NO.PZ2021120102000023
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.
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.
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 seller is receiving an “above market” periodic premium.
1.选项B，credit spread大于fixed coupon时，CDS折价发行，CDS买方要额外给卖方另外的premium，那为什么说seller effectively receives a “below market” periodic premium？
2.选项A里的periodic coupon 是什么？CDS还会涉及到要付coupon吗？
3.选项A里，credit spread小于fixed coupon，这时候CDS买方会从卖方收到一定的premium，不就是相当于卖方付了一个低于市场的coupon吗，A为什么错了？
