Robyn
2024-01-28 15:342\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.這里為什么是8.75 × 0.60%，0.60%是哪里來的？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2024-01-29 13:41
該回答已被題主采納
An active portfolio manager seeking to purchase single-name CDS protection observes a 1.75% 10-year market credit spread for a private investment-grade issuer. The effective spread duration is 8.75 and CDS basis is close to zero.
同學(xué)，上午好。8.75*0.6%是1-8.75*0.6%，是計(jì)算新的CDS price。
公式：CDS price=1+（fixed coupon-CDS spread）×SD
原本CDS spread=1.75%，所以 CDS price=1+（1%-1.75%）*8.75=0.934375
現(xiàn)在CDS spread下跌至1.6%，所以，new CDS spread=1+（1%-1.6%）*8.75=1-0.6%*8.75=0.9475
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