CDS & CDO

1. Tng quan khai nim v CDS:

Cng cu chung khoan phai sinh CDS (Credit DeIault Swap) con duoc goi la Hop dng
hoan di rui ro tin dung, hoc Hop dng hoan di rui ro v no tin dung. Ban cht cua CDS la
mt loai chung khoan phai sinh nhm bao him cho mt khoan vay.
Khi tham gia vao CDS, nguoi mua CDS tra cho nguoi ban mt khoan phi (goi la CDS
spread) d duoc bao him cho rui ro v no tin dung xay ra khi mt bn thu ba roi vao truong
hop v no. Phi CDS thuong co quan h cht ch voi vic xp hang tin nhim cua bn di vay;
va duoc tinh theo dim co ban (ty l ) hang nm trn mi don vi mnh gia cua hop dng.
Tuy ban cht ging nhu mt hop dng bao him, song cach thuc CDS duoc thuc hin
mang tinh cht cua loai chung khoan phai sinh Swap (Hop dng hoan di) thng thuong. Hai
bn tham gia s hoan di cho nhau hai dong tin: Nguoi mua tra cho nguoi ban dong phi
CDS hang nm trong sut thoi han hop dng; con nguoi ban tra cho nguoi mua dong tin bao
him rui ro. Dong tin nay s bng 0 nu v no khng xay ra va bng gia tri khoan cho vay
hoc mnh gia cua trai phiu duoc bao him nu bn di vay/nha phat hanh trai phiu bi v no.
Thi truong giao dich CDS dua trn nhung goi quy chun la 10 triu USD cho mt hop dng.
Khi kha nng pha san cua doanh nghip cao s lam cho phi CDS tng vot. Phi CDS duoc chia
theo cac chun 1 nm, 2 nm, 5 nm va 10 nm. Tuong ung voi mi muc thoi han s co cac
muc phi bao him s khac nhau (ging nhu cac muc li sut ky han tai ngn hang). Ph bin
nht la phi CDS cho 5 nm.
2. Tng quan khai nim v CDO:
Nhu d tim hiu trong phn MBS, bt du tu nhung cng ty cho vay bt dng san, nguoi
dn di vay mua nha duoc phn loai thanh cac loai vay: duoi chun (subprime), cn chun
(Alt-A), chun (prime), va duoc nha nuoc bao dam (din hinh la cac co quan Fannie Mae hay
Freddie Mac). Tu tng s tin dung nay, cac cng ty tai chinh "chung khoan hoa" khoang 1,2
nghin ty USD (nm 2006) thanh loai chung khoan phai sinh co th mua ban duoc (MBS). S
MBS nay duoc gp voi cac loai tin dung khac nhu the tin dung, vay mua xe hoi, va vay tin
hoc dai hoc, d tro thanh mt loai chung khoan phai sinh moi khac goi la Chung khoan co
dam bao bng tai san (Asset Backed Securities, hoc ABS).
Tu dy, cac cng ty tai chinh tao ra mt loai cng cu tai chinh moi goi la Nghia vu no co
th chp (Collateralized Debt Obligations, hoc CDO) bng cach kt hop cac ABS vao thanh
cac danh muc sau do chia nho chung theo cac muc d rui ro tu cao dn thp gm: senior,
mezzanine and equity. Nhom CDO du tin co muc d rui ro thp nht s co gia cao nht va
c tuc thp nht (senior), sau do dn nhom CDO thu hai (mezzanine), va cui cung la CDO
thuc hang equity co rui ro cao nht va gia thp nht. Nu nha du tu giu senior CDO thi chi
sau khi nhung nguoi nm giu equity va mezzanine CDO bi l thi moi dn luot anh ta chiu
thit hai.
Nha du tu khi mua CDO s khng th bit bit n sau CDO minh nm giu la tai san gi va
ai la nguoi no tin minh. Ho chi bit nu mt phn danh muc tao ra CDO cua minh bi mt gia
(vi du nguoi di vay th chp khng tra duoc no) thi s co bao nhiu CDO khac cng xut phat
tu danh muc do chiu l truoc khi dn luot minh bi anh huong.
