今日想講下什麼是Credit default swap (CDS), 信用違約掉期. CDS是一種信用風險轉移的契約，契約相方包括信用違約風險保護買方（protection buyer）和信用違約風險保護賣方（ protection seller）.
舉個例子, 你持有A公司發行的面值100萬的5年期債券, 為了避免A公司發生信用違約而招致的損失, 你可以向B公司(例如B銀行)訂立CDS契約(通常係5年期), 代價係在有效期內, 你每年要支付一個固定的費用(basis point spread)俾B銀行. 例如 100 bps, 即係你每年要支付 100萬 x 100 x 0.01% = 10,000蚊俾B銀行, 通常係每季俾一次錢, 即係每季你要俾2,500蚊B銀行. 如果5年期滿沒有發生任何信用違約事件, 咁你也唔會得到任何賠償金額, B銀行5年總共賺左5萬蚊；但假設在第2年A公司真係發生信用違約(credit default), 一方面你可以停止支付"保費"俾B銀行, 而且可以得到賠償. CDS的賠償方法通常有2種, 第一種係實物交收：即係B銀行以100萬幫你買回A公司的債券, 無論A公司的債券的市價值幾多錢. 第二種係現金結算, 假設A公司的債券的剩餘價值(Recovery value)係面值的20%，咁B銀行會支付你 100萬 x (1-20%) = 80萬作為現金賠償.
如果一間發債機構的信用評級被調低, 或者市場預期呢間發債機構的信用違約風險增加, 咁呢間發債機構債券的CDS的bps就會上升, 換句話說, 你要付出多d"保費", 相反亦然.
CDS是在所謂OTC (over the counter) 市場買賣, 即係並非透過交易所買賣.
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2 年前
Hi Mr Market,
回覆刪除I remember in the last 2-3 years there are quite a few minibond products sold by the bank to retail clients. Those minibond gave a yield of 6 to 7% over a period of 5 years. Those are structured like a bond but actually like a Credit Default Swab nature. They linked to the credit events of usually 5 to 7 finicial institutions. I did purchase those 5 years term product (fortunately Bear Stern is not one of these institutions).
What is your opinion regarding this products. Would you recommend selling this now? I think they haven't got a effective secondary market, and selling would incure a significant lost ?at least 10-20%
Sam
回應Sam: 太複雜的structured products都係盡量避免好d
回覆刪除Hi, thank you for your introduction. Do you know any specific examples about the traditional CDS? Thanks!
回覆刪除唔明何謂traditional CDS?
回覆刪除