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005 · 2023年04月22日

题目里提到CDS basis为0是想说明什么

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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

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已采纳答案

pzqa015 · 2023年04月23日

嗨，从没放弃的小努力你好：


一般用来套利，比如同一主体的债券和CDS，如果CDS basis＞0，说明债券价格高估，应该short bond，买CDS，反之亦然。

如果等于0，说明这一主体的CDS和债券没什么套利空间，或者说定价是合理的。

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pzqa015 · 2023年04月23日

嗨，爱思考的PZer你好：


CDS basis=CDS spread-Z spread，这道题用不到CDS basis这个条件。

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努力的时光都是限量版，加油！

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