n******n
发帖数: 12088 | 1 【 以下文字转载自 Stock 讨论区 】
发信人: newgumin (新股民), 信区: Stock
标 题: 关于CDS的一篇文章
发信站: BBS 未名空间站 (Fri Jun 12 02:05:45 2009, 美东)
How to lose on a sure-fire bet
http://www.econbrowser.com/archives/2009/06/how_to_lose_on.html
大意是说，一个实战案例中，CDS的总价值超过了债券本身，卖CDS的小公司赚了一笔，
买CDS的大公司们反而赔了。
不过没太看懂为啥卖CDS的得利。谁给说说？ |
S**C
发帖数: 2964 | 2 The junk bond worth say 1M, the premium of CDS against its default, say,
cost 2M in this case. Then CDS seller can pocket 1M if it keeps the junk
bond out of default.
【在 n******n 的大作中提到】
: 【 以下文字转载自 Stock 讨论区 】
: 发信人: newgumin (新股民), 信区: Stock
: 标 题: 关于CDS的一篇文章
: 发信站: BBS 未名空间站 (Fri Jun 12 02:05:45 2009, 美东)
: How to lose on a sure-fire bet
: http://www.econbrowser.com/archives/2009/06/how_to_lose_on.html
: 大意是说，一个实战案例中，CDS的总价值超过了债券本身，卖CDS的小公司赚了一笔，
: 买CDS的大公司们反而赔了。
: 不过没太看懂为啥卖CDS的得利。谁给说说？
|
n******n
发帖数: 12088 | 3 买保险的人是傻瓜吗？债券面值1M，却要交2M的保险？
【在 S**C 的大作中提到】
: The junk bond worth say 1M, the premium of CDS against its default, say,
: cost 2M in this case. Then CDS seller can pocket 1M if it keeps the junk
: bond out of default.
|
t***s
发帖数: 4666 | 4 it seems it's you who are dumb. there can be many CDS contracts
on 1 bond, purchased by many ppl, collectively paied $2M premium.
the issuer uses $1M to keep the bond current and pocket the
remaining $1M.
【在 n******n 的大作中提到】
: 买保险的人是傻瓜吗？债券面值1M，却要交2M的保险？
|
f*****0
发帖数: 489 | 5
the wsj article is a far better read. sounds like a bunch of dumbasses
didn't pay attention to the basis risks here (that the financial
delinquencies, on which the CDS was u/w, may not follow the actual
delinquency on the mortgage pool, on which the CDS buyers calculated their
bets).
In general, this strategy will work if you had unlimited liquidity so you
can buy out large pools of mortgages - a strategy fannie / freddie are
formed on.
【在 n******n 的大作中提到】
: 买保险的人是傻瓜吗？债券面值1M，却要交2M的保险？
|
n******n
发帖数: 12088 | 6 Dumb would say "there can be many CDS contracts on 1 bond, purchased by many ppl, collectively paied $2M premium", while fail to explain how can, which is indeed the original question. Dumb should improve his reading. :)
【在 t***s 的大作中提到】
: it seems it's you who are dumb. there can be many CDS contracts
: on 1 bond, purchased by many ppl, collectively paied $2M premium.
: the issuer uses $1M to keep the bond current and pocket the
: remaining $1M.
|
t***s
发帖数: 4666 | 7 how what? how the dumb can be so dumb? or how the dumb can become dumber?
many ppl, collectively paied $2M premium", while fail to explain how can,
which is indeed the original question. Dumb should improve his reading. :)
【在 n******n 的大作中提到】
: Dumb would say "there can be many CDS contracts on 1 bond, purchased by many ppl, collectively paied $2M premium", while fail to explain how can, which is indeed the original question. Dumb should improve his reading. :)
|
p*********e
发帖数: 32207 | 8 the CDS here is just a media for gambling, sort of speak. The purpose
is no longer hedge, but speculate.
As long as two companys have different evaluations on the default risk
there can be a CDS contract between the two. Owning the bond itself
is even not a requirement for the buyer.
【在 n******n 的大作中提到】
: 买保险的人是傻瓜吗？债券面值1M，却要交2M的保险？
|
p*********e
发帖数: 32207 | 9 Thanks for sharing.
so it's like you bet with Jack "Anthoney the poor has 100usd in his pocket"
for 200usd, and you pay Anthoney at most 100usd to secure an 100usd or more
in gain?
【在 f*****0 的大作中提到】
:
: the wsj article is a far better read. sounds like a bunch of dumbasses
: didn't pay attention to the basis risks here (that the financial
: delinquencies, on which the CDS was u/w, may not follow the actual
: delinquency on the mortgage pool, on which the CDS buyers calculated their
: bets).
: In general, this strategy will work if you had unlimited liquidity so you
: can buy out large pools of mortgages - a strategy fannie / freddie are
: formed on.
|
i******l
发帖数: 828 | 10 跟max pain 原理一致， 只要控盘就可以玩别人， 而且，open interest 是暗的，只
有有大仓位的人知道个大概，一般小户不知道。
【在 n******n 的大作中提到】
: 买保险的人是傻瓜吗？债券面值1M，却要交2M的保险？
|
|
|
t***s
发帖数: 4666 | 11
this is the key. that's why it's important to have an open market for
this kind of things.
【在 i******l 的大作中提到】
: 跟max pain 原理一致， 只要控盘就可以玩别人， 而且，open interest 是暗的，只
: 有有大仓位的人知道个大概，一般小户不知道。
|
t***s
发帖数: 4666 | 12 and the dumbasses are crying foul. what a joke.
【在 f*****0 的大作中提到】
:
: the wsj article is a far better read. sounds like a bunch of dumbasses
: didn't pay attention to the basis risks here (that the financial
: delinquencies, on which the CDS was u/w, may not follow the actual
: delinquency on the mortgage pool, on which the CDS buyers calculated their
: bets).
: In general, this strategy will work if you had unlimited liquidity so you
: can buy out large pools of mortgages - a strategy fannie / freddie are
: formed on.
|
n******n
发帖数: 12088 | 13 Yeah, you should think about those questions yourself. But I doubt you can
figure out.
【在 t***s 的大作中提到】
: how what? how the dumb can be so dumb? or how the dumb can become dumber?
:
: many ppl, collectively paied $2M premium", while fail to explain how can,
: which is indeed the original question. Dumb should improve his reading. :)
|
f*****0
发帖数: 489 | 14
pocket"
more
yes. most of the bets are on large pools of assets - in hundreds of
millions of dollars and involving hundreds of mortgages, which is
practically impossible for a typical bank to corner (aka buying out,
from a monetary or operational point of view). and those who bought the
CDS may have also used the pool and the CDS associated with it as a
reference in hedging their investments somewhere else.
Because this is such a depressed mkt for subprime mortgage securities,
people thought th
【在 p*********e 的大作中提到】
: Thanks for sharing.
: so it's like you bet with Jack "Anthoney the poor has 100usd in his pocket"
: for 200usd, and you pay Anthoney at most 100usd to secure an 100usd or more
: in gain?
|
n******n
发帖数: 12088 | 15 Very nice post.
【在 f*****0 的大作中提到】
:
: pocket"
: more
: yes. most of the bets are on large pools of assets - in hundreds of
: millions of dollars and involving hundreds of mortgages, which is
: practically impossible for a typical bank to corner (aka buying out,
: from a monetary or operational point of view). and those who bought the
: CDS may have also used the pool and the CDS associated with it as a
: reference in hedging their investments somewhere else.
: Because this is such a depressed mkt for subprime mortgage securities,
|
z*****a
发帖数: 3809 | 16 The loan servicer on the actual mortgages has the option for a cleanup call
when the mortgages remaining in the pool fall below 10% of the original
pool. In this case, the CDS seller somehow got the loan servicer to
exercise the cleanup call option and pay off the bonds. There's nothing the
mortgage borrowers and bond holders could have done to prevent the loan
servicer from exercising this option.
The risk for the CDS seller is in getting the loan servicer to exercise the
cleanup call option
【在 f*****0 的大作中提到】
:
: pocket"
: more
: yes. most of the bets are on large pools of assets - in hundreds of
: millions of dollars and involving hundreds of mortgages, which is
: practically impossible for a typical bank to corner (aka buying out,
: from a monetary or operational point of view). and those who bought the
: CDS may have also used the pool and the CDS associated with it as a
: reference in hedging their investments somewhere else.
: Because this is such a depressed mkt for subprime mortgage securities,
|
