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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？

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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。



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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？

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