The 2008 financial tsunami has shattered not only a seemingly unassailable investment bank, Lehman Brother Holdings Inc (Lehman), but also the financial dreams of over forty thousand local lay investors who invested part or all of their life savings in Lehman's so-called minibonds under the conception, or misconception, that they were a conservative or low risk investment tool. Now that it has become apparent that investors are unlikely to get back their principal investments, claims have been lodged against the distributors of the minibonds. The focal point of the claims is either that the sellers misled or deceived retail investors into investing in minibonds or that the sellers were negligent in the giving of investment advice.

For negligence claims, the assessment of the existence, scope and breach of the duty of care as owed by the distributors to their clients is fact sensitive. While each case largely depends on its own facts, such as the investor's investment background, stated investment objective and risk appetite, there is a single unique feature of all claims: the investment in question is minibonds.

It transpires that a minibond is not in fact a conventional bond but is embedded with a credit default swap (CDS), a highly complex derivative instrument traded in specialised markets. Investment guru Warren Buffet once described derivatives as a 'financial weapon of mass destruction'. As derivatives often connote speculation and risky investment, it has become a popular contention that minibonds are also high risk and should not be recommended to retail investors, who are mostly conservative, or at least that the investors should have been alerted to the risk before investing. The convenient argument follows that there must be a breach of the duty of care in all these claims. However, a minibond embedded with a CDS is not synonymous with a CDS. The other side of the derivative coin is hedging and arbitrage, which are investment strategies aimed at minimising investment risk.

This article will demonstrate that the nature of the investment in question has a significant bearing in the assessment of whether there was a breach of the duty of care owed by the investment advisor to the investor. Further, it will attempt to ascertain the riskiness of the minibond, a crucial factor for the minibond claimants.

Nature of Investment and Duty of Care

In Susan Field v Barber Asia Ltd [2003] HKCU 712 (Court of First Instance, HCA 7119/2000, 17 June 2003; affirmed on appeal: [2004] 3 HKLRD 871), the plaintiff sued the defendant for damages in respect of negligent investment advice which resulted in significant loss. Barma SC (as he then was) went to great lengths to consider the nature of the investment recommended to the plaintiff before proceeding to the issues of the existence and breach of the duty of care.

Broadly speaking the investment in question involved borrowing of Japanese yen (carrying a low rate of interest) at a gearing factor of 2.5 times the plaintiff's original investment principal. The loan proceeds would be converted into British pounds sterling for investment in a sterling money market fund which ran a higher interest rate than yen. The loan would also be secured by the sterling money market fund.

The learned judge noted the following investment risks attached to the investment scheme, concluding that it carried a high risk of loss:

1. The element of gearing increased risk. While it was designed to enhance the returns on an ungeared investment, it would also amplify any decreases in value and losses which might be suffered.

2. Gearing also created the need for the plaintiff to put up further security if called upon to do so. If she failed to do so, her investment would be realised prematurely, thus crystallising any short term loss which might exist on paper.

3. There was an element of exchange rate risk. A movement in the relative exchange rate of yen and sterling, such as yen strengthening against sterling, would lower the nominal interest rate gain from the sterling money market fund.

4. There was also an element of interest rate risk if the borrowing rate of yen moved upwards.

After finding that the defendant owed the plaintiff a common law duty of care, the learned judge juxtaposed the riskiness of the investment scheme with other findings on the plaintiff's background; in particular, that she was an inexperienced investor and that she had communicated her conservative investment objective to the plaintiff. It was concluded that the breach of duty was made out. The defendant failed sufficiently to heed the plaintiff's stated desire to invest conservatively; insufficient consideration was given to the fact that the plaintiff was investing the whole of her available capital; the defendant had not sufficiently warned the plaintiff of the existence and nature of the risk of the investment scheme; and the investment was generally unsuitable to the plaintiff having regard to her circumstances and risk appetite.

It is noteworthy that these findings of breach of duty were all made on the basis that the high risk nature of the investment scheme was unsuitable to the low risk profile of the plaintiff. This divergence led to the finding of breach of duty. Should the learned judge have found that the investment scheme was low risk and/or commensurate with the plaintiff's risk appetite, the result would have been different.

A similar investment risk evaluation was carried out in Morgan Stanley UK Group v Puglisi Consentino [1998] CLC 481.

In the case of Lehman minibonds, it can be expected that investors will claim to be conservative and attempt to show that minibonds are a high risk investment, or at least riskier than was suitable for their investment appetites, in order to establish breach of duty by the distributors. This issue will be contentious and its resolution is likely to require the calling of expert witnesses to explain the technicalities of a minibond to the court. In this regard, consideration should be given to the new rules for expert evidence under O 38 of the High Court Rules to be implemented on 2 April 2009.

Although a detailed examination of the minibonds can be left to expert witnesses, legal practitioners should grasp the gist of the instrument in order to identify and narrow down any areas of controversy that may be attached to the expert evidence.

