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410140980 · 2023年07月20日

CDS spread

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000073

问题如下：

A three-year credit-linked note (CLN) with underlying company X has a LIBOR+90bp semiannual coupon with USD 100 million face value. LIBOR is 5% for all maturities and the current three-year CDS spread for company X is 60bp. The fair value of this CLN is closest to

选项：

A.

USD 100.00 million

B.

USD 100.3 million

C.

USD 100.82 million

D.

USD 99.19 million

解释：

C is correct.

考点：CLN

解析：

PMT = 100 * (5%+0.9%)/2 = 2.95 million

I/Y = (5% +0.6%)/2 = 2.8%

N = 6

FV = 100 million

代入计算可得 PV = -100.82 million

老师LIBOR is 5% for all maturities and the current three-year CDS spread for company X is 60bp. 

这道题题干表示标的资产的coupon是5%+0.9%半年付息。又去买了一个CDS，而这个CDS的spread 我以为就是60bps，没理解为什么要加上libor，也就是这句话不太理解。

然后还有个问题是关于解析当中讲CDS spread 直接默认为债券的require rate，又该怎么理解呢？

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1 个答案

李坏_品职助教 · 2023年07月20日

嗨，爱思考的PZer你好：


题目说 CDS spread for company X is 60bp，意思是CDS的spread是0.6%，既然是Spread那必然是利差的意思，意思是CDS相对于libor的利差是0.6%，那么完整的折现利率应该是libor + 0.6%=5.6%。


这个题目让你求的是CLN的价格，CLN是一种信用联结债券，本质上也是对信用违约事件的赔付，所以可以用CDS的利率5.6%来折现。也就是I/Y = 5.6%/2 = 2.8%作为折现利率。

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