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erin_hi1990 · 2023年06月27日

这道题想不太明白,可以讲解一下吗?

NO.PZ2023040701000112

问题如下:

Morrison purchases the 10-year CDS on K and Corporation debt- Two months later the credit spread for K and Corp- has increased by 200 basis points Morrison asks Watt to close out the firm's CDS position on K and Corporation by entering into new offsetting contracts.

If Deem Advisors enters into a new offsetting contract two months after purchasing the CDS protection on K and Corporation, this action will most likely result in:

选项:

A.

a loss on the CDS position

B.

a gain on the CDS position

C.

neither a loss or a gain on the CDS position

解释:

Correct Answer: B

Deem Advisors purchased protection, and therefore is economically short and benefits from an increase in the company's spread Since putting on the protection, the credit spread increased by 200 basis points, and Deem Advisors realizes the gain by entering into a new offsetting contract (sells the protection for a higher premium to another party).

A is incorrect because a decrease (not increase) in the spread would result in a loss for the credit protection buyer. C is incorrect because Deem Advisors, the credit protection buyer, would profit from an increase in the company's credit spread, not break even.

这道题想不太明白,可以讲解一下吗?

1 个答案

pzqa31 · 2023年06月27日

嗨,努力学习的PZer你好:


题目说的是M 买了10年期CDS,2个月后,spread扩大了200bp,然后M同学让W同学来平仓(close out the position),问是获利还是亏损,买入CDS后spread变大,是获利的,所以选择B。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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