Question: U buy a CDS with MV 0 maturing and spread duration of 3.5 principal of 10,000,000 U sell another CDS with MV 0 and spread

  1. U buy a CDS with MV 0 maturing and spread duration of 3.5 principal of 10,000,000

    U sell another CDS with MV 0 and spread duration of 4.5 principal 25,000,000

    Assume ur spread goes up by 20 bps

    what is going the approximate portfolio MV change?

    Hint calc each of the MV seperately and then add them together

    -155,000

    295000

    -225,000

    NONE OF THE ABOVE

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