CREDIT DERIVATIVES – A HIGHLY DYNAMIC MARKET信用衍生品–高度动态的市场.pptVIP

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2018-04-12 发布于江西
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CREDIT DERIVATIVES – A HIGHLY DYNAMIC MARKET信用衍生品–高度动态的市场.ppt

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CREDIT DERIVATIVES – A HIGHLY DYNAMIC MARKET信用衍生品–高度动态的市场.ppt

A Rating Agency PerspectiveMarc Daly Nik Khakee CREDIT DERIVATIVES – A HIGHLY DYNAMIC MARKET INSTITUTION Bank Convertible Bond Buyer Fund Manager Financial Insurer Corporation Capital Structure Arbitrageur RATIONALE Regulatory, Relationship Low Volatility Equity Option Specialization, Yield enhancement Actuarial Relationship, Line Creation Monetize Inefficiency CREDIT DERIVATIVES MARKET PARTICIPANTS MARKET PARTICIPANTS AND END USERS CREDIT DERIVATIVES - RATIONALE Rationale Based on Customization, Transformation and Active Management of Credit Exposure Broad Spectrum of Motivations for Using Credit Derivatives Isolating Credit Risk from Composite risks – Interest Rate, Currency, Equity On-balance-sheet versus Off-balance-sheet Applications Credit Risk Management on Single Credit and/or Portfolio Basis Regulatory Capital management Yield Enhancement Market Access Confidentiality CREDIT DERIVATIVES CORE CLIENTS - BANKS Credit derivatives enable bank loan portfolio managers to hedge credit risk on a confidential basis and address traditional obligor concentrations. Credit derivatives can be used by bank loan portfolio managers to create synthetic syndicated lending opportunities. Proposed changes in BIS regulatory capital requirements will accelerate drive toward credit risk management based on underlying credit quality. BANK LOAN PORTFOLIO HEDGING Ability to hedge anonymously while continuing to reap benefits of borrower relationship by remaining the lender of record. Regulatory capital relief. Economic hedging (valuing credit deterioration vs. Default) Hedging out of concentrations, freeing credit lines. Evaluation risk exposure vs. benefits of relationship across business lines. Hedging revolver exposures through synthetic term loans. ISDA CREDIT EVENTS Bankruptcy Obligation Acceleration Obligation Default Failure to pay Repudiation/Moratorium Restructuring SP’s Analysis: A Credit Risk Assessment Credit event definitions which mirror the events we have captu