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七七 · 2024年07月21日

CDS fixed rate和CDSspread

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202303270300007302

问题如下：

(2) 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.

B.

The manager realizes an approximate gain of €131,250.

C.

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×ΔSpread) 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.

CDS 买方应该按照市场spread和fixed rate的差值支付。初始市场spread是1.7%， 买方应该向卖方多支付0.7%×duration；当spread下降至1.6%时，买方向卖方多支付0.6%×duration，需要额外支付的变少了，对买方是有利的。请问老师这个理解哪里不对呢？

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发亮_品职助教 · 2024年07月22日

有个关键的点没考虑到：CDS合约的upfront premium只支付一次，就是在合约签订期初支付一次。


当我们给已有的衍生品合约算mark-to-market value时（算盈亏时），是假设此刻按照最新的市场做一个反向头寸，立即把旧合约平仓平掉，此时的差值就是盈亏。


CDS合约这里的道理也是一样的，期初的spread是1.7%，标的物是IG债券，所以买方一年少支付0.7%的保费，这份合约总计少支付：0.7% × duration

我作为期初CDS合格的买方，在期初时刻支付upfront premium为0.7%×Duration


期末的Spread变成了1.6%，依然是买方每年少支付，但此时，每年少支付的金额为0.6%，则这份合约总计少支付：0.6%×duration

如果我是新进入市场，买一个CDS合约的话，应该此时在期初支付upfront premium为0.6%×duration。upfront premium是针对新签订合约的。


现在这道题要算旧合约的mark-to-market value哈，就是要在新市场上签订一份新合约，这份合约的头寸与旧合约反向，则可以平掉所有头寸，净额为旧合约的盈亏：

期初买入CDS合约，支付0.7%×duration的upfront premium

期末反向平仓，按最新市场条件要卖出一份CDS合约，收到0.6%×duration的upfront premium。这两个反向合约的头寸平掉，净头寸为0。但两次的upfront premium一次收，一次支，金额不同，可以算旧合约盈亏（mark-to-market value）。


合约盈亏是：亏0.1%×duration的upfront premium

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2024-07-18 15:36 1 · 回答

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