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l_hhh · 2022年02月01日

maturity需要一致吗?

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。

不需要考虑maturity一致吗?为啥不选B呢

l_hhh · 2022年02月01日

说错了,为啥不选c 呢

1 个答案

pzqa015 · 2022年02月02日

嗨,从没放弃的小努力你好:


C是subordinate bond,与A、B的偿付顺序不一样,CTD要在所有senior级别债券里面找,不需要考虑债券的剩余到期日

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