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mino酱是个小破货 · 2025年06月11日

求问purchase a payer option on the CDX

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000074

问题如下：

Which of the following credit portfolio positioning strategies is the most appropriate to underweight the financial sector versus an index?

选项：

A.

Purchase protection on the CDX and sell protection on the CDX Financials subindex.

B.

Sell protection on the CDX and purchase protection on the CDX Financials subindex.

C.

Purchase a payer option on the CDX and sell protection on the CDX Financials subindex.

解释：

B is correct. Selling protection on the CDX index is a “long” credit spread risk position, while purchasing protection on the CDX Financials subindex is a “short” credit spread risk position, leaving the investor with a long index position without exposure to financial reference entities in the CDX index. Both A and C increase exposure to financial sector issuers.

求问purchase a payer option on the CDX？这个是不是有权进入一个pay CDX spread，相当于sell CDX spread，即转移风险，long CDX protection。有权买保险对不对？谢谢老师

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1 个答案

发亮_品职助教 · 2025年06月11日

是的，有权买保险。

翻译一下purchase a payer option on the CDX理解成buy option on CDX buyer。即，有一个optin权利，底层资产是买入一个CDX保险合约。所以是有权买保险。

payer option里面的payer是说支付CDS里面的fixed coupon，其实就是保险合约的买方。


purchase payer option on CDX，有权买保险，相当于是有权转移出去CDX的头寸，即，会降低index的exposure。

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