Christine666 · 2023年12月23日
老师好！
看原版书 credit strategies 章节，例题27和29，有点糊涂了。
1.什么时候需要既long也要short，有时候又只用long或者short？
例题27的答案，只需要sells 10-year CDS protection（为什么不用buy 5-year CDS protection），例题29的答案，是buy protection on the CDX HY Index and sell protection on the CDX IG Index.
2.算return时，什么时候需要考虑upfront payment？
例题27，cds spread 都大于1%，但没有考虑upfront payment. 例题29，考虑了upfront payment （the investor will receive an upfront payment for entering both positions）。
谢谢！
pzqa31 · 2023年12月25日
嗨，努力学习的PZer你好：
1.同学，这两道例题完全是不同的策略啊，第一个是roll-down strategy，第二个是CDX IG和CDX HY的EffSpreadDurCDS发生了不同的变化，所以采用long short，一定是两个头寸，比如长期和短期债券发生了相对不同的变化才存在用long short头寸。
2.第29题我这看到的答案是这样的，给你贴一下，没看到你说的这句话。最好还是贴下图，具体怎么贴图可以咨询下客服。
Solution to 1:
The investor should buy protection on the CDX IG Index and sell protection
on the CDX HY Index. Current CDS prices are estimated by multiplying
EffSpreadDurCDS by the spread difference from the standard rates of 1% and
5%, respectively:
CDX IG: 99.066 per $100 face value, or 0.99066 (=1 + (−0.20% × 4.67))
CDX HY: 109.3 per $100 face value, or 1.093 (=1 + (2.00% × 4.65))
In one year, the return is measured by combining the coupon income with
the price appreciation assuming no spread change. Because the investor is long
CDX HY and short CDX IG, the net annual premium received is $400,000
(=$10,000,000 × (5.00% − 1.00%). The respective CDS prices in one year are as
follows:
CDX IG: 99.244 per $100 face value, or 0.99244 (=1 + (−0.20% × 3.78))
CDX HY: 107.52 per $100 face value, or 1.0752 (=1 + (2.00% × 3.76))
The investor has a $17,800 gain from the CDX IG position (= (0.99244 −
0.99066) × $10,000,000) and a $178,000 gain from the short CDX HY position
(1.0752 − 1.093) × −$10,000,000). Adding the $400,000 coupon income results
in a one-yeargain from the strategy of $595,800 with constant spreads.
Solution to 2:
Initial CDS prices are derived exactly as in Question 1:
CDX IG: 99.066 per $100 face value, or 0.99066 (=1 − (4.67 × 0.2%))
CDX HY: 109.3 per $100 face value, or 1.093 (=1 + (4.65 × 2.00%))
In one year, the return is measured by combining the coupon income with
the price appreciation given the expected rise in the CDX IG spread to 1.80%
and the CDX HY spread to 6.00%. In this case, the investor takes the opposite
position to that of Question 1, namely long CDX HY and short CDX IG, so
the net annual premium received is $400,000 (=$10,000,000 × (5.00% − 1.00%).
Respective CDS prices in one year are as follows:
CDX IG: 96.976 per $100 face value, or 0.96976 (=1 − (3.78 × 0.8%)
CDX HY: 96.24 per $100 face value, or 0.9624 (=1 − (3.76 × 1.00%))
The investor has a $209,000 loss from the CDX IG position ((0.96976 −
0.99066) × $10,000,000) and a $1,306,000 gain from the short CDX HY position
(0.9624 − 1.093) × −$10,000,000). Adding the $400,000 net premium results in
a one-year gain from the strategy of $1,497,000 under this scenario.
----------------------------------------------努力的时光都是限量版，加油！
