开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

七七 · 2024年07月21日

CDS fixed rate和CDSspread

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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.

B.

The manager realizes an approximate gain of €131,250.

C.

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 买方应该按照市场spread和fixed rate的差值支付。初始市场spread是1.7%， 买方应该向卖方多支付0.7%×duration；当spread下降至1.6%时，买方向卖方多支付0.6%×duration，需要额外支付的变少了，对买方是有利的。请问老师这个理解哪里不对呢？

添加评论
1 个答案
已采纳答案

发亮_品职助教 · 2024年07月22日

有个关键的点没考虑到：CDS合约的upfront premium只支付一次，就是在合约签订期初支付一次。


当我们给已有的衍生品合约算mark-to-market value时（算盈亏时），是假设此刻按照最新的市场做一个反向头寸，立即把旧合约平仓平掉，此时的差值就是盈亏。


CDS合约这里的道理也是一样的，期初的spread是1.7%，标的物是IG债券，所以买方一年少支付0.7%的保费，这份合约总计少支付：0.7% × duration

我作为期初CDS合格的买方，在期初时刻支付upfront premium为0.7%×Duration


期末的Spread变成了1.6%，依然是买方每年少支付，但此时，每年少支付的金额为0.6%，则这份合约总计少支付：0.6%×duration

如果我是新进入市场，买一个CDS合约的话，应该此时在期初支付upfront premium为0.6%×duration。upfront premium是针对新签订合约的。


现在这道题要算旧合约的mark-to-market value哈，就是要在新市场上签订一份新合约，这份合约的头寸与旧合约反向，则可以平掉所有头寸，净额为旧合约的盈亏：

期初买入CDS合约，支付0.7%×duration的upfront premium

期末反向平仓，按最新市场条件要卖出一份CDS合约，收到0.6%×duration的upfront premium。这两个反向合约的头寸平掉，净头寸为0。但两次的upfront premium一次收，一次支，金额不同，可以算旧合约盈亏（mark-to-market value）。


合约盈亏是：亏0.1%×duration的upfront premium

  • 1

    回答

  • 0

    关注

  • 107

    浏览
相关问题

NO.PZ202303270300007302 问题如下 (2) Onthe manager purchases C protection, the issuer’s C spreimmeately falls to 1.60%. Whis the investor’s approximate mark-to-market gain or loss for a contranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea to a new C contrapriof 94.75 per 100 favalue = 1 – (EffSpreaurC×ΔSprea or (8.75×0.60%). The protection buyer (short risk) position therefore realizes approximate mark-to-market loss of 131,250=(94.75-93.4375)/100×10,000,000 because of the 0.15% cline in C sprea. 计算的话我是用 -(yielchange)xMV 计算出了A or B因为manager是protection buyer （Fixecoupon - C sprea越大，protection buyer要补支付差所以这里C sprea小了 是一个loss这样理解正确么或者怎么样理解会更直观谢谢

2024-07-18 15:36 1 · 回答

NO.PZ202303270300007302 问题如下 (2) Onthe manager purchases C protection, the issuer’s C spreimmeately falls to 1.60%. Whis the investor’s approximate mark-to-market gain or loss for a contranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea to a new C contrapriof 94.75 per 100 favalue = 1 – (EffSpreaurC×ΔSprea or (8.75×0.60%). The protection buyer (short risk) position therefore realizes approximate mark-to-market loss of 131,250=(94.75-93.4375)/100×10,000,000 because of the 0.15% cline in C sprea. C pri=1+（Fix coupon - C sprea*Effspreaur现在买了一个C，C price假设值100块;然后C sprea降了，C price是不是应该升值，假设值110块了；那对于C 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。

2023-08-06 00:33 2 · 回答