每日新闻更新 — 如果嘉士伯做了配对交易...... The Daily Update – If Carlsberg did paired trades….

如果嘉士伯做了配对交易......

有一天,我在阅读RVM(就是我们的“相对价值矩阵”),我无意中错误地以升序方式“对信用等级进行排序”。回想我们的“买空/卖空”的日子(可能值得我们再次审视一下这个情况),我想虚拟一个配对交易,让您娱乐一下。

若保持在政府的投资范围之内,并从“预期回报”的角度来看,这对交易必须是巴西对卡塔尔的交易。若卖空巴西2045年到期5%的债券,该债券目前交易价格近3个信用等级那么贵(好像它的评级为Baa3,而不是实际上的Ba2/BB-),它的预期收益率为-27%(假如价差在1年时间内可以转为“公允价值”的话)。

正如我们最近所写的那样,巴西的信用状况的减弱使其降至次级投资级别,据我们的估计,这个国家的净外国债务已经接近了我们设立的占GDP的50%的界限。国际货币基金组织的研究表明,外国净负债超过国内生产总值50%的国家与外部危机风险增加有关。

若买空卡塔尔的2049年到期的4.817%的债券,这种债券的交易价格只有近3个信用等级那么便宜(好像它被评为A3,而它的实际评级为Aa3/AA-)。这种债券的预期收益率为16%(如果我们使用相同的标准,即 1年时间内转为“公允价值”)。

经常阅读我们的评论的读者会记得,卡塔尔多年来一直受到我们的青睐。凭借我们对它的最高的7星评级,该国的信用状况反映了它强劲的资产负债表、庞大的碳氢化合物储备和极高的人均收入。我们认为,这些因素继续提供显著的缓冲能力,并能够减轻因持续的外交争端而产生的经济和金融风险。

虽然我们并没有说巴西和卡塔尔将轻而易举地转向“公允价值”差价,但40%或更高的回报率当然可以被视为嘉士伯时刻,届时我们肯定会为此举杯庆贺!

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