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abel · 2025年06月09日

如题

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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.

这个题目不理解,老师说这个题的CDS Spread=Credit Spread

那么当fixed coupon大于CDS Spread的时候应该是seller要给buyer钱,那现在coupon是5%,不是明显是buyer要收钱么?

为什么答案又是spread多了0.75%,那我们判断这个东西的时候到底要不要根据fixed coupon-cds spread这个公式来判断呢?

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