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Spencer · 2022年12月16日

CDS Spread和Buy/Sell的关系

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002902

问题如下：

Which of the following is the most appropriate credit portfolio positioning strategy to capitalize on an expected economic contraction?

选项：

A.

Buy protection on the 5-year CDX HY index and sell protection on the 5-year CDX IG index in approximately equal notional amounts.

B.

Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

C.

Buy protection on the 10-year CDX HY index and sell protection on the 5-year CDX HY index using a contract with a notional amount equal to 1.85 times that of the 10-year contract.

解释：

A is correct. Because an economic contraction is often associated with a sharp rise in shorter-term high-yield spreads and spread curve flattening in investment grade and inversion in high yield, the most appropriate choice is to take a short risk (purchase protection) in five-year high-yield spreads and a long position (sell protection) in five-year investment-grade spreads.

Answers B and C position the investor to benefit from a steeper investment-grade and high-yield spread curve, respectively.

老师请问，5y CDS spread小，10y CDS spread大，就是long 5y (sell protection), short (buy protection) 10y对吧？记得和保险一样，buy其实是short保险的一方，sell是long保险的一方


Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract

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2 个答案

pzqa015 · 2022年12月19日

嗨，努力学习的PZer你好：


预期经济收缩，则相对于长期，短期风险变大。所以，应该买短期的CDS，卖长期的CDS，所以B、C错了。


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pzqa015 · 2022年12月17日

嗨，爱思考的PZer你好：


老师请问，5y CDS spread小，10y CDS spread大，就是long 5y (sell protection), short (buy protection) 10y对吧？记得和保险一样，buy其实是short保险的一方，sell是long保险的一方

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是的，如果预期5Y spread变小，10y spread变大，就买10年的CDS，卖5年的CDS。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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