介紹一下Ackman:
Ackman was already rich. His net worth before the crisis was estimated by Forbes at about $1.3bn. The son of the boss of one of New York’s premier real estate financing firms, Ackman has inherited a love for luxury property. He splits his time between a $22m 13-room two-storey penthouse in the Upper West Side and a three-house complex on the beach in the Hamptons.
阿克曼已經很有錢了。據《福布斯》(Forbes)估計，疫情前他的淨資產約為13億美元。作為紐約一家頂級房地產融資公司老闆的兒子，阿克曼繼承了對豪宅的熱愛。他在曼哈頓上西區一套價值2200萬美元、有13個房間的兩層頂層公寓和漢普頓(Hamptons)海灘上的一套三居室公寓之間奔波
In 2015 he bought the penthouse of the 1,005ft skyscraper One57 for $91.5m as a “fun investment”. He uses the apartment on the 75th and 76th floors for extravagant parties to entertain his business and celebrity friends. Ackman planned to hold on to the six-bedroom, eight-bathroom penthouse with views of Central Park for a few years before “flipping it” – selling it at a huge profit in a few years.
2015年，作為一項“有趣的投資”，他以9150萬美元買下了1005英尺高的摩天大樓One57的頂層公寓。他在75層和76層的公寓裡舉辦奢華的派對，招待他的生意夥伴和名人朋友。阿克曼計劃在“轉手”之前的幾年裡，繼續保留那套可以看到中央公園景色的六臥八衛的頂層公寓，並在幾年後將其賣掉，獲得了鉅額利潤。
Ackman, who studied for both his undergraduate history degree and MBA at Harvard University, set up his first hedge fund Gotham Partners with a fellow Harvard grad, David Berkowitz. The fund closed in 2002 shortly after the US securities and exchange commission (SEC) investigated alleged market manipulation in Gotham’s shorting of shares in investment firm Municipal Bond Insurance Association (MBIA). The regulator found no evidence of wrongdoing, but six days of embarrassing public disclosures left the firm’s reputation in tatters.
阿克曼在哈佛大學攻讀本科歷史學位和工商管理碩士(MBA)學位，他與哈佛校友大衛.伯科維茨(David.Berkowitz)共同創立了自己的第一家對沖基金Gotham Partners。 2002年，在美國證券交易委員會(SEC)調查賣空投資公司市政債券保險協會(MBIA)股票的市場操縱行為後不久，該基金就關閉了。監管機構沒有發現任何不當行為的證據，但六天的令人尷尬的公開披露讓該公司的聲譽毀於一旦。
Ackman was not deterred though and went on to establish Pershing Square Capital with $54m of investment. It now has more than $8bn under management.
然而，阿克曼並沒有被嚇倒，他繼續用5400萬美元的投資建立了潘興廣場資本公司。該公司目前管理著逾80億美元的資產。
He prided himself on the diversity of the funds hires, with early recruits reportedly including a fishing trip guide, a tennis coach and a guy he had met in a cab.
