问题如下:
During 2004 and 2005, a popular strategy in credit markets for hedge funds, banks, and brokerages was to sell protection on the equity tranche and buy protection on the mezzanine tranche of the investment-grade CDS index. Which of the following statements regarding this trade is least accurate?
选项:
A.The trade was designed to be default-risk neutral at initiation with equal credit spread sensitivities on the two legs.
B.This strategy is profitable when the CDS index spread between equity and mezzanine wides.
C.The motivation of the trade was to have a positively convex payoff profile with the two positions benefiting from credit spread volatility.
D.The trade was long credit spread risk on the equity tranche and short credit spread risk on the mezzanine tranche.
解释:
B is correct.
考点:credit market in early 2005
解析:这个交易是long credit spread risk on the equity tranche,同时short credit spread risk on the mezzanine tranche。最开始是default-neutral的,通过凸性在spread波动中赚差价。equity和mezzanine的spread变大策略会亏钱。
这个题我能理解,我只是想问一下讲义上的一点内容
Sell protection on the equity tranche of the CDX.NA.IG; i.e., long credit and credit spread risk,sell相当于收保费,但后面这里为啥是 long credit and credit spread risk啊,怎么long credit 难道不是做多风险的意思吗?
对应的通过 mezzanine short credit and credit-spread risk是啥意思