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.
The manager realizes an approximate gain of €131,250.
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 CDS basis是什么来着？
