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506623496 · 2024年01月20日

C选项

NO.PZ2023032703000072

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.

没太理解C选项,麻烦解释一下

1 个答案
已采纳答案

pzqa015 · 2024年01月20日

嗨,努力学习的PZer你好:


选项C:这句话说CDS与fixed rate bond类似,期初priced at par,显然是不正确的。保护IG的CDS的fixed coupon是1%,保护HYB的CDS的fixed coupon是5%。对于期初CDS spread或者说credit spread不等于1%的IG或者CDS spread不等于5%的HYB,对应CDS期初就不是priced at par的,只有当期初CDS spread等于1%的IG或者CDS spread等于5%的HYB,对应CDS期初才是priced at par。

C选项后半句说随着主体spread变化,price变化,这是没问题的。

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