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seven-zhu · 2021年09月01日

如提问

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000073

问题如下：

A three-year credit-linked note (CLN) with underlying company X has a LIBOR+90bp semiannual coupon with USD 100 million face value. LIBOR is 5% for all maturities and the current three-year CDS spread for company X is 60bp. The fair value of this CLN is closest to

选项：

A.

USD 100.00 million

B.

USD 100.3 million

C.

USD 100.82 million

D.

USD 99.19 million

解释：

C is correct.

考点：CLN

解析：

PMT = 100 * (5%+0.9%)/2 = 2.95 million

I/Y = (5% +0.6%)/2 = 2.8%

N = 6

FV = 100 million

代入计算可得 PV = -100.82 million

A three-year credit-linked note (CLN) with underlying company X has a LIBOR+90bp semiannual coupon with USD 100 million face value. LIBOR is 5% for all maturities and the current three-year CDS spread for company X is 60bp. The fair value of this CLN is closest to


怎么知道I/Y也是libor + 60bp呢，题目只说了 company X has a LIBOR+90bp semiannual coupon with USD 100 million face value。然后这道题CLN到底是谁从谁那里买了什么收到了什么呢，可不可以像视频里面讲的那样画个流程图让我看看，谢谢~

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DD仔_品职助教 · 2021年09月01日

嗨，努力学习的PZer你好：


同学你好~

这个题的第二句话说了利率是LIBOR+60bp：LIBOR is 5% for all maturities and the current three-year CDS spread for company X is 60bp。对于所有期限LIBOR都是5%，现在3年的CDSspread=60bp，这个债券刚好是3年期的，I/Y就是5%+60bp。

这个题其实画出CLN的图形也没用，因为我们不知道投行到底收取了多少费用，题目都没说，所以我画的图形箭头上都没办法标具体的现金流。题目给出来的信息只有下图underlying bond的信息，他让你求CLN的fair value，其实就是在求underlying bond的price。他这个题其实就是拿CLN包装了一下自己，让自己看起来很难很高档，其实就是简单的求债券价格。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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