信用衍生性商品相关知识p

信用衍生性商品

CreditDerivatives

曾启诠Manager.Chi@2024/12/20大纲Agenda信用评级CreditRatings信用利差CreditSpread信用衍生性商品CreditDerivatives信用违约交换

CreditDefaultSwap(CDS)总收益互换TotalReturnSwap(TRS)信用联结票据

CreditLinkedNote(CLN)抵押债务债券担保债务凭证

CollateralizedDebtObligation(CDO)固定比例债务债券 ConstantProportionDebtObligation(CPDO)固定比例投资组合保险债券

ConstantProportionPortfolioInsurance(CPPI)双币别衍生品Quanto双币别衍生品交换QuantoSwap2CreditRatings信用评级3信用评级公司CreditRatingAgenciesStandard&Poor's(S&P)(40%):USAMoody's(40%):USAFitchGroup(15%): 50%USA(HearstCorporation)and50%France(FIMALAC)Source:DTCC,ISDA4信用评级CreditRatingsIGInvestmentGradeIGJunkHighYieldHY5投资级/垃圾级债券InvestmentGrade/JunkBondsAbondisconsideredInvestmentGradeorIGifitscreditratingisBBB-orhigherbyStandard&Poor'sorBaa3orhigherbyMoody's.

Bondsthatarenotratedasinvestment-gradebondsareknownasHighYieldbondsormorederisivelyasJunkbonds.Source:DTCC,ISDA6标准普尔国际评等Standard&Poor'sForeignRatings7标准普尔3A级评等

Standard&Poor'sAAARatingCountries8标准普尔中国评等Standard&Poor'sChinaRating:AA-/ratings/sovereigns/ratings-list/en/us/?subSectorCode=399标准普尔一年期全球企业破产机率

S&P’sOne-YearGlobalCorporateDefaultRates(%),1981-202410CreditSpread信用利差11信用利差CreditSpreadConsideracorporatebondmaturedTyearsfromnowr:riskfreerates:creditspreadp:defaultprobabilityR:recoveryrate1–R=LossGivenDefault(LGD)1dollarmaturedTyearsfromnowprobability=p,Default,getRbackprobability=1-p,NoDefault,get1backPresentvalueof1,TyearsfromnowisEXP(-(r+s)*T) EXP(-(r+s)*T) =(1-p)*EXP(-r*T)+p*R*EXP(-r*T)12信用利差CreditSpread 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)) EXP(-s*T)=1-p*(1-R) -s*T=LN(1-p*(1-R)) s=-1/T*LN(1-p*LGD)13信用利差CreditSpread s=-1/T*LN(1-p*LGD)BiggerDefaultProbabilityBiggerCreditSpreadBiggerLossGivenDefaultBiggerCreditSpreadLongerMaturitySmallerCreditSpread14CreditDerivatives信用衍生性商品15信用衍生性商品CreditDerivativesCreditDerivatives’pricesdependsonCreditconditions.CreditRiskManagementCreditRiskTrading16信用衍生性商品CreditDerivativesUnfunded–withoutprincipalFunded–withprincipal17信用衍生性商品(无本金)

CreditDerivatives-UnfundedCreditdefaultswap(CDS)Totalreturnswap(TRS)18信用衍生性商品(有本金)

CreditDerivatives-FundedCreditlinkednote(CLN)CollateralizedDebtObligation(CDO)ConstantProportionDebtObligation(CPDO)ConstantProportionPortfolioInsurance(CPPI)19CreditDefaultSwapCDS信用违约交换20信用违约交换

CreditDefaultSwap(CDS)ACreditDefaultSwap(CDS)isabilateralagreementdesignedexplicitlytoshiftcreditriskbetweentwoparties.InaCDS,oneparty(protectionbuyer)paysaperiodicfeetoanotherparty(protectionseller)inreturnforcompensationfordefault(orsimilarcreditevent)byareferenceentity.21信用违约交换结构CDSMechanics22信用违约交换结构(事件发生前)

