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piupiu · 2025年06月26日

A和B的关系没懂，怎么判断seller还是buyer

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000023

问题如下：

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

选项：

A.

If the reference entity’s credit spread trades below the standard coupon rate, the CDS contract will be priced at a premium above par because the protection 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’s credit spread trades at 1.50% versus a standard coupon rate of 1.00%, the CDS contract will be priced at a discount equal to the 0.50% difference multiplied by the effective CDS spread duration times the contract notional.

Under A, the contract is priced at a premium to par because the protection seller is receiving an “above market” periodic premium.

如题

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1 个答案

发亮_品职助教 · 2025年06月27日

当成债券来类比。对于债券来说，当coupon rate大于折现率YTM时，债券溢价发行；当coupon rate小于折现率YTM时，债券折价发行。


CDS这边是一样的思路。因为Credit spread是折现率的一部分，CDS这块把credit spread就当成债券的折现率来类比。

当CDS的fixed coupon>credit spread时，折现率更小，则CDS溢价发行。

当CDS的fixed coupon


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

选项A的前半句没有问题，当Credit spread < standard coupon rate时，即折现率更小，则CDS溢价（priced at a premium above par）

但是后半句标红的部分有问题。


CDS理论上讲，有多大风险credit spread，buyer就应该支付多少保费fixed coupon。所以Credit spread才是buyer理论上应该缴纳的合理保费。但现在是标准化合约，保费是固定的，Buyer实际缴纳的保费是Standard coupon rate。

当credit spread < standard coupon rate时，意思是buyer实际缴纳的保费高于他应该交的理论保费。所以他交多了。

理论上的合理保费也可以称为market periodic coupon/premium（按市场价格定的保费），选项A说buyer pays a below market periodic coupon就是错误的。

应该是buyer pays a above market periodic coupon.


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.

上面的选项B完全没有问题。当credit spread > standard coupon rate时，就是折现率大于coupon rate，CDS的价格折价（priced at a discount to par）

seller实际收到的保费（standard coupon rate）低于理论上的合理保费（credit spread or market periodic premium）

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