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ZJH · 2020年03月16日

问一道题:NO.PZ2019011002000018

问题如下:

ABC is a French wealth management firm. It entered into a CDS protection on company D to hedge its portfolio position. The relevant credit spread on company D was 650 bps when ABC bought this CDS protection. 6 month later, company D’s credit spread has increased by 150 bps. The credit analyst in ABC suggests their fund to enter into a new offsetting contract.

According to the information above, if ABC entered into a new offsetting contract to close its CDS protection purchased 6 months ago, this action would most likely result in:

选项:

A.

A gain on the CDS position.

B.

A loss on the CDS position.

C.

Neither a gain or a loss on the CDS position.

解释:

A is correct.

考点:对CDS盈利的理解

解析:

ABC基金公司在购买D公司债券的CDS保护时,等于ABC做空了D公司的Credit spread,当D公司信用质量变差时,ABC的CDS保护盈利。当基金公司购买D公司CDS保护时,Credit spread为650 bps;6个月过后,D公司的Credit spread上升200bps,即D公司信用质量变差,因此ABC基金公司盈利。

题目最后是说如果6个月ago就offset cds的头寸,这怎么理解啊,怎么会是6个月ago呢??当时cds赚钱了,应该当时才offset,不太理解题目的意思。

1 个答案

WallE_品职答疑助手 · 2020年03月18日

同学你好,

做反向对冲合约的目的是为了平仓从而获利。一开始买保险,支付了650bp的保费,六个月后,credit spread上升150bp,此时卖出保险(平仓,把六个月前的平掉),可以获得一个800bp的保费。从中可以赚取保费的价差。