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natalie2003 · 2020年08月31日

问一道题:NO.PZ2019011002000013 [ CFA II ]

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。

还是觉得这题不明白,以40%面值交易,损失就是60%,赔偿obligation怎么就不是60%?
1 个答案

WallE_品职答疑助手 · 2020年09月01日

Bond1,trading at 40% of par的意思是如果违约的话,债券交易价格是40%的面值。

Bond2,trading at 50% of par的意思是如果违约的话,债券交易价格是50%的面值。

对于CDS合约来说,我们按照价格最低债券遭受的损失进行赔付,这个债券称为cheapest-to-deliver obligation。所以选B。

它这个题目不是问你赔多少,而是基于哪一个陪哈。

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