Upload
hsiangwei-yu
View
818
Download
0
Embed Size (px)
Citation preview
PowerPoint
Credit Default Swap(CDS) 2016.05.14.
1
AgendaCDS
CDS
CDS
CDS 2
2
CDS 013
3
CDS- (credit default swap)
19931994JP.Morgan
CDS4zero hedge
4
CDS 2004 2007 9
5
2007 CDS
: http://www.bis.org/publ/otc_hy1511.pdf
The market value of credit default swaps (CDS) was $453 billion at end June 2015 in gross terms and $120 billion in net termsThe notional amount of outstanding credit derivatives contracts fell from $16 trillion at end-December 2014 to $15 trillion at end-June 2015, *The amount was $58 trillion back in 20076
2007-2015:+
6
CDS 027
7
CDS
premium
(protection buyer)
(protection seller)8
CDS CDS CDS (protection buyer)(protection seller)()(Premium)
8
CDS
()
9
9
CDSCDS()()()
10
10
CDS CDS 1 5 10 11
11
CDS CDSsingle name CDS CDS CDSa basket CDSCDS CDS index CDS CDSCDS
CDS 16 Markit 2004 6 CDS CDS CDS
CDS 3 9 CDS 3 5 7 10 12
CDS CDS 12
CDS
1992(masteragreement)
2002CDSCDS
:CDS -
ISDACDS13
ISDA
Master Agreement
ISDA 13
CDS
20097(Small Bang Protocol)2009(Big Bang Protocol)CDS
14
Determination Committees CDS CDS ISDA 2009 central counter party CCP CDS 100 500 25,100,500 1,000
ISDA 2009 12/15 45 6
14
:CDS -
(1)(2)(3)(4)(5)(6) (7)
15
Bankruptcy Failure to Pay Payment requirement Obligation Default ( ) Obligation Acceleration / Repudiation/Moratorium Restructuring binding for all creditors 15
CDS 0316
CDS 17
17
CDS Spread 5yr CDS Spreadbps
2009/4/7665.532Bloomberg
2009/3/9232.3012011/11/25278.6372009/3/9263.2952011/11/25311.60118
18
CDS European Commission 2010 3 9 40 CDS CDS CDS CDS CDS Empty Creditor 19
CDS 0420
CDS 21
21