Credit Default Swap

The starting point for understanding a minibond is to understand the mechanism of a credit default swap. A CDS is a derivative contract whereby the buyer pays a series of cash flows to the seller. The buyer may be a creditor (such as bondholder) of another company, called a 'reference entity' under the CDS, and the seller is generally an investment bank. In return for the periodic payments, if the reference entity defaults on its debt, defined as a 'credit event' under the CDS, the seller has the obligation to compensate the buyer for any shortfall in recovering the debt from the reference entity. In other words, a CDS is similar to an insurance contract in which the buyer pays a premium to the insurer in return for compensation if the event insured against occurs.

Under a CDS, the risk insured against is the credit risk of the reference entity. The premium, or the 'spread' is the annual amount payable by the buyer to the seller over the length of the CDS contract, quoted as a percentage of the 'notional amount' covered by the CDS. For example, if the spread of a particular reference entity is 1%, then an investment bank selling $1 million worth of default protection will receive $10,000 per annum from the buyer until either the CDS contract expires or the reference entity defaults, after which the CDS will automatically terminate.

For an investment bank, the return on selling a CDS is similar to that of investing in a bond issued by the reference entity. The spread of the CDS is tantamount to the coupon interest of the bond. The maximum loss for a CDS seller is the notional amount of default protection, and that of a bond holder is the principal invested in the bond. A CDS seller, however, has the advantage that he is not required to put up the notional amount up front, as opposed to a bond investor who has to pay the bond principal at the beginning.

In essence, a CDS seller takes on the credit risk of the reference entity. It may sit on the risk, or by financial engineering it can shift the risk by repackaging the CDS into minibonds and selling the same to lay investors.

Minibonds

According to the Securities and Futures Commission (SFC) circular dated 19 September 2008, there are two types of Lehman-related minibonds: those issued by other issuers with Lehman Brothers as one of the reference entities and those issued by the Lehman Brothers Group. The SFC also listed all outstanding Lehman-related minibonds on its website, including the advertisement, issue prospectus and programme prospectus of each outstanding issue.

It should be noted that each issue of minibonds is not identical, and reference should be made to the respective issue and programme prospectuses. This analysis will discuss an issue from each type of minibond to illustrate its investment nature and risk level.

Minibonds with Lehman Brothers as Reference Entity

Octave Notes (ON) Series 12 is a minibond with Lehman as one of reference entities. The issuer is Victoria Peak International Finance Limited. ON is denominated in either USD or HKD. For HKD denominated notes (or Tranche B), an ON investor has to put up a minimum principal investment amount of HKD40,000 in return for an annual interest rate of 5.2% on the principal amount for the first 4 years and 6% for the subsequent 1.5 years. The ON will then come to maturity and the investor will redeem 100% of the principal amount subject to various conditions to be discussed below. ON is linked to the credits of eight entities: the People's Republic of China, Standard Chartered Bank, DBS Bank, Oversea-Chinese Banking Corporation, HSBC Bank, Swire Pacific, MTR Corporation and Lehman.

The credit link to eight entities is a sign that ON is embedded with CDS. ON is collateralised with various securities such as liquidity funds or money market funds: see p 64 of the issue prospectus under the heading 'Information About the Underlying Securities'. CDS comes into play in one of these collaterals, namely the Swap Arrangement as explained under the heading 'Information About the Swap Arrangements for the Notes' at p 67 of the issue prospectus:

"The Issuer has entered into a swap Master Agreement with Morgan Stanley Capital Services Inc as Swap Counterparty in connection with the establishment of the Programme. In connection with the issue of each Tranche of a Series, the Issuer will execute two Confirmations to the Master Agreement (which in respect of each of the Series 11 Tranche A Notes and the Series 12 Tranche A Notes will consist of an interest rate swap and a credit default swap and in respect of each of the Series 11 Tranche B Notes and the Series 12 Tranche B Notes will consist of a cross currency and interest rate swap and a credit default swap) ... The obligations of the Swap Counterparty under the Swap Agreement in respect of a Series will be guaranteed by Morgan Stanley as Swap Guarantor pursuant to the provisions of the Swap Guarantee. ... However, prospective investors are advised that the Notes will not be obligations of and will not be guaranteed by either the Swap Counterparty or the Swap Guarantor. The Swap Guarantee comprises a guarantee only in respect of the Swap Counterparty's payment of all amounts due and payable to the Issuer under the relevant Swap Agreement...

The arrangements contemplated by the Swap Agreement in respect of a Series (together with the Forward Agreement in respect of such Series) will enable the Issuer to meet its payment and other obligations under the Notes of such Series. The following is a summary of the respective obligations of the Issuer and the Swap Counterparty under the Swap Agreement in respect of a Series: ...
(ii) on or about each interest payment date in respect of the Notes of such Series, the Swap Counterparty will pay to the Issuer a sum ... equal in aggregate to the interest due to be paid by the Issuer on the Notes of such Series..." (emphasis added)

In other words, all interest receivable by the ON holders is backed up by CDS under which the Swap Counterparty is obliged to make periodic payments, ie the spread, to the issuer which would in turn disburse the same as coupon interest of the ON to the minibond holders. The Swap Guarantor only guarantees the interest payable by the Swap Counterparty to the issuer and should not be mistaken as guaranteeing the payment due under the ON. In essence, the Swap Counterparty is a CDS buyer and an ON investor becomes a CDS seller. The reference entities are the eight entities mentioned above.

