NO.PZ2019011002000023
问题如下：
TXT is a derivatives trading company. It wants to trade single-name CDS to add profit over time. The derivatives trading company wants to sell $10 million five-year CDS protection on company D. TXT believes that 3 months later, the credit spread on company D will narrow from 225bps to 165 bps.
According to the information above, if TXT wants to close the position, it should:
选项：
A.Sell protection on company D at a higher premium than it received for the CDS contract 3 months before.
B.Buy protection on company D at a lower premium than it received for the CDS contract 3 months before.
C.Buy protection on company D at a higher premium than it received for the CDS contract 3 months before.
解释：
B is correct.
考点：对CDS盈利的理解
解析：
TXT公司预测Company D的Credit spread在三个月内会降低，因此在期初TXT可以卖出Protection，赚取更高的Premium，三个月后，当Company D的Credit spread下降时，TXT可以以更低的价格买入CDS Protection，平掉头寸。TXT公司盈利，因为他们卖出CDS protection时，赚取的是225bps的Credit spread，而平掉头寸买入CDS protection时，支付的是165bps的credit spread，TXT赚取中间差价。
是不是在0时刻借来cds卖掉，获得高价，3个月后cds降价的预期落地后，以买该公司的cds，归还0时刻借来的cds，头寸平调，获得价差？这是也是衍生品自带杠杆的体现？
