大家论坛

 找回密码
 注册
查看: 1211|回复: 7

[经济学人] [2008.04.26]Buttonwood: Swap shop 互换市场

[复制链接]

255

主题

8282

帖子

3万

金币

大家网博士后

Rank: 22Rank: 22Rank: 22Rank: 22

积分
20573
发表于 2010-4-29 01:01 | 显示全部楼层 |阅读模式
Buttonwood金融市场
Swap shop 互换市场
Apr 24th 2008
From The Economist print edition

Why one part of the credit markets just keeps on growing
信贷市场有一部分得以不断保持增长,原因何在?

NOT all credit products are created equal. The credit-default swap (CDS) market is going from strength to strength, with outstanding volumes rising from an already staggering $34.4 trillion at the end of 2006 to $62.2 trillion at the end of last year. In contrast, issuance of collateralised-debt obligations (CDOs) has fallen dramatically. It was a paltry $11.7 billion in the first quarter, down from a record $186.5 billion in the same period the year before.
信用产品并非生而平等,其中信用违约互换(credit-default swap,CDS)市场当属强者恒强型。去年末,未执行信用互换合约市值在2006年34.4万亿美元之巨的基础上更上一层楼,达到62.2万亿美元。相比之下,抵押债权凭证(collateralised-debt obligation,CDO)发行量大幅缩水,今年一季度只有区区117亿美元,与去年同期的1865亿美元相去甚远。

At first blush, this might seem surprising. After all, during the boom years for CDOs, the two products were closely intertwined. Traditional CDOs bundled bonds into portfolios and then split those portfolios into tranches, depending on investors' appetite for risk. Some investors wanted a higher return but were willing to take the first hit from bond defaults; other investors were more concerned about the safety of their capital and were willing to accept a lower retur.
乍一看,这似乎有点令人吃惊,毕竟在CDO的繁荣时期,两者不相上下。传统的CDO将债券打包成投资组合,再根据投资者的风险偏好程度分割成若干份(tranche)。有的投资者追求高回报并愿意首当债券违约之冲;其他人则更看重资本的安全性并愿意接受较低的回报。

The idea was so popular that there were not nearly enough corporate bonds to go round. So managers created so-called “synthetic” CDOs, in which the portfolios consisted of credit-default swaps. In a CDS, one party agrees to insure the other in the event of a bond default, in return for a fee (the equivalent of an insurance premium). So in a synthetic CDO, those who owned the riskiest tranches got more of the premium but lost out when defaults occurred.
人们都认为市场上的公司债券总是供给不足的,于是创造了一种所谓“合成”(synthetic)CDO,其中的投资组合由CDS组成。在CDS中,一方向另一方提供债券违约保险,代价是收取一笔费用(相当于保费)。因此,在一整份合成CDO中,风险最高的部分收费最高,但在违约发生时就变成一张废纸。

There is, in theory, no limit on the amount of default swaps that can be created. So when managers wanted to sell a synthetic CDO, they simply created some more CDSs. Now that the CDO market is in the deep freeze, thanks to all those subprime-related losses, that source of demand has dried up.
从理论上讲,人们可以随心所欲地创造任何数量的违约互换。因此,欲出售新的合成CDO,只需创造更多的CDS即可。现在,由于CDO市场因所有那些次级贷款相关损失惨淡经营,CDS的这一需求之源已经枯竭。

But there have been plenty of other buyers. After all, it is only natural that, with the likelihood of bond defaults increasing, more investors should want to buy insurance against such events.
但自有其他买家对CDS趋之若鹜。毕竟,随着债券违约可能性上升,自然有更多的投资者购买违约保险。

More importantly, however, the CDS has become the product of choice for those investing in credit as an asset class. Five to ten years ago, the corporate-bond market was a lot less active; there was little trading in the bonds themselves, which were often locked up in the portfolios of pension funds and insurance companies.
然而,更重要的原因是,对那些将信用产品投资作为自己的一个资产类别的投资者来说,CDS已经成为不二之选。倒退五到十年,公司债券市场远不如现在那么活跃,原始债券交易清淡,都锁定在了养老基金和保险公司的投资组合之中。

