Why the Answer for this question is D? why not C

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15、A portfolio manager holds a default swap to hedge an AA

corporate bond position. If the counterparty of the default swap is

acquired by the bond issuer, then the default swap:

A ncreases in value.

B Decreases in value.

C Decreases in value only if the corporate bond is downgraded.

D Is unchanged in value.

Answer: D

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关键词：question Answer Quest This Why only corporate default acquired

??  Nobody knows?

发行人买CDS来干嘛额 搞不懂

我也觉得谁买跟价值无关

15、A portfolio manager holds a default swap to hedge an AA
corporate bond position. (Long put)


If the counterparty of the default swap (short put premium cash and obligation) is
acquired by the bond issuer, then the default swap:

=>short put premium cash and obligation transferred
=>Premium no change as S,T,r,vol,K does not change

acquired
被收购了，信用等级一样了，违约率一样了