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1、信用衍生性商品Credit Derivatives,曾启诠 Manager.C 2012/12/20,2,大纲 Agenda,信用评级 Credit Ratings 信用利差 Credit Spread 信用衍生性商品 Credit Derivatives 信用违约交换 Credit Default Swap (CDS) 总收益互换 Total Return Swap (TRS) 信用联结票据 Credit Linked Note (CLN) 抵押债务债券担保债务凭证 Collateralized Debt Obligation (CDO) 固定比例债务债券 Constant Proporti
2、on Debt Obligation (CPDO) 固定比例投资组合保险债券 Constant Proportion Portfolio Insurance (CPPI ) 双币别衍生品 Quanto 双币别衍生品交换 Quanto Swap,3,Credit Ratings 信用评级,4,信用评级公司 Credit Rating Agencies,Standard S = 500 bp p = 8.3%. If R = 0, S = p = 5%,36,Bloomberg WCDS (全球CDS评价 World CDS Pricing),Source: DTCC, ISDA,37,Sourc
3、e: DTCC, ISDA,Bloomberg WCDS (全球CDS评价 World CDS Pricing),38,Bloomberg CDSD (利差曲线 CDS SPREAD CURVE),39,Bloomberg CDSW (计算器 CDS Calculator),CDX spread,40,Bloomberg CDSH (历史利差 CDS Historical Spreads),Source: DTCC, ISDA,41,欧猪五国 PIIGS CDS 2011/04/20,10Y CDS,Greece: 1240bp,Portugal: 661bp,42,欧债危机 European
4、 Sovereign CDS 2012 October,10Y CDS,43,毛名目本金 Gross Notional,Gross notional values are the sum of CDS contracts bought (or equivalently sold) for all Warehouse contracts in aggregate, by sector or for single reference entities displayed. Aggregate gross notional value and contract data provided are c
5、alculated on a per-trade basis. For example, a transaction of $10 million notional between buyer and seller of protection is reported as one contract for $10 million gross notional, as opposed to two contracts for $20 million notional.,44,净名目本金 Net Notional,Net notional values with respect to any si
6、ngle reference entity is the sum of the net protection bought by net buyers (or equivalently net protection sold by net sellers). Net notional positions generally represent the maximum possible net funds transfers between net sellers of protection and net buyers of protection that could be required
7、upon the occurrence of a credit event relating to particular reference entities (actual net funds transfers are dependent on the recovery rate for the underlying bonds or other debt instruments).,45,名目本金 Notional Amount - 2011/12/31,Gross Notional Amount: $25.9 trillion Net Notional Amount: $2.7 tri
8、llion Every Reference Entity has a Credit Event Recovery Rate = 0,46,案例 Top 10 CDS Positions Gross Notional 2012/11/10,Source: DTCC, ISDA,47,案例 Top 10 CDS Positions Net Notional 2012/11/10,Source: DTCC, ISDA,48,中央清算 Central Clearing,Central Counterparty clearing facilities (CCPs) ICE Trust and ICE C
9、lear Europe, both operated by the IntercontinentalExchange CME Clearing, owned by CME Group Eurex Credit Clear, operated by Eurex Frankfurt AG LCH.Clearnet 85 percent of CDS trading 90 percent of IRS trading,Source: DTCC, ISDA,49,中央清算 Central Clearing,50,个别公司信用违约交换 Single Name CDS 2012/10/24,Source:
10、 DTCC, ISDA,51,个别公司信用违约交换报价Last Quote for the most Liquid Credit Default Swaps,52,Markit CDX indices,Markit CDX North American Investment Grade (125 names) Markit CDX North American Investment Grade High Volatility (30 names from CDX NA IG) Markit CDX North American High Yield (100 names) Markit CDX
11、 North American High Yield High Beta (30 names) Markit CDX Emerging Markets (15 names) Markit CDX Emerging Markets Diversified (40 names).,53,Markit CDX indices信用违约交换指数,Source: DTCC, ISDA,54,Markit CDX Fixed Coupon Rates 信用违约交换票面利率指数,55,Markit iTraxx Europe indices 信用违约交换欧洲指数,Markit iTraxx Europe in
12、dex (125 equally-weighted European names) Markit iTraxx Europe HiVol index (30 widest spread non-financial names) Markit iTraxx Europe Crossover index (40 most liquid sub-investment grade entities) Markit iTraxx Europe Non-Financial index Markit iTraxx Europe Senior Financials index Markit iTraxx Eu
13、rope Sub Financials index,56,Markit iTraxx CEEMEA index 信用违约交换指数,Markit iTraxx CEEMEA index (25 corporate and quasi-sovereign entities from Central Sell High Sell High; Buy Low Hedging Arbitrage Stock CDS Spread Stock CDS Spread Exception: Leveraged Buyout (LBO) Stock Sell CDX NA IG,70,信用违约交换 个别公司利差
14、交易策略 Single Name CDS Long-Short Trading,Tokyo Electric Power,Kansai Electric Power,Buy Tokyo ; Sell Kansai Electric Power Sell Tokyo ; Buy Kansai Electric Power,71,信用违约交换 个别公司利差曲线交易策略 Single Name CDS Curve Trading,Keep Notional equal, no Default risk, but MTM risk 1M 5Y CDS Spread01 449, 1Y CDS 111,
15、1Y: 650bp,5Y:417bp,If betting CDS Curve is flattening, then Sell 1Y CDS, Buy 5Y CDS,Tokyo Electric Power,72,Keep spread01 equal, no MTM risk, but Default risk 1M 5Y CDS Spread01 449, 1Y 111 (5Y:1Y= 1M:4.05M); net of 3.05M credit exposure,1Y: 650bp,5Y:417bp,If betting CDS Curve is flattening, then Se
16、ll 1Y CDS, Buy 5Y CDS,Tokyo Electric Power,信用违约交换 个别公司利差曲线交易策略 Single Name CDS Curve Trading,73,Total Return Swap TRS 总收益互换,74,总收益互换 Total Return Swap (TRS),Total return swap, or TRS Total rate of return swap, or TRORS one party makes payments based on a set rate, either fixed or variable the other party makes payments based on the return of an underlying asset, reference asset income capital gain,75,总收益互换 Total Return Swap (TRS),A TRS is made up of two legs the Ret
