问题如下:
A six-year CDS on a AA-rated issuer is offered at 150bp with semiannual payments while the yield on a six-year annual coupon bond of this issuer is 8%. There is no counterparty risk on the CDS. The annualized LIBOR rate paid every six months is 4.6% for all maturities. Which strategy would exploit the arbitrage opportunity? How much would your return exceed LIBOR?
选项: Buy
the bond and the CDS with a risk-free gain of 1.9%.
Buy the bond and the CDS with a risk-free gain of 0.32%.
C.Short the bond and sell CDS protection with a risk-free gain of 4.97%.
D.There is no arbitrage opportunity as any apparent risk-free profit is necessarily compensation for being exposed to the credit risk of the issuer.
解释:
ANSWER: A
Because LIBOR is flat, the fixed-coupon yield is also 4.6%, creating a spread of on the bond. Going long the bond and short credit via buying the CDS yields an annual profit of .
保费是半年付一次,求套利收益的时候,不用考虑半年时那笔保费的时间价值吗?解答中直接是340-150=190在求