Therefore an ON investor, just like a CDS seller, takes up the credit risks of the eight entities, and the redemption of the full investment principal depends on the non-occurrence of three situations as pointed out at pp 76 to 85 of the issue prospectus under the heading 'Risk Factors'. The relevant section states:

"An investment in the Notes involves substantial risks including credit risk, market risk, liquidity risk, and the risk that the Issuer will be unable to satisfy its obligations under the Notes. Investors should ensure that they understand the nature of all these risks before making a decision to invest in the Notes. There is no guarantee from any entity to Noteholders that they will recover any amounts payable under the Notes. In addition, upon (i) notice of the occurrence of a Company or Sovereign Credit Event being given, (ii) the occurrence of a Mandatory Redemption Event or (iii) occurrence of an Issuer's Event of Default, investors could lose all or a substantial part of their investment in the Notes ..."

In the first scenario where an investor cannot fully redeem its investment in the ON, ie a Company or Sovereign Credit Event, Company and Sovereign respectively refer to the eight reference entities which includes seven companies and one government. The issue prospectus explains at p 35: 

"A Company or Sovereign Credit Event means the occurrence of one of the following events:
(A) with respect to a Company and its Successors:
(i) Bankruptcy;
(ii) Failure to Pay;
(iii) Restructuring;
(B) with respect to the Sovereign Entity and its Successors:
(i) Failure to Pay;
(ii) Restructuring;
(iii) Repudiation / Moratorium."

The filing by Lehman of a petition under Chapter 11 of the US Bankruptcy Code constitutes a Company Credit Event and leads to the loss now suffered by ON investors. The amount recoverable by the investors depends on the Company or Sovereign Credit Event Redemption Amount, which is defined at pp 49 to 63 of the issue prospectus. In short, it will depend on the amount of default protection under the CDS underlying the Swap Arrangement.

As to the remaining two scenarios in which an ON investor will not be able to get back its investment principal, the Issuer's Event of Default refers to the situation where the ON issuer is unable to honour the payment obligation to the ON holders, while a Mandatory Redemption Event is a default of the Swap Counterparty, which is best explained by reference to minibonds issued by Lehman Brothers Group.

Minibonds Issued by Lehman Brothers Group

Minibond Series 36 (MS) is issued by Pacific International Finance Limited. While MS adopts different terminology to ON, their structures are very similar. The HKD denominated notes (Tranche B) offer 5% PA until maturity. MS is credit linked to seven reference entities: CLP Power Hong Kong, CNOOC, DBS Bank, HSBC Bank, Hutchison Whampoa, MTR Corporation and Standard Chartered Bank.

Similarly to ON, the MS issuer entered into a swap arrangement but this time with Lehman Brothers Special Financing Inc, a wholly-owned subsidiary of Lehman Brothers Inc, as swap counterparty. The swap arrangement again includes CDS to enhance the interest payable under the MS (see pp 19 to 21 of the MS issue prospectus under the heading 'Information About Us and How Our Notes are Secured').

The question is how the collapse of Lehman Brothers, which is not one of the reference entities, would make MS investors unable to fully redeem their investment. The answer rests on the fact that if the swap counterparty becomes insolvent or is unable to honour its obligation under the swap arrangement the minibond's issuer may terminate the swap agreement, in which case a substantial loss will be suffered by MS investors. This is highlighted at p 22 of the issue prospectus:

"We have the right to terminate the swap agreement if:

• the swap counterparty fails to make a payment when it is due under the swap arrangements or Lehman Brothers Holdings Inc fails to make the payment under the swap guarantee;
• that swap counterparty or Lehman Brothers Holdings Inc suffers specified insolvency-related events;
• that swap counterparty or Lehman Brothers Holdings Inc defaults on certain other of its obligations not connected with the swap arrangements; or
• that swap counterparty or Lehman Brothers Holdings Inc mergers with another company and that company does not take over that swap counterparty's obligations under the swap agreement or the obligations of Lehman Brothers Holdings Inc under the swap guarantee, as the case may be. ...

We or the swap counterparty may be liable to make a termination payment to the other upon the termination of the swap agreement (regardless of which party may have caused the termination). The amount of any termination payment will be based on the cost of entering into a swap transaction with the same terms and conditions that would have the effect of preserving the economic equivalent of the swap agreement.

A termination payment could be a substantial amount. For example, exchange rates or interest rates may change so that when the termination amount is calculated it would be expensive to enter into swap arrangements at that time which give the parties the same cashflows as under the swap arrangements which we agreed at the time we issue our Notes.

Upon any early termination of the swap agreement, our Notes will be redeemed early."

