NO.PZ202303270300007302
问题如下:
(2) 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.
The manager realizes an approximate gain of €131,250.
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×ΔSpread) 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.
CDS price =1+(Fix coupon - CDS spread)*EffspreadDur
- 现在买了一个CDS,CDS price假设值100块;
- 然后CDS spread下降了,CDS price是不是应该升值,假设值110块了;
- 那对于CDS buyer,是不是gain了10块?
请问我这个逻辑哪里错了?没太想明白这里loss的逻辑。