NO.PZ202112010200002401
问题如下:
What should the protection buyer expect to pay or receive to enter a new 10- year CDS contract?
选项:
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.
解释:
C is correct. Because the market premium is 0.75% above the 1.00% standard investment-grade CDS coupon, the protection buyer must pay the protection seller 6.5625% (= EffSpreadDurCDS × ∆Spread, or 8.75 × 0.75%) of the fixed notional amount upon contract initiation; the initial CDS price is therefore 93.4375 per 100 of notional with a CDS spread of 175 bps.
题目里提到CDS basis为0是想说明什么