开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

hyi725 · 2023年07月31日

为什么是pay不是receive？

  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.

如题

添加评论
1 个答案

pzqa015 · 2023年08月01日

嗨，爱思考的PZer你好：


IG的fixed coupon为1%，HYB的fixed coupon为5%。

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

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 337

    浏览
相关问题

NO.PZ202112010200002401 问题如下 Whshoulthe protection buyer expeto por receive to entera new 10- yeC contract? A.The buyer shoulreceive approximately 6.5625% of the notional. B.The buyer shoulpapproximately 15.3125% of the notional. C.The buyer shoulpapproximately 6.5625% of the notional. C is correct. Because the market premium is 0.75%above the 1.00% stanrinvestment-gra C coupon, the protection buyer mustpthe protection seller 6.5625% (= EffSpreaurC× ∆Sprea or 8.75 × 0.75%) of the fixenotionamount upon contrainitiation;the initiC priis therefore 93.4375 per100 of notionwith a C spreof 175 bps. 1.00% stanrinvestment-gra C coupon，请问这里的1%是怎么得到的？谢谢老师

2023-08-31 09:58 2 · 回答

NO.PZ202112010200002401 问题如下 active portfolio managerseeking to purchase single-name C protection observes a 1.75% 10-yemarketcret sprefor a private investment-gra issuer. The effective sprerationis 8.75 anC basis is close to zero. Whshoulthe protection buyer expeto por receive to entera new 10- yeC contract? A.The buyer shoulreceive approximately 6.5625% of the notional. B.The buyer shoulpapproximately 15.3125% of the notional. C.The buyer shoulpapproximately 6.5625% of the notional. C is correct. Because the market premium is 0.75%above the 1.00% stanrinvestment-gra C coupon, the protection buyer mustpthe protection seller 6.5625% (= EffSpreaurC× ∆Sprea or 8.75 × 0.75%) of the fixenotionamount upon contrainitiation;the initiC priis therefore 93.4375 per100 of notionwith a C spreof 175 bps. 为什么是Buyer pays seller?

2023-08-25 14:04 2 · 回答

NO.PZ202112010200002401 问题如下 Whshoulthe protection buyer expeto por receive to entera new 10- yeC contract? A.The buyer shoulreceive approximately 6.5625% of the notional. B.The buyer shoulpapproximately 15.3125% of the notional. C.The buyer shoulpapproximately 6.5625% of the notional. C is correct. Because the market premium is 0.75%above the 1.00% stanrinvestment-gra C coupon, the protection buyer mustpthe protection seller 6.5625% (= EffSpreaurC× ∆Sprea or 8.75 × 0.75%) of the fixenotionamount upon contrainitiation;the initiC priis therefore 93.4375 per100 of notionwith a C spreof 175 bps. 如题

2023-07-31 22:48 1 · 回答

NO.PZ202112010200002401 问题如下 Whshoulthe protection buyer expeto por receive to entera new 10- yeC contract? A.The buyer shoulreceive approximately 6.5625% of the notional. B.The buyer shoulpapproximately 15.3125% of the notional. C.The buyer shoulpapproximately 6.5625% of the notional. C is correct. Because the market premium is 0.75%above the 1.00% stanrinvestment-gra C coupon, the protection buyer mustpthe protection seller 6.5625% (= EffSpreaurC× ∆Sprea or 8.75 × 0.75%) of the fixenotionamount upon contrainitiation;the initiC priis therefore 93.4375 per100 of notionwith a C spreof 175 bps. 题目里提到C basis为0是想说明什么

2023-04-22 21:55 2 · 回答