(曾启诠)CreditDerivatives信用衍生品XXXX-12-20.pptx

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1、信用衍生性商品Credit Derivatives曾启诠Manager.C2012/12/202大纲大纲 Agendal信用评级 Credit Ratingsl信用利差 Credit Spreadl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 Proportion Debt O

2、bligation (CPDO)固定比例投资组合保险债券Constant Proportion Portfolio Insurance (CPPI )l双币别衍生品 Quantol双币别衍生品交换 Quanto Swap3Credit Ratings信用评级信用评级4信用评级公司信用评级公司 Credit Rating AgencieslStandard & Poors (S&P) (40%): USAlMoodys (40%): USAlFitch Group (15%): 50%USA (Hearst Corporation) and 50% France (FIMALAC )Source

3、: DTCC, ISDA5信用评级信用评级 Credit RatingsIGInvestmentGradeIGJunkHigh YieldHY6投资级投资级/垃圾级债券垃圾级债券 Investment Grade / Junk BondslA bond is considered Investment Grade or IG if its credit rating is BBB- or higher by Standard & Poors or Baa3 or higher by Moodys. lBonds that are not rated as investment-grade bo

4、nds are known as High Yield bonds or more derisively as Junk bonds.Source: DTCC, ISDA7标准普尔国际评等标准普尔国际评等 Standard & Poors Foreign Ratings8标准普尔标准普尔3A级评等级评等 Standard & Poors AAA Rating Countries9标准普尔中国评等标准普尔中国评等 Standard & Poors China Rating: AA-10标准普尔标准普尔 一年期全球企业破产机率一年期全球企业破产机率 S&Ps One-Year Global Cor

5、porate Default Rates (%), 1981-200811Credit Spread信用利差信用利差12信用利差信用利差 Credit SpreadlConsider a corporate bond matured T years from nowr: risk free rates: credit spreadp: default probabilityR: recovery rate1 R = Loss Given Default (LGD)l1 dollar matured T years from nowprobability = p, Default, get R

6、back probability = 1 - p, No Default, get 1 backl Present 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信用利差信用利差 Credit SpreadEXP(-(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

7、(-s*T) = EXP(-r*T)*(1 - p*(1-R)EXP(-s*T) = 1 - p*(1-R)-s*T = LN(1 - p*(1-R)s = -1/T * LN(1 - p*LGD)14信用利差信用利差 Credit Spreads = -1/T * LN(1 - p*LGD)l Bigger Default ProbabilityBigger Credit Spreadl Bigger Loss Given DefaultBigger Credit Spreadl Longer MaturitySmaller Credit Spread15Credit Derivatives

8、信用衍生性商品信用衍生性商品16信用衍生性商品信用衍生性商品 Credit Derivativesl Credit Derivatives prices depends on Credit conditions.l Credit Risk Managementl Credit Risk Trading17信用衍生性商品信用衍生性商品 Credit DerivativeslUnfunded without principallFunded with principal18信用衍生性商品信用衍生性商品 (无本金无本金) Credit Derivatives - UnfundedlCredit de

9、fault swap (CDS)lTotal return swap (TRS)19信用衍生性商品信用衍生性商品 (有本金有本金) Credit Derivatives - FundedlCredit linked note (CLN)lCollateralized Debt Obligation (CDO)lConstant Proportion Debt Obligation (CPDO)lConstant Proportion Portfolio Insurance (CPPI)20Credit Default SwapCDS信用违约交换信用违约交换21信用违约交换信用违约交换 Cred

10、it Default Swap (CDS)lA Credit Default Swap (CDS) is a bilateral agreement designed explicitly to shift credit risk between two parties. lIn 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) b

11、y a reference entity. 22信用违约交换信用违约交换结构结构 CDS Mechanics23信用违约交换信用违约交换结构结构 (事件发生前事件发生前) CDS Mechanics pre Credit Event24信用违约交换结构信用违约交换结构 (事件发生后事件发生后) CDS Mechanics post Credit Event25信用违约交换信用违约交换 利差利差 CDS Spreadl If the CDS spread of XYZ Corp is 50 basis points, or 0.5% (1 basis point = 0.01%), then a

12、n investor buying $10 million worth of protection from ABC Bank must pay the bank $50,000 per year. $10,000,000 X 0.0001 X 50 = $50,000l $1000 per basis point for $10 million notional CDS26信用违约交换信用违约交换 强化金融体制强化金融体制 CDS strengthen the financial systeml CDS enable banks to transfer risk to other risk

