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一只可爱的猪 · 2022年07月12日

fixed coupon的spread是默认1%吗?

An active portfolio manager seeking to purchase single-name CDS protection observes a 1.75% 10-year market credit spread for a private investment-grade issuer. The effective spread duration is 8.75 and CDS basis is close to zero.

What should the protection buyer expect to pay or receive to enter a new 10year CDS contract?

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.


为什么默认fixed coupon的spread=1?这里用(1.75%-1%)来计算

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已采纳答案

pzqa015 · 2022年07月12日

嗨,爱思考的PZer你好:


IG的fixed coupon固定是1%,HYB的fixed coupon固定是5%,本题说了Investment grade issuer,所以fixed coupon必须是1%。

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