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。
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:
这句话怎么理解啊?