13、takers, so banks can make more loans.l CDS help distribute risk widely throughout the system and thus prevent large concentrations of risk that otherwise would occur.l CDS provide important information about credit conditions, helping bankers and policymakers to supervise traditional banking activit

14、ies.l CDS serve a valuable signaling functionCDS prices produce better and more timely information.27信用违约交换信用违约交换 (合约合约) CDS contractla confirmation referencing the credit derivatives definitions as published by the International Swaps and Derivatives Association (ISDA)lreference entitylreference ob

15、ligationleffective date and scheduled termination datelcalculation agent lcredit events ldeliverable obligation characteristics lpremium payments 28目标主体目标主体 Reference EntitylThe Reference Entity is the party on which CDS is written. lFor the simplest (single-name) form of CDS, the reference entity i

16、s an individual corporation or government.29目标债权目标债权 Reference ObligationlUnsubordinated corporate bondlGovernment bond. 30信用事件信用事件 Credit EventlWith regard to credit events, the confirmation of a CDS deal specifies a standard set of events, one of which must occur before the protection seller compe

17、nsates the buyer.lThe parties to the deal decide which of those events to include and which to exclude.31信用事件信用事件 Credit Eventsl Failure to payl Bankruptcyl RestructuringCoupon reductionMaturity extensionl Repudiation or Moratoriuml Obligation Acceleration and Obligation Default32清算清算 SettlementlPhy

18、sical settlement: The CDS seller pays the buyer par value, and in return takes delivery of a debt obligation of the reference entity. lCash settlement: The CDS seller pays the buyer the difference between par value and the market price of a debt obligation of the reference entity. 33收覆率收覆率 Recovery

19、Ratesl CDSRecovery Rate = 40%l LCDS (Loan CDS)Recovery Rate = 70%34收覆率拍卖收覆率拍卖 Recovery Rate Auctionsl International Swaps and Derivatives Association (ISDA)Source: DTCC, ISDA35信用违约交换信用违约交换 (利差与破产机率利差与破产机率) CDS Spread and Probability of DefaultlConsider a 1-year CDS contract and assume that the total

20、 premium is paid up frontlLet S: CDS spread (premium), p: default probability, R: recovery ratelThe CDS buyer expects to pay = SlHis expected pay-off = (1-R)plWhen two parties enter a CDS trade, S is set so that the value of the swap transaction is zerolS = (1-R)p S / (1-R) = pIf R = 40%; S = 500 bp

21、 p = 8.3%.If R = 0, S = p = 5%36Bloomberg WCDS (全球全球CDS评价评价 World CDS Pricing)Source: DTCC, ISDA37Source: DTCC, ISDABloomberg WCDS (全球全球CDS评价评价 World CDS Pricing)38Bloomberg CDSD (利差曲线利差曲线 CDS SPREAD CURVE)39Bloomberg CDSW (计算器计算器 CDS Calculator)Market SpreadUpfront paymentAccrued InterestCDX spread

22、40Bloomberg CDSH (历史利差历史利差 CDS Historical Spreads)Source: DTCC, ISDA41欧猪五国欧猪五国 PIIGS CDS 2011/04/2010Y CDSGreece: 1240bpPortugal: 661bp42欧债危机欧债危机 European Sovereign CDS 2012 October10Y CDS43毛名目本金毛名目本金 Gross NotionallGross notional values are the sum of CDS contracts bought (or equivalently sold) for

23、 all Warehouse contracts in aggregate, by sector or for single reference entities displayed.lAggregate gross notional value and contract data provided are calculated on a per-trade basis. For example, a transaction of $10 million notional between buyer and seller of protection is reported as one con

24、tract for $10 million gross notional, as opposed to two contracts for $20 million notional.44净名目本金净名目本金 Net NotionallNet notional values with respect to any single reference entity is the sum of the net protection bought by net buyers (or equivalently net protection sold by net sellers). lNet notion

25、al positions generally represent the maximum possible net funds transfers between net sellers of protection and net buyers of protection that could be required upon the occurrence of a credit event relating to particular reference entities (actual net funds transfers are dependent on the recovery ra

26、te for the underlying bonds or other debt instruments).45名目本金名目本金 Notional Amount - 2011/12/31lGross Notional Amount: $25.9 trillion lNet Notional Amount: $2.7 trillionEvery Reference Entity has a Credit EventRecovery Rate = 046案例案例 Top 10 CDS Positions Gross Notional 2012/11/10Source: DTCC, ISDA47案

