解释互换合约中信用风险和市场风险的差别「可转债 合格投资者」

by Carlo Putti

Financial markets are generally considered to be efficient, particularly in the long run. However, in the short term inefficiencies might emerge, especially in times of severe market stress conditions such as the one we are currently experiencing. This can give active investors an opportunity to take advantage of these dislocations until the market corrects itself.

金融市场通常被认为是具有效率的，尤其是从长期来看。但是短期内有可能会出现市场缺乏效率的现象，尤其是在当前这种每一个人都亲身经历的市场紧张时期，主动型投资者可利用当前市场报价出现错位的机会获利，直到市场自我调节机制发挥作用。

Today amongst various dislocations observable in financial markets, one which is worth highlighting is the so called “CDS basis”. The CDS basis is simply the difference between the spread an investor receives when owning a physical corporate bond, and the Credit Default Swap (CDS) of the same bond. In relatively stable market conditions, the CDS instrument and the spread received by investors should be very similar as they both reflect market perception of the credit risk. However sometimes they can differ and this generates the CDS basis. The basis is defined as negative when the CDS trades tighter than the physical bond spread for the same maturity. When the basis is negative investors could earn near riskless return by buying a physical bond and writing protection on that same bond using a CDS with equal maturity.

当前在金融市场上各类清晰可见的定价紊乱现象中，其中值得一提的是所谓的“信用违约互换的基差”。信用违约互换的基差其实就是公司债现券的信用利差和该公司债的信用违约互换报价之间的点差。在市场状况相对稳定的情况下，信用违约互换的报价以及投资者收到的信用利差应该非常接近，因为这两个报价均体现了市场对该只公司债的违约风险的预期。但有时这两个报价会不一致，就会产生信用违约互换的基差。信用违约互换的基差如果是负的，说明信用违约互换的水平低于同期限现券的信用利差。在这种情况下，投资者可以先买入一只公司债的现券，然后再卖出以该券为标的的信用违约互换，信用违约互换的期限与现券的未偿期限一致，这样就能获得近乎零风险的套利收益。

Many factors can contribute to drive these differences, but the most important ones are liquidity and demand/supply dynamics. Especially at time of market stress, these two factors can have an higher impact on leading the CDS basis to extreme territories. This is exactly what is happening today: due to the coronavirus crisis, liquidity in the market has deteriorated and this is reflected mainly in physical bonds as opposed to CDS indices which are usually far more liquid. In addition, the exceptionally large primary market activity (see latest blog written by Wolfgang) has further penalised physical markets which had to absorb this exceptionally large supply.

有很多因素会影响这些报价之间的差异，但最重要的因素是市场的流动性以及供求关系的变化。尤其是在市场紧张时期，这两个因素会导致信用违约互换的基差水平达到极端程度。当前正是如此：由于新冠疫情的爆发，市场流动性出现恶化，这一点主要体现在现券的交易上，而不是信用违约互换指数的交易上，因信用违约互换指数的交易通常更活跃一些。此外，公司债一级市场发行近期变得尤为活跃给现券市场带来更多的价格调整压力，因二级市场只能被动地消化掉这些新发行的公司债。

The result is that the CDS basis today is extremely negative: as you can see from the chart below, the spread you can earn from owning a physical bond has increased significantly more than the credit risk priced in the CDS market. With primary market activity now slowing down and liquidity gradually coming back towards more normal levels, this dislocation should continue to close down. Furthermore central banks’ Quantitative Easing programmes should contribute reducing the gap even more as they are buying physical bonds and not CDS instruments.

结果就是当前信用违约互换的基差水平进入极端的负值区域：如下图所示，公司债现券的信用利差（下图中橙线为欧元区投资级公司债指数的信用利差）明显高于信用违约互换市场的报价水平（下图中蓝线为欧元区投资级公司债的信用违约互换指数）。随着一级市场发行活动开始降温以及市场流动性逐渐恢复正常水平，这两个报价之间的错位程度将持续收窄。此外，各家央行实施的量化宽松应会进一步缩减信用违约互换的点差，因央行买入的是公司债的现券而不是信用违约互换。

Investors could take advantage of this dislocation by buying physical corporate bonds and writing protection on CDS indices with similar maturity. Also, for investors which already own physical corporate bonds but want to reduce their credit risk in light of the recent rally in spreads, it could be more efficient to do so using CDS indices as opposed to sell physical corporate bonds.

投资者先买入公司债现券然后卖出期限相仿的信用违约互换指数的操作就有可能利用信用违约互换基差的异常获利。此外，对于已持有公司债现券但因信用利差的水平近期大幅上升而希望对冲持仓信用风险的投资者来讲，更有效的做法应该是买入信用违约互换指数而不是卖掉所持仓的公司债。

要点：

1 ：买入现券会令债券的收益率走低，而信用违约互换的点差之所以进入极端的负值区域即信用违约互换的水平低于同期限现券的信用利差，很大一个原因是现券市场流动性因疫情影响变差，所以央行购买信用债会降低信用违约互换的点差跌入负值区域的幅度

2：通常一只公司债有对应的信用违约互换的报价，而信用违约互换指数覆盖的是一揽子公司债的信用违约互换的报价。

3：持有公司债会给投资者带来信用风险。而信用违约互换很像是一个保险。当信用违约事件发生即投资者持仓的公司债发生违约的情况下，预先买入信用违约互换的投资者有权向信用违约互换的卖方要求赔偿公司债的购买价和最新市值之间的差价。因此理论上，买一只公司债 买入与该公司债期限相同的信用违约互换=本息安全。作为交换，信用违约互换的买方需要定期向卖方支付“保险金”，为了确保信用违约互换的卖方有能力“履约”，因为有的卖方是出于投机目的卖出信用违约互换，自身实力可能并不强。在此情况下，买方有可能需要卖方质押一笔高安全性的债券，比如美国国债。

4：公司债信用违约的风险并没有因为信用违约互换交易的完成而消失，而只是从信用违约互换的买方转移到了信用违约互换的卖方。

5：如果信用违约互换的卖方是出于投机目的卖出信用违约互换，说明卖方认为该公司债违约的概率极小，因此在信用违约互换交易到期前不会发生违约，因此可以 稳赚卖出信用违约互换的收益，相当于卖了一份保险而没有被索赔。而信用违约互换的买方通常是持仓了一支公司债并担心发行人违约的投资者或者认为该券违约的概率会上升，因此在信用违约互换的报价相当较低的时候抄底，等发行人真正违约的时候找卖方索赔，这样就可以大赚一笔。

6：投资者在不持有某一只公司债的情况下，如果卖出以该公司债为标的的信用违约互换，所承担的信用风险和直接买入公司债是相同的，也就是从信用风险的角度讲，买一只公司债=卖出与该公司债期限相同的信用违约互换。因此从理论上讲，一只公司债的信用利差=以该公司债为标的的信用违约互换的报价，但在实际操作中，这两者之间的报价经常会由于某些因素而出现比较明显的差异。本文探讨的就是公司债的信用利差水平高于同期限的信用违约互换的情况。