The invention of the CDS increased the liquidity of the market and, crucially, allowed investors to take a “short” position on bonds. Traditionally, you would buy a corporate bond at, say, 95 cents on the dollar. The best you could hope for was that interest would continued to be paid and that the bond would be repaid at par; at worst, the issuer could default and you could conceivably be left with nothing.
CDS的发明不但增加了公司债市场的流动性,更重要的是,它让投资者能够建立债券的“空头”头寸(short position)。在传统情形中,你只能以一定的折价率(比如5%)买入公司债券,然后,最好的情形无非是按时收到利息,最后债券以面值得到偿付。最坏的情形则是债券的发行者违约,让你完完全全一无所获。

Now investors who believe that credit conditions will deteriorate for a particular company can buy a CDS on the bond, whether or not they own it. The value of such an insurance contract will rise if default becomes more likely. The creation of index contracts on the market allows you to bet whether all corporate bonds (or, indeed, different segments of the market such as investment grade and junk bonds) will rise or fall in value.
现在,如果投资者认为某公司的信用状况会恶化,他可以买入该公司债券的CDS,不论是否持有该公司债券。只要债券的违约可能性增加,这一保险合约的价值就会上升。公司债市场指数合约的发明则让你能够在所有公司债券(或者某一市场类分,如投资级债券和垃圾债券)价值的上升或下降中获利。

As a result, the CDS is such a useful instrument for hedge funds and the trading desks of investment banks that it seems inconceivable it will go away. Just as the future on the S&P 500 index is a key part of the equity market, the CDS is central to non-government debt.
于是,CDS成了对冲基金和投资银行交易部门非常有用的投资工具,根本无法想象没有CDS的情形会是如何。正如S&P 500指数期货是股票市场的关键部分,CDS堪称非政府债券之核心。

But could it be the Achilles heel of the financial markets? One clear problem is counterparty risk; insurance is worth nothing if the insurer cannot pay up. The involvement of Bear Stearns in the credit-derivatives market was one reason why there was a public interest in the firm's rescue; a default might have caused chaos as other counterparties struggled to calculate their risk exposure.
然而,CDS是否会是金融市场的阿珂琉斯之踵?一个显而易见的问题是对手方风险:如若保险人无力赔付,保险还有何用?挽救贝司登(Bear Stearns)之所以符合公众利益,就是因为其在信用衍生品市场中有着错综复杂的关联(involvement),一旦违约,其他对手方就要手忙脚乱地计算自己的风险暴露,从而引发一片混乱。

Another problem could emerge if a sudden surge in defaults was accompanied by a further widening in spreads. The market might become illiquid if those that had in effect sold insurance tried to exit their positions.
如果大量违约突然出现,并且随后利差(spreads)进一步扩大,就可能出现另一个问题。一旦事实上出售了违约保险的对手方试图平仓甚至一走了之,市场可能会失去流动性。

Market insiders are confident the CDS sector can stand up to the strain. Ashish Shah of Lehman Brothers says that the CDS market showed itself robust in the face of the Enron and WorldCom defaults in 2001 and 2002, and of other bankruptcies since then.
市场内部人士相信CDS部门能够应对这一情形。莱曼兄弟(Lehman Brothers)的Ashish Shah说,CDS市场成功度过了2001年的安然(Enron)危机、2002年的WorldCom危机、以及之后的一系列破产危机,显示了强大的生命力。

However, many market participants were equally reassuring about the health of the CDO market in early 2007—and look how that turned out. Independent observers will not be really reassured until the system survives the test of a big, juicy default. Given the weakness of the American economy and the scale of the credit crunch, it probably will not be long before that test comes along.
然而,在2007年早些时候,许多市场参与者也对CDO市场的健康状况信誓旦旦,其结局早已有目共睹。独立观察者总是对此持怀疑态度,直到CDS系统能够经受一次鲜血淋淋的大危机的考验。眼下美国经济疲软,信贷动荡来势汹汹,考验或许就在眼前。
回复

使用道具 举报

205

主题

8108

帖子

3万

金币

大家网博士后

Rank: 22Rank: 22Rank: 22Rank: 22

积分
20178
发表于 2010-4-29 01:06 | 显示全部楼层
标题本意是 物物相易的商店,这里好像有那么点双关的意思,想不出好的译法:Q
回复 支持 反对

