NO.PZ202112010200002402
问题如下:
Oncethe manager purchases CDS protection, the issuer’s CDS spread immediately fallsto 1.60%. What is the investor’s approximate mark-to-market gain or loss for acontract 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 toa new CDS contract price of 94.75 per 100 face value (=1 – (EffSpreadDurCDS× ∆Spread) or (8.75 × 0.60%)).
The protection buyer (shortrisk) position therefore realizes an approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% decline in CDS spreads.
直接用credit spread change 0.15乘以spread duration 再乘以 notional ,可以嘛?