Performance scenarios of a deal based on derivative instrument
Performance scenarios of a deal based on derivative instrument
PERFORMANCE SCENARIOS of a deal based on derivative instrument for the transfer of credit risk : Credit Default Swap on a 5-Year German government bond “Bund” (CDS).
| Parameters | Abbreviation | Value |
| CDS opening price (€) dated 06-01-2021: | P | 11 basis points (bps) or 0.11% per 1 Euro |
| Trade size (per notional): | N | 1,000,000 Euros face value |
| Margin %: | M | 100% |
| Margin Requirement/Premium paid (€): | MR = P x N x M | €1,100 |
| BUY / LONG | Opening Price | Closing Price (incl. spread) | Price change | Profit / Loss |
| Favourable | 11 | 500 | 489 | €48,900 |
| Moderate | 11 | 100 | 89 | €8,900 |
| Unfavourable | 11 | 6 | -5 | -€500 |
| Stress | 11 | 1 | -10 | -€1,000 |
| SELL / SHORT | Opening Price | Closing price (incl. spread) | Price change | Profit / Loss |
| Favourable | 11 | 1 | -10 | €1,000 |
| Moderate | 11 | 6 | -5 | €500 |
| Unfavourable | 11 | 100 | 89 | -€8,900 |
| Stress | 11 | 500 | 489 | -€48,900 |
Buying (or, as the case may be, selling) this product indicates the view that you think the underlying price will increase (or, as the case may be, decrease).
Please be informed that the PnL will be always calculated in your trading Account’ currency.
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2022-04-21 • Updated
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