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Spencer · 2022年12月16日

CDS Spread上升或下降对于buy/sell的影响

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002402

问题如下：

Once the manager purchases CDS protection, the issuer’s CDS spread immediately falls to 1.60%. What is the investor’s approximate mark-to-market gain or loss for a contract notional of €10,000,000?

选项：

A.

The manager realizes an approximate loss of €131,250.

B.

The manager realizes an approximate gain of €131,250.

C.

The manager realizes an approximate gain of €525,000.

解释：

A is correct. The CDS spread decline of 0.15% leads to a new CDS contract price of 94.75 per 100 face value (=1 – (EffSpreadDurCDS × ∆Spread) or (8.75 × 0.60%)).

The protection buyer (short risk) position therefore realizes an approximate mark-to-market loss of €131,250 (=(94.75 – 93.4375)/100 × €10,000,000) because of the 0.15% decline in CDS spreads.

老师请问，我可以这样理解吗？有更好的快速记忆的方法吗？想理一下这背后的逻辑


CDS Spread下降对于buy CDS protection(short risk)的一方是loss；CDS Spread上升对于buy CDS protection(short risk)的一方是gain

CDS Spread下降对于sell CDS protection(long risk)的一方是gain；CDS Spread上升对于sell CDS protection(short risk)的一方是loss

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2 个答案

pzqa015 · 2022年12月19日

嗨，努力学习的PZer你好：


CDS seller是卖保险的一方，如果卖出保险后，违约风险变大了，那么就不合适了。所以，spread变大，CDS seller有loss；反之，CDS buyer是买保险的一方，如果买入保险后，违约风险变大了，说明保险买对了，所以，spread变大，CDS buyer有gain。

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加油吧，让我们一起遇见更好的自己！

pzqa015 · 2022年12月17日

嗨，爱思考的PZer你好：


是的

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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