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magne · 2022年08月07日

收到6百万的现金是怎么得来的呢？

  1. CFA II
  2. Fixed Income

NO.PZ2019011002000014

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.

收到6百万的现金是怎么得来的呢？题干中没说到cash settlement 的情况呀

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1 个答案

pzqa015 · 2022年08月07日

嗨，从没放弃的小努力你好：


cash settlement时，有CTD原则，也就是以市场价格最便宜的债券来交割，Bond1和bond2都是senior级别负债，现金交割的话，100-最便宜债券的市场价来交割，所以是10million-40%*10million=60million。

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