Список проголосовавших за комментарий "ликбез:<br/> <br/> <b>CDS Spread</b> – Also called a premium. The amount paid by the Protection Buyer to the Protection Seller, typically <br/> denominated in basis points and paid quarterly. For example if the spread for The Widget Company is 200 basis <br/> points, the Protection Buyer will pay the Protection Seller 200 basis points multiplied by the notional of the trade <br/> annually (typically paid quarterly, on an actual number of days per period/360 basis). <br/> <br/> <b>Credit Event</b> – This is the event triggering settlement under the CDS contract. Since the original ISDA Agreement in 1999, six categories of Credit Events have been defined: <br/> • Bankruptcy – Although the ISDA 2003 Definitions refer to different ways a bankruptcy can occur, the <br/> experience has been that the reference entity has filed for relief under bankruptcy law (or equivalent law). <br/> • Failure to pay — The reference entity fails to make interest or principal payments when due, after the grace <br/> period expires (if grace period is applicable in the trading documentation). <br/> • Debt restructuring — The configuration of debt obligations is changed in such a way that the credit holder is <br/> unfavorably affected (maturity extended and/or coupon reduced). Credit Derivatives Glossary <br/> Confidential. Copyright © 2009, Markit Group Limited. All rights reserved. <a href="/r.php?u=http%3A%2F%2Fwww.markit.com&s=2436098829" rel="nofollow" target="_blank">www.markit.com</a><br/> 4<br/> • Obligation default, obligation acceleration, and repudiation/moratorium – The 2003 ISDA definitions <br/> define these three credit events, but they are very rare. <br/> <br/> <b>Indices</b> trade either on spread or on price. It mimics the cash instrument where some bonds trade on yields, and others on price. The CDS indices convention matches that of the underlying cash instruments. <br/> Intuitively, if an index has a fixed coupon of 60 and the current coupon is 90, it is positive for the <br/> protection buyer (they are paying 60 for something that is currently worth 90). <b>The price is inversely related to spread</b> so the price of the index at 90 is lower than the price at 60, and as the protection buyer is short the credit a drop in price is positive.<br/> <br/> Simple valuation example — Take each individual credit, and multiply the risky duration of the credit by the <br/> difference between the current spread of the credit and the coupon of the index. This gives the PV on <br/> each component. The fair value price of the index is 100 minus the sum of all the PV’s across all <br/> constituents. <br/> For example, if the first credit is trading at 200 bps, with a risky duration of 3.75 years, vs. an index <br/> coupon of 150 bps, then the contribution to the index price is 3.75*50/10,000 = 0.01875. If we assume all <br/> other credits are trading at 150 bps (i.e. equal to the index coupon), then the price of the index will be 100 <br/> – 0.01875 = 99.98125.<br/> <br/> ссылки:<br/> <a href="/r.php?u=https%3A%2F%2Fwww.markit.com%2Fnews%2FCredit%2520Indices%2520Primer.pdf&s=1929143497" rel="nofollow" target="_blank">www.markit.com/news/Credit%20Indices%20Primer.pdf</a><br/> <a href="/r.php?u=http%3A%2F%2Fwww.markit.com%2Fassets%2Fen%2Fdocs%2Fproducts%2Fdata%2Findices%2Fcredit-index-annexes%2FCDS_glossary.pdf&s=631704434" rel="nofollow" target="_blank">www.markit.com/assets/en/docs/products/data/indices/credit-index-annexes/CDS_glossary.pdf</a><br/> <br/> кому не лень — переведите, и в финансовый словарь это было бы неплохо поместить<br/> раз такие вопросы возникают у людей."