What happens when MS is redeemed early is explained in the leaflet issued by Lehman Brothers Asia Ltd, dated 17 September 2008, which is posted on the SFC website:

"After the termination of the swap arrangements, the Minibonds would become subject to early redemption and the collateral for the Minibonds would be sold in the market. The proceeds of sale of the collateral would be adjusted to take account of any payment which is due to, or due from, Lehman on termination of the swap arrangements and for the costs, fees and expenses of making the sale. The proceeds would then be available for repayment of the Minibonds. The amount of the available proceeds will depend on many factors, including the nature and current market value of the collateral underlying the particular series of Minibonds. However, it is likely that the redemption of the Minibonds would be at less, and perhaps significantly less, than their principal amount."

As events transpired, the filing of Chapter 11 by Lehman Brothers Group triggered the termination of the swap agreement entered into between the MS issuer and its swap counterparty, and the MS was redeemed early. The amount the MS investors will recover depends on the market value of the collateral to be sold into the market, and also on the amount due to and from the swap counterparty. This scenario is similar to the occurrence of a Mandatory Redemption Event in the case of ON.

Structure and Riskiness of Minibonds

The structure of a minibond may therefore be summarised as follows. An investor buys the minibond from the issuer and the proceeds are invested in various assets as collateral, one of which is the swap arrangement entered into between the issuer and an investment bank. Under the swap arrangement, the investment bank buys and the issuer sells CDS in relation to the credits of the minibond's reference entities. The spread from the CDS is paid by investment bank to the issuer and then from the issuer to the investor in accordance with the coupon of the minibond.

If there is no default, the investor gets back what he invested. If there is a credit event, the collateral is sold and its proceeds are to be paid the swap counterparty to satisfy the protection afforded under the swap arrangement. The investor receives what is left behind.

While a minibond investor takes up the role of a CDS seller, what is being purchased is in a practical sense more like a bond issued by the reference entity together with the risk attached thereto. The investor pays the minibond principal upfront, receives the regular coupon payments and the principal at maturity. If the reference entity defaults, the investor recovers much less of his investment.

Of course, investing in minibonds involves other risks, such as interest rate risk, liquidity risk, exchange rate risk, risk that the collateral assets would fall in value and so on. But a bond investor faces similar risks. So what are the additional risks that a minibond investor is assuming over a bond investor? The answer is potential loss which occurs if the issuer or the swap counterparty defaults, therefore the question is what is the risk of this happening.

The issuer is a corporate vehicle solely incorporated for the purpose of issuing minibonds. It is facilitated by a trust set up for the minibonds, and holds no assets other than its issued capital and the assets which back the minibonds. It is simply a conduit for the coupon payments between the swap counterparty and the investors. The risk concerned is the operational risk of the issuer and the trustee in question.

More pertinent in the present case is the default risk of the swap counterparty, or in the case of MS, Lehman Brothers Holding Inc. According to the ON issue prospectus, the Standard & Poor's credit rating of Lehman Brothers Holding Inc as of 6 October 2006 was A+. If one was to quantify the default risk of an A+ rated corporation, reference could be made to the default history of similar rated bonds. The MS issue prospectus at p 54 has extracted a table from Standard & Poor's 2007 Global Corporate Default Study and Rating Transactions showing the cumulative default history for investment grade rating categories from 1 to 3 years. It goes on to explain the default risk of an A-rated bond:

"For example, take a bond which is rated A by Standard & Poor's. The table shows that the statistical likelihood of default on the bond, based on the cumulative historical default history of A-rated bonds between 1981 and 2007, is 0.07% in the first year following issue, 0.18% in the second year, 0.3% in the third year, and so on."

Even a layman can tell from above that the risk in this regard is extremely low. To take a cautious approach, the historical default rate of a bond is not necessarily indicative of the risk that Lehman could be unable to meet its obligations under the swap arrangement. Nonetheless, it is highly arguable that a minibond is not much riskier than a conventional bond.

Final Remark

No matter how high or low the risk is, an investor deserves to be informed of all the risks before making an investment decision. Where a minibond-related claim rests on the seller's failure to give the investor proper warning of the investment risks, the investor must further establish causation: that he would not have invested in minibond had he been properly advised.

The test of causation to establish this hypothetical fact was considered by the Court of Appeal in Susan Field v Barber Asia Ltd [2004] 3 HKLRD 871 at 878:

"[20] It is clear from the passage cited from Applied Maples Group Ltd v Simmons & Simmons (a firm) [1995] 4 All ER 907 that whether or not Ms Field would have invested in the scheme had the right advice been given 'can only be a matter of inference to be determined from all the circumstances'. Ms Field gave evidence to the effect that she would not have invested in the scheme had she appreciated that she risked losing a significant part of her capital which the Judge accepted. ... It was also entirely consistent with her conservative low risk investment strategy made clear to Mr Barber from the start ..."

A bond is traditionally considered to be a low risk investment. In the unfortunate event that the courts find minibonds to be not much riskier than a bond, it remains to be seen how conservative a minibond claimant must be in order to establish causation.

Ross MY Yuen
Chartered Financial Analyst
Barrister-at-Law

迷你債券：風險是高是低？
阮文躍大律師解釋了迷你債券的結構和運作方式，並評估了最終導致該投資工具出現問題的風險因素，以及分析了與數以千計小投資者所提出的申索有重大關係的問題。

2008年發生的金融海嘯，不單一下子便擊倒了一家看來是無可匹敵的大型投資銀下—雷曼兄弟控股公司（以下簡稱雷曼），亦粉碎了超過四萬名本地一般投資者的財富夢。這些投資者將他們的全部或部分終身積蓄投資於雷曼的所謂迷你債券，以為（或誤以為）那是一種保守或低風險的投資工具。現時很清楚，投資者將不能取回他們的投資本金，而他們亦向該等迷你債券的分銷商提出了申索。有關的申索重點是，銷售者誤導或欺騙散戶投資者，促使他們投資於迷你債券；或是，銷售者在提供投資意見時存在疏忽。

就疏忽申索而言，對分銷商須向客戶承擔的謹慎責任之存在、範圍及違反等所作之評估，均須基於事實來衡量。雖然每一宗個案須視其實際情況而定，例如投資者的投資背景、所述明的投資目的及風險選擇等，但所有該等申索均有著一項共同特性﹕投資在迷你債券之上。

現時大家都已知悉，迷你債券事實上並非傳統的債券，而是內含「信用違約掉期」(CDS)，而那是一種在專門市場進行買賣的具高度複雜性的衍生工具。投資專家巴菲特曾形容衍生工具為「具龐大殺傷力的金融武器」。由於衍生工具往往意味著投機和高風險投資，因此現時亦有一種流行的說法，指迷你債券亦屬於高風險投資，故不應推薦給散戶投資者，因為他們的投資策略大多是保守的，而投資者至少亦應在其進行該等投資前，獲得告知當中所涉及的風險。因此，最顯然的推論便是，所有該等申索必然涉及違反謹慎責任。然而，內含CDS的迷你債券，並不等同於CDS。衍生工具的另一作用是對沖和套戥，那是一種將投資風險減至最低的投資策略。

本文期望說明投資的性質，與衡量投資顧問是否違反對投資者的謹慎責任，兩者有著非常密切的關係。此外，本文亦嘗試說明迷你債券所涉及的風險，這對迷你債券申索者而言乃一項關鍵因素。

投資性質和謹慎責任

在Susan Field v Barber Asia Ltd [2003] HKCU 712 (Court of First Instance, HCA 7119/2000, 17 June 2003; affirmed on appeal: [2004] 3 HKLRD 871)一案中，原告人指被告人在投資意見的提供上犯有疏忽，導致他蒙受重大損失，要求被告人作出損害賠償。Barma SC（當時的他）就謹審責任的存在和違反等問題作出審視之前，先詳細地考慮了被告人向原告人推薦的投資之性質。

廣泛而言，有關的投資涉及以原告人的原來投資本金二點五倍的槓桿比率借入日元（其利率較低），然後再將貸款所得轉為英鎊，以供投資於一個回報較日元利率為高的英鎊貨幣市場基金，而該等貸款亦獲該英鎊貨幣市場基金擔保。
法官注意到下述伴隨該投資計劃的投資風險：

1. 槓桿因素增加了風險。雖然它的設計是就非槓桿投資增加回報，但它亦會將價值的減少和所蒙受的損失等方面的幅度擴大。
2. 槓桿因素亦會導致原告人被要求提供進一步的抵押品。假如她未能遵循，其投資便將會在到期前被變現，因而亦會將帳面上的任何短期損失具體化。
3. 本案存在匯率風險元素。任何日元與英鎊之間的相對變動，例如日元兌英鎊的匯率上升，便將會導致英鎊貨幣市場基金的名義利率收益下降。
4. 本案亦存在利率風險元素，假如日元的貸款利率上升的話。

法官在裁定被告人須對原告人負普通法下的謹慎責任後，乃同時將該投資計劃的風險，與對原告人在背景方面的其他裁斷一併考慮；特別是，原告人是一名沒有經驗的投資者，而她亦曾向被告人提及她的保守投資目標。法官裁定被告人須承擔責任，因他並沒有關注原告人所述明的保守投資願望﹔沒有充分考慮原告人投放了自己的全部可動用資本；被告人沒有就投資計劃存在的風險及其性質給予原告人充分警告；以及，根據原告人的情況以及她的風險選擇，該等投資一般而言並不適合原告人。

值得注意的是，該等違反謹慎責任的裁斷，全部是以投資計劃具有高風險，不適合原告人的低風險偏好為依據。這一分歧，促成了被告人違反責任的裁斷。假如法官認為有關的投資計劃只具有低風險，及／或與原告人的風險選擇相稱，結果便將會有所不同。

在Morgan Stanley UK Group v Puglisi Consentino [1998] CLC 481一案中，法庭亦作出了類似的投資風險評估。

在雷曼迷你債券案件中，我們預期投資者會聲稱自己的投資策略是保守的，並試圖證明迷你債券是高風險的投資，或至少較其風險選擇為高，從而證明分銷商違反了責任。因此，我們必須考慮將於2009年4月2日實施的《高等法院規則》第38令中有關專家證據的新規定。

