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执瑞 Zhirui · 2024年07月27日

这里问的obligation 感觉应该是60%

NO.PZ2019011002000013

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, what is the cheapest-to-deliver obligation for a senior CDS contract?

选项:

A.

30%

B.

40%

C.

50%

解释:

B is correct.

考点:CDS cheapest-to-deliver的理解

解析:

从Senior债券里面找Cheapest-to-deliver,Bond 1符合条件。注意,尽管Bond 3的价格更低,但是他是Subordinated,不在Senior CDS的保护范围里。

这里问的obligation 感觉应该是60%

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品职答疑小助手雍 · 2024年07月27日

同学你好,cheapest-to-deliver obligation 并不是问的payment 义务,只是deliver这步。

也就是这道题问的是CTD应该交割哪只债,而不是问CTD应该交割多少钱,所以,也就谈不上1-40%=60%的问题。

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