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宇宙球求 · 2025年05月10日

请问B选项，是否算是裸卖空？是否合法？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

如果非法，可否在出现选项中在直接 pass掉？


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1 个答案

发亮_品职助教 · 2025年05月11日

不用考虑这么复杂。除了道德，所有题目里面的策略都默认是不考虑法律的问题。


而且CDS是衍生品合约，衍生品合约可以直接开short头寸，比如short futures, short forward, or sell CDS protection，这些都是常见的直接开设空头头寸。像选项B的sell single-name CDS protection完全没有问题哈

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