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Jingwen · 2022年04月26日

这道题题干中没有这一部分

  1. CFA II
  2. Fixed Income

NO.PZ201712110200000503

问题如下：

Following the Maxx restructuring, the CDX HY notional will be closest to:

选项：

A.

€396.0 million.

B.

€398.8 million.

C.

$400.0 million.

解释：

C is correct.

When an entity within an index defaults, that entity is removed from the index and settled as a single-name CDS based on its relative proportion in the index. To qualify as a credit event, the restructuring must be involuntary and forced on the borrower by the creditors. Although the Maxx restructuring would be considered a credit event (default) in the eurozone, in the United States, restructuring is not considered a credit event; therefore, the notional amount of $400 million will not change.

老师，这个题目原题是不是修改了，现在的题目中没有和题目相关的这一部分。

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1 个答案

pzqa015 · 2022年04月26日

嗨，爱思考的PZer你好：



在CDS index中，如果单只债券触发赔偿条款，那么这只债券对应的CDS从指数中剔除，那么指数的名义本金就要相应减少。

所以，本题想考察到底需不需要从指数中剔除单只债券的CDS。

在美国，restructuring 不视为违约，不触发赔偿条款，所以，不用从CDS指数中剔除restruct的债券对应的CDS。

所以，这道题的CDS index的本金并未变化，认为400million。


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NO.PZ201712110200000503 问题如下 Following the Maxx restructuring, the C HY notionwill closest to: A.€396.0 million. B.€398.8 million. C.$400.0 million. C is correct. When entity within inx faults, thentity is removefrom the inx ansettlea single-name C baseon its relative proportion in the inx. To qualify a cret event, the restructuring must involuntary anforceon the borrower the cretors. Although the Maxx restructuring woulconsirea cret event (fault) in the eurozone, in the UniteStates, restructuring is not consirea cret event; therefore, the notionamount of $400 million will not change. 希望小助手读一读，这道题涉及的部分没有出现。但我在经典题里做过这道题，那部分没在这个题目里。

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