NO.PZ2023040701000111
问题如下:
Chan explains that a single-name CDS can also be used to add profit to the fund over time. Chan describes a hypothetical trade in which the fund sells £6 million of five-year CDS protection on Orion, where the CDS contract has a duration of 3.9 years. Chan assumes that the fund closes the position six months later, after Orion’s credit spread narrowed from 150 bps to 100 bps.
The hypothetical Orion trade generated an approximate:
选项:
A.
loss of £117,000.
B.
gain of £117,000.
C.
gain of £234,000.
解释:
Correct Answer: B
The gain on the hypothetical Orion trade is £117,000, calculated as follows.
Approximate profit = Change in credit spread (in bps) × Duration × Notional amount
Approximate profit = (150 bps – 100 bps) × 3.9 × £6 million
Approximate profit = .005 × 3.9 × £6 million = £117,000
The SWF gains because they sold protection at a spread of 150 bps and closed out the position by buying protection at a lower spread of 100 bps.
6个月要考虑吗。 credit dur会变吗