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cika · 2022年12月22日

CDS

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002401

问题如下：

An active portfolio manager seeking to purchase single-name CDS protection observes a 1.75% 10-year market credit spread for a private investment-grade issuer. The effective spread duration is 8.75 and CDS basis is close to zero.


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.

买CDS的人需要提前支付的金额=NP*（Fixed coupon -CD Sspread）*SD=NP(1%-1.75%)*8.75=-6.5625%NP。支付-6.5625%NP等于收到6.5625%NP。请问老师，哪里计算错了

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已采纳答案

pzqa015 · 2022年12月24日

嗨，努力学习的PZer你好：


spread为1.75%，大于1%，所以buyer pay（1.75%-1%）*8.75%=6.5625%。

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努力的时光都是限量版，加油！

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