雖然對迷你債券進行的仔細審查工作可以留給專家證人，但法律執業者應能掌握該投資工具的要點，從而識別和收窄涉及專家證據的爭議範圍。

信用違約掉期

要了解迷你債券，首先需要了解信用違約掉期(CDS)這一機制。CDS是一種衍生工具合約，買方透過它向賣方支付一系列的現金流。買方可以是另一家公司的債權人（例如債券持有人），其在CDS下稱為「合約信用實體」，而賣方一般而言是一家投資銀行。因著買方所作的定期支付，假如合約信用實體不履行其償還債務責任（在CDS下被界定為一項「信用事件」），賣方有義務就合約信用實體償還買方債務方面的任何不足之數，給予買方作出補償。換句話說，CDS是與保險合約類似，買方向保險公司支付保費，而當受保的事件發生時，買方將會獲得補償。

在CDS下，所獲得承保的風險，是針對合約信用實體的信用風險。保費或差價是買方根據CDS合約的年期長度，每年支付予賣方的金額，並以CDS所涵蓋的「名義金額」的百分比來表示。例如，倘某一合約信用實體的差價為百分之一，則承保100萬元違約保障的投資銀行，將會每年獲得買方支付一萬元，直至CDS合約期滿，或是合約信用實體違約，而之後該CDS便告自動終止。

對於投資銀行而言，銷售CDS的回報，與投資於合約信用實體所發行的債券類似。CDS的差價相當於該債券的票面利息。CDS賣方可能蒙受的最大程度損失，是違約保障的名義金額﹔對債券持有人而言，則為投資於債券的本金。然而，CDS賣方所享有的好處是，他不需要拿出該筆名義金額，而債券投資者則必須於開首階段支付購買債券的本金。

基本上，CDS的賣方承擔了合約信用實體的信用風險。他可以自行承擔該風險，又或是透過財務工程將CDS重新包裝，將風險轉移給迷你債券，並將迷你債券售賣給散戶投資者。

迷你債券

根據證監會於2008年9月19日發出的通告，雷曼相關迷你債券共分兩類﹕由其他發行人發行給雷曼兄弟（作為其中一個合約信用實體）的迷你債券，以及由雷曼兄弟集團發行的迷你債券。證監會亦在其網站列出所有發行在外的雷曼相關迷你債券，包括每一項對外發行的有關廣告、發行章程及程序章程。

應當注意的是，每一項迷你債券的發行都並不相同，我們應參考該次的發行章程和程序章程。以下分析會論述各類迷你債券的發行，以說明其投資性質和風險程度。

雷曼兄弟作為合約
信用實體發行迷你債券

Octave Notes（以下簡稱ON）Series 12是由雷曼作為其中一個合約信用實體所發行的迷你債券，其發行人是Victoria Peak International Finance Limited。ON是以美元或港元作為發行的貨幣單位。就港元計價的票據（或份額 B）而言，一名ON投資者必須至少支付四萬港元的本金投資金額，以換取在首四年內每年5.2%，以及在其後的一年半內的6%利息回報。之後ON便會到期，而投資者將會百分百贖回其本金，除非涉及下述的各項情況。ON乃與8個實體的信用掛鉤：中華人民共和國、渣打銀行、星展銀行、Oversea-Chinese Banking Corporation、匯豐銀行、太古、地下鐵路公司及雷曼。

與8個實體進行信用掛鉤，乃ON包含CDS的標記。ON以各項證券作為抵押品，例如流動性基金或貨幣市場基金：參見發行章程第64頁中題目為「與相關證券有關的資料」中的內容。CDS在其中一項這些抵押品中開始出現，即是發行章程第67頁中題目為「Information About the Swap Arrangements for the Notes」 中所解釋的掉期協議：

「發行人與作為掉期對手方的Morgan Stanley Capital Services Inc訂立了與程序有關的總掉期協議。在一系列中的每一份額發行方面，發行人將簽立兩份關於總協議的確認書（就系列11 份額 A票據及系列12 份額 A票據而言，它們將會包含一項利率掉期及一項信用違約掉期，而就系列11份額 B票據及系列12 份額B票據而言，它們將會包含一項貨幣與利率交相掉期及一項信用違約掉期）…掉期對手方就一系列在掉期協議下的義務，將會由作為掉期擔保人的Morgan Stanley根據掉期擔保書的規定作擔保..... 然而，潛在的投資者應知悉，該等票據並非掉期對手方或掉期擔保人的責任，亦並非由其作擔保：該掉期擔保下所提供的擔保，只與掉期對手方在相關掉期協議下到期並應向發行人支付的所有金額有關…

掉期協議就一個系列而計劃的安排（連同該等系列的遠期協議），可使發行人能履行其在該等系列的票據下的支付和其他義務。下述為發行人及掉期對手方在掉期協議下就一個系列的有關義務的概述：…
(ii) 就該等系列的票據而言，在或大約在每一個利息支付日期，掉期對手方將會向發行人支付一個金額…相等於發行人根據該等系列的票據而將到期支付的利息…」（加以強調）

