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Spencer · 2022年12月16日

CDS Spread和Buy/Sell的关系

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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.

B.

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.

C.

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

2 个答案

pzqa015 · 2022年12月19日

嗨,努力学习的PZer你好:


预期经济收缩,则相对于长期,短期风险变大。所以,应该买短期的CDS,卖长期的CDS,所以B、C错了。


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pzqa015 · 2022年12月17日

嗨,爱思考的PZer你好:


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

--

是的,如果预期5Y spread变小,10y spread变大,就买10年的CDS,卖5年的CDS。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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