开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

natalie2003 · 2020年10月22日

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

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

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-to-deliver obligation (Bond 1 trading at 40% of par). Deem Advisors can cash settle for $6 million [= (1 - 40%) ×$10 million] on its CDS contract and sell Bond 2 it owns 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 they would deliver Bond 2.

B is incorrect because if Deem Advisors were to physically settle the contract, they 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.

老师您好，reference obligation 不是说了是“owned”的债券么，还有CTD？
添加评论
1 个答案

吴昊_品职助教 · 2020年10月22日

同学你好：

现在买的是U公司的senior unsecured债券，由于担心U公司违约而去买保险，买的保险一定是cover自己手上拥有的senior债券。这个CDS合约针对的是senior unsecured bond，所以我们不看bond 3，只看债券1和债券2，也就是说UNAB这家公司所发行的所有的senior unsecured bond都是这份CDS合约cover的对象。进行赔付的时候，我们要基于损失较大的债券来进行赔付，这里债券1损失60%，债券2损失50%，所以我们要基于60%来进行赔付。

  • 1

    回答

  • 1

    关注

  • 1866

    浏览
相关问题

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？

2024-04-10 05:40 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. 在C里面时间不同没有区别吗

2023-05-09 21:08 1 · 回答

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

2021-05-08 19:46 2 · 回答