对冲比较

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Hedge Comparison

Philip Dobrinov

Credit Derivative Strategy

31-Jul-26

Note: The size of 3M hedges are determined by scaling the premiums spent to $10 MM. To get the expected index levels in a stress scenario, we apply the same historical moves to current spot levels.

Scenario: The Financial Crisis (2008-2009)

Index

Maturity

Structure

Strike

Delta

Price

Notional/Contracts

Premium

Spot

Expected

Payout

P&L

Payout Ratio*

CDX IG

CDX HY

SPX

VIX

21-Oct-26

16-Oct-26

21-Oct-26

Payer

Payer Spread

Payer

Payer Spread

Put

Put Spread

Call

Call Spread

75.00

95.00

60/82.5

103.00

100.00

105.5/101.5

7000

6575

7400/6825

40.0

70.0

25/55

20%

10%

40%/15%

20%

10%

40%/15%

20%

10%

40%/15%

20%

10%

40%/15%

6.99c

3.24c

10.05c

34.78c

18.12c

44.65c

1.12%

0.58%

1.40%

6.96%

3.04%

8.25%

14,305,772,454

30,904,050,769

9,946,177,191

2,875,437,356

5,517,530,236

2,239,403,317

1,201

2,298

957

84,033

192,307

70,921

10,000,000

9,992,320

9,996,300

9,991,080

9,999,927

9,999,964

9,999,861

53.07

107.52

7,437.63

17.09

165

75

3,559

80

79.77

549,521,249

929,029,777

94,408,518

806,324,294

1,381,688,697

89,576,133

413,288,757

693,123,978

55,027,500

334,199,241

187,883,939

212,763,000

539,521,249

919,029,777

84,408,518

796,324,294

1,371,688,697

79,576,133

403,296,437

683,127,678

45,036,420

324,199,314

177,883,975

202,763,139

55.0

92.9

9.4

80.6

138.2

9.0

41.4

69.3

5.5

33.4

18.8

21.3

Payout Ratios, Financial Crisis

160

CDX HY

4/4/1900

140

Date

120

2-May-08

9-Mar-09

% move

100

Roll Adjusted

IG Spread

HY Px

84.51

262.04

210%

95.60

66.65

-30%

SPX

VIX

1,413.90

676.53

-52%

18.18

80.86

62.68

80

60

4095

95

20

0

CDX IG 20D

CDX IG 10D

CDXIG 40D15D CDX HY 20D

CDX HY 10D CDXHY 40D15D

SPX 20D

SPX 10D

SPX 40D15D

VIX 20D

VIX 10D

VIX 40D15D

Scenario: The Energy Sell-Off (2015-2016)

Index

Maturity

Structure

Strike

Delta

Price

Notional/Contracts

Premium

Spot

Expected

Payout

P&L

Payout Ratio*

CDX IG

CDX HY

SPX

VIX

21-Oct-26

4-Apr-00

21-Oct-26

16-Oct-26

21-Oct-26

Payer

Payer Spread

Payer

Payer Spread

Put

Put Spread

Call

Call Spread

67.50

75.00

60/82.5

104.5

103.0

105.5/101.5

7225

7000

7400/6825

30.0

40.0

25/55

30%

20%

40%/15%

30%

20%

40%/15%

30%

20%

40%/15%

30%

20%

40%/15%

9.98c

6.99c

10.05c

51.49c

34.78c

44.65c

1.64%

1.12%

1.40%

…