CDSMechanics–preCreditEvent23信用违约交换结构(事件发生后)CDSMechanics–postCreditEvent24信用违约交换利差CDSSpreadIftheCDSspreadofXYZCorpis50basispoints,or0.5%(1basispoint=0.01%),thenaninvestorbuying$10millionworthofprotectionfromABCBankmustpaythebank$50,000peryear. $10,000,000X0.0001X50=$50,000$1000perbasispointfor$10millionnotionalCDS25信用违约交换强化金融体制CDSstrengthenthefinancialsystemCDSenablebankstotransferrisktootherrisktakers,sobankscanmakemoreloans.CDShelpdistributeriskwidelythroughoutthesystemandthuspreventlargeconcentrationsofriskthatotherwisewouldoccur.CDSprovideimportantinformationaboutcreditconditions,helpingbankersandpolicymakerstosupervisetraditionalbankingactivities.CDSserveavaluablesignalingfunction—CDSpricesproducebetterandmoretimelyinformation.26信用违约交换

(合约)

CDScontractaconfirmationreferencingthecreditderivativesdefinitionsaspublishedbytheInternationalSwapsandDerivativesAssociation(ISDA)referenceentityreferenceobligationeffectivedateandscheduledterminationdatecalculationagentcrediteventsdeliverableobligationcharacteristicspremiumpayments27目标主体ReferenceEntityTheReferenceEntityisthepartyonwhichCDSiswritten.Forthesimplest(single-name)formofCDS,thereferenceentityisanindividualcorporationorgovernment.28目标债权ReferenceObligationUnsubordinatedcorporatebondGovernmentbond.29信用事件CreditEventWithregardtocreditevents,theconfirmationofaCDSdealspecifiesastandardsetofevents,oneofwhichmustoccurbeforetheprotectionsellercompensatesthebuyer.Thepartiestothedealdecidewhichofthoseeventstoincludeandwhichtoexclude.30信用事件CreditEventsFailuretopayBankruptcyRestructuringCouponreductionMaturityextensionRepudiationorMoratoriumObligationAccelerationandObligationDefault31清算SettlementPhysicalsettlement:TheCDSsellerpaysthebuyerparvalue,andinreturntakesdeliveryofadebtobligationofthereferenceentity.Cashsettlement:TheCDSsellerpaysthebuyerthedifferencebetweenparvalueandthemarketpriceofadebtobligationofthereferenceentity.32收覆率RecoveryRatesCDSRecoveryRate=40%LCDS(LoanCDS)RecoveryRate=70%33收覆率拍卖RecoveryRateAuctionsInternationalSwapsandDerivativesAssociation(ISDA)Source:DTCC,ISDA34信用违约交换

(利差与破产机率)

