A companys 5-year CDS trades at a credit spread of 300 bps, and its 10-year CDS trades

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A company’s 5-year CDS trades at a credit spread of 300 bps, and its 10-year CDS trades at a credit spread of 500 bps.

The company’s 10-year spread is unchanged, but the 5-year spread widens by 500 bps. Describe the implication of this change in the credit curve.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 05, 2023 01:27 AM

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A companys 5-year CDS trades at a credit spread of 300 bps, and its 10-year CDS trades

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This change implies that the companys nearterm credit risk i...View the full answer

Fixed Income Analysis

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