他對基金招聘的多樣性感到自豪，據報道，早期的招聘包括一名釣魚導遊、一名網球教練和一個他在出租車上認識的人。
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先介紹一些背景知識，
CDX和CDS，CDS的介紹請見上一篇文章，也可以從這篇文章的末尾部分得到一些基本知識，這裡只介紹CDX。
CDS是屬於櫃檯交易，沒有在二級市場中交易，透明性不夠高，風險較大，流動性低；CDX全稱為credit default swap index，也就是信用違約掉期指數，囊括了市面上125個發行CDS的單位，根據發行者的特徵，CDX劃分為投資級CDS指數（CDX IG，IG means investment grade），高收益指數（CDX HY，HY也就是high yield），交叉型指數（crossover），興新市場指數（emerging market），Ackman提到的CDX IG和CDX HY就是投資級CDS指數和高收益CDS指數。Ackman還提到的ITRX是國際市場的CDS指數，分為歐洲，亞洲，新興市場CDS指數，ITRX EUR就是由一攬子歐洲公司的CDS構成的CDS指數。
CDX可以作為信用市場的基準（benchmark）來對信用投資組合進行對比、調整和對沖信用風險。它在交易所交易，屬於標準化合約，風險比CDS更低，流動性更大，更透明，屬於可以直接交易的信用衍生品工具，滿足了廣大投資者對信用市場的投資需求。
Ackman提到的CDX的CDS，又是CDX衍生出來的CDS，只不過傳統的CDS是針對的公司債券的發行方，而這裡的CDS是針對的CDX，從這些信用衍生工具就知道美國金融市場的複雜度，可以建立各種複雜的衍生工具，衍生工具的衍生工具，比如會遇見期貨的期權之類的複雜產品。金融衍生工具說白了就是一份保險，可以對颶風，海嘯，病毒襲擊等各種風險事件進行金融工具的設計，只要購買方定期支付保費，就可以把風險轉移給出售方。也正是因為這些工具的運用，才直接導致了2008年的全球金融危機。
國內市場近年也逐步推出了CDS，當然一切的創新來源於美國，但我們不會搞那麼複雜的衍生品工具，會吸引一些精華，比如CDS就是最基本的信用衍生工具，至於在這些基本衍生工具上更多更復雜的衍生工具，不僅會增加複雜度，也會面臨監管的困難。
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原文正文
Dear Pershing Square Investor,
A number of press reports have raised questions about my appearance on CNBC last Wednesday, and some have even questioned whether my appearance was intended to drive down the market so that we could profit on hedges we had previously entered into. I thought you would find greater transparency into our investment positioning over the last few weeks helpful in responding to those who have expressed concerns.
許多媒體報道對我上週三在CNBC的亮相提出了質疑，一些人甚至質疑我的亮相是否意在拉低市場，以便我們能夠從之前的對沖交易中獲利。我想你會發現，過去幾周，我們的投資頭寸變得更加透明，這有助於回應那些表示擔憂的人。
As you know, we have been extremely alarmed about both the health risks of the coronavirus and its economic impact since earlier this year. While we are a long-term investor, we view our principal responsibility as preserving capital and protecting our investors from losses. In light of our concerns, we had two choices: we could either sell all of our investments or hedge our portfolio. We chose to hedge coronavirus risk rather than sell because we are long-term investor, and we believe that all of our companies would eventually recover, and create substantial value over the long term.
正如你們所知道的，自今年早些時候以來，我們一直對冠狀病毒的健康風險及其經濟影響極為警惕。 雖然我們是長線投資者，但我們的主要責任是保存資本和保護投資者免受損失。對這些擔憂，我們有兩個選擇:要麼賣掉所有的投資，要麼對沖我們的投資組合。我們選擇對沖冠狀病毒風險而不是出售，因為我們是長期投資者，我們相信我們所有的公司最終都會復甦，並在長期內創造巨大的價值。
As a result, in February, the Pershing Square funds purchased credit default swaps (CDS) on various investment grade and high yield credit default swap indices, namely the CDX IG, CDX HY, and ITRX EUR. At the time of purchase, the IG or investment grade indices were trading near all-time tight levels of about 50 basis points per annum. The high yield index, the CDX HY, was also trading near its lowest spread ever. When one adjusts for the fact that a number of companies in the high yield index were on the brink of default (and these near-default companies’ spreads were in the thousands of basis points), the spreads on the rest of the companies in the index were actually well below the 2006-2007 all-time lows.
因此，在2月份，潘興廣場基金購買了各種投資級和高收益債券信用違約互換指數（即CDX IG、CDX HY和ITRX EUR）的信用違約互換(CDS)。在購買時，IG即投資級債券CDS指數的交易基差接近每年約50個基點的歷史低位。高收益債券CDS指數CDX HY的息差也接近歷史最低水平。當一些高收益債券CDS指數中的公司處於違約的邊緣(這些數目公司的利差在成千上萬的基點)而去調整投資組合時,指數中的其餘的公司息差實際上是遠低於2006 - 2007年的歷史低位.
