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Derivatives

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  • April 11, 2022
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Par CDS Spread

The value of the running spread that makes the value of a CDS (credit default swap) contract equal to par. In other words, this spread makes the value of a credit default swap (CDS) with the same maturity equal to zero at the present.

This spread is the coupon (interest payment) that makes the two legs of the swap (premium and protection) equal. The CDS par spread makes the discounted present value of the periodic payments equal to the expected present value of the settlement amount in case a credit event occurs.


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