27、例案例 Top 10 CDS Positions Net Notional 2012/11/10Source: DTCC, ISDA48中央清算中央清算 Central ClearinglCentral Counterparty clearing facilities (CCPs)ICE Trust and ICE Clear Europe, both operated by the IntercontinentalExchangeCME Clearing, owned by CME GroupEurex Credit Clear, operated by Eurex Frankfurt AG

28、LCH.Clearnetl85 percent of CDS tradingl90 percent of IRS tradingSource: DTCC, ISDA49中央清算中央清算 Central Clearing50个别公司个别公司信用违约交换信用违约交换 Single Name CDS 2012/10/24Source: DTCC, ISDA51个别公司个别公司信用违约交换信用违约交换报价报价Last Quote for the most Liquid Credit Default Swaps52Markit CDX indices lMarkit CDX North American

29、 Investment Grade (125 names)lMarkit CDX North American Investment Grade High Volatility (30 names from CDX NA IG)lMarkit CDX North American High Yield (100 names)lMarkit CDX North American High Yield High Beta (30 names)lMarkit CDX Emerging Markets (15 names)lMarkit CDX Emerging Markets Diversified

30、 (40 names). 53Markit CDX indices信用违约交换信用违约交换指数指数Source: DTCC, ISDA54Markit CDX Fixed Coupon Rates 信用违约交换信用违约交换票面利率指数票面利率指数55Markit iTraxx Europe indices 信用违约交换信用违约交换欧洲指数欧洲指数lMarkit iTraxx Europe index (125 equally-weighted European names)lMarkit iTraxx Europe HiVol index (30 widest spread non-finan

31、cial names)lMarkit iTraxx Europe Crossover index (40 most liquid sub-investment grade entities)lMarkit iTraxx Europe Non-Financial index lMarkit iTraxx Europe Senior Financials index lMarkit iTraxx Europe Sub Financials index 56Markit iTraxx CEEMEA index 信用违约交换信用违约交换指数指数lMarkit iTraxx CEEMEA index (

32、25 corporate and quasi-sovereign entities from Central & Eastern European, Middle Eastern and African countries)57Markit iTraxx Asia Pacific indices 信用违约交换信用违约交换亚太指数亚太指数lMarkit iTraxx Asian ex-Japan IG index (50 equally-weighted investment grade Asian entities)lMarkit iTraxx Australia index (25 equa

33、lly-weighted Australian entities)lMarkit iTraxx Japan index (50 equally-weighted CDS of Japanese entities).58案例案例 Markit CDX and iTraxx Indices 2012/11/19Source: DTCC, ISDA59信用违约交换信用违约交换风险风险 CDS Risksl Counterparty riskfrom Lehman Brothersl Liquidity riskl Jump-to-default risk60美国政府接管二房美国政府接管二房案例案例

34、Lehman Brothers 1Y CDS61美国政府接管二房美国政府接管二房案例案例 Lehman Brothers 5Y CDS62信用违约交换信用违约交换用法用法 CDS Usesl SpeculationBuy Low; Sell HighSell High; Buy Lowl Hedgingl ArbitrageStock CDS Spread Stock CDS Spread Exception: Leveraged Buyout (LBO) Stock & CDS Spread 63Negative Basis Tradesl CDS Spread $6000l Why Buy

35、, not Rent?94l Everybody thinks the prices are Highl Most people think the prices will stay high美国房市泡沫美国房市泡沫 USA Real Estate Bubble Peaked in 200695Collateralized Debt ObligationCDO抵押债务债券抵押债务债券担保债务凭证担保债务凭证96抵押债务债券抵押债务债券 担保债务凭证担保债务凭证 Collateralized debt obligation (CDO)l Collateralized debt obligatio

36、ns (CDOs) are a type of structured asset-backed security (ABS) with multiple tranches that are issued by special purpose entities (SPV) and collateralized by debt obligations including bonds and loans.l Each tranche offers a varying degree of risk and return so as to meet investor demand.l CDOs valu

37、e and payments are derived from a portfolio of fixed-income underlying assets.l CDO securities are split into different risk classes, or tranches, whereby senior tranches are considered the safest securities. Interest and principal payments are made in order of seniority, so that junior tranches off

