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

西红柿面 · 2025年02月10日

从Bond Price的角度应该如何理解？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002402

问题如下：

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 × ∆Spread) 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.

从Bond Price的角度应该如何理解？我计算的CDS Price，也就是Bond Price是升高的，所以应该是Gain才对呀

添加评论
1 个答案

发亮_品职助教 · 2025年02月11日

这道题从CDS spread的角度直接选，不用计算哈。


CDS spread有多大，购买CDS合约就需要支付多少保费。虽然现在的保费是固定的coupon 1% or 5%，但是会有upfront premium进行调节。

整体上看：固定的coupon + upfront premium调节，这个付出的保费成本一定等于CDS spread。

即，标的物信用风险有多大，则应支付多少保费。


期初CDS spread = 1.75%，按照1.75%的价格买入保险。现在CDS spread变成了1.60%，如果按最新价买入CDS保险的话，只需支付1.60%的保费。所以买亏了，本题直接选A。


用债券角度分析的话，Buy CDS获得保险等于转移风险，即看空信用风险，是short credit risk头寸，对应的债券头寸是short bond。

期初bond对应的Spread=1.75%，期末变成1.60%，spread下滑则债券价格上升，short头寸有亏损。


如果是计算的话，算CDS price，这个price不是bond price。要算出upfront premium进行考虑，会稍微复杂点。


期初的CDS价格：

CDS price = 1 + (1%-1.75%)×8.75 = 0.9344

我们是作为买方，期初要支付upfront premium = 1 -0.9344 = 0.0656


注意，我们是Buy CDS protection，现在要看这份合约的盈亏。所有衍生品算盈亏的时候，都是签订一份新的反向对冲合约，平仓掉旧合约。两份合约的value差值为旧合约的盈亏。


所以我们现在要考虑新合约的价格，签入新合约进行平仓。期末的CDS spread变成1.60%，有新的价格，为：

CDS price new = 1 + (1%-1.60%)×8.75 = 0.9475


为了平仓旧合约，我们应该sell CDS新合约。期末卖出时，收到upfront premium为1-0.9475=0.0525


所以，期初我们支付upfront premium = 0.0656，期末平仓收到UP=0.0525，净的收益为：

0.0525 - 0.0656 = -0.0131，这是1元面值的亏损


CDS的NP=10,000,000

则总亏损是：-0.0131× 10,000,000=-131,000


用CDS price这样计算比较复杂。所以后续判断的时候，直接求期初与期末的CDS price，两者算差值为CDS的价值收益。

如本题的期初价0.9344，期末价0.9475

价差为：0.9475 - 0.9344 = 0.0131

面值为10,000,000，则总盈亏为：10,000,000×0.0131=131,000

这种只能算出盈亏，但不能判断是盈利还是亏损，我们需要自己结合头寸来分析下是盈利还是亏损。

  • 1

    回答

  • 0

    关注

  • 4

    浏览
相关问题

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €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 toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师请问 C basis是什么来着？

2024-07-21 13:54 1 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €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 toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师，下午好，这题有个新问题，我看大家都没有提问过，请问，这里为什么是除以100，而不是除以93.4375？p0,p1计算我都能理解，但不理解return为什么不是除以p0,而是除以100？

2024-01-07 17:05 1 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €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 toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 如果可以，请老师一下

2023-01-12 07:56 4 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €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 toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师请问，我可以这样理解吗？有更好的快速记忆的方法吗？想理一下这背后的逻辑C Sprea降对于buy C protection(short risk)的一方是loss；C Sprea升对于buy C protection(short risk)的一方是gainC Sprea降对于sell C protection(long risk)的一方是gain；C Sprea升对于sell C protection(short risk)的一方是loss

2022-12-16 18:35 2 · 回答