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Ronnie36
Topic Author
Posts: 5
Joined: February 11th, 2015, 8:53 am

HiI am new to the CDS Pricing world and don't understand what the difference is between Par Spreads and Quoted (Or Conventional) Spreads.Would someone mind explaining this to me, I would really appreciate this! For example, a Par Spread of 190 bps is equal to a Quoted Spread of 192 bps for a trade I'm looking at. I cant get my head around this?Thank you so muchRonnie

bearish
Posts: 4970
Joined: February 3rd, 2011, 2:19 pm

We touched on that about three threads ago. Pls take a look there.

23tl
Posts: 0
Joined: July 8th, 2016, 2:47 pm

The following are quotes from "LEARNING CURVE ®A ?Big Bang? in the Credit Derivatives Universe"There is a subtle but important difference between the quoted spreads and the par spreads. When calibrating a credit curve, one uses the entire collection of par CDS quotes for different maturities. Under the new convention, the quotes are flat spreads: each maturity essentially has its own credit curve unrelated to the curves at other maturities. Each of these credit curves is flat with the spread given by the corresponding quote. Since it is only a quoting convention, the flat assumption makes it easier to translate the spreads into prices. One has to be aware of the fact that par spread and flat (or quoted) spread for the same reference entity for the same maturity can be different.

bearish
Posts: 4970
Joined: February 3rd, 2011, 2:19 pm

QuoteOriginally posted by: 23tlThe following are quotes from "LEARNING CURVE ®A ?Big Bang? in the Credit Derivatives Universe"There is a subtle but important difference between the quoted spreads and the par spreads. When calibrating a credit curve, one uses the entire collection of par CDS quotes for different maturities. Under the new convention, the quotes are flat spreads: each maturity essentially has its own credit curve unrelated to the curves at other maturities. Each of these credit curves is flat with the spread given by the corresponding quote. Since it is only a quoting convention, the flat assumption makes it easier to translate the spreads into prices. One has to be aware of the fact that par spread and flat (or quoted) spread for the same reference entity for the same maturity can be different.Gee, that's helpful.

23tl
Posts: 0
Joined: July 8th, 2016, 2:47 pm

Last edited by 23tl on July 6th, 2016, 10:00 pm, edited 1 time in total.

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