信用衍生性商品 (Credit Derivatives)

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1 信用衍生性商品 (Credit Derivatives)

2 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

3 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.

4 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.

5 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)

6 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。

7 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

8 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。

9 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。

10 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.

11 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.

12 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.

13 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

14 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。

15 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

16 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。

17 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。

18 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.

19 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.

20 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.

21 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 = = 7.8% is $ The price of the same bond discounted at y + K = = 7.6% is $ Using the notional amount, the payout is ( – )/100 * $100,000,000 = $1,297,237.