信用衍生性商品 (Credit Derivatives)

Credit Risk Management 信用補強(Credit Enhancement) 1) Bond Insurance, Guarantees, and Letters of Credit 2) Embedded Put Options 3) Netting 4) Marking-to-Market 5) Collateralization 6) Termination or Reassignment 信用衍生性商品(Credit Derivatives) Credit Risk Securitization for Loans and High Yield Bonds

Credit Derivatives Credit derivatives are contracts that pass credit risk from one counterparty to another. They allow credit risk to be stripped from loans and bonds and placed in a different market. Their performance is based on a credit spread, a credit rating, or default status. They can be traded on a stand-alone basis or embedded in some other instrument, such as a credit-linked note.

Credit Derivatives Initiated in the early 1990s. OCT financial contracts. In various forms such as swaps, options, and credit-linked notes. The payoffs contingent on changes in the credit quality of a specified issuer.

Types of Credit Derivatives 信用違約交換(Credit default swaps, CDS) Synthetic securitization 信用連結債券(Credit-linked notes, CLN) 總報酬交換(Total return swaps, TRS) 信用差價選擇權(Credit spread options, CSO)

信用違約交換 (Credit default swaps, CDS) 信用違約交換類似於一種保險契約，買方定期支付一筆費用（猶如保險費）給賣方，將信用風險資產的違約風險轉移給賣方。 CDS只單純移轉「信用風險」的部分，而不包含市場風險。 一旦違約事件發生，買方可要求一定數額的賠償金。 賠償金通常為違約事件發生時，信用風險資產票面價值與市價的差距，藉以反應違約事件造成的損失。 一旦違約事件發生，信用違約交換契約也宣告終止。

CDS交易的基本架構 費用 信用保護買方 (信用風險賣方) 信用保護賣方 (信用風險買方) 損失補償 (違約事件發生) 貸款或 其他債務等   損失補償 (違約事件發生)   貸款或 其他債務等 信用風險資產

信用違約交換 ---例 假設甲銀行進行一筆$3,000,000的A公司企業放款，利率6 %、為期3年，此時甲銀行擬將此放款的信用風險轉嫁出去，所以在市場上找尋第三人來進行信用違約交換CDS。

信用違約交換 ---例 CDS雙方約定3年的交換期間內，CDS的買方(甲銀行)每年定期支付2% 的費用給賣方。 此交換期間內若A公司並未發生違約事件，則賣方不需支付任何補償金額給買方。 但是當A公司發生違約事件時，則賣方則必須給付買方(甲銀行)因A公司違約所產生的損失。 假設A公司發生違約時僅償還$2,000,000，此時CDS賣方必須給付買方(甲銀行) $1,000,000(=$3,000,000-$2,000,000)。所以就銀行而言。

Synthetic securitization 或稱為collateralized debt obligations (CDOs), where special-purpose vehicle gains exposure to a specified portfolio of credit risk via credit derivatives, and the payoffs are redistributed across different tranches.

Credit-linked note Credit-linked notes are not stand-alone derivatives contracts but rather combine a regular coupon-paying note with some credit risk feature. The goal is generally to increase the yield paid to the investor in exchange for the investor taking some credit risk.

Credit-linked note The investor makes an up-front payment that represents the par value of the credit-linked note. A trustee then invests the funds in a top-rated investment and takes a short position in a credit default swap. The total regular payment to the investor is then (LIBOR + X + Y). In return for this higher yield, the investor must be willing to lose some of the principal should a default event occur.

CLN交易的基本架構 Investor Provider AAA asset CL Note: AAA-asset+ CDS X bp Par CL Note: AAA-asset+ CDS Investor Provider LIBOR+X+Y bp   Contingent payment Contingent payment Par LIBOR+Ybp AAA asset

總報酬交換 (Total return swaps, TRS) 約定期間內，風險保護買方將信用風險資產的總 報酬，與違約風險保護賣方進行交換，以換取浮 動利率報酬，這筆浮動利率報酬通常是以LIBOR 加減碼後的利率。 因此，TRS的買方不僅移轉信用風險，亦移轉了 市場風險。

TRS交易的基本架構 信用保護賣方 信用保護買方 (信用風險買方) (信用風險賣方) 資產的全部報酬 Libor 加減碼   Libor 加減碼 貸款或其他債務等信用風險資產

總報酬交換 ---例 若乙銀行投資B公司所發行的公司債，公司債市價為$1,000,000，公司債票面利率為7 %，擬投資5年。此時乙銀行擬將此B公司債的信用風險轉嫁出去，所以尋找第三人進行總報酬交換(TRS)。 總報酬交換(TRS)的交易雙方約定5年的交換期間內，每年的買方(乙銀行)將此公司債的票面利率，加上該公司債的折溢價定期支付給賣方；而賣方則依市場利率加100 bps給付予買方。

總報酬交換 ---例 假設LIBOR為3%，由於該公司債信評下降或是利率上升，導致公司債價格下降為$950,000，則買方(乙銀行)所應支付賣方之總報酬率為 7% + ($950,000 - $1,000,000) / $1,000,000 = 2% 而買方(乙銀行)可收到之收益為4% (LIBOR +1%)。 乙銀行藉由TRS，可同時規避信用風險與市場風險，並將所投資B公司債報酬率轉呈浮動利率。

信用差價遠期契約 (Credit spread forwards) The value is tied to an underlying credit spread between a risky and a risk-free bond. Payment = (S – F) * MD * Notional MD is the modified duration, S is the prevailing spread and F is the agreed-upon spread. At maturity, the buyer receives a payment, if positive, or makes a payment, if negative.

信用差價選擇權 (Credit spread options) The value is tied to an underlying credit spread between a risky and a risk-free bond. The buyer pays a premium in exchange for the right to “put” any increase in the spread to the option seller at a predefined maturity. Payment = Max (S – K, 0) * MD * Notional MD is the modified duration, S is the prevailing spread and K is the predefined spread. The purchaser of the option buys credit protection, or the right to put the bond to the seller if it falls in value.

信用差價選擇權 ---例 A credit spread option has a notional of $100 million with a maturity of 1 year. The underlying security is an 8% 10-year bond issued by the corporation XYZ. The current spread is 150 bp against 10-year Treasuries. The option is European type with a strike of 160 bp.

信用差價選擇權 ---例 Assume that, at expiration, Treasury yields have moved from 6.5% to 6% and credit spread has widened to 180 bp. The price of an 8% coupon, 9-year semiannual bond discounted at y + S = 6 + 1.8 = 7.8% is $101.276. The price of the same bond discounted at y + K = 6 + 1.6 = 7.6% is $102.574. Using the notional amount, the payout is (102.574 – 101.276)/100 * $100,000,000 = $1,297,237.