(曾启诠)CreditDerivatives信用衍生品XXXX-12-20

信用衍生性商品CreditDerivatives曾启诠[e-mail]2012/12/20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QuantoSwapStandard&Poor's(S&P)(40%):USAMoody's(40%):USAFitchGroup(15%):50%USA(HearstCorporation)and50%France(FIMALAC)Source:DTCC,ISDA投资级/垃圾级债券InvestmentGrade/JunkBondsAbondisconsideredInvestmentGradeorIGifitscreditratingisBBB-orhigherbyStandard&Poor'sorBaa3orhigherbyMoody's.Bondsthatarenotratedasinvestment-gradebondsareknownasHighYieldbondsormorederisivelyasJunkbonds.Source:DTCC,ISDA标准普尔3A级评等Standard&Poor'sAAARatingCountries:AA-=39’sOne-YearGlobalCorporateDefaultRates(%),1981-2008One-YearGlobalCorporateDefaultRates(%)0.000.000.020.030.050.060.080.160.280.280.680.891.532.447.289.9722.670510152025AAAAA+AAAA-A+AA-BBB+BBBBBB-BB+BBBB-B+BB-CCCtoCConsideracorporatebondmaturedTyearsfromnowr:riskfreerates:creditspreadp:defaultprobabilityR:recoveryrate1–R=LossGivenDefault(LGD)1dollarmaturedTyearsfromnowprobability=p,Default,getRbackprobability=1-p,NoDefault,get1backPresentvalueof1,TyearsfromnowisEXP(-(r+s)*T)EXP(-(r+s)*T)=(1-p)*EXP(-r*T)+p*R*EXP(-r*T)(-(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)=-1/T*LN(1-p*LGD)BiggerDefaultProbabilityBiggerCreditSpreadBiggerLossGivenDefaultBiggerCreditSpreadLongerMaturitySmallerCreditSpreadCreditDerivatives’pricesdependsonCreditconditions.CreditRiskManagementCreditRiskTradingUnfunded–withoutprincipalFunded–withprincipal信用衍生性商品(无本金)CreditDerivatives-UnfundedCreditdefaultswap(CDS)Totalreturnswap(TRS)信用衍生性商品(有本金)CreditDerivatives-FundedCreditlinkednote(CLN)CollateralizedDebtObligation(CDO)ConstantProportionDebtObligation(CPDO)ConstantProportionPortfolioInsurance(CPPI)(CDS)ACreditDefaultSwap(CDS)isabilateralagreementdesignedexplicitlytoshiftcreditriskbetweentwoparties.InaCDS,oneparty(protectionbuyer)paysaperiodicfeetoanotherparty(protectionseller)inreturnforcompensationfordefault(orsimilarcreditevent)byareferenceentity.信用违约交换结构(事件发生前)CDSMechanics–preCreditEvent信用违约交换结构(事件发生后)CDSMechanics–postCreditEventIftheCDSspreadofXYZCorpis50basispoints,or0.5%(1basispoint=0.01%),thenaninvestorbuying$10millionworthofprotectionfromABCBankmustpaythebank$50,000peryear.$10,000,000X0.0001X50=$50,000$1000perbasispointfor$10millionnotionalCDSCDSenablebankstotransferrisktootherrisktakers,sobankscanmakemoreloans.CDShelpdistributeriskwidelythroughoutthesystemandthuspreventlargeconcentrationsofriskthatotherwisewouldoccur.CDSprovideimportantinformationaboutcreditconditions,helpingbankersandpolicymakerstosupervisetraditionalbankingactivities.CDSserveavaluablesignalingfunction—CDSpricesproducebetterandmoretimelyinformation.信用违约交换(合约)CDScontractaconfirmationreferencingthecreditderivativesdefinitionsaspublishedbytheInternationalSwapsandDerivativesAssociation(ISDA)referenceentityreferenceobligationeffectivedateandscheduledterminationdatecalculationagentcrediteventsdeliverableobligationcharacteristicspremiumpaymentsTheReferenceEntityisthepartyonwhichCDSiswritten.Forthesimplest(single-name)formofCDS,thereferenceentityisanindividualcorporationorgovernment.UnsubordinatedcorporatebondGovernmentbond.Withregardtocreditevents,theconfirmationofaCDSdealspecifiesastandardsetofevents,oneofwhichmustoccurbeforetheprotectionsellercompensatesthebuyer.Thepartiestothedealdecidewhichofthoseeventstoincludeandwhichtoexclude.FailuretopayBankruptcyRestructurin