我國CDO市場資產相關性對CDO分券之影響

Abstract

近年來擔保債務憑證(Collateralized Debt Obligation，CDO)在台灣迅速竄起，本文著重於國內市場，希望對CDO商品架構、投資風險與評等方式有整體性的介紹，並企圖對我國發展CDO的時空背景以及發行案例加以探討。 資產相關性對CDO分券的評等有著關鍵性的影響，本文將分別介紹三大信評公司的CDO評等模型，並利用Fitch公司的VECTOR模型針對我國以及國外發行的CDO案例做相關性的情境分析，以觀察在不同相關性下對CDO分券之影響。 研究結果顯示當資產池內資產相關性較低時，發生極端損失的情況較少，此時CDO的損失多由權益分券或夾層吸收，而優先順位通常不受影響；但當資產相關性較高時，則債權違約可能產生群聚現象，因此相對CDO資產池內債權不發生違約的機率大幅提高，對權益分券投資人而言期望損失可以降低，較受權益分券投資人的青睞。

Recently the Collateralized Debt Obligations (CDO) started actively trading in Taiwan, exhibiting impressive growth over last few years. This paper presents the structure, rating methodologies and risks of CDO, especially focuses on the developing environments in domestic CDO market. Asset Correlation is the key factor to the ratings of CDO. In this paper we briefly introduce to some of the CDO rating models using by the primary credit risk rating agencies. Then we make use of the Default VECTOR model published by Fitch Ratings to investigate the effects of asset correlation in CDO tranches. Consequently, we will show that correlation can be either positive or negative, depending on which part of the CDO tranches is concerned. When the asset pool is highly correlated, most of the assets in the pool will be expected to default or not to default all together. Then for equity tranche investors the probability of default in CDO would be lower, so they prefer the higher asset correlation in CDO. As for senior tranches investors, they prefer lower correlation because it means the defaults in the asset pool take place individually and the loss will be absorbed first by the equity tranche and mezzanine.