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ZAA · 2023年05月09日

6year 和2year没有区别吗

* 问题详情,请 查看题干

NO.PZ201701230200000601

问题如下:

1. If UNAB experienced a credit event on 1 July, Watt should recommend that Deem Advisors:

选项:

A.

prefer a cash settlement.

B.

prefer a physical settlement.

C.

be indifferent between a cash or a physical settlement.

解释:

A is correct.

Deem Advisors would prefer a cash settlement. Deem Advisors owns Bond 2 (trading at 50% of par), which is worth more than the cheapest-todeliver obligation (Bond 1, also a senior secured bond, trading at 40% of par). Based on the price of this cheapest-to-deliver security, the estimated recovery rate is 40%. Thus, Deem Advisors can cash settle for $6 million [= (1 – 40%) × $10 million] on its CDS contract and sell the bond it owns, Bond 2, for $5 million, for total proceeds of $11 million. If Deem Advisors were to physically settle the contract, only $10 million would be received, the face amount of the bonds, and it would deliver Bond 2.

B is incorrect because if Deem Advisors were to physically settle the contract, it would receive only $10 million, which is less than the $11 million that could be obtained from a cash settlement. C is incorrect because Deem Advisors would not be indifferent between settlement protocols as the firm would receive $1 million more with a cash settlement in comparison to a physical settlement.

在CDs里面时间不同没有区别吗

1 个答案

pzqa31 · 2023年05月10日

嗨,从没放弃的小努力你好:


同学,计算CDS赔付金额只看cover的债券的优先级别,不看期限哈。

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

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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?

2024-07-16 07:38 1 · 回答

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. If em Aisors were to physically settle the contract, only $10 million woulreceive the faamount of the bon, anit woulliver Bon2.请问physically settle 时 ,为什么liver bon2?

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NO.PZ201701230200000601 怎么判断的是cover 这两个senior bon?

2021-05-08 19:46 2 · 回答

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