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Wendy · 2020年10月12日

问一道题:NO.PZ2019011002000014 [ 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, whether ABC would prefer to cash settle or physically settle or indifferent

选项:

A.

prefer a cash settlement

B.

prefer a physical settlement

C.

be indifferent

解释:

A is correct.

考点:CDS的Settlement

解析:

应该选择Cash settlement;ABC公司当前持有的是10-year senior unsecured bond,即Bond 2,目前的价值为50% of par。如果选择Cash settlement,收到6million,10million(1-40%)=6million;同时卖出Bond 2收到5million;则一共有11million;

如果公司选择Physical settlement, 公司只能收到10million,即CDS contract的notional principal.

有没有可能买的CDS是cover both senior and subordinate呢?题目并没有说清楚,如果都cover的话是不是CDS赔付70%
2 个答案

吴昊_品职助教 · 2020年10月20日

同学你好:

是的,何老师在基础班和强化班里都有说过。single-name CDS往往只cover一家公司发行的某一种信用级别的债券。比如:cover中石油发行的所有senior层级的债券。

这道题里的single name CDS只cover company D发行的多个债券,但也不是company D发行的所有债券都是cover的对象,现在只cover senior unsecured bond这一种信用级别的债券。

吴昊_品职助教 · 2020年10月12日

同学你好:

CDS合约中保护的是一个层级的债券,担心Company D违约而去购买保险,一定是想要cover自己手上拥有的债券类型。现在拥有的是senior债券,去购买一份cover subordinated债券的CDS,等到Company D真的违约,无法得到相应的赔付。因此,这道题中D这家公司所发行的所有的senior unsecured bond都是这份CDS合约cover的对象。

Wendy · 2020年10月20日

老师,您是说所有CDS合约都是约定了某一个层级的吗?不存在只约定issuer不约定层级的single name CDS是吗?

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