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biguo · 2024年03月29日

CDS price upfront payment 

NO.PZ2021120102000023

问题如下:

Which of the following statements best describes how a single-nameCDS contract is priced at inception?

选项:

A.

If the reference entity’s credit spread trades below the standardcoupon rate, the CDS contract will be priced at a premium above par because theprotection buyer pays a “below market” periodic coupon.

B.

If the reference entity’s credit spread trades above the standard coupon rate, the CDS contract will be priced at a discount to par because the protection seller effectively receives a “below market” periodic premium.

C.

Similar to fixed-rate bonds, CDS contracts are initially priced at par with a fixed coupon and a price that changes over time as the reference entity’s credit spreads change.

解释:

B is correct. For example, if the reference entity’scredit spread trades at 1.50% versus a standard coupon rate of 1.00%, the CDS contract willbe priced at a discount equal to the 0.50%difference multiplied by the effective CDS spread duration times the contract notional.

Under A, the contractis priced at a premium to par because theprotection seller is receiving an “above market” periodicpremium.

这个题目我会做。但是我总觉得CDS price这个概念很抽象,CDS支付的保费就是标准化的1%或者5%,CDS spread和fixed coupon孰高孰低按道理不是只有这段时间过后才知道spread究竟多大,才能和付出的保费比较大小,那怎么能在一开始就支付upfront payment呢?还有CDS price的计算其实我都会,还有溢价折价我会判断,但是我真不太明白它的price究竟是什么价格,和upfront payment是啥关系?谢谢

1 个答案

pzqa31 · 2024年03月29日

嗨,努力学习的PZer你好:


CDS price不同于债券价格,并不是实际支付出去的现金,它就是个挂牌价。CDS price并不是买卖CDS合约要支付的现金,买卖合约要支付的是upfront premium,只不过不同时间点每份合约的upfront premium不能直观看到,要根据这份CDS合约的挂牌价(CDS price)来反推。CDS spread肯定只能是基于当下的spread(讲义上有),CDS在三级这里可以看成类似股票、债券等的一种资产类型,以初始价格购入以后,随着市场波动,总归会有(浮)盈亏。所以回忆一下,咱们有一类题目是未来spread变化了,判断是盈利还是亏损了。

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努力的时光都是限量版,加油!

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