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潘吖吖 · 2022年03月05日

确定这个问题放对地方了吗

  1. CFA II
  2. Fixed Income

NO.PZ201712110200000503

问题如下：

Following the Maxx restructuring, the CDX HY notional will be closest to:

选项：

A.

€396.0 million.

B.

€398.8 million.

C.

$400.0 million.

解释：

C is correct.

When an entity within an index defaults, that entity is removed from the index and settled as a single-name CDS based on its relative proportion in the index. To qualify as a credit event, the restructuring must be involuntary and forced on the borrower by the creditors. Although the Maxx restructuring would be considered a credit event (default) in the eurozone, in the United States, restructuring is not considered a credit event; therefore, the notional amount of $400 million will not change.

题干好像都没提过Maxx公司，也没有原名义本金的条件啊

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1 个答案

pzqa015 · 2022年03月06日

嗨，努力学习的PZer你好：


有Maxx公司的条件哈

这道题考察的是CDS赔付的条件

题目说CDX指数包含Maxx公司的债券，如果Maxx公司发生触发CDS赔付的条件（credit event），那么就要在CDX中移除对应Maxx公司的金额。

credit event有三个，分别为：破产(bankrupt)、fail to pay(不能按时还本付息）、restructuring重组。

其中重组中，如果投资者非自愿的重组，是算作credit event，要触发CDS赔付；投资者自愿重组，就不算credit event，不触发CDS 赔付。另外，在美国，restruct不算做credit event。本题说Maxx是一家美国公司，所以它的重组不算credit event，不触发赔付，所以，CDX的名义本金仍是400million。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

谢朝木 · 2022年06月21日

题干中确实没有这个小题的内容，请你们内部确认一下。解答的不错

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