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EvanWu · 2022年07月27日

CDS basis是个什么东西

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002401

问题如下：

What should the protection buyer expect to pay or receive to enter a new 10- year CDS contract?

选项：

A.

The buyer should receive approximately 6.5625% of the notional.

B.

The buyer should pay approximately 15.3125% of the notional.

C.

The buyer should pay approximately 6.5625% of the notional.

解释：

C is correct. Because the market premium is 0.75% above the 1.00% standard investment-grade CDS coupon, the protection buyer must pay the protection seller 6.5625% (= EffSpreadDurCDS × ∆Spread, or 8.75 × 0.75%) of the fixed notional amount upon contract initiation; the initial CDS price is therefore 93.4375 per 100 of notional with a CDS spread of 175 bps.

CDS basis是个什么东西

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已采纳答案

pzqa015 · 2022年07月27日

嗨，从没放弃的小努力你好：


CDS是同一发行人债券的Zspread与保护它的CDS合约的CDS spread的差，前提是Z spread与CDS spread有相同的剩余到期日。

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