今日聽了一個有關歐巴馬的笑話. 歐巴馬在就職演說中呼籲美國人要負責任, 其實是提醒美國人要記得交(信用)卡數, 就算唔可以俾full payment, 起碼都要找minimum payment, 唔好不負責任賴帳, 否則連credit card信貸都爆煲就麻煩了. 另外, 如果大家有留意, 會發覺美國主要銀行例如JPMorgan Chase, Citi 和 Bank of America都趕在歐巴馬就職之前, 提前公佈業績, 而且沒有交代理由. 睇來並非是偶然的事.
講番正題. 回應紅猴兄有關匯豐CDS的問題. 匯豐買入Protection (CDS) 可以理解, 因為要對沖債券組合的Default risk, 但為何要sell Protection 呢? 情況就如有人沽期指, 為手上的股票組合做對沖, 但又同時買期指, 究竟為什麼呢? 其實原來是, 買期指是為了對沖另一個沽空股票組合的風險, 即係話, 該投資者有兩個對沖組合: (1) 股票組合 + 沽期指; (2) short股票組合 + long期指. 為何有第2個組合呢? 原理是, 如果你認為某些恆生指數成份股會跑輸恆指, 你可以沽空這些弱勢成份股, 然後買入恆指. 即使大市上升, 只要這些弱勢成份股真係跑輸恆指, 你都有賺; 如果恆指上升而這些弱勢成份股下跌, 更加是大賺.
講番匯豐, 為何匯豐會一方面buy protection (CDS), 同時又sell protection(CDS)呢? 估計匯豐係持有兩個唔同的對沖組合. (1) 交易用途的按揭擔保證券(MBS)和資產擔保證券(ABS)組合 + Buy Protection (CDS); (2) 純粹賭大細的trading derivatives組合: sell大額、多元化及主要為投資級別的組合（包括索償權利最優先部分senior tranches）之保障，同時buy相同組合內索償權利較次部分(subordinated tranches)之保障以對沖(sell protection倉的風險.
第(1)個組合純粹賺息差, 例如買入5%的MBS或ABS, 同時再以100 bps買入相關CDS, 就可以賺取4%息差, 風險是CDS writer 的交易對手風險.
第(2)個組合點work呢? 要睇trader的眼光. 筆者將信貸市場的可能性列出來大家就會明白.
1) default risk 下降: 呢個已經無可能發生.
2)default risk 上升, 但無default 發生
3)default risk 上升, 有default 發生 , 但只發生在部分subordinated tranches.
4)default risk 上升, 有default 發生 , 但全部發生在subordinated tranches.
5)default risk 上升, 有default 發生 , subordinated tranches全部default, senior tranches部分default
6)default risk 上升, 而且subordinated tranches 和senior tranches全部default.
下次再講 (2) 至 (6)的情況 對匯豐的影響. 筆者認為 (3) (4) 最有機會發生, 而如果真係出現呢個情況, 匯豐呢個組合應該賺大錢. 睇番匯豐銀半年報, credit derivatives trading 組合的norminal value 由 07年上半年的14,735億美元增加至08年中的20,760億美元(分別為買入保障10,200億美元以及賣出保障10,560億美元), 係有理由的.
以上文章只是筆者基於有限知識的理解而寫, 並不保證一定正確, 歡迎討論和指教.
最後申報, 筆者仍然持有19,312股匯豐, 仍然一股不沽.
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下一站，牛津
2 年前
最近工作比較繁忙, 所以少左上黎. 原本想問先生會唔會減少月供股票, 點一知見到先生仲加左碼.
回覆刪除我在諗, 而家個市越跌越低, 咁我係咪要停一停月供, 等遲d先再月供.THX.
nominal value 上升可以係越賭越大既結果, 我偏向相信sell CDS of senior tranche, buy CDS of subordinated tranches 既組合, 否則咁賭法真係好大獲.
回覆刪除我地無其他資料係手, 都係靠估......
假設實體經濟出現大問題, 匯豐可以係兩邊蝕, 1. CDS sell side 被行使賠錢, 2. CDS buy side 出現counterparty default.
Hello,市場先生
回覆刪除I am sorry to say that I just partially agree with your statement on "筆者認為 (3) (4) 最有機會發生, 而如果真係出現呢個情況, 匯豐呢個組合應該賺大錢.". Even an investor could get a default protection (eg. (1-recovery)*notional ) by buying subordinated tranche protection, he would also suffer a mark-to-market loss on selling senior tranche protection.
You would argue that the default protection gain is usually much bigger than the mark-to-market loss. I also agree with that. However, several points must be considered as well:
1) the notional size of senior tranche is always much larger than that of subordinated tranche;
2) whether the rise of default risk is an idiosyncratic risk or a systematic risk;
3) the protection gain depends on the recovery rate of the default name. If the recovery rate is high, a protection buyer may not gain much from the default event;
4) it becomes more difficult to unwind the short protection of senior tranche after default events. It then induces an liquidity premium on the senior tranche (the loss in senior tranche increased).
Since the notional size of tranches and the default recovery rates are uncertain, I won't say that long/short tranche strategy should gain a lot.
seem it is too complicated for most investor to understand ...why don't spend $ to invest into other stock which the business model is much easy to understand ...+ at a very low price now ?
回覆刪除for sharing
value picker
回應seesee : 越跌越低, 月供效果更好, 只要選的是風暴過後有盈利前景的好公司.
回覆刪除回應Cory, Andy : 我會繼續講cds呢個題目.
value picker:銀行是有需要運用衍生工具的.
I agree with 市場先生 that it's extremely necessary for the banks to use derivatives for the book balance and hedging the risk.
回覆刪除Most people now fear on structured products and derivatives, but the tools actually didn't harm the market and the financial institutes. It's the person who use the tools didn't fully understand the tools.
I am willing to hear more people to talk about CDS and educate people to understand more on derivatives. I'm dare to say the credit derivatives (like CDS) will be more popular in the future because investors understood the importance of hedging credit risk. However, the derivatives should become simplified and standardized.
先生,
回覆刪除祝牛年新年快樂，家庭生活愉快