选项C

问题如下：

A profitable equity-versus-credit trade involving Delta and Zega is to:

选项：

A.

short Zega shares and buy protection on Delta using the 10-year CDS.

B.

go long Zega shares and buy protection on Delta using 5-year CDS.

C.

go long Delta shares and buy protection on Delta using 5-year CDS.

解释：

B is correct.

The shares of Zega can be sold at a higher price as a result of the unsolicited bid in the market. If Delta Corporation issues significantly more debt, there is a higher probability that it may default. If the Fund sells protection on Delta now, the trade will realize a profit as credit spreads widen. An equity-versus-credit trade would be to go long (buy) the Zega shares and buy protection on Delta.