a. XYX Corp is rated A+/A2 and you buy protection via the CDS market. What will your

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a. XYX Corp is rated A+/A2 and you buy protection via the CDS market. What will your running spread be?

b. XYX Corp is the victim of a massive accounting fraud and as result gets downgraded to CCC/CAA2. Is your original swap at a profit or a loss?

c. As a result of the downgrade you decide to increase your position size and enter into a new CDS trade on XYX. What is the running spread of this trade going to be?

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Bond Markets Analysis And Strategies

ISBN: 9780253337535

10th Edition

Authors: Frank J. Fabozzi, Francesco A. Fabozzi

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Question Posted: Jan 21, 2024 12:07 PM

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a. XYX Corp is rated A+/A2 and you buy protection via the CDS market. What will your

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a The running spread for the CDS protection on XYX Corp would depend on the specific t...View the full answer

Bond Markets Analysis And Strategies

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