換句話說，ON持有人的所有應付利息，由CDS所支持，而根據該CDS，掉期對手方須向發行人作出定期支付（即差價），而發行人將同樣須向迷你債券持有人作出支付，作為ON的票面利息。掉其擔保人只擔保其應向發行人支付的利息，而不應誤以為是會擔保作出在ON下的支付。基本上，掉期對手方乃CDS買方，而ON投資者成為CDS賣方。合約信用實體乃上述的8個實體。

因此，ON投資者一如CDS賣方般，承擔了8個實體的信用風險，而對全部投資本金的贖回，則視乎發行章程第76-85頁中的題目「風險因素」下所指的三種情況是否發生。該相關條款稱：

「票據的投資涉及重大風險，包括信用風險、市場風險、流動性風險以及發行人將不能履行在票據的責任的風險。投資者在作出投資於票據的決定前，應確保他們了解所有這些風險的性質。任何實體並沒有向票據持有人作出擔保，他們將能追討在票據下的任何應付金額。此外，在(i)發出了公司或主權信用事件發生的通知後，(ii)發生了強制性贖回事件或(iii)發生了發行人違約事件，投資者可能會損失所有或相當一部分其在票據方面的投資…」

在第一種境況中，當一名投資者不能全部贖回其在ON的投資時，即是：公司或主權信用事件，以及，公司和主權，乃分別指該8個合約信用實體，當中包括7家公司和一個政府。發行章程在第35頁解釋：

「公司或主權信用事件指以下任一事件的發生﹕
(A) 就一家公司及其繼承者而言﹕
(i) 破產﹔
(ii) 未能支付﹔
(iii) 重組﹔
(B) 就主權實體及其繼承者而言﹕
(i) 未能支付﹔
(ii) 重組﹔
(iii) 不履行合約／延期償付。」

雷曼根據US Bankruptcy Code第11章提出的呈請而構成一項公司信用事件，並導致ON投資者現時蒙受的損失。投資者可追討的金額，視乎公司或主權信用事件的贖回金額，其含意於發行章程第49-63頁界定。簡言之，它將視乎與掉期協議相關的CDS下的違約保障金額而定。

就ON投資者將不能取回其投資本金的其餘兩個境況而言，發行人違約事件指ON發行人不能向ON持有人履行支付責任，而強制性贖回事件乃指掉期相對方違約，最佳的說明是參考雷曼兄弟集團發行的迷你債券。

雷曼兄弟集團所發行的迷你債券

迷你債券系列36 (MS)是由Pacific International Finance Limited所發行。雖然MS採用與ON不同的述語，但它們的結構非常相似。以港幣為計價單位的票據（份額B）提供5%年息，直至到期為止。MS是與七個合約信用實體的信用掛鉤：香港中華電力、中國海洋石油總公司、星展銀行、匯豐銀行、和記黃埔、地下鐵路公司及渣打銀行。

如ON般，MS發行人訂立掉期協議，但這次是與Lehman Brothers Special Financing Inc（Lehman Brothers Inc的一家全資附屬公司）一起，並以其作為掉期對手方。該掉期協議再度包含CDS，從而增加在MS下的應付利息（參看MS發行章程第19-21 頁在「Information About Us and How Our Notes are Secured」題目下的內容）。

問題是雷曼兄弟的崩潰（它並非其中一個合約信用實體），如何會導致MS投資者無法完全贖回其投資。答案在於，假如掉期對手方成為沒有償債能力，或是在掉期協議下無法履行其義務，迷你債券發行人便可將掉期協議終止，而在這情況下MS投資者將會蒙受重大損失。發行章程第22頁對此有所述及：

「我們有權終止掉期協議，假如：

• 根據掉期協議到期但掉期對手方未能作出支付，或是雷曼兄弟控股公司未能根據掉期擔保作出支付；
• 掉期對手方或雷曼兄弟控股公司遭遇特定的破產相關事件；
• 掉期對手方或雷曼兄弟控股公司在與掉期協議無關的其他若干義務方面違約；或
• 掉期對手方或雷曼兄弟控股公司與其他公司合併，而該公司並沒有繼承掉期對手方在掉期協義下的義務，或是雷曼兄弟控股公司在掉期擔保下的義務，視實際情況而定…

我們或掉期對手方可能有責任在掉期協議終止時向其他人作出終止支付（不論終止是由哪一方所導致）。任何終止支付的金額，將以按相同的條款和章則（其作用是得以保存該掉期協議所涵蓋的經濟利益）訂立掉期交易的費用作為依據。

終止金額的支付可以是一筆數目相當的金額。例如，匯率或利率可能會變動，因而在計算終止金額時，在當時訂立掉期協議會相當昂貴，而它會給予各方與我們在發出票據時所同意的掉期協議下相同的現金流。
倘掉期協議提前終止，我們的票據亦將會提早贖回。」

