An investor seeks to purchase credit protection under a five-year CDS contract at a CDS market spread

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An investor seeks to purchase credit protection under a five-year CDS contract at a CDS market spread of 0.50% p.a. for an investment-grade issuer with an estimated effective spread duration (EffSpreadDur_CDS) of 4.75.

Determine whether the investor must pay or receive an upfront amount upon CDS contract inception and calculate the difference from par.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 08, 2023 01:43 AM

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An investor seeks to purchase credit protection under a five-year CDS contract at a CDS market spread

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Because investmentgrade CDS contracts have a fixed coupon of 100 pa versus the 050 pa CDS mark...View the full answer

Fixed Income Analysis

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