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sion · 2018年04月07日

问一道题:NO.PZ201701230200000601 第1小题 [ CFA II ]

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问题如下图:

    

选项:

A.

B.

C.

解释:


请问怎么看出是持有BOND B而不是BOND A?

1 个答案
已采纳答案

李宗_品职助教 · 2018年04月07日

你好同学,如下图所示:



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NO.PZ201701230200000601问题如下1. If UNexperiencea cret event on 1 July, Watt shoulrecommenthem Aisors:A.prefer a cash settlement.B.prefer a physicsettlement.C.infferent between a cash or a physicsettlement. A is correct.em Aisors woulprefer a cash settlement. em Aisors owns Bon2 (trang 50% of par), whiis worth more ththe cheapest-toliver obligation (Bon1, also a senior securebon trang 40% of par). Baseon the priof this cheapest-to-liver security, the estimaterecovery rate is 40%. Thus, em Aisors ccash settle for $6 million [= (1 – 40%) × $10 million] on its C contraansell the bonit owns, Bon2, for $5 million, for totprocee of $11 million. If em Aisors were to physically settle the contract, only $10 million woulreceive the faamount of the bon, anit woulliver Bon2.B is incorrebecause if em Aisors were to physically settle the contract, it woulreceive only $10 million, whiis less ththe $11 million thcoulobtainefrom a cash settlement. C is incorrebecause em Aisors woulnot infferent between settlement protocols the firm woulreceive $1 million more with a cash settlement in comparison to a physicsettlement. 这道题的解析不是很明白,是不是如果当用现金交割的时候,我们就选择bon和bon当中损失的部分进行补偿,所以他们损失加起来是11,但是如果用物理交割的话,只要赔偿所有的也就是10。11比10大,所以用现金交割更好,我还没理解,能不能一下?

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