راهنمای مشتقات اعتباری - جلد اول

BookmarkTitle:......Page 1 Chart 1: Beyond Single-Name CDS......Page 3 The Growth of Credit Derivatives......Page 4 Market Structure......Page 5 Chart 8: Credit Derivative Reference Entity By Maturity......Page 6 Chart 11: European Bond Market vs. London CDS Market......Page 7 Chart 12: Net Buyers [Sellers] of Protection by Sector......Page 8 Meeting the Challenges......Page 9 Table 4: The Two Parties in a Credit Default Swap......Page 11 A Working Example......Page 12 Table 5: Example Cashflows under fino defaultfl and Credit Event At 2 Years Scenarios......Page 13 The Asset Swap Approach to Pricing......Page 14 Table 6: Cash Flows of Default Swap Replication [Protection Seller]......Page 15 Chart 21: Cash Flows After Entering a Credit Default Swap Transaction......Page 16 Default Probability Models......Page 17 Chart 22: Default Swap Cashflows Due from the Buyer and Seller of Protection......Page 18 Chart 24: The CDSW Bloomberg Screen......Page 19 Chart 27: How Survival Probability Varies with Time for Different Recovery Assumptions [For a Given Default Premium]......Page 20 Chart 28: Assigning a CDS to a New Counterparty......Page 21 Chart 30: MTM Value Can Be Thought of In Terms of the Resulting Annuity......Page 22 Chart 31: Credit Event Terminates The Annuity Leaving An Investor Flat......Page 23 Table 8: Average Defaulted Bond Recovery Rates by Security and Priority, 1982-2005......Page 24 Chart 34: Recovery Rates Differ by Sector......Page 25 Table 10: Example of an Existing Trade to be Unwound......Page 26 Chart 38: Difference in P&L Between the Two Transactions [Default Less Cash] for Simultaneous Spread Changes......Page 27 Chart 40: Incremental MTM Declines as Default Premiums Increase......Page 28 Chart 41: Cashflow Dynamics of Upfront and Running CDS......Page 29 Upfront or Running?......Page 31 Table 13: No Credit Event Cashflows for Protection Buyer Under a 5yr Basis Trade Scenario......Page 32 Table 14: Cashflows Under a 5yr Basis Trade Scenario Assuming Credit Event Immediately after Year 2......Page 33 Calculating an Upfront CDS Price......Page 34 Unwinding Upfront Trades......Page 35 Chart 45: Comparison in Performance of a Long Protection Position as Spreads Change: Upfront CDS vs. Running CDS......Page 36 Asset Swap Structures......Page 37 Chart 46: In a Par Structure the Package is Bought for 100 Irrespective of Bond Price......Page 38 Chart 48: Counterparty Risk for Par and Market ASW Structures......Page 39 Chart 49: I-Spread Illustration......Page 40 Z-Spread [Zero Volatility Spread]......Page 41 Table 16: Example of a Z-Spread Calculation - • 10yr 6% [Annual] Bond at 92 Cash Price......Page 42 Price Adjusted Z-Spread......Page 43 Chart 53: Using Bloomberg ASW Function to Value Asset Swaps and Z-Spreads......Page 44 Chart 56: CORUS Risky vs. Risk-free Discount Factor......Page 45 Table 17: Discounting CORUS 7 1⁄2 2011 Cashflows Using CDS Survival Curve......Page 46 Market Flows That Drive The Basis......Page 47 Chart 60: Fiat Default Swap Widened Sharply Following its Exchangeable Issue in 2001......Page 48 Chart 64: Commerzbank CDS Basis [Senior]......Page 49 Structural Basis Drivers......Page 50 Chart 67: Z-Spread to Call vs. CDS Premiums [ISYSLN]......Page 52 Chart 70: Using Equity Volatility & Basis for Relative Value in Cash vs Default