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hyi725 · 2023年08月25日

为什么是Buyer pays seller?

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002401

问题如下：

An active portfolio manager seeking to purchase single-name CDS protection observes a 1.75% 10-year market credit spread for a private investment-grade issuer. The effective spread duration is 8.75 and CDS basis is close to zero.


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.

为什么是Buyer pays seller?

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2 个答案

pzqa015 · 2023年08月28日

嗨，爱思考的PZer你好：


spread＞fixed coupon，意味着期间seller给buyer的保费多了，所以，buyer要在期初一次性付给seller upfront premium。

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努力的时光都是限量版，加油！

pzqa015 · 2023年08月27日

嗨，爱思考的PZer你好：


IG的fixed coupon为1%，HYB的fixed coupon为5%。

spread为1.75%，大于1%，所以buyer pay（1.75%-1%）*8.75%=6.5625%。

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努力的时光都是限量版，加油！

hyi725 · 2023年08月28日

但你还是没说“为什么”？

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