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FRM真題練習哪里有真題解析?

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You are currently long $10,000,000 par value, 8% XYZ bonds. To hedge your position, you must decide between credit protection via a 5-year CDS with 60bp annual premiums or digital swap with 50% payout with 50bp annual premiums.After one year, XYZ has defaulted on its debt obligations and currently trades at 60% of par. Which of the following statements is true?

A) The contingent payment from the protection buyer to the protection seller is greater under the single-name CDS than the digital swap.

B) The contingent payment from the protection buyer to the protection seller is less under the single-name CDS than the digital swap.

C) The contingent payment from the protection seller to the protection buyer is greater under the single-name CDS than the digital swap.

D) The contingent payment from the protection seller to the protection buyer is less under the single-name CDS than the digital swap.掃碼咨詢

答案:D

解析:Choices Aand B can be eliminated because payments in default are made from protection seller to protection buyer. The payoff from the digital swap will be 50% of par value while the payoff from the single name will be 40% (i.e., 1–0.6) of par value.

Commercial Finance has lent $5 million to Barely, Inc. for one year at 7%, and entered into a credit default swap with Credit Insurers for 130 basis points. If the swap calls for semi-annual payments, what is due on the first payment assuming that no default has occurred?

A) Credit Insurers will pay Commercial Finance $32,500.

B) Commercial Finance will pay Credit Insurers $32,500.

C) Commercial Finance will pay Credit Insurers $207,500.

D) Commercial Finance will pay Credit Insurers $142,500.

答案:B

解析:Commercial Finance will pay Credit Insurers the sum equal to: $5 million×0.013/2 = $32,500

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