NO.PZ202112010200002902
问题如下:
Which of the following is the most appropriate credit portfolio positioning strategy to capitalize on an expected economic contraction?
选项:
A.Buy protection on the 5-year CDX HY index and sell protection on
the 5-year CDX IG index in approximately equal notional amounts.
Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.
Buy protection on the 10-year CDX HY index and sell protection on the 5-year CDX HY index using a contract with a notional amount equal to 1.85 times that of the 10-year contract.
解释:
A is correct. Because an economic contraction is often associated with a sharp rise in shorter-term high-yield spreads and spread curve flattening in investment grade and inversion in high yield, the most appropriate choice is to take a short risk (purchase protection) in five-year high-yield spreads and a long position (sell protection) in five-year investment-grade spreads.
Answers B and C position the investor to benefit from a steeper investment-grade and high-yield spread curve, respectively.
老师请问,5y CDS spread小,10y CDS spread大,就是long 5y (sell protection), short (buy protection) 10y对吧?记得和保险一样,buy其实是short保险的一方,sell是long保险的一方
Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract