corporatebondproductsandderivatives(英文版)-全文預(yù)覽
【正文】 porateBankingand InvestmentTotal Return Swapn Settlement can be handled in several wayslfinal marktomarketlphysical delivery at maturity where the total return receiver pays the previous marktomarket price of the asset or portfolio in exchange for the actual securitiesn Pricing depends upon a number of factorslfundinglbalance sheet constraintslcredit both the riskiness of the asset as well as that of the counterparties are considered. Several methods can be employed to mitigate the risk of the transaction, including initial and variation collateral, and daily marktomarketCorporateBankingand InvestmentBuilding BlocksCredit Linked NotesCorporateBankingand InvestmentCredit Linked Noten Notes that have an embedded credit derivative which is tailored to satisfy investor requirements including maturity, currency, coupon, reference entity (credit), principal exposure, and issuer creditn The credit linked note consists of:la coupon payout equal to the coupon from the issuer’s note plus the fee from selling the default swap on the reference entitylthe repayment of the principal of the note is linked to the credit risk of the reference entity. If a credit event occurs, the notes will accelerate and there will be a credit event settlement. Thus investors have credit exposure to both the reference entity and the issuerCorporateBankingand InvestmentInvestor purchases a credit linked noteBNPIssuer fundingCLN coupon and principal subject to Credit EventIssuerInvestorCLN coupon and principal subject to Credit EventIssue PriceCredit Linked Note31CorporateBankingand InvestmentCredit Linked Noten Notes can be structured as Medium Term Notes n Amount of principal redemption is linked to the recovery value of the Reference Obligations. In the event of default, principal redemption may be cash or physical delivery of the Reference Obligationsn In the case of no default, investors continue to have exposure to the issuer of the Medium Term Notes or the underlying collateral of the trustn Notes can also be structured to provide 0 to 100% principal protectionCorporateBankingand InvestmentCredit Linked Note Risksn Credit Event Risk by Reference EntitylMay or may not be different from risks inherent in buying a bond or loan issued by the Reference Entity documentation specificn Issuer performance risklCLN yield = Issuer yield + default swap spread issuance costslLower the rating of the Issuer, greater the risk of Issuer defaultlLower the rating of the Issuer, greater the spread volatility on the Issuer spread ? greater MTM volatility on the CLN33CorporateBankingand InvestmentBuilding BlocksRepackagingCorporateBankingand InvestmentRepackagingn Tailor made product delivered in a desired formlBonds / NoteslLoanslTrust Instrumentsn Three elements:lSpecial Purpose Vehicle (SPV) as the IssuerlUnderlying Collateral for the SPV InstrumentlOTC Derivative Contract between SPV and BNP35CorporateBankingand Investment
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