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A2-year credit default swap (CDS) specifying physical delivery defaults at the end of two years. If the reference asset is a $200 million, 8.0%ABC corporate bond, and the CDS spread is 125 basis points, the buyer of the CDS will:

A) Receive payments of 800 basis points for the next two years.》》2021年新版FRM一二級(jí)內(nèi)部資料免費(fèi)領(lǐng)取！【精華版】

B) Receive a payment of $167.5 million.

C) Deliver the bond and receive a payment of $200 million.

D) Continue to receive payments of 675 basis points for the next two years.

答案：C

解析：If the swap specifies physical delivery, the buyer of the swap will deliver the reference obligation to the seller and receive the par value of the obligation.

Adefault swap acts like a:

A) Call option on the reference obligation for the buyer of the swap.

B) Put option on the reference obligation for the buyer of the swap.

C) Look back option on the reference obligation for the buyer of the swap.

D) Up-and-out option on the reference obligation for the buyer of the swap.

答案：B

解析：Adefault swap acts like a put option on the reference obligation for the buyer of the swap. If there is a default, the buyer receives a payment, which limits the buyer’s downside risk.

Which of the following statements about CDS is true?

A) It acts like a call option on the reference obligation for the buyer.

B) It acts like a put option on the reference obligation for the buyer.

C) It acts like a binary option on the reference obligation for the buyer.

D) It acts like a down-and-out option on the reference obligation for the buyer.

答案：B

解析：If there is a default, the buyer of the CDS receives a payment, which limits the buyer's downside risk. Therefore, it acts like a put option.

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