Because we believed that the coronavirus could only be stopped in Europe and the U.S. with an unprecedented economic shutdown, based on what we learned from China, we were confident that U.S. and European credit spreads would likely widen substantially from their near-all-time lows. We believed that global shutdowns would also affect all of our portfolio companies negatively to varying degrees, causing their stock prices to decline substantially. We believed, however, that our hedging program would likely be an effective one because as the spreads on the indexes widened, our CDS would become much more valuable.
根據我們從中國學到的經驗，我們認為只有讓歐洲和美國出現前所未有的經濟停擺，才能阻止冠狀病毒的傳播，因此我們相信，美國和歐洲的信用息差很可能會從接近歷史低點的水平大幅擴大。我們認為，全球經濟的停滯也會在不同程度上對我們投資組合中的所有公司產生負面影響，導致它們的股價大幅下跌。然而，我們相信，我們的對沖計劃可能是有效的，因為隨著CDS指數息差的擴大，我們的CDS將變得更有價值。 （CDS on CDS指數）
Based on this analysis and to protect our investors from these potential losses, we purchased a very large notional amount of CDS. We disclosed that we had done so in a press release issued by Pershing Square Holdings, Ltd. on March 3rd, 2020:
基於這一分析，為了保護我們的投資者免受這些潛在損失，我們購買了大量面值的CDS。 我們在Pershing Square Holdings, Ltd.於2020年3月3日發佈的新聞稿中披露:
“Dear PSH Shareholder,
During the past ten days, we have taken steps to protect the portfolio from downward market volatility. We have done so because we believe that efforts to contain the coronavirus are likely to have a substantial negative impact on the U.S. and global economies, and on equity and credit markets. Our approach to address this concern has been to acquire large notional hedges which have asymmetric payoff characteristics; that is, the risk of loss from these hedges is limited, while their potential upside is many multiples of our capital at risk. These hedges will likely mitigate portfolio losses in severe market declines, while also somewhat reduce the portfolio’s upside potential if there is minimal economic or market impact from the virus.”
在過去的十天裡，我們已經採取措施保護我們的投資組合不受市場下行波動的影響。我們這樣做是因為我們相信，遏制冠狀病毒的努力可能會對美國和全球經濟、股市和信用市場產生重大的負面影響。我們解決這一問題的方法是獲得具有不對稱收益特徵的大額名義對沖頭寸; 也就是說，這些對沖頭寸的損失風險是有限的，而它們潛在的上行空間是我們風險資本的許多倍。在市場嚴重下跌時，這些對沖頭寸可能會減少投資組合的損失，同時，如果病毒對經濟或市場的影響極小，也會在一定程度上降低投資組合的上行潛力（因為花購買這些對沖頭寸需要一定成本）。”
On March 9th, we issued another press release which disclosed the following:
3月9日，我們又發佈了一份新聞稿，披露如下:
“Dear PSH Shareholder,
We are reporting our NAV today so that shareholders are informed of the materially positive impact on NAV of various hedges that we previously acquired to protect the portfolio from downward market volatility. As we explained in our March 3, 2020 communication, we have acquired large notional hedges with asymmetric payoff characteristics which will help to mitigate portfolio losses in severe market declines, while reducing the portfolio’s upside potential if markets recover. While recent market declines have caused the market values of our portfolio companies to decline substantially, the increased value of our hedges has more than compensated for these losses as you will note from today’s reported results.”
我們今天報告我們的資產淨值，以便股東瞭解我們之前為保護投資組合不受市場下行波動影響而採取的各種對沖措施對資產淨值產生的重大積極影響。正如我們在2020年3月3日的通訊中所解釋的那樣，我們已經獲得了具有非對稱收益特徵的大量名義對沖，這將有助於在市場嚴重下跌時減輕投資組合的損失，同時在市場復甦時降低投資組合的上行潛力（購買對沖頭寸有成本損失）。雖然最近的市場下跌已導致我們投資組合的市值大幅下跌，但正如你將從今天公佈的業績中看到的那樣，我們對沖頭寸價值的增加已遠遠彌補了這些損失。”
At the time of the March 9th press release, our CDS contracts had increased in market value from zero to approximately $1.8 billion because of spread widening.
