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西红柿面 · 2025年04月09日

请问我这样理解的对吗？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002401

问题如下：

An active portfolio manager seeking to purchase single-name CDS protection observes a 1.75% 10-year market credit spread for a private investment-grade issuer. The effective spread duration is 8.75 and CDS basis is close to zero.


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.

Coupon>Spread的时候，债券溢价发行，Seller要给Buyer钱；

Coupon

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1 个答案

发亮_品职助教 · 2025年04月09日

可以，没什么问题。总之期初是公平的合约，价格应该是平价发行。

溢价发行说明卖贵了，seller要退回溢价部分，seller支付upfront premium。

折价发行说明卖便宜了，buyer要补交折价部分，buyer支付upfront premium

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