固定收益unit5

问题如下：

The curve trade that would best capitalize on Chan’s view of the US credit curve is to:

选项：

buy protection using a 20-year CDX and buy protection using a 2-year CDX.

buy protection using a 20-year CDX and sell protection using a 2-year CDX.

sell protection using a 20-year CDX and buy protection using a 2-year CDX.

解释：

B is correct.

To take advantage of Chan’s view of the US credit curve steepening in the short term, a curve trade will entail shorting (buying protection using) a long-term (20-year) CDX and going long (selling protection using) a shortterm (2-year) CDX. A steeper curve means that long-term credit risk increases relative to short-term credit risk.