在3月9日的新聞發佈會上，由於利差的擴大，我們的CDS合約的市場價值從零增加到大約18億美元。
By March 12th, our CDS contracts had increased in value to $2.75 billion, and we began selling. We sold because the risk-reward ratio of holding the contracts at 140 basis points was not nearly as compelling as when spreads were at 50 basis points. Also, our CDS position had become a very large percentage of our portfolio, approaching 40% of our capital as our companies’ stock prices declined.
到3月12日，我們的CDS合約價值已增至27.5億美元，我們開始出售。我們賣出，是因為持合約在140個基點價差的風險回報比，遠不如價差在50個基點時那麼令人注目。此外，我們的CDS頭寸在我們的投資組合中佔了很大比例，隨著公司股價下跌，CDS頭寸佔我們資本的比例接近40%（因為CDS頭寸相對投資組合價值更大了）。
Furthermore, the deterioration in markets greatly increased the opportunity cost of our owning CDS. In order to make a meaningfully greater profit on CDS, spreads would have to widen further to approximately the levels they briefly achieved during the financial crisis. Had we had been able to sell our entire CDS position on March 12th, we would likely have done so, but because of the very large size of the position, it would take us more time to exit.
此外，市場的惡化大大增加了我們持有CDS的機會成本（股價更低了，如果繼續持有CDS頭寸，就失去了低價購買股票的機會）。為了在CDS上獲得更大的利潤，息差必須進一步擴大，接近金融危機期間短暫達到的水平。如果我們能夠在3月12日賣出我們的全部CDS頭寸，我們很可能會這樣做，但由於頭寸規模非常大，我們需要更多時間退出。
At the time, the administration and various city and state governments were beginning to take the risk of the virus more seriously. The President began holding daily press conferences with his coronavirus team, various cities were going into lockdown, and a number of state governors, most notably Governors Cuomo and Newsom, were showing strong leadership in addressing the growing crisis. Meanwhile stocks continued to decline, which made the opportunity cost of owning CDS at their then trading levels of 130 -150 basis points even less attractive. Beginning on March 12th, we began unwinding our hedge, and continued to do so every day thereafter until we completed our exit on the morning of March 23rd.
當時，政府和各個城市和州政府開始更加嚴肅地對待這種病毒的風險。總統開始與他的冠狀病毒團隊舉行每日新聞發佈會，多個城市進入封鎖狀態，一些州的州長，尤其是科莫州長和紐森州長，在應對日益嚴重的危機方面表現出了強有力的領導能力。與此同時，股市繼續下跌，當時CDS交易水平為130至150個基點，這使得持有CDS頭寸的機會成本變得更沒有吸引力。從3月12日開始，我們開始解除我們的對沖頭寸，並繼續每天這樣做，直到3月23日上午我們完成退出。
On the morning of Wednesday, March 18th I sent out four tweets:
3月18日星期三早上，我發了四條推文:
Later that morning Scott Wapner asked me to come on his midday CNBC show, and I agreed. This was my first appearance on television in more than two years.
那天上午晚些時候，斯科特·瓦普納(Scott Wapner)邀請我參加他主持的CNBC午間節目，我同意了。這是我兩年多來第一次上電視。
By Wednesday, March 18th at 12:30pm, when I appeared on CNBC, we had already sold slightly more than half of the notional amount of our CDS, realizing a gain of more than $1.3 billion, with the unrealized portion of our hedge having a market value at that time of $1.3 billion for a total of $2.6 billion. When my interview with Scott Wapner began, the S&P index was already down 6.5%.