CDSSpreadandProbabilityofDefaultConsidera1-yearCDScontractandassumethatthetotalpremiumispaidupfrontLetS:CDSspread(premium),p:defaultprobability,R:recoveryrateTheCDSbuyerexpectstopay=SHisexpectedpay-off=(1-R)pWhentwopartiesenteraCDStrade,SissetsothatthevalueoftheswaptransactioniszeroS=(1-R)p↔S/(1-R)=pIfR=40%;S=500bp↔p=8.3%.IfR=0,S=p=5%35BloombergWCDS(全球CDS评价WorldCDSPricing)Source:DTCC,ISDA36Source:DTCC,ISDABloombergWCDS(全球CDS评价WorldCDSPricing)37BloombergCDSD(利差曲线CDSSPREADCURVE)38BloombergCDSW(计算器CDSCalculator)MarketSpreadUpfrontpaymentAccruedInterestCDXspread39BloombergCDSH(历史利差CDSHistoricalSpreads)Source:DTCC,ISDA40欧猪五国PIIGSCDS–2024/04/2010YCDSGreece:1240bpPortugal:661bp41欧债危机EuropeanSovereignCDS–2024October10YCDS42毛名目本金GrossNotionalGrossnotionalvaluesarethesumofCDScontractsbought(orequivalentlysold)forallWarehousecontractsinaggregate,bysectororforsinglereferenceentitiesdisplayed.Aggregategrossnotionalvalueandcontractdataprovidedarecalculatedonaper-tradebasis.Forexample,atransactionof$10millionnotionalbetweenbuyerandsellerofprotectionisreportedasonecontractfor$10milliongrossnotional,asopposedtotwocontractsfor$20millionnotional.43净名目本金NetNotionalNetnotionalvalueswithrespecttoanysinglereferenceentityisthesumofthenetprotectionboughtbynetbuyers(orequivalentlynetprotectionsoldbynetsellers).Netnotionalpositionsgenerallyrepresentthemaximumpossiblenetfundstransfersbetweennetsellersofprotectionandnetbuyersofprotectionthatcouldberequiredupontheoccurrenceofacrediteventrelatingtoparticularreferenceentities(actualnetfundstransfersaredependentontherecoveryratefortheunderlyingbondsorotherdebtinstruments).44名目本金NotionalAmount-2024/12/31GrossNotionalAmount:$25.9trillionNetNotionalAmount:$2.7trillionEveryReferenceEntityhasaCreditEventRecoveryRate=045案例Top10CDSPositions–GrossNotional–2024/11/10Source:DTCC,ISDA46案例Top10CDSPositions–NetNotional–2024/11/10Source:DTCC,ISDA47中央清算CentralClearingCentralCounterpartyclearingfacilities(CCPs)ICETrustandICEClearEurope,bothoperatedbytheIntercontinentalExchangeCMEClearing,ownedbyCMEGroupEurexCreditClear,operatedbyEurexFrankfurtAGLCH.Clearnet85percentofCDStrading90percentofIRStradingSource:DTCC,ISDA48中央清算CentralClearing49个别公司信用违约交换SingleNameCDS–2024/10/24Source:DTCC,ISDA50个别公司信用违约交换报价

LastQuoteforthemostLiquidCreditDefaultSwaps/cds/most_liquid/markit_liquid.shtml1000CDSandseveralMarkitCDSIndices51MarkitCDXindicesMarkitCDXNorthAmericanInvestmentGrade(125names)MarkitCDXNorthAmericanInvestmentGradeHighVolatility(30namesfromCDXNAIG)MarkitCDXNorthAmericanHighYield(100names)MarkitCDXNorthAmericanHighYieldHighBeta(30names)MarkitCDXEmergingMarkets(15names)MarkitCDXEmergingMarketsDiversified(40names).52MarkitCDXindices信用违约交换指数Source:DTCC,ISDA53MarkitCDXFixedCouponRates

信用违约交换票面利率指数54MarkitiTraxxEuropeindices

信用违约交换欧洲指数MarkitiTraxxEuropeindex(125equally-weightedEuropeannames)MarkitiTraxxEuropeHiVolindex(30widestspreadnon-financialnames)MarkitiTraxxEuropeCrossoverindex(40mostliquidsub-investmentgradeentities)MarkitiTraxxEuropeNon-FinancialindexMarkitiTraxxEuropeSeniorFinancialsindexMarkitiTraxxEuropeSubFinancialsindex55MarkitiTraxxCEEMEAindex

信用违约交换指数MarkitiTraxxCEEMEAindex(25corporateandquasi-sovereignentitiesfromCentral&EasternEuropean,MiddleEasternandAfricancountries)56MarkitiTraxxAsiaPacificindices

信用违约交换亚太指数MarkitiTraxxAsianex-JapanIGindex(50equally-weightedinvestmentgradeAsianentities)MarkitiTraxxAustraliaindex(25equally-weightedAustralianentities)MarkitiTraxxJapanindex(50equally-weightedCDSofJapaneseentities).57案例MarkitCDXandiTraxxIndices–2024/11/19Source:DTCC,ISDA58信用违约交换风险CDSRisksCounterpartyriskfromLehmanBrothersLiquidityrisk

Jump-to-defaultrisk59美国政府接管二房案例LehmanBrothers1YCDS60美国政府接管二房案例LehmanBrothers5YCDS61信用违约交换用法CDSUsesSpeculationBuyLow;SellHighSellHigh;BuyLowHedging

ArbitrageStock↑

CDSSpread↓Stock↓

CDSSpread↑Exception:LeveragedBuyout(LBO)

Stock↑&CDSSpread↑62NegativeBasisTradesCDSSpread<BondSpreadBuyBond&BuyCDSGood,ButCounterpartyCreditRiskUnwindingRisk63NegativebasisTrades–2024/1064案例JPMorganChase-LondonWhaleBrunoIksil,aSoviet-borntraderbullishoncreditmarketsandsoldMarkitCDXNorthAmericaInvestmentGradeSeries910-YearIndex,CDXIG92BillionLossreportedinMay20245.8BillionLossupdatedonJuly13,202465一篮子信用违约交换

BasketCreditDefaultSwapAcreditderivativecontractthatprovidesapayoffwhenanyofthemultiplereferenceentitiesdefault.Thecontractspecifiesthenumberofdefaultsafterwhichthepayoffisgenerated.First-to-default(FTD)CDSSecond-to-default(STD)CDSNth-to-defaultCDS.66信用违约交换组合PortfolioCreditDefaultSwapPortfolioCDScoversaprespecifiedamountratherthanaprespecifiedsequentialdefaultnumber(first-to-default,second-to-default,andsoon).$10millionCDS67信用违约交换

DigitalCreditDefaultSwapFixed-recoveryCDSRecoveryrateisfixedbeforehandBinaryCDS68信用违约交换指数利差交易策略CDSIndexSpreadTradingiTraxxEurope–CDXNAIGIfEuropeansovereign-debtcrisisisgettingworseBuyiTraxxEurope;SellCDXNAIG69信用违约交换个别公司利差交易策略

SingleNameCDSLong-ShortTradingTokyoElectricPowerKansaiElectricPowerBuyTokyo;SellKansaiElectricPowerSellTokyo;BuyKansaiElectricPower70信用违约交换个别公司利差曲线交易策略

SingleNameCDSCurveTradingKeepNotionalequal,noDefaultrisk,butMTMrisk1M5YCDSSpread01¥449,1YCDS¥1111Y:650bp5Y:417bpIfbettingCDSCurveisflattening,thenSell1YCDS,Buy5YCDSTokyoElectricPower71Keepspread01equal,noMTMrisk,butDefaultrisk1M5YCDSSpread01¥449,1Y¥111(5Y:1Y=1M:4.05M);netof3.05Mcreditexposure1Y:650bp5Y:417bpIfbettingCDSCurveisflattening,thenSell1YCDS,Buy5YCDSTokyoElectricPower信用违约交换个别公司利差曲线交易策略

SingleNameCDSCurveTrading72TotalReturnSwapTRS总收益互换73总收益互换TotalReturnSwap(TRS)Totalreturnswap,orTRSTotalrateofreturnswap,orTRORSonepartymakespaymentsbasedonasetrate,eitherfixedorvariabletheotherpartymakespaymentsbasedonthereturnofanunderlyingasset,referenceassetincomecapitalgain74总收益互换TotalReturnSwap(TRS)ATRSismadeupoftwolegstheReturnLeg(orTotalReturnLeg)theFundingLeg.TheReturnLegisgenerallymadeupoftwocomponents:cashflowsandcapitalappreciationofthereferenceasset(s).TheFundingLegalsohastwocomponents:floatingcouponsbasedonLIBOR+/-aspreadandpaymentstooffsetanycapitaldepreciationofthereferenceasset(s).75总收益互换TotalReturnSwap(TRS)

76总收益互换(付方)

TotalReturnPayer(TRP)TheReturnLegcounterpartyiscalledtheTotalReturnPayer,SwapSeller,Buyerofprotection,orBeneficiary.Ownsreferenceasset(s)HaslowercostfinancingPaystotalreturnofasset(s)ReceivesLIBOR+/-spreadReceivespaymentstooffsetanycapitallossesTakesoninterestrateriskTransfersawayassetreturnrisk77总收益互换(收方)

TotalReturnReceiver(TRR)TheFundingLegcounterpartyiscalledtheTotalReturnReceiver,SwapBuyer,Sellerofprotection,orGuarantor.Doesnotownreferenceasset(s)-hasaweakerbalancesheetorusesbalancesheetleverageHashighercostfinancingReceivestotalreturnofasset(s)PaysLIBOR+/-spreadPaysforanycapitallossesTakesonassetreturnriskTakesoninterestraterisk78总收益互换TotalReturnSwapExampleInaBankLoanTRS,alargebanksuchasCitigroup(theTotalReturnPayer)ownsaloan(s).ItthenentersintoaTRSwithaninvestor(theTotalReturnReceiver).ThebankpaysalltheinterestandrealizedcapitalgainstotheSeller,minusa"fundingcharge"(akintoanaccessfeetothebank'sbalancesheet).TheinvestorpaysLIBORplusaspread,plusanyrealizedcapitallossestothebank.

Initialcollateral(the"haircut"or"IndependentAmount"inswaplanguage)ofbetween15%and80%ispaidtothebankbytheinvestorattheinceptionoftheTRS.ThebankholdsthiscollateralinaseparateaccountandpaystheinvestorperiodicinterestattheFedFundsEffectiveRate.79总收益互换(收方)

PaymentsReceivedbyTotalReturnReceiverIfreferenceassetisabond,thebondcouponThepriceappreciation,ifany,ofthereferenceassetsincethelastfixingdateIfthereferenceassetisabondthatdefaultedsincethelastfixingdate,therecoveryvalueofthebondInterestonanycollateral/haircutbeingheldbytheTotalReturnPayer80总收益互换(付方)

PaymentsReceivedbytheTotalReturnPayerTheperiodicfloatingpayment(usuallyLIBOR+/-aspread)Thepricedepreciation,ifany,ofthereferenceassetsincethelastfixingdateIfthereferenceassetisabondthatdefaultedsincethelastfixingdate,theparvalueofthebond81总收益互换(收益)

TotalReturnSwapBenefitsLeverage–InitialCollateralAsyntheticfundinginstrument-improvedfinancingcostsOperationalefficiency–TRSPayerFlexibilityAccesstootherwiseinaccessibleassetclassesLoans82总收益互换(风险)

TotalReturnSwapRisksInvestmentReturnRiskInterestRateRisk-LIBORLiquidityRiskCounterpartyRiskBankruptcyRisk–ReferenceAsset(s)83总收益互换(合约文件)

TotalReturnSwapDocumentationInternationalSwapsandDerivativesAssociation(ISDA)MasterAgreementandSchedule,whichgovernsswapsbetweentwoparties.CreditSupportAnnex(CSA),wherethepartiessetforththeagreedcollateralandcreditterms.TheSwapConfirmation("Confirm")isusuallyacustomizeddocument.TheConfirmsetstheactualtradetermsoftheTRS,whichmayvarywidelydependingonthereferenceasset(s)andparties.84CreditLinkedNoteCLN信用联结票据85信用联结票据

CreditLinkedNote(CLN)CreditLinkedNoteBuyaBondfromaInvestmentBankSellCDSonanotherReferenceEntity86信用联结票据

