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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？
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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。

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