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闫旭 · 2024年05月09日

A选项为什么不对?

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。

预期spread会降,一开始要先卖掉protection,对应的不是A选项吗?

1 个答案

吴昊_品职助教 · 2024年05月09日

嗨,爱思考的PZer你好:


1、A选项:Sell protection on company D at a higher premium than it received for the CDS contract 3 months before.

意思是:以更高的保费卖出公司D的保险,高于三个月前得到的保费。

换句话说,就是期初和三个月后,都是卖出保险得到保费,这个就不是平仓了,所以A是不对的。

2、我们再来看B:Buy protection on company D at a lower premium than it received for the CDS contract 3 months before.

以更低的保费买一个保险,相比于三个月前收到的保费低。

这就符合平仓了,期初卖保险,获得一个较高的保费,3个月后,付一个较低的保费买保险,两者之间就可赚取价差。

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2024-03-30 18:54 1 · 回答

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2020-08-06 15:36 1 · 回答

老师请问,cret sprea高到低,高的时候不就应该买保险即buy C做空,低的时候不就应该卖保险sell C做多吗?

2020-07-26 14:37 1 · 回答

老师好, 这里TXT 是不是一开始short C 得一个较高的premium, 然后现在cret spreops, 所以TXT 就long c, 相当于去buy 一个c a lower premium. 赚里面的premium 价差? 谢谢。

2020-06-22 07:29 1 · 回答