嗜血天隼
2022-06-27

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@吴家琦：
A $2.2 Trillion Asset Manager's Failed Big Bet on Russia. It was reported on the 10th of March that asset manager PIMCO had $1bn in credit default swap exposure (CDS) - essentially betting that Russia will not default. Not only that, they doubled down and also had $1.5bn in Russian sovereign debt exposure. What does that mean? Going long a CDS product provides investors with insurance against default. Whereas selling a CDS (as PIMCO did) is effectively them going long credit risk and would have allowed them to collect a premium if Russia didn't default. Did it pay off? No, Pimco lost a reported $400m on the trade. Russia defaulted last night on its sovereign debt for the first since 1998. This loss represents one-third of a percent of the total $124bn value of Pimco’s Income Fund where the EM bets were concentrated. Painful.
A $2.2 Trillion Asset Manager's Failed Big Bet on Russia. It was reported on the 10th of March that asset manager PIMCO had $1bn in credit default swap exposure (CDS) - essentially betting that Russia will not default. Not only that, they doubled down and also had $1.5bn in Russian sovereign debt exposure. What does that mean? Going long a CDS product provides investors with insurance against default. Whereas selling a CDS (as PIMCO did) is effectively them going long credit risk and would have allowed them to collect a premium if Russia didn't default. Did it pay off? No, Pimco lost a reported $400m on the trade. Russia defaulted last night on its sovereign debt for the first since 1998. This loss represents one-third of a percent of the total $124bn value of Pimco’s Income Fund where the EM bets were concentrated. Painful.

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