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格格蔡斯 · 2023年08月31日

CDS coupon

  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.

1.00% standard investment-grade CDS coupon，请问这里的1%是怎么得到的？谢谢老师

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2 个答案

pzqa31 · 2023年09月01日

嗨，从没放弃的小努力你好：


投资级1%，投机级5%，刚才打错了

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa31 · 2023年08月31日

嗨，努力学习的PZer你好：


投资级的CDS coupon rate是1%，投资级的是5%，这个是需要记住的哦，课上反复强调过了。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

格格蔡斯 · 2023年08月31日

投资1%，投机5%？

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