Markets......Page 53 Chart 71: CDS Structural Roadmap......Page 54 Reference Entity......Page 55 Chart 72: Non-Sovereign Successor Summary Decision Tree......Page 56 Credit Events......Page 57 Obligations......Page 58 Protection Period......Page 59 Deliverable Obligations......Page 60 Table 20: Deliverable Obligation Characteristics and Usage......Page 61 Treatment of Guarantees......Page 62 Table 21: Summary of Restructuring Alternatives......Page 63 Chart 74: Restructuring Credit Event Options......Page 64 Chart 75: Summary of Restructuring Maturity Limitation Date under mod-R......Page 65 Case Studies: CDS and Acquisitions......Page 67 Chart 76: Acquisition Structure Favoring Protection Seller......Page 68 CDS Physical Settlement......Page 69 Table 24: Regional Settlement Convention Summary......Page 71 Chart 78: Summary of CDS Settlement Timeline......Page 72 Chart 79: The Major Global CDS Indices......Page 73 Table 26: iTraxx Indices [Europe, Asia and Australia]......Page 74 Chart 82: CDX.NA.IG.5 Entities by S&P Rating......Page 75 Table 27: Fixed Coupons......Page 76 Chart 86: CDX.NA.XO.5 vs. ML XOVR Sectors Representation......Page 77 Chart 88: CDX.NA.HY.5 Entities by S&P Rating......Page 78 European Indices......Page 79 Chart 92: Ratings Breakdown......Page 80 Chart 94: iTraxx Crossover Index Members by Market Segment......Page 81 Chart 96: iTraxx Crossover Country Breakdown......Page 82 Pricing Convention......Page 83 Table 31: CDX.NA.HY.5 Bid/Offer......Page 84 Fair Value and the Index Skew......Page 85 Chart 104: On-the-Run CDX HY Quotes [Series 4 & 5] With and Without DPH......Page 86 Chart 106: fiCheap Shortfl - WOLKLU 7Y CDS......Page 88 Table 33: Selected Model-Implied Credit Shorts [Protection Buying Attractive] - CDS Tighter than Fair Value Estimates......Page 89 Chart 110: Structure of a Typical CLN......Page 90 Curve Trades......Page 92 Chart 112: iTraxx Crossover Index 10-Year Curve Ratio......Page 93 Chart 113: Illustrative 3-Month P&L Profile of Position......Page 94 Chart 114: Kink vs Butterfly Carry [bps]......Page 95 Chart 115: FIAT Basis Trend November 2001 to June 2002......Page 96 Table 36: Illustration of P&L for a FIAT Flat Basis Trade......Page 97 Table 37: Loss Given Default for Bonds Relative to CDS......Page 99 Protected Bond Packages......Page 100 Chart 117: 1:1 Hedge......Page 101 Sub-Versus-Senior CDS Strategies......Page 102 Chart 123:Sub-Senior Spread Ratios [5Y] for iTraxx Financials Index [Banks & Insuers]......Page 103 Chart 124: Convertible Price vs Parity......Page 104 Table 40: Example Convertible Bond Hedge......Page 105 Debt-Equity Trades......Page 106 Chart 125: Illustrative Profit & Loss Diagram of a Theoretical Wings Trade......Page 107 Table 41: Illustrative Inputs for Wings Trade for Company XYZ......Page 108 Chart 127: 5-Year CDX.NA.IG and 1-Year S&P 500 ATM Implied Volatility [Weekly Data from Sep 7, 01 through Jan 4, 06]......Page 109 Chart 130: Average Stock Prices of S&P 500 Companies near Default [As of Jan 4, 06]......Page 110 Chart 131: Short CDS / Long Equity Put Candidates; per $100 credit notional; Select Cases as of Jan 9, 06......Page 111 Protection Buyer......Page 112 CLN Structure Reduces Counterparty Risk......Page 113 Risk Reduction by Collateralisation......Page 114 Who Are The Counterparties?......Page 115 Novation & Systemic Risks......Page 116