开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

moon · 2022年05月08日

buyer用一个更便宜的价格买入了CDS，不是gain吗？

  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.


原来CDS价格=93.4375（buyer的买入价）


新的CDS价格=94.75


buyer用一个更便宜的价格买入了CDS，不是gain吗？

添加评论
1 个答案

pzqa015 · 2022年05月14日

嗨，努力学习的PZer你好：


CDS price的定价公式：1-(credit spread-fixed coupon）*ED，其中，upfront premium=(credit spread-fixed coupon)*ED，所以，CDS price =1-upfront premium。

CDS price并不是买卖CDS合约要支付的现金，买卖合约要支付的是upfront premium，只不过不同时间点每份合约的upfront premium不能直观看到，要根据这份CDS合约的挂牌价（CDS price）来反推。

本题买入合约后，CDS price下降，则意味着upfront premium更大，也就是如果现在签这份合约，期初要支付更多的upfront premium，所以，对于已经买了CDS的buyer来说，是赚到了。



----------------------------------------------
努力的时光都是限量版，加油！

Carina9999 · 2022年07月19日

CDS price的定价公式是：1+(credit spread-fixed coupon）*ED吧？ 不是减吧？

  • 1

    回答

  • 1

    关注

  • 717

    浏览
相关问题

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师请问 C basis是什么来着？

2024-07-21 13:54 1 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师，下午好，这题有个新问题，我看大家都没有提问过，请问，这里为什么是除以100，而不是除以93.4375？p0,p1计算我都能理解，但不理解return为什么不是除以p0,而是除以100？

2024-01-07 17:05 1 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 如果可以，请老师一下

2023-01-12 07:56 4 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师请问，我可以这样理解吗？有更好的快速记忆的方法吗？想理一下这背后的逻辑C Sprea降对于buy C protection(short risk)的一方是loss；C Sprea升对于buy C protection(short risk)的一方是gainC Sprea降对于sell C protection(long risk)的一方是gain；C Sprea升对于sell C protection(short risk)的一方是loss

2022-12-16 18:35 2 · 回答

NO.PZ202112010200002402 问题如下 active portfolio managerseeking to purchase single-name C protection observes a 1.75% 10-yemarketcret sprefor a private investment-gra issuer. The effective sprerationis 8.75 anC basis is close to zero. Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师，买入之后C价格是上升了啊，变成94.75，upfront premium更小，buyer有loss

2022-07-26 17:18 1 · 回答