Question
Consider the following CDSs for GS as of 04/24/17: Tenor Cusip CD1016 Mid Spr FS Sr CDS Spread (bps) 6M CX669502 CMAN Curncy GS CDS
Consider the following CDSs for GS as of 04/24/17:
| Tenor | Cusip | CD1016 Mid Spr FS Sr CDS | Spread (bps) |
| 6M | CX669502 CMAN Curncy | GS CDS USD SR 6M D14 Curncy | 20.2 |
| 1Y | CGS1U1 CMAN Curncy | GS CDS USD SR 1Y D14 Curncy | 28.9 |
| 2Y | CGS1U2 CMAN Curncy | GS CDS USD SR 2Y D14 Curncy | 37.1 |
| 3Y | CGS1U3 CMAN Curncy | GS CDS USD SR 3Y D14 Curncy | 48.8 |
| 4Y | CX398729 CMAN Curncy | GS CDS USD SR 4Y D14 Curncy | 62.8 |
| 5Y | CGS1U5 CBIN Curncy | GS CDS USD SR 5Y D14 Curncy | 73.9 |
| 7Y | CGS1U7 CMAN Curncy | GS CDS USD SR 7Y D14 Curncy | 99.8 |
| 10Y | CGS1U10 CMAN Curncy | GS CDS USD SR 10Y D14 Curncy | 117.7 |
Reference Entity Information
Name: Goldman Sachs Group
Sector: Financials
Industry: Financial Industry
Credit Default Swap Contracts Information
Country: US
Coupon Frequency: Quarterly
Debt Type: Senior
Day Count: ACT/360
Currency: USD
Coupon(bps): 100
Recovery: 0.40
Consider the following Interest Rate Yields:
| 1M | 0.995 |
| 2M | 1.0372 |
| 3M | 1.1696 |
| 6M | 1.4304 |
| 1Y | 1.7765 |
| 2Y | 1.5635 |
| 3Y | 1.7165 |
| 4Y | 1.839 |
| 5Y | 1.9365 |
| 6Y | 2.024 |
| 7Y | 2.097 |
| 8Y | 2.161 |
| 9Y | 2.2205 |
| 10Y | 2.267 |
| 12Y | 2.352 |
| 15Y | 2.431 |
| 20Y | 2.504 |
| 25Y | 2.529 |
| 30Y | 2.533 |
Please estimate the hazard rate curve from the CDS spreads of GS. For the valuation model assume the JPMorgan model (defaults can occur midway during each payment period, but the accrual is made at the end of the periods).
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