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Asix-year CDS on an AA-rated issuer is offered at 150bp with semiannual payments while the yield on a six-year semiannual coupon bond of this issuer is 8%. There is no counterparty risk on the CDS. The annualized LIBOR rate paid every six months is 4.6% for all maturities. Which strategy would exploit the arbitrage opportunity? How much would your return exceed LIBOR?
A) Buy the bond and the CDS with a risk-free gain of 1.9%.
B) Buy the bond and the CDS with a risk-free gain of 0.32%.
C) Short the bond and sell CDS protection with a risk-free gain of 4.97%.
D) There is no arbitrage opportunity as any apparent risk-free profit is necessarily
compensation for being exposed to the credit risk of the issuer.
答案：A
解析：Because LIBOR is flat, the fixed-coupon yield is also 4.6%, creating a spread of 800–460 = 340bp on the bond. Going long the bond and short credit via buying the CDS yields an annual profit of 340–150 = 190bp.
The most the buyer of a CDS can expect to receive in the event of a default is:
A) Interest and principal payments as originally scheduled.
B) Apremium price for the instrument.
C) The par value of the instrument.
D) 85% of the originally scheduled payments.
答案：C
解析：In the event of default, the most that the buyer of a CDS can receive is the par value of the instrument.
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