CorporateBondProductsandDerivatives(英文版的教程).pptx

CorporateBondProductsandDerivatives(英文版的教程) ContentsIntroductionThe Building BlocksAnatomy of a BondAsset SwapsDefault SwapsTotal Return SwapsCredit Linked NotesRepackaging2 Introduction What Are Credit Derivatives?Credit derivative returns are tied to the performance of a credit risk related measure. These include:default by a counterpartycredit spreads related to a reference assetLike other derivatives, credit derivatives allow for the isolation and transfer of a particular type of risk - in this case, credit riskThe basic products in the credit derivative market are:Asset SwapsCredit Default SwapsTotal Return SwapsBy combining these with technologies like repackaging and securitization, tailor made products and risk management solutions are possible Credit Derivatives - New and Not NewAlthough credit derivatives traded under ISDA documentation are relatively new, similar products have existed in the commercial banking world for decades: Market ParticipantsBanks are the largest buyers and sellers of credit protection, accounting for over 50% of market volumeInsurance companies are expected to become more active in order to improve returns on capitalMutual funds and corporations are beginning to view credit derivatives as hedging instruments and/or attractive investment alternatives, particularly in high yield and emerging markets Why Use Credit Derivative Products?Creating AccessTailor credit, maturity, duration, currency and convexity exposures Provide greater yield than available “cash” alternativesLimit or reduce credit or default exposures (i.e., buy protection)Provide leverage (if desired)Diversify simply into new asset classesCreate insurance products through Credit Default SwapsHedge Portfolios of Credits Building Blocks Building BlocksAnatomy of a BondAsset SwapsCross Currency Asset SwapsCredit Default SwapsTotal Return Swaps Building BlocksAnatomy of a Bond Components of a Bond Yield* Expropriation / Confiscation* Convertibility / Transfer* Business R