經濟,財務,統計學,數理科學與政治評論

Hello there:

  這裡主要談的是interest cap與interest floor,以及credit default swap等金融商品在財務風險管理上面的應用!!interest rate cap是由一連串的caplet所組成的,同樣地,interest rate floor是由一連串的floorlet所組成的!!Credit Default Swap則是由protection buyer向protection seller購買Credit default swap,爾後發生信用事件時,physical settlement為,由protection seller取得當初標的資產,而由protection buyer取得當初約定好的資產價格(遠比信用風險發生時的市值來的大)!!Cash settlement則為,protection seller支付約定價格與目前標的物市價的差額給protection buyer!!

 I. Interest rate options就和傳統的options差異不大,只是標的物變成是利率水準,觀念是利率走向與債券價格走向是相反的,因此要規避債券價格下跌,通常是持有put option on bond price,這與call option on respective interest rate是相同的!!同樣地,要享受債券價格上漲的利得,通常是持有call option on bond price,這與put option on (respective) interest rate是同義的!!

 (小結)

 a. Interest rate cap: Notional principal * Max[0,(market index rate - cap rate) * (actual days/360)]

 通常發行Floating Rate Note的Issuer,因為需要支付浮動利率以致產生相對風險,所以會參與購買interest rate cap來避險,希望透過支付固定利率與收取浮動利率來規避與控制自身的風險!!

 b. Interest rate floor: Notional principal * Max[0,(floor rate - market index rate) * (actual days/360)]

 通常是投資Floating Rate note的投資人,因為收取的是浮動利率而產生相對方顯,因此會參與購買interest rate floor來避險,希望透過支付浮動利率與收取固定利率來規避與控制自身的風險!!

 c.Buying a interest rate cap (long interest rate cap) is equivalent to buying a package of puts on a fixed-income instrument (a package of calls on an interest rate)

 d. Buying a interest rate floor (long interest rate floor) is equivalent to buying a package of calls on a fixed-income instrument (a package of puts on an interest rate)

 e. A cap is equivalent to a package of call options on an interest rate

 f. A floor is equivalent to a package of put options on an interest rate

(小結)

short cap on an interest rate <-> short puts on a fixed-income instrument's price

long cap                          long puts 

short floor                       short calls 

long floor                        long calls

II. 而Credit Default Swap主要承擔的信用風險,交易企業無法償付自身的資金流出而產生出信用方面的風險,而一般的債券投資都包含著信用與債券價格下跌的風險,簡單的說就是債券投資或賣空都需要面對信用與利率兩個風險,而CDS只需要面對信用風險,因此相對上避險成本較低!!

 CDS的交易策略通常是擁有資金的大型法人所參與的市場,有Basis trade(if CDS premium < bond's assset swap spread, then buy bond and buy CDS), Credit curve steepener(賣短天期CDS,買長天期CDS)/flattener(買短期CDS,賣長天期CDS), Index trade (針對不同信用評等的債券目前市場情況,來進行無風險的相對CDS的買賣套利), Options receiver/payeer trade (CDS premium receive is equivalent to selling CDS, CDS premium paid is equivalent to buying CDS), Capital Structure trade(針對同一集團企業其有上市或有個別融資的子部門產業進行相關CDS的套利,比如賣子部門的CDS,買母公司的CDS等等,又或者進行credit versus equity trades等等),Correlation trades(first-ro-default swap是經常使用的Swap,主要焦點只放在第一家default!!而當各家債券的Credit default correlation很高時,其所收取的premium就應該要比較低!!)(一般避險基金或投資銀行的proprietary trade desk都喜歡做CDO的capital structure arbitrage,比如對同天期的Tranche,用較低倍數財務槓桿去賣信用較佳的CDX tranche,與用較高倍數財務槓桿去買信用較差的CDX equity tranche來進行Delta hedge,爾後再去買相對於equity tranche的CDS來進行credit default hedge.....等等)(直接買equity tranche與相對應相關性比較高的CDS來避險....等等)

   簡單的說,對於持有大量資金的長期投資法人(如insurance company)來說,CDS的買與賣主要目標為..強化自身風險管理,提高自身收益與分散投資組合的風險!!!我想在2008年我們是沒見到這些的!!