Page 341 - 次貸風暴下的省思－解開CDS及CDO密碼

10 Names to be removed
Reference Entity Rating CDS Reference Entity Rating CDS
l
e
A BBB 24 Block Financial BBB 66
llt
r
de
e
a
Le BBB+ 36 x BBB 84
Sae
F
ury
nt
f
Saeway BBB+ 43 e l a BBB- 85
C
t
o
At ne o z u BBB 58 ut sc Dlekom BBB+ 10 2
he
e
Te
10
e
ninklij koke BBB+ 60 c o M BBB 2
adwestva
t
o
llia
nc e A B- 10 4 bra BBB- 18
7
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10 Replacement Names
Reference Entity
r
n
o Rating CDS BBB- Reference Entity 6 Rating t e r a pillar C CDS A 0 21
Tex
80
t
6
41
G
a
B V
pr o m BBB 4 Aolvo BBB+ 5
8
z
udential F
Berkshire Hathaway AAA 36 2 r Pianancial A 492
bardi Bomer BB+ 681 etl Mife A- 515
iat
Legrand France BBB 325 F BB+ 870
h
airf Fax Media BB+ 826 Roodia BB- 911
Source ： SOCIETE GENERALE ， CDO Risk & Portfolio Anal ysis Indicative Example,2009/7
（四）「零成本」之群組更換策略（ Zero Cost ）
本 法係指 同時 換 出及 換 入一 群 名字， 但 兩 邊 CDS 的 總合大致 相同。
/ Se
INll Protection
Reference Entity CDS ef Rerence Entity Out / Buy Protection CDS
Imerial Tobacco
p

Autozone Inc.
Allianz SE 137.00 103.50 Stora Enso Oyj 395.00 103.00
Sbeank
b 183.00 MDC Holdings Inc 170.00
r
y
o
Rnk of Scotla n 175.00 Sherwin-Williams Co. 85.50
al Ba
UBS AG 171.00 Whirlpool Corp. 147.50
Colomia
Noble Group Limited 340.00 b 154.50
utsc
De
Bank AG 149.00 TeliaSonera AB 70.50
he
1,126.00 1,258.50

Source ： CDO Manager Replacement Strategy Indicative Ex ample, 2008
333