提早贖回MS會導致甚麼事情發生，Lehman Brothers Asia Ltd於2008年9月17日印發並上載於證監會網站的小冊子有所述明：

「當掉期協議終止後，迷你債券可能會被提早贖回，而迷你債券的抵押品將於市場上出售。抵押品的出售所得將會進行調整，以考慮掉期協議終止時應向或應由雷曼作出的任何支付，以及進行銷售的成本、費用及開支。然後，出售所得會用來為迷你債券作出償付。可予動用的出售所得金額，將視乎多項因素而定，包括與特定迷你債券系列相關的抵押品之性質和其現行市值。然而，所贖回的迷你債券的價值很可能會低於、及也許大大低於其本金金額。」

從各項事件中得知，雷曼兄弟集團的第11章提交，引發MS發行人及其掉期對手方之間訂立的掉期協議終止，而MS亦被提早贖回。MS投資者可以追討的金額，將視乎抵押品在市場上出售的市值，以及應向及應由掉期對手方支付的金額而定。這一境況，與ON的個案中的強制性贖回事件的發生類似。

迷你債券的結構和風險

因此，迷你債券的結構可以總結如下。投資者自發行人購入迷你債券，而銷售所得將會投資於各項資產以作為抵押品，其中一項是發行人與投資銀行之間訂立的掉期協議。根據該掉期協議，投資銀行購買而發行人出售與迷你債券的合約信用實體之信用有關的CDS。CDS的差價由投資銀行向發行人支付，然後由發行人根據迷你債券的息票支付予投資者。

假如沒有違約事件發生，投資者將可以取回他的投資。假如發生信用事件，抵押品將會被出售，而出售的所得將會用來支付掉期對手方，以償付在掉期協議下所提供的保障，餘下的款項將會用來償還給投資者。
雖然迷你債券投資者扮演了CDS賣方的角色，但他們所購買的，實際上更像是由合約信用實體發行的債券，並伴隨著有關的風險。投資者支付迷你債券本金，收取定期的息票支付，及於到期時獲償還本金。假如合約信用實體違約，投資者只能取回遠較其投資額為低的金額。

當然，投資於迷你債券亦涉及其他風險，例如利率風險、流動性風險、匯率風險，以及抵押品資產價值下跌等風險。但一名債券投資者亦會面對類似的風險。因此，迷你債券投資者承擔了哪些較債券投資者所承擔的為高的風險？答案是，假如發行人或掉期對手方違約時，投資者所可能蒙受的損失。因此，問題便成為了：發生這種情況的風險有多高﹖

發行人是一個公司工具，其成立的唯一目的便是為了發行迷你債券。它由一個專門為迷你債券而成立的信託所推動，除了其已發行股本和用來支持迷你債券的資產外，它並未持有任何其他資產，純粹是一個作為掉期對手方及投資者之間的息票支付管道。所涉及的風險，乃相關發行人及信託人的營運風險。

在本案中更為相關的，是掉期對手方（或是在MS的情況下，雷曼兄弟控股公司）的違約風險。根據ON的發行章程，標準普爾在2006年10月6日對雷曼兄弟控股公司所作的信用評級為A+。假如我們要將得到A+評級的公司的違約風險量化，乃可以參考類似評級的債券之違約紀錄。在MS發行章程第54頁中，節錄了來自標準普爾的2007 Global Corporate Default Study and Rating Transactions中的一個圖表，當中載述了一至三年間的投資級評級類別的累計違約紀錄，而它亦解釋了屬於評級A的債券的違約風險：

「比如，以標準普爾的評級A債券為例。該圖表顯示，根據1981及2007年之間的評級A債券的累計違約紀錄，該債券的統計違約可能性，於發行之後的首年為0.07%，次年為
0.18%，第三年則為0.3%，等等。」

從上述的資料中，即使一般人也會認為其所涉及的風險極低。如以謹慎的方式處理，一項債券在過去的違約率，並非顯示必然存在雷曼不能履行其在掉期協議下之義務的風險。然而，假如說迷你債券的風險並非遠較傳統債券的風險為高，這也是相當具爭議性的。

結語
不管風險是高是低，投資者在作出投資決定前，均應獲得告知一切的相關風險。假如任何與迷你債券相關的申索，是以賣方未能給予投資者恰當的投資風險警告為依據，則該名投資者必須進一步確立相應的因果關係。即是說，假如他已被恰當地告知有關風險，他便不會投資於該等迷你債券。

上訴法庭在Susan Field v Barber Asia Ltd [2004] 3 HKLRD 871 at 878一案中，審視了確立假設性事實的因果關係驗證：

「[20] 根據Applied Maples Group Ltd v Simmons & Simmons (a firm) [1995] 4 All ER 907案件中被引述的段節，我們可以明顯看出，假如
Ms Field獲得提供正確的意見，她是否依然會投資於該計劃，「這只能根據所有情況來作出推斷」。Ms Field在作供時稱，假如她知悉她可能會冒失去大部分其資金的風險，她便不會投資於該項計劃。這一點法官是同意的…而這亦與她於開首便向 Mr Barber述明她的保守和低風險投資策略完全一致…」

債券向來被認為是低風險的投資工具。在該不幸事件中，法庭裁定迷你債券並非遠較債券的風險為高。因此，假如迷你債券申索人要確立相關的因果關係，他們的保守程度究竟需要多高，這還有待日後的觀察。

阮文躍
特許金融分析師
大律師