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Shawnxz · 2022年12月14日

请问如果是spread大于coupon的话

NO.PZ2021120102000023

问题如下:

Which of the following statements best describes how a single-name CDS contract is priced at inception?

选项:

A.

If the reference entity’s credit spread trades below the standard coupon rate, the CDS contract will be priced at a premium above par because the protection buyer pays a “below market” periodic coupon.

B.

If the reference entity’s credit spread trades above the standard coupon rate, the CDS contract will be priced at a discount to par because the protection seller effectively receives a “below market” periodic premium.

C.

Similar to fixed-rate bonds, CDS contracts are initially priced at par with a fixed coupon and a price that changes over time as the reference entity’s credit spreads change.

解释:

B is correct. For example, if the reference entity’s credit spread trades at 1.50% versus a standard coupon rate of 1.00%, the CDS contract will be priced at a discount equal to the 0.50% difference multiplied by the effective CDS spread duration times the contract notional.

Under A, the contract is priced at a premium to par because the protection buyer is receiving an “above market” periodic premium.

请问如果是spread大于coupon的话,则seller是不是应该接受一个premium,可是为什么CDS还要discount?不应该是卖的更贵吗?谢谢

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已采纳答案

pzqa015 · 2022年12月15日

嗨,努力学习的PZer你好:


CDS price=1+(fixed coupon-spread)*ED,如果spread>coupon,CDS price标价是折价,也就是低于面值的。

如果spread>coupon,说明合约期间seller收的保费少了,所以需要期初buyer一次性给seller一笔upfront premium,这个upfront premium=(CDS spread-coupon)*ED。

CDS 合约中,买卖双方发生的现金流交换是upfront premium,而不是CDS price,只不过upfront premium没法直接观察出,只能通过CDS合约的挂牌价,来推出现金流交换金额upfront premium和交换方向。

的确seller接受premium,但并不意味着CDS的挂牌价更贵,通过前面CDS price与upfront premium的公式也可以看出,CDS price=1-upfront premium,所以,CDS price的值和upfront premium的值并不是同向变化的,而是反向变化,upfront premium越多,则CDS price越低。



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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Yiyun · 2023年03月31日

CDS price与 bond price思路一致: risk↑ spread↑ price↓

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