38、er higher coupon payments (and interest rates) or lower prices to compensate for additional default risk.97抵押债务债券抵押债务债券 担保债务凭证担保债务凭证 金流金流CDO Cash Flow Diagram - Simplied98不动产抵押债券不动产抵押债券Residential Mortgage Backed Security (RMBS)99Residential Mortgage Backed Security (RMBS)Subprime mortgage crisis: 2

39、007/7 -100CDO IMF DiagramSource: DTCC, ISDA101CDO 2102103抵押债务债券抵押债务债券 担保债务凭证担保债务凭证- 不同抵押品不同抵押品Types of CDOs Different Collateralsl Collateralized loan obligations (CLOs) leveraged bank loans. l Collateralized synthetic obligations (CSOs) credit derivatives. l Structured finance CDOs (SFCDOs) structu

40、red products (such as asset-backed securities and mortgage-backed securities)l Commercial Real Estate CDOs (CRE CDOs) commercial real estate assets104l Collateralized bond obligations (CBOs) corporate bondsl Collateralized Insurance Obligations (CIOs) insurance or, more usually, reinsurance contract

41、sl CDO-Squared tranches issued by other CDOs.l CDOn, Generic term for CDO3 (CDO cubed) and higher CDOs/CDO2/CDO3. 抵押债务债券抵押债务债券 担保债务凭证担保债务凭证- 不同抵押品不同抵押品Types of CDOs Different Collaterals105抵押债务债券抵押债务债券 担保债务凭证担保债务凭证- 生命周期生命周期CDO Life Cycle1.Ramp-up phase, when the manager uses the proceeds from issui

42、ng the CDO to purchase the initial portfolio. The CDOs governing documents generally specify parameters for the initial portfolio but not the exact composition.2.Reinvestment phase, during which the manager actively manages the portfolio and reinvests cash flow from the portfolio.3.Amortization phas

43、e, during which the manager must apply the cash flow toward repaying the CDOs debt securities.106抵押债务债券抵押债务债券 担保债务凭证担保债务凭证- 检测检测CDO Performance Testsl Asset Quality Testsminimum weighted average rating (WAR) testIndustry and obligor limitsminimum weighted average coupon (WAC) testcumulative maturity

44、 distribution testl Cash Flow Coverage TestsOvercollateralization, OC, test, the ratio of the portfolio balance to the balance of the CDOs debt securitiesInterest coverage, IC, test, the ratio of interest cash flow on the portfolio to the interest that the CDO must pay on its own securities.107抵押债务债

45、券抵押债务债券 担保债务凭证担保债务凭证- 结构结构 CDO Building Blocks108抵押品经理人抵押品经理人 Collateral Managerl Portfolio or Asset managerl Collateral managers primary functions Sell investments in the collateral pool that may lose value, default or become impairedBuy investments with attractive yields and a favorable investment

46、 outlook.109抵押品管理抵押品管理 Managed CDO - Example投资组合之交易更换原则投资组合之交易更换原则Limit同一公司持有上限同一公司持有上限 (BBB- 以上以上)2.0%同一公司持有上限同一公司持有上限(BB+ 以下以下)1.0%同一产业持有上限同一产业持有上限(非银行或金融业非银行或金融业)20.0%同一国家持有上限同一国家持有上限(非欧美国家非欧美国家)20.0%替换替换 (每年每年)不限不限 其他原则其他原则LimitFitch Dynamic Portfolio Guidelines适用适用110投行的投行的3个角色个角色Investment Ban

47、k (Arranger, Underwriter and Placement Agent)l the Arranger will organize meetings between investors and a collateral manager in order to discuss a potential transaction l the investment bank may advise the collateral manager concerning rating agency requirements or apprise them of the specific nuan

48、ces of certain investors.l As Underwriter and Placement agent, the investment bank is responsible for the orderly execution and delivery of the promised bonds.111信托公司的信托公司的3个角色个角色Trustee (Trustee, Custodian, Paying Agent)l the Trustee for a CDO transaction is custodian of the collateral and protects

49、 investors security interests by ensuring that transaction covenants are honored. Evaluation of the trade recommendations of the collateral manager in order to ensure compliance with deal covenantsRelease or receipt of cash or securities (from trading activities, for example), Distribution of cash t

50、o investorsCreation and distribution of deal surveillance reports.112信用评等公司信用评等公司 Rating Agenciesl Assign credit ratings to different parts of the CDO capital structure based on their perceived levels of risk. Moodys Investors ServiceStandard & PoorsFitch Ratings Ltd113投资者投资者 Investorsl CDO investor