5
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From page 27, Table 6:

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Why are sensitivities of CDS slightly negative before the maturity of the CDS?

I do not get the intuition: if I am long a 5-year CDS, the spreads <5y increase, and the 5y spread remains constant, according to the table above I am loosing money because of the negative signs of the sensitivity. How is this possible?

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When you long a 5y CDS and the spreads <5y increase and the 5y spread remains constant, the premium leg value is decreased. It appears that the CDS value should increase, and you should have a positive sensitivity. However, depending on the shape of the survival probability curve, the protection leg value may also decreased, and then the CDS value, which is defined as the protection leg value minus the premium leg value, may decrease as well. Then you may have a negative sensitivity.

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