CreditLinkedNote(CLN)87信用联结票据

CreditLinkedNoteExamples88信用联结票据

CreditLinkedNoteCreditRisksCounterpartyRiskReferenceEntityRisk89USA

RealEstateBubble美国房市泡沫90

20242024美国房市泡沫USARealEstateBubblePeakedin202491忍者贷款NinjaLoansNoIncome,NoJob,andnoAssets.NINJAloansareoftendefaultedon,withtheborrowerdisappearinglikeaninja.92美国房市泡沫USARealEstateBubblePeakedin2024OneBedRoomApartmentinNewYorkCityRent$3000Buymonthlymortgage,maintenanceandtaxes>$6000WhyBuy,notRent?93EverybodythinksthepricesareHighMostpeoplethinkthepriceswillstayhigh美国房市泡沫USARealEstateBubblePeakedin202494CollateralizedDebtObligationCDO抵押债务债券担保债务凭证95抵押债务债券

担保债务凭证

Collateralizeddebtobligation(CDO)Collateralizeddebtobligations(CDOs)areatypeofstructuredasset-backedsecurity(ABS)withmultiple"tranches"thatareissuedbyspecialpurposeentities(SPV)andcollateralizedbydebtobligationsincludingbondsandloans.Eachtrancheoffersavaryingdegreeofriskandreturnsoastomeetinvestordemand.CDOs'valueandpaymentsarederivedfromaportfoliooffixed-incomeunderlyingassets.CDOsecuritiesaresplitintodifferentriskclasses,ortranches,wherebyseniortranchesareconsideredthesafestsecurities.Interestandprincipalpaymentsaremadeinorderofseniority,sothatjuniortranchesofferhighercouponpayments(andinterestrates)orlowerpricestocompensateforadditionaldefaultrisk.96抵押债务债券

担保债务凭证

–金流

CDOCashFlowDiagram-Simplied97不动产抵押债券

ResidentialMortgageBackedSecurity(RMBS)98ResidentialMortgageBackedSecurity(RMBS)Subprimemortgagecrisis:2024/7-99CDO–IMFDiagramSource:DTCC,ISDA100CDO^2101102抵押债务债券

担保债务凭证-不同抵押品

TypesofCDOs–DifferentCollateralsCollateralizedloanobligations(CLOs)—leveragedbankloans.Collateralizedsyntheticobligations(CSOs)—creditderivatives.StructuredfinanceCDOs(SFCDOs)—structuredproducts(suchasasset-backedsecuritiesandmortgage-backedsecurities)CommercialRealEstateCDOs(CRECDOs)—commercialrealestateassets103Collateralizedbondobligations(CBOs)—corporatebondsCollateralizedInsuranceObligations(CIOs)—insuranceor,moreusually,reinsurancecontractsCDO-Squared—tranchesissuedbyotherCDOs.CDO^n,GenerictermforCDO^3(CDOcubed)andhigher—CDOs/CDO^2/CDO^3.抵押债务债券

担保债务凭证-不同抵押品

TypesofCDOs–DifferentCollaterals104抵押债务债券

担保债务凭证-生命周期

CDOLifeCycleRamp-upphase,whenthemanagerusestheproceedsfromissuingtheCDOtopurchasetheinitialportfolio.TheCDO'sgoverningdocumentsgenerallyspecifyparametersfortheinitialportfoliobutnottheexactcomposition.Reinvestmentphase,duringwhichthemanageractivelymanagestheportfolioandreinvestscashflowfromtheportfolio.Amortizationphase,duringwhichthemanagermustapplythecashflowtowardrepayingtheCDO'sdebtsecurities.105抵押债务债券

担保债务凭证-检测

CDOPerformanceTestsAssetQualityTestsminimumweightedaveragerating(WAR)testIndustryandobligorlimitsminimumweightedaveragecoupon(WAC)testcumulativematuritydistributiontestCashFlowCoverageTestsOvercollateralization,OC,test,theratiooftheportfoliobalancetothebalanceoftheCDO'sdebtsecuritiesInterestcoverage,IC,test,theratioofinterestcashflowontheportfoliototheinterestthattheCDOmustpayonitsownsecurities.106抵押债务债券

担保债务凭证-结构

CDOBuildingBlocks107抵押品经理人CollateralManagerPortfolioorAssetmanagerCollateralmanager’sprimaryfunctionsSellinvestmentsinthecollateralpoolthatmaylosevalue,defaultorbecomeimpairedBuyinvestmentswithattractiveyieldsandafavorableinvestmentoutlook.108抵押品管理ManagedCDO-Example投资组合之交易更换原则Limit同一公司持有上限(BBB-以上)[2.0]%同一公司持有上限(BB+以下)[1.0]%同一产业持有上限(非银行或金融业)[20.0]%同一国家持有上限(非欧美国家)[20.0]%替换

(每年)[不限]

其他原则LimitFitchDynamicPortfolioGuidelines适用109投行的3个角色

InvestmentBank(Arranger,UnderwriterandPlacementAgent)theArrangerwillorganizemeetingsbetweeninvestorsandacollateralmanagerinordertodiscussapotentialtransactiontheinvestmentbankmayadvisethecollateralmanagerconcerningratingagencyrequirementsorapprisethemofthespecificnuancesofcertaininvestors.AsUnderwriterandPlacementagent,theinvestmentbankisresponsiblefortheorderlyexecutionanddeliveryofthepromisedbonds.110信托公司的3个角色

Trustee(Trustee,Custodian,PayingAgent)theTrusteeforaCDOtransactioniscustodianofthecollateralandprotectsinvestors’securityinterestsbyensuringthattransactioncovenantsarehonored.EvaluationofthetraderecommendationsofthecollateralmanagerinordertoensurecompliancewithdealcovenantsReleaseorreceiptofcashorsecurities(fromtradingactivities,forexample),DistributionofcashtoinvestorsCreationanddistributionofdealsurveillancereports.111信用评等公司RatingAgenciesAssigncreditratingstodifferentpartsoftheCDOcapitalstructurebasedontheirperceivedlevelsofrisk.Moody’sInvestorsServiceStandard&Poor’sFitchRatingsLtd112投资者InvestorsCDOinvestorsaretypicallysophisticatedinstitutionalinvestorsInsurancecompaniesMoneymanagersBanksPensionfundsHedgefundsAsset-backedcommercialpaperconduits.113避险对手方HedgeCounterpartyThehedgecounterpartyisgenerallyahighlyratedinvestmentorcommercialbankthatentersintoaninterestrateswap,currencyswap,liquidityswaporanothertypeofbasisswapforthepurposeofremovingnon-credit-relatedriskfromtheCDOtransaction.114信用保证人CreditEnhancerThecreditenhancerisgenerallyamonolinebondinsurerthatispaidanupfrontand/orongoingfeetoinsureaclassofCDOsecuritiesagainstlosses.AmericanInternationalGroup,AIG115美国政府为什么救AIG116特别目的公司SpecialPurposeVehicle(Issuer)TheissuerofCDOtransactionsisabankruptcy-remotespecial-purposevehicle(SPV)locatedinatax-friendlyjurisdiction.TheSPVpurchasessecuritieswhichwillcomprisethecollateralpoolissuesCDOsecurities.BecausetheoperationoftheSPVispreciselydefinedintheindenture,thereisnoneedforemployeesandthereforeithasnone.117CDOTypes抵押债务债券担保债务凭证品种118固定vs.浮动

Staticvs.ManagedCDOsStaticCDO:CollateralsstaythesameManagedCDO:Collateralschange119金流vs.市值

CashFlowvs.MarketValueCDOsCashFlowCDOusecashflowfromthecollateraltopaytheCDOinvestorsMarketValueCDOcansellcollateraltopaytheCDOinvestors120资产负债表vs.套利

BalanceSheetvs.ArbitrageCDOsBalanceSheetCDOtakescollateraloffabank’sbalancesheetArbitrageCDOcreateshigherratingtranchesoutoflowerratingcollateral121CDO–IMFDiagramSource:DTCC,ISDAArbitrageCDOBalanceSheetCDO122Cashvs.SyntheticCDOs合成式抵押债务债券

担保债务凭证CashCDOusesbondsorloansascollateralSyntheticCDOusesCDSascollateral123合成式抵押债务债券

