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Credit Derivatives

Credit Derivatives. Agenda. 21.4 CDS Forwards & Options 21.5 Total Return Swaps 21.6 Basket CDS 21.7 CDO. 特色與功用. 可以鎖住未來的風險貼水 若標的物在合約時間內違約，則合約失效 ( 類似 barrier option 的性質 ) Ex:. 持有 A 公司債券. 認為未來 (T=1)A 公司信評會降低，即風險貼水會上升，則該做何動作減少成本？. +. 做 CDS forward 或 options. 做 CDS 防 A 公司倒掉. T=0. T=1.

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Credit Derivatives

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  1. Credit Derivatives

  2. Agenda • 21.4 CDS Forwards & Options • 21.5 Total Return Swaps • 21.6 Basket CDS • 21.7 CDO

  3. 特色與功用 • 可以鎖住未來的風險貼水 • 若標的物在合約時間內違約，則合約失效 (類似barrier option的性質) • Ex: 持有A公司債券 認為未來(T=1)A公司信評會降低，即風險貼水會上升，則該做何動作減少成本？ + 做CDS forward或options 做CDS防A公司倒掉 T=0 T=1 A公司風險貼水為200bps A公司風險貼水為230bps

  4. Agenda • 21.4 CDS Forward & Options • 21.5 Total Return Swaps • 21.6 Basket CDS • 21.7 CDO

  5. 特色與功用 • 類似interest rate swap • 降低信用風險 • 若return為負，則receiver要給payer錢 • 若該債券違約，則receiver要給payer (債券本金－市值)，且合約停止

  6. Ex: 甲想和銀行借錢買債券，透過 Total Return Swap可讓雙方都有好處 The return on bond 甲不僅能達到借錢買bond的效果，更降低了借錢須付的利息。 銀行降低了信用風險，因為多了債券當擔保品 Payer 銀行 Receiver 甲 LIBOR+25bps Bond

  7. Agenda • 21.4 CDS Forward & Options • 21.5 Total Return Swaps • 21.6 Basket CDS • 21.7 CDO

  8. Basket CDS v.s CDS • 所聯結的標的物為兩個以上 • 有以下類型商品 • add-up basket CDS 可以想像成是好幾個single name CDS的結合，即無論倒哪一家protect seller都得賠 • nth-to-default CDS (protect seller)聯結的資產中，倒n個才需要賠

  9. Agenda • 21.4 CDS Forward & Options • 21.5 Total Return Swaps • 21.6 Basket CDS • 21.7 CDO： Cash CDO、Synthetic CDO、Single Tranche Trading

  10. Cash CDO • CDO(Collateralized Debt Obligation) • 將資產證券化的商品，轉移風險給投資者 將Loan portfolio賣給SPV做證券化 把Loan portfolio證券化賣給投資者 Cash Cash Investors SPV Loan Bank Loan portfolio Loan portfolio Investor 2 2nd Tranche Investor 1 1st Tranche

  11. Synthetic CDO • 不移動資產下轉移風險給投資者 做CDS Originator SPV Investor Premium P+I on notes CDS protection $ Collateral Securities $ Loans portfolio Third Party

  12. Single Tranche Trading • 依照某個Index做出標準化的CDO，以方便市場交易

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