到了週三,3月18日中午12:30,當我出現在CNBC,我們已經出售了略超過一半名義金額的CDS合約,實現盈利超過13億美元,未實現部分的對沖頭寸當時的市場價值為13億美元,總共26億美元。當斯科特·瓦普納(Scott Wapner) 開始採訪我時，標普指數已經下跌了6.5%。
I went on CNBC to further explicate my tweets, and to explain why I had gone from being very bearish to bullish, with a caveat. In sum, I explained to Scott that I believed that the best approach to killing off the virus was for the entire country to close the borders and shut down for 30 days, other than for essential businesses, government, and services. Then, carefully, the country could be reopened with testing of all Americans, social distancing, higher mask usage, and other mitigation practices. I also explained that the alternative of an 18-month period of rolling shutdowns would likely bankrupt almost every business, even dominant, well-capitalized ones. Because the consequences of a rolling shut down of the country that occurred over 18 months were so dire, I explained that I was confident that the administration would choose instead to shut down the entire country at once for 30 days.
我上了CNBC，進一步詳細解釋了我的推文，並解釋了為什麼我從看跌變成看漲，還附帶了一個警告。總之，我向斯科特解釋說，我認為消除這種病毒的最佳方法是讓整個國家關閉邊境，併除了一些必要性的企業、政府和服務機構，讓經濟停滯30天。然後，通過對所有美國人進行測試、社會遠離、提高口罩使用率和其他緩解措施，小心地重新開放經濟活動。 我也解釋過如果選擇18個月的滾動關閉期，幾乎所有企業都可能破產，即便是那些占主導地位、資本充足的企業。由於整個國家的經濟在18個月的時間裡不斷關閉的後果是如此可怕，我解釋說，我相信政府將會選擇立即讓整個國家停止運行30天。
I also told Scott Wapner that I was sufficiently bullish that we were buying stocks in the market:
我還告訴斯科特·瓦普納(Scott Wapner)，我非常樂觀，我們正在市場上買進股票:
“And I’ve been super bearish, but I got bullish. Okay. And the reason why I got bullish, and I’ve been aggressively buying stocks, including Hilton, today, okay, and I’ve been buying all the way down: Hilton, Restaurant Brands, Starbucks, you know, walk your way through our – the only stocks I’m not buying are companies we’re on the board and are restricted. But the reason why, is the only answer for the world is to shut the world for 30 days.”
“我一直非常悲觀，但我現在很樂觀。好吧。我一直積極地購買股票,包括今天買希爾頓,好吧,我已經購買了很多:希爾頓酒店,餐廳品牌,星巴克,你知道的,唯一我不購買的是那些我們是他們的董事會成員的股票，這讓購買受到限制。但原因是，世界唯一的答案是整個國家停滯30天。”
Shortly after the show, I heard that some had interpreted my remarks as being very bearish on the market. In fact, later that day, some commentators claimed that I was responsible for the market finishing the day down more than 10%, almost 4% lower from the time I started speaking on CNBC at 12:30pm that day.
節目結束後不久，我聽說有些人把我的話解讀為對市場非常悲觀。事實上，那天晚些時候，一些評論人士聲稱，我的言論導致當天股市收盤時跌幅超過10%，比我那天中午12:30開始在CNBC上講話時下跌了近4%。
At 2:55pm that day, I issued the following tweets clarifying my remarks:
當天下午2點55分，我發佈了以下推文來澄清我的言論:
My bullish posture and my statements on CNBC and Twitter were strongly supportive of the markets. I made those statements at the time we were buying stocks and reducing our short in the credit markets. My statements were therefore totally consistent with how we were trading. We had turned bullish and we were in the process of investing about $2.5 billion in equities. On the show, I made it very clear we were actively buying stocks in the market.
我的樂觀姿態，以及我在CNBC和Twitter上發表的言論，都是對市場的有力支持。 我說這些話的時候，我們正在買進股票，減少在信用市場的空頭頭寸。因此，我的聲明完全符合我們的交易方式。我們已經轉為看多，我們正在對股票進行大約25億美元的投資。在節目中，我非常明確地表示，我們正在市場上積極買進股票。
Importantly, our hedge had already paid off prior to my going on CNBC. In fact, we had sold more than half the hedge prior to the show, and the balance over the next three trading days. Our actual realized proceeds of $2.6 billion was equal to the total realized and unrealized profit we had already achieved prior to my going on CNBC. The hedge did not increase in value during or after I went on CNBC. It stayed at approximately the same value until we exited.
