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Tan · 2020年11月27日

问一道题:NO.PZ2019011002000021

问题如下:

Foodsdelivery is a US company. The bonds issued by this company are included in the on-the-run CDX high yield (HY) index. TXT, a derivatives trading company sold $200 million of protection on this CDX index and the index contains 100 entities. Recently, Foodsdelivery is forced by its creditors to involuntarily restructure on its debt, and as a result, all outstanding principal obligations will be reduced by 50%.

According to the information above, following Foodsdelivery restructuring, the CDX HY notional will be closest to:

选项:

A.

200 million

B.

198 million

C.

194 million

解释:

A is correct.

考点:对CDS index的理解,以及对Restructuring的理解

解析:

CDS index里面每一个成份都是等权重的,当某家公司发生Credit events之后,该公司就按照比例从该Index去除,index的Notional principal也按照比例下降。所以关键就是要确定该公司的Restructuring能否算作Credit event。Restructuring要算作Credit event需要满足两点,第一是由债权人强制公司 ( Forced on the borrower ),即公司被动地执行 ( involuntarily )。本题信息满足这两点,但是需要注意在美国Restructuring不能算作Credit event,而在欧洲Restructuring算作Credit event。因此本题的CDX HY notional不变。

请问是不是不管自愿还是非自愿的重组在US都不算信用事件,而只要是重组,不管自愿非自愿在欧洲都是信用事件?

1 个答案
已采纳答案

吴昊_品职助教 · 2020年11月27日

同学你好:

重组算作信用事件需要同时满足两个要求:1.由债权人强制公司重组,即公司非自愿执行重组;2.发生在非美国。

所以你的前半句表述没有问题,只要在US,重组都不算作信用事件;而后半句表述有点问题,在欧洲也需要是非自愿的重组才算是信用事件。自愿重组,也不能算作信用风险。

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