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moon · 2022年02月14日

FI

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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.

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 × ∆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.

想请问下，我是这么理解的，算出来不对在哪里？


1. 判断头寸：long CDS=short bond

2. 计算return

（1）coupon=10，000，000*1%=100，000（对于long方的支出）

（2）计算price appreciate

P1=1+（fixed coupon-credit spread）*ED=1+（1%-(1.75%-1.6%))*8.75=0.996875

P0=1+(1%-1.75%）*8.75=0.934375

🔺p=（0.996875-0.934375）*10,000,000=625，000（价格↑，spread↓，对于long CDS=short bond的人来说不利，是loss）

（3）总的loss=100，000+625，000=725，000

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2 个答案
已采纳答案

pzqa015 · 2022年02月15日

嗨，努力学习的PZer你好：


1、fixed coupon=1%是期间支付的，不是upfront premium，本题说买入CDS 后,spread immediately fails to 1.6%，所以不考虑coupon的问题。

2、你的P1的计算公式错了，题目说是fall to 1.6%，也就是新的credit spread=1.6%

那么P1=1+(1%-1.6%)*8.75=0.9475

3、最后计算的loss就是(P1-P0)*NP=(0.934375-0.9475)*10000000=131250

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2022年02月16日

嗨，爱思考的PZer你好：


一般在计算持有期是一年时，需要考虑coupon，CDS的fixed coupon一般都是annualy且在年末收付，本题说CDS spread immediately falls to..，意思是进入CDS合约后，spread迅速变化，还没等到有coupon，所以不需要考虑coupon.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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