proceed vi. 開始；繼續進行；n. 收入，獲利 balance n. 餘額
重要的是，在我上CNBC之前，我們的對沖策略就已經奏效了。事實上，在採訪之前，我們已經賣出了超過一半的對沖頭寸，剩下的在接下來的三個交易日裡賣出。我們實際實現的26億美元收益等於我們在上CNBC之前已經實現和未實現的利潤總額。在我上CNBC期間或之後，對沖頭寸的價值都沒有增加。在我們退出之前，它保持在大致相同的值。
In fact, if you believe we move markets – a highly dubious assertion – one could argue that had I not told the world that we were bullish and were buying stocks, both equity and credit markets would have declined even more than they did, and we would have made more money on the hedges.
事實上,如果你相信我們影響市場——一個高度可疑的斷言——人們會爭辯說，如果我沒有告訴世界我們是樂觀的並且正購買股票,那麼股票和信用市場將會比實際的下滑更多,我們也就會在對沖頭寸上賺更多的錢。
The idea that my appearance pushed the market down an additional 4% that day is absurd. This is particularly so in light of my disclosure on the show that we were actively buying hotel and restaurant stocks – companies that have been most impacted by the virus – in addition to other companies in our portfolio.
有人認為我的出現導致股市當天又下跌了4%，這種想法是荒謬的。鑑於我在節目中的披露，情況尤其如此。我在節目中披露，除了我們投資組合中的其他公司外，我們還在積極購買受病毒影響最嚴重的酒店和餐廳股票。
On CNBC, I disclosed my beliefs to the best of my ability. Yes, I got somewhat emotional as I talked about protecting my immune-compromised father from the ravages of the virus. But, I had become bullish because of my belief that the entire country would soon go into lockdown, and that would be the fastest and best way to minimize the impact of the virus. And that was why I explained that we were buying stocks. I also wanted to shout from the rooftops about the importance of taking the virus seriously so that we would build a consensus to lockdown the country as soon as possible.
在CNBC上，我盡我所能地表達了我所堅信的事實。是的，當我談到保護我那免疫減弱的父親免受病毒的侵害時，我有點激動。但是，我變得樂觀了，因為我相信整個國家很快就會進入禁閉狀態，這將是將病毒影響降到最低的最快、最好的方法。這就是為什麼我解釋說我們在買股票。我還想大聲疾呼嚴肅對待這種病毒的重要性，以便我們能夠達成共識，儘快讓這個國家停滯。
The day after, Thursday, Governor Newsom announced that California was going into lockdown. On Friday morning, two days after my appearance on CNBC, Governor Cuomo announced that New York State was going into lockdown. Over the past week, another 19 states have followed California and New York’s lead and initiated lockdowns. Another 14 states have also begun lockdown orders in parts of their states. Markets have soared in response to this news as there is now much greater visibility on an end date for the virus’ impact on the economy.
第二天，也就是週四，州長紐森宣佈加州進入防範禁閉狀態。週五早上，也就是我上CNBC的兩天後，州長科莫宣佈紐約州進入防範禁閉狀態。在過去的一週裡，又有19個州效仿加州和紐約州，開始實施禁閉。另外14個州也開始在部分地區實施禁閉令。市場對這一消息的反應是飆升，因為現在人們對病毒對經濟影響的結束日期有了更清晰的認識。
The bottom line is that our hedging strategy worked. While we incurred mark-to-market losses on our portfolio equal to $2.6 billion, we made the same amount on the hedges. Notably, as of our last public report released yesterday, we were flat for the year.
底線是我們的對沖策略奏效了。雖然我們的投資組合蒙受了26億美元的市值損失，但我們在對沖頭寸上獲得了同樣多的盈利。值得注意的是，在我們昨天發佈的最後一份公開報告中，我們今年的頭寸表現是平的。（實際上只是名義上的，事實上的盈利為26億美元，這26億美元是交割後的對沖頭寸的盈利，而股票組合沒有交割，後期也可能大幅上漲）
By selling the hedge, we generated $2.6 billion of proceeds, the substantial majority of which we invested in both new and existing investments, which we believe will payoff as markets recover.
