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moon · 2022年07月26日

老师，买入之后CDS价格是上升了啊，变成94.75，upfront premium更小，buyer有loss

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002402

问题如下：

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.


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.

老师，买入之后CDS价格是上升了啊，变成94.75，upfront premium更小，buyer有loss



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1 个答案

pzqa015 · 2022年07月26日

嗨，努力学习的PZer你好：


嗯，之前笔误了，应该是upfront premium更小，所以有loss。

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