NO.PZ2019011002000019
问题如下:
Bond D is a 5-year corporate bond and it is currently yielding 7.5%. The comparable government bond is yielding 2.5%. The relevant CDS contract has a credit spread of 4.5%.
Li, a credit analyst, wants to use this information to execute a basis trade. If the convergence occurs in the bond and CDS market, the trade will result a profit closet to:
选项:
A.3%
B.1.5%
C.0.5%
解释:
C is correct.
考点:计算CDS的盈利
解析:
公司债的收益率为7.5%,国债的收益率为2.5%,则债券的Credit spread为5%,同时CDS contract的Credit spread为4.5%,则当前购买CDS的保护较为便宜,因此购买CDS保护,同时买入债券;如果两者的价格收敛,则可以赚:5%-4.5%=0.5%的收益。
这里的话不应该是short bond, long CDS吗?