使用道具 举报

253

主题

8256

帖子

3万

金币

大家网博士后

Rank: 22Rank: 22Rank: 22Rank: 22

积分
20424
发表于 2010-4-29 01:11 | 显示全部楼层
学习了。
一个小地方。
Independent observers will not be really reassured until the system survives the test of a big, juicy default.
独立观察者总是对此持怀疑态度,直到CDS系统能够经受一次鲜血淋淋的大危机的考验。
-----------------------------------------------------------------------
这里的juicy 应该是指有利可图的。
试译:
只有CDS系统经受住以获取暴利为目的的大规模违约的考验,独立观者才会打消其疑虑。
回复 支持 反对

使用道具 举报

225

主题

8329

帖子

3万

金币

大家网博士后

Rank: 22Rank: 22Rank: 22Rank: 22

积分
20733
发表于 2010-4-29 01:16 | 显示全部楼层
"CDS堪称非政府债券之核心"

谁能多介绍一下CDS?谢谢。
回复 支持 反对

使用道具 举报

204

主题

8228

帖子

3万

金币

大家网博士后

Rank: 22Rank: 22Rank: 22Rank: 22

积分
20477
发表于 2010-4-29 01:21 | 显示全部楼层
"CDS堪称非政府债券之核心"

谁能多介绍一下CDS?谢谢。

这句话的意思是说:
对于政府债券没有什么CDS可言,因为政府债券不会default,也就不存在看多还是看空bond的价值(据我所知,corporate bond在default是的market value是随股票价格的,而没有default时就是par value).
回复 支持 反对

使用道具 举报

244

主题

7998

帖子

3万

金币

大家网博士生

Rank: 21Rank: 21Rank: 21

积分
19904
发表于 2010-4-29 01:26 | 显示全部楼层
谢谢

还是不太明白
Just as the future on the S&P 500 index is a key part of the equity market, the CDS is central to non-government debt. "正如S&P 500指数期货是股票市场的关键部分,CDS堪称非政府债券之核心"。
回复 支持 反对

使用道具 举报

202

主题

8198

帖子

3万

金币

大家网博士后

Rank: 22Rank: 22Rank: 22Rank: 22

积分
20107
发表于 2010-4-29 01:31 | 显示全部楼层
如果你不太了解swap的话,CDS本质上可以看作对“与你作交易的人的信用度的保险”,这里的交易主要以购买bond为主。你与A作交易,你从A那里买了他发的bond,于是你的credit risk就是A会default,你希望要一个保险一旦A default了,你可以拿到保险金,当然你要付钱买这个保险,swap的最大特点就是”分期付款“而不是像forward那样一股脑儿付完。现在一个第三方B觉得A也许不太会default,于是同意卖你这份保险。你按swap协议付给B钱,直到A出现default为止(或者bond到期为止),一旦A如你所料default了,B就赔你bond par - bond market value。 (这个时候bond的market value 不会一下子跌倒0,因为bond default了也就基本上等于公司破产了,那时所有的shareholder就什么都没有了,而公司剩下有资产,bondholder就按比例分多少,所以这个时候持有该bond还是有一定价值的)。然后在这个时候你和B就在A会不会default上形成了opposite position,你看空,B看多。事实上不光是你一个人买A的bond, 所以也不止这一副swap,结果就形成一个A bond的CDS market,在多空角力下有了比较平衡客观的market value,而这个market value可以用来做A的credit risk的很好的风向标。
对于S&P500 futures来说,也是这个道理。有人看涨,有人看跌,然后赌局开张,因为有许许多多对多空在角力,于是形成的futures价格也因此客观反映了S&P500 index的涨跌趋势。
回复 支持 反对

使用道具 举报

206

主题

8342

帖子

3万

金币

大家网博士后

Rank: 22Rank: 22Rank: 22Rank: 22

积分
20688
发表于 2010-4-29 01:36 | 显示全部楼层
谢谢easttiger
回复 支持 反对

使用道具 举报

您需要登录后才可以回帖 登录 | 注册

本版积分规则



诚聘英才|移动端|Archiver|版权声明|大家论坛 ( 京ICP备06071611号,京公网安备11010802018363号 )

GMT+8, 2019-11-16 05:39 , Processed in 0.164041 second(s), 7 queries , Redis On.

Powered by Discuz!

© Comsenz Inc.

快速回复 返回顶部 返回列表