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YolandaQ · 2020年03月11日

问一道题:NO.PZ2016082406000062

问题如下:

A six-year CDS on a AA-rated issuer is offered at 150bp with semiannual payments while the yield on a six-year annual coupon bond of this issuer is 8%. There is no counterparty risk on the CDS. The annualized LIBOR rate paid every six months is 4.6% for all maturities. Which strategy would exploit the arbitrage opportunity? How much would your return exceed LIBOR?

选项:

A.

Buy the bond and the CDS with a risk-free gain of 1.9%.

B.

Buy the bond and the CDS with a risk-free gain of 0.32%.

C.

Short the bond and sell CDS protection with a risk-free gain of 4.97%.

D.

There is no arbitrage opportunity as any apparent risk-free profit is necessarily compensation for being exposed to the credit risk of the issuer.

解释:

ANSWER: A

Because LIBOR is flat, the fixed-coupon yield is also 4.6%, creating a spread of  800460=340bp800-460=340bp on the bond. Going long the bond and short credit via buying the CDS yields an annual profit of 340150=190bp340-150=190bp.

这个semiannual的CDS意思是每半年支付4.6%+1.5%的保费吗?

1 个答案

品职答疑小助手雍 · 2020年03月12日

同学你好,不是啊,是指每年支付150bps的保费,对于rf的部分不需要保险的。所以每半年就是75bps。

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NO.PZ2016082406000062 A six-yeC on a AA-rateissuer is offere150with semiannupayments while the yielon a six-yeannucoupon bonof this issuer is 8%. There is no counterparty risk on the C. The annualizeLIBOR rate paievery six months is 4.6% for all maturities. Whistrategy woulexploit the arbitrage opportunity? How muwoulyour return exceeLIBOR? Buy the bonanthe C with a risk-free gain of 1.9%. Buy the bonanthe C with a risk-free gain of 0.32%. Short the bonansell C protection with a risk-free gain of 4.97%. There is no arbitrage opportunity any apparent risk-free profit is necessarily compensation for being exposeto the cret risk of the issuer. ANSWER: A Because LIBOR is flat, the fixecoupon yielis also 4.6%, creating a spreof   800−460=340bp800-460=340bp800−460=340on the bon Going long the bonanshort cret via buying the C yiel annuprofit of 340−150=190bp340-150=190bp340−150=190bp. 之前老师的介绍是这题的本义其实就是bon公允收益率应该是libor+C sprea也就是4.6%+1.5%=6.1% 而实际bon收益率居然达到了8%,所以bon得便宜,这时候就应该买bon 那么为了获得一个和libor风险一样的收益,买bon得8%,又要买C来减小风险,支出1.5%,也就是会huo获得8%-1.5%=6.5%的收益。比libor多出来6.5%-4.6%=1.9% ———————————————————————————————— 我理解,应该是半年一期,那么libor + C sprea收益率在半年内是 4.6%+1.5%=6.1%, 但是boncoupon是8%,那么半年的收益率 应该是4%。 这里年化、半年一期之类的把人搞困惑了,求指导。

2021-04-05 23:31 1 · 回答

A six-yeC on a AA-rateissuer is offere150with semiannupayments while the yielon a six-yeannucoupon bonof this issuer is 8%. There is no counterparty risk on the C. The annualizeLIBOR rate paievery six months is 4.6% for all maturities. Whistrategy woulexploit the arbitrage opportunity? How muwoulyour return exceeLIBOR? Buy the bonanthe C with a risk-free gain of 1.9%. Buy the bonanthe C with a risk-free gain of 0.32%. Short the bonansell C protection with a risk-free gain of 4.97%. There is no arbitrage opportunity any apparent risk-free profit is necessarily compensation for being exposeto the cret risk of the issuer. ANSWER: A Because LIBOR is flat, the fixecoupon yielis also 4.6%, creating a spreof   800−460=340bp800-460=340bp800−460=340on the bon Going long the bonanshort cret via buying the C yiel annuprofit of 340−150=190bp340-150=190bp340−150=190bp. 保费是半年付一次,求套利收益的时候,不用考虑半年时那笔保费的时间价值吗?解答中直接是340-150=190在求

2020-08-20 15:36 1 · 回答

     对不理解,可否下,感谢!

2019-03-13 23:54 1 · 回答

请教本题中semiannupayments如何理解?是不是一年要付两次premium?多谢。

2019-02-28 16:16 1 · 回答