担保债务凭证SyntheticCDOAsyntheticCDOisaportfolioofcreditdefaultswaps(CDS).TheCDSsellerprovidesprotection(insurance)intheeventofadefaultorspecified"creditevent"relatedtothereferencesecurity.TheCDSbuyerpaysapremiuminexchangeforthisprotection.124合成式抵押债务债券

担保债务凭证

SyntheticCDO

Source:FCIC125单一管道式抵押债务债券

担保债务凭证

Single-trancheCDO(STCDO)Asingle-trancheCDOisacontractbetweenprotectionbuyerandprotectionseller.Asingletrancheiscommonlyreferredtoasan“xexcessy〞tranchexisthetranchesizeythesubordinationlevel(attachmentpoint)126单一管道式抵押债务债券

担保债务凭证

Single-trancheCDO-DecisionStepsSelectaportfolioofcreditstothattheywantexposureto.Chooseasubordinationlevel(attachmentpoint)andatranchesizecorrespondingtotheirrisk/returnpreferenceoryieldtarget.Dynamicallymanagetheirpositionandsubstitutecreditsinthecollateralportfoliothroughoutthelifeofasingle-trancheCDO.127单一管道式抵押债务债券

担保债务凭证

Single-TrancheCDO128单一管道式抵押债务债券担保债务凭证

(无本金)

Single-TrancheCDO—UnfundedFormTheinvestorreceivesaperiodicpremiumusuallyexpressedasafixedpercentageinbasispointsoftheoutstandingnotionalamountofthetranche.Theinvestorprovidesprotectionforanylossmorethansubordinationlevel,butthelosspaymentmadebyinvestorsiscappedbythetranchesize,i.e.,themaximumlossforaninvestoristhetranchesize.Thecashflowexchangedbetweenthetwocounterpartiesdefaultswappremiumfromprotectionbuyertotheprotectionsellerlosspayment,ifany,fromtheprotectionsellertotheprotectionbuyer.129单一管道式抵押债务债券

担保债务凭证

(有本金)

Single-TrancheCDO—FundedFormThenotionalamounttheinvestorpaysonclosingisusuallyinvestedinhigh-quality,liquidassetssuchtriple-Aratedasset-backedsecurities.TheSTCDOnotepaysfixedrateorLIBORplusapremiumontheoutstandingnotional.Atmaturity,theinvestorispaidbackthenotional,unlessthelossesexceedthesubordinationlevel.Ifthatoccurs,thenotionalisreduced,andaportionofthecollateralisliquidatedandpaidtotheprotectionbuyer.130单一管道式抵押债务债券担保债务凭证

Single-TrancheCDO—ExampleIssuerCDOCompanyCaymanIslandsLtd.Nominal$30,000,000Maturity5yearsRatingA+/A1Collateral5yrMTNissuedbytheInternationalBankforReconstructionandDevelopment(WorldBank)ratedAAA/AaaCoupon6mLibor+1.00%ReferencePortfolio$1,000,000,000portfolioof100investmentgradeentitiesbasedinUSAandCanadaAttachmentPoint3%DetachmentPoint6%131thetranchehas3%subordination,thereferenceportfoliohas100nameswith$10millionsizeeach,andtherecoveryrateis40%foreachcredit.5defaultscanhappenwithoutaffectingthetrancheontheportfolio5*$10million*(100%–40%)=$30millionlossontheportfolioThelossesassociatedwiththe6thdefaultwillbecoveredbytheprotectionseller.单一管道式抵押债务债券担保债务凭证

Single-TrancheCDO—Example132STCDOvs.CorporateBondsSpreadpick-upwithhigheryieldsthanasimilarly–ratedcorporateinvestmentDiversified,agency-ratedcreditexposureCustomizabletoachievebalancebetweenrisktoleranceandpricinggoals:PortfolioselectionAmountofLossThresholdExposuresizeSimpletransactioneconomics(unlikecomplicatedpaymentwaterfalls