3. Vai tro cua CDS, CDO trong khung hoang tai chinh:
Dim dang chu y cua CDS la no hoan toan khng bi quan ly boi bt ky co quan chuc nng
nao cho nn ai cng co th ban san phm nay, nghia la bao him cho mt tai san nao do ma
khng cn phai tun thu theo nhung qui dinh ngt ngheo cua nganh bao him. Hon nua, ai
cng co th mua CDS ma khng cn thit phai so huu tai san cn bao him. Diu nay giup
cho cac bn tham gia vao thi truong CDS co th dy gia ln dn v han va ngay cang xa roi
gia tri thuc cua tai san/cng cu co so.
( Tai san co so duoi cung la cac loai bt dng san, cung voi cac cng cu tai san nho khac, d
ngay cang tro thanh cng cu nho be dam bao cho cac gia tri khng l bn trn cua chu trinh
chung khoan hoa.)
Qua trinh nay s khng gp phai vn d gi nu nhu gia nha dt vn tip tuc tng, nguoi
dn vn d dang vay tin d chi tiu va vn dam bao duoc kha nng thanh toan dinh ky. Tuy
nhin, nhu chung ta d bit, gia nha dt khng th tng mi, va dn khi thi truong nha dt suy
sup cng la luc anh huong truc tip va tuc thoi dn kha nng thanh toan va dn dn hin
tuong v no theo dy chuyn. H luy keo theo la su sup d cua mt loat cac gia tri tai san ao
dng sau no. Gia tri phai sinh cang lon thi khi suy giam no sup d cang mnh lit.
Chung ta hy cung xem xet vi du v su sup d cua cng ty bao him AIG- tp doan tai
chinh va bao him hang du th gioi trong cuc khung hoang 2008- ma nguyn nhn truc tip
la tu CDS va CDO:
Tai M, tng gia tri CDS uoc tinh khoang 45.5 nghin ty USD, va toan th gioi khoang
54.600 ty USD (theo uoc tinh cua Hip hi chung khoan phai sinh va hop dng hoan di
quc t - ISDA).
Nhu ta d bit, khi tham gia vao CDS, nguoi mua CDS tra cho nguoi ban mt khoan phi. Phi
CDS thay di, ln xung lin tuc theo tm ly nha du tu va theo trang thai hoat dng cua
doanh nghip. Tuy nhin, nu xp hang tin nhim cua bn di vay (hoc bn phat hanh trai
phiu) cang thp thi muc phi bao him cang cao va nguoc lai. Ngoai ra, nu khoan vay/trai
phiu bi xp hang qua thp thi bn ban CDS phai dt truoc mt khoan th chp. Tuy nhin
trn thi truong M, co mt qui tc la nu bn ban CDS duoc xp hang AAA (hang cao nht)
s duoc min khng phai tra dt ky qu ban du va yu cu tng dt coc sau do nu CDS bi
mt gia (phi CDS tng). Tai thi truong tai chinh M, AIG la cng ty bao him lon nht th
gioi va nghim nhin duoc xp hang AAA. Boi vy AIG co mt loi th rt lon so voi cac nha
phat hanh CDS khac vi khng phai tra cac khoan dt coc cho cac CDS cua minh ban ra. Vi
th ma AIG d tro thanh nha bao lnh CDS lon nht trn thi truong nay.
Ngay 15/09/2008, khi Lehman Brothers pha san, AIG bi ca Standard & Poor's va EquiIax
Fitch`s (hai t chuc xp hang tin nhim lon) ha muc xp hang, ngay lp tuc mt loi th cua
minh trn thi truong CDS va phai chun bi mt luong tin rt lon d np dt coc. Diu nay
lam AIG khng con cach nao khac la chp nhn bt ky yu cu nao cua Fed d duoc vay tin
nu khng mun pha san. Tp doan tai chinh va bao him hang du th gioi AIG bi d v
mt phn la do du tu vao MBS va phn lon la do cac hop dng CDS va CDO.