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.
这道题老师上课讲的时候是说Fixed couponn > CDS spread, issue at premium，为什么这里选B，不选A呢？
选项A：根据上图公式，如果期初CDS spread＜fixed coupon，那么，CDS price＞par，即 CDS priced at a premium above par。同时，CDS spread＜fixed coupon意味着期间buyer交的保费（fixed coupon）多了，故应该是protection buyer pays a “above market” periodic coupon，而不是”below market” periodic coupon。A错。