《(曾启诠) credit derivatives 信用衍生品 2012-12-20》由会员分享，可在线阅读，更多相关《(曾启诠) credit derivatives 信用衍生品 2012-12-20（178页珍藏版）》请在金锄头文库上搜索。
1、信用衍生性商品 Credit Derivatives,曾启诠 Manager.C2012/12/20,2,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 Proportio
2、n 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 & Poors (S&P) (40%): USAMoodys (40%): USAFitch Group (15%): 50%USA (Hearst Corporation) and 50% France (FIMALAC ),Sour
3、ce: DTCC, ISDA,5,信用评级 Credit Ratings,IG,Investment Grade IG,Junk High Yield HY,6,投资级/垃圾级债券 Investment Grade / Junk Bonds,A bond is considered Investment Grade or IG if its credit rating is BBB- or higher by Standard & Poors or Baa3 or higher by Moodys.Bonds that are not rated as investment-grade bon
4、ds are known as High Yield bonds or more derisively as Junk bonds.,Source: DTCC, ISDA,7,标准普尔国际评等 Standard & Poors Foreign Ratings,8,标准普尔3A级评等 Standard & Poors AAA Rating Countries,9,标准普尔中国评等 Standard & Poors China Rating: AA-,http:/ 一年期全球企业破产机率 S&Ps One-Year Global Corporate Default Rates (%), 1981-
5、2008,11,Credit Spread信用利差,12,信用利差 Credit Spread,Consider a corporate bond matured T years from now r: risk free rate s: credit spread p: default probability R: recovery rate 1 R = Loss Given Default (LGD)1 dollar matured T years from now probability = p, Default, get R back probability = 1 - p, No D
6、efault, get 1 backPresent value of 1, T years from now is EXP(-(r+s)*T)EXP(-(r+s)*T) = (1-p)*EXP(-r*T) + p*R*EXP(-r*T),13,信用利差 Credit Spread,EXP(-(r+s)*T) = (1-p)*EXP(-r*T) + p*R*EXP(-r*T) = EXP(-r*T) - p*EXP(-r*T) + p*R*EXP(-r*T)= EXP(-r*T)*(1 p + p*R)EXP(-r*T) * EXP(-s*T) = EXP(-r*T)*(1 - p*(1-R)E
7、XP(-s*T) = 1 - p*(1-R)-s*T = LN(1 - p*(1-R)s = -1/T * LN(1 - p*LGD),14,信用利差 Credit Spread,s = -1/T * LN(1 - p*LGD)Bigger Default Probability Bigger Credit SpreadBigger Loss Given Default Bigger Credit SpreadLonger Maturity Smaller Credit Spread,15,Credit Derivatives信用衍生性商品,16,信用衍生性商品 Credit Derivati
8、ves,Credit Derivatives prices depends on Credit conditions.Credit Risk ManagementCredit Risk Trading,17,信用衍生性商品 Credit Derivatives,Unfunded without principalFunded with principal,18,信用衍生性商品 (无本金) Credit Derivatives - Unfunded,Credit default swap (CDS)Total return swap (TRS),19,信用衍生性商品 (有本金) Credit D
9、erivatives - Funded,Credit linked note (CLN)Collateralized Debt Obligation (CDO)Constant Proportion Debt Obligation (CPDO)Constant Proportion Portfolio Insurance (CPPI),20,Credit Default Swap CDS信用违约交换,21,信用违约交换 Credit Default Swap (CDS),A Credit Default Swap (CDS) is a bilateral agreement designed
10、explicitly to shift credit risk between two parties. In a CDS, one party (protection buyer) pays a periodic fee to another party (protection seller) in return for compensation for default (or similar credit event) by a reference entity.,22,信用违约交换结构 CDS Mechanics,23,信用违约交换结构 (事件发生前) CDS Mechanics pre
11、 Credit Event,24,信用违约交换结构 (事件发生后) CDS Mechanics post Credit Event,25,信用违约交换 利差 CDS Spread,If the CDS spread of XYZ Corp is 50 basis points, or 0.5% (1 basis point = 0.01%), then an investor buying $10 million worth of protection from ABC Bank must pay the bank $50,000 per year. $10,000,000 X 0.0001
12、X 50 = $50,000$1000 per basis point for $10 million notional CDS,26,信用违约交换 强化金融体制 CDS strengthen the financial system,CDS enable banks to transfer risk to other risk takers, so banks can make more loans.CDS help distribute risk widely throughout the system and thus prevent large concentrations of ri
13、sk that otherwise would occur.CDS provide important information about credit conditions, helping bankers and policymakers to supervise traditional banking activities.CDS serve a valuable signaling functionCDS prices produce better and more timely information.,27,信用违约交换 (合约) CDS contract,a confirmati
14、on referencing the credit derivatives definitions as published by the International Swaps and Derivatives Association (ISDA)reference entity reference obligation effective date and scheduled termination date calculation agent credit events deliverable obligation characteristics premium payments,28,目
15、标主体 Reference Entity,The Reference Entity is the party on which CDS is written. For the simplest (single-name) form of CDS, the reference entity is an individual corporation or government.,29,目标债权 Reference Obligation,Unsubordinated corporate bond Government bond.,30,信用事件 Credit Event,With regard to
16、 credit events, the confirmation of a CDS deal specifies a standard set of events, one of which must occur before the protection seller compensates the buyer.The parties to the deal decide which of those events to include and which to exclude.,31,信用事件 Credit Events,Failure to payBankruptcyRestructuring Coupon reduction Maturity extensionRepudiation or MoratoriumObligation Acceleration and Obligation Default,