通過出售對沖頭寸，我們獲得了26億美元的收益，其中大部分投資於新的和現有的投資組合，我們相信隨著市場的復甦，這些投資將會有回報。
Sincerely,
William A. Ackman
A brief primer on CDS: in simplified form, when you purchase CDS, you are committing to pay a fixed spread on a quarterly basis for a fixed period of time (for the most liquid, on-the-run contracts, the term is five years) times the notional amount of the contract. If spreads widen, the CDS you purchased becomes more valuable as you can sell it and receive the difference between the wider spread – let say 150 basis points per annum for five years – and the spread you committed to pay – let’s say 50 basis points, for the remaining life of the contract. On the other hand, if spreads narrow to 25 basis points, you will lose money because you will be required to pay the difference: 50 - 25 = 25 basis points, times the notional amount of the contract for the remaining life of the contract – to your counterparty when unwind the contract.
primer n. 初級讀本；識字課本；原始物
我簡單介紹一下CDS:簡單來說，當你購買CDS時，你承諾在一段固定的時間內(對於運行中的流動性最強的，期限為5年)按季度支付固定利差，乘以合約的名義金額。如果利差擴大,你購買CDS變得更有價值,你可以賣掉它從而獲得擴大後的利差（比如五年期每年150個基點）和擴大前需要支付的固定利差（比如50個基點）之間的差額。相反,如果利差縮小到25個基點,你會遭受損失,因為在合約的剩餘期限內，你將得向對方支付:50 - 25 = 25個基點,乘以合約的名義金額。 （1個基點也就是1 base point 相當於0.01%的比例）
This is best understood by a somewhat simplified example: assume you purchase $1 billion notional of CDS on the IG index for 50 basis points. In summary terms, you are committing to pay 50 bps times $1 billion, or $5 million of premium per annum for five years. Assuming you sell the CDS a month after purchase at a spread of 150 basis points, you would receive approximately the present value of the spread, in this case 100 basis points per annum, times the $1 billion notional amount of the contract for the remaining 4 years and 11 months of the contract’s life.
這可以通過一個稍微簡化的例子來理解:假設你以50個基點的價格購買了CDX IG指數的價值10億美元的名義CDS。簡而言之，您承諾支付50個基點乘以10億美元，也就是5年內每年支付500萬美元的費用。假設你在購買CDS一個月後以150個基點的利差出售CDS,你將獲得利差差額的現值,也就是說在這種情況下，在餘下的4年11個月的期限裡，每年100個基點,乘以10億美元的合約名義金額的折現值（未來的盈利金額除以利率折現到現在時刻的金額）。
The present value of 100 bps for 4 years and 11 months is a number which is slightly less than the present value factor times 4.92 years times 100 basis points times $1 billion, or approximately $45 million. Since the contract in this example was only outstanding for one month, the total premium paid would be 1/12th of the annual payment of $5 million or approximately $417,000. Therefore, for a total outlay of $417,000, you would make $45 million. This understates your actual risk, however, because if spreads were to narrow during that month, you would lose substantially more than the premium. That said, if you were confident that spreads would either stay the same over the next month or widen, you would only be risking the premium of $417,000.
outstanding adj. 傑出的；顯著的；未解決的；未償付的 outlay n. 支出，開支
4年11個月的100個基點的現值是一個略小於現值因子(也就是一個數字，等於1/(1+r)，r是無風險利率)乘以4.92年乘以100個基點乘以10億美元，或大約4500萬美元的數字。由於本例中的合約未清償的只有一個月，因此保險費總額為每年支付的500萬美元的1/12，即大約41.7萬美元。因此，如果總支出為41.7萬美元，您將獲得4500萬美元(大約100倍的槓桿)。然而，這低估了你的實際風險，因為如果利差在當月收窄，你的損失將遠遠超過支付的保費。也就是說，如果你對利差在未來一個月保持不變或擴大有信心，你只會冒41.7萬美元保費的風險。
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