Based on the price of this cheapest-to-deliver security, the estimated recovery rate is 40%. Thus, Deem Advisors can cash settle for $6 million [= (1 – 40%) × $10 million] on its CDS contract and sell the bond it owns, Bond 2, for $5 million, for total proceeds of $11 million. If Deem Advisors were to physically settle the contract, only $10 million would be received, the face amount of the bonds, and it would deliver Bond 2.
B is incorrect because if Deem Advisors were to physically settle the contract, it would receive only $10 million, which is less than the $11 million that could be obtained from a cash settlement. C is incorrect because Deem Advisors would not be indifferent between settlement protocols as the firm would receive $1 million more with a cash settlement in comparison to a physical settlement.
这道题的解析不是很明白，是不是如果当用现金交割的时候，我们就选择bond1和bond2当中损失的部分进行补偿，所以他们损
失加起来是11，但是如果用物理交割的话，只要赔偿所有的也就是10。11比10大，所以用现金交割更好，我还没理解，能不能解释一下？
