1108:
Bloomberg
Business Week 2010-07-29). Bloomberg's Terhune (2010) explained how investors seeking high-margin returns use Credit Default Swaps (CDS) to bet against financial instruments owned by other companies and countries. Intercontinental's clearing houses guarantee every transaction between buyer and seller providing a much-needed safety net reducing the impact of a default by spreading the risk. ICE collects on every trade.(Terhune Bloomberg Business Week 2010-07-29). Brookings senior research fellow, Robert E. Litan, cautioned however, "valuable pricing data will not be fully reported, leaving ICE's institutional partners with a huge informational advantage over other traders. He calls ICE Trust "a derivatives dealers' club" in which members make money at the expense of nonmembers (Terhune citing Litan in Bloomberg Business Week 2010-07-29). (Litan Derivatives Dealers’ Club 2010)." Actually, Litan conceded that "some limited progress toward central clearing of CDS has been made in recent months, with CDS contracts between dealers now being cleared centrally primarily through one clearinghouse (ICE Trust) in which the dealers have a significant financial interest (Litan 2010:6)." However, "as long as ICE Trust has a monopoly in clearing, watch for the dealers to limit the expansion of the products that are centrally cleared, and to create barriers to electronic trading and smaller dealers making competitive markets in cleared products (Litan 2010:8)."
1022:
1082:) required an $ 85 billion federal loan because it had been excessively selling CDS protection without hedging against the possibility that the reference entities might decline in value, which exposed the insurance giant to potential losses over $ 100 billion. The CDS on Lehman were settled smoothly, as was largely the case for the other 11 credit events occurring in 2008 that triggered payouts. And while it is arguable that other incidents would have been as bad or worse if less efficient instruments than CDS had been used for speculation and insurance purposes, the closing months of 2008 saw regulators working hard to reduce the risk involved in CDS transactions.
1442:
owning any debt that they wanted to insure against default. See "naked" CDS) For example, at the time it filed for bankruptcy on
September 14, 2008, Lehman Brothers had approximately $ 155 billion of outstanding debt but around $ 400 billion notional value of CDS contracts had been written that referenced this debt. Clearly not all of these contracts could be physically settled, since there was not enough outstanding Lehman Brothers debt to fulfill all of the contracts, demonstrating the necessity for cash settled CDS trades. The trade confirmation produced when a CDS is traded states whether the contract is to be physically or cash settled.
1395:, one important issue was whether the restructuring would trigger Credit default swap (CDS) payments. European Central Bank and the International Monetary Fund negotiators avoided these triggers as they could have jeopardized the stability of major European banks who had been protection writers. An alternative could have been to create new CDS which clearly would pay in the event of debt restructuring. The market would have paid the spread between these and old (potentially more ambiguous) CDS. This practice is far more typical in jurisdictions that do not provide protective status to insolvent debtors similar to that provided by
1031:
224:
178:
5940:
of May 22, 2007, for the most widely traded LCDS form, which governs North
American single name and index trades, the default settlement method for LCDS shifted to auction settlement rather than physical settlement. The auction method is essentially the same that has been used in the various ISDA cash settlement auction protocols, but does not require parties to take any additional steps following a credit event (i.e., adherence to a protocol) to elect cash settlement. On October 23, 2007, the first ever LCDS auction was held for
5800:'s annual report to shareholders in 2002, he said, "Unless derivatives contracts are collateralized or guaranteed, their ultimate value also depends on the creditworthiness of the counterparties to them. In the meantime, though, before a contract is settled, the counterparties record profits and losses—often huge in amount—in their current earnings statements without so much as a penny changing hands. The range of derivatives contracts is limited only by the imagination of man (or sometimes, so it seems, madmen)."
675:
716:, critics say you should not be able to buy a CDS—insurance against default—when you do not own the bond. Short selling is also viewed as gambling and the CDS market as a casino. Another concern is the size of the CDS market. Because naked credit default swaps are synthetic, there is no limit to how many can be sold. The gross amount of CDSs far exceeds all "real" corporate bonds and loans outstanding. As a result, the risk of default is magnified leading to concerns about systemic risk.
3132:
260:, although CDSs are not subject to regulations governing traditional insurance. Also, investors can buy and sell protection without owning debt of the reference entity. These "naked credit default swaps" allow traders to speculate on the creditworthiness of reference entities. CDSs can be used to create synthetic long and short positions in the reference entity. Naked CDS constitute most of the market in CDS. In addition, CDSs can also be used in capital structure
1283:(for example necessary if the original reference obligation was a loan that is repaid before the expiry of the contract), and for performing various calculation and administrative functions in connection with the transaction. By market convention, in contracts between CDS dealers and end-users, the dealer is generally the calculation agent, and in contracts between CDS dealers, the protection seller is generally the calculation agent.
5870:" of losses. For example, if company A fails, company B will default on its CDS contract to company C, possibly resulting in bankruptcy, and company C will potentially experience a large loss due to the failure to receive compensation for the bad debt it held from the reference company. Even worse, because CDS contracts are private, company C will not know that its fate is tied to company A; it is only doing business with company B.
517:& Clearing Corporation (DTCC), through its global repository Trade Information Warehouse (TIW), provides weekly data but publicly available information goes back only one year. The numbers provided by each source do not always match because each provider uses different sampling methods. Daily, intraday and real time data is available from S&P Capital IQ through their acquisition of Credit Market Analysis in 2012.
10897:
1228:, $ 2 billion (~$ 2.62 billion in 2023), were reported by the firm in May 2012 in relationship to these trades. The disclosure, which resulted in headlines in the media, did not disclose the exact nature of the trading involved, which remains in progress. The item traded, possibly related to CDX IG 9, an index based on the default risk of major U.S. corporations, has been described as a "derivative of a derivative".
33:
5863:, say 2%. If the condition of the reference company worsens, the risk premium rises, so company B can sell a CDS to company C with a premium of say, 5%, and pocket the 3% difference. However, if the reference company defaults, company B might not have the assets on hand to make good on the contract. It depends on its contract with company A to provide a large payout, which it then passes along to company C.
636:$ 10 million worth of protection for 1 year to AAA-Bank at this lower spread. Therefore, over the two years the hedge fund pays the bank 2 * 5% * $ 10 million = $ 1 million, but receives 1 * 2.5% * $ 10 million = $ 250,000, giving a total loss of $ 750,000. This loss is smaller than the $ 1 million loss that would have occurred if the second transaction had not been entered into.
41:
1437:
defaulted, and its senior bonds are now trading at 25 (i.e., 25 cents on the dollar) since the market believes that senior bondholders will receive 25% of the money they are owed once the company is wound up (all the defaulting company's liquidable assets are sold off). Therefore, the bank must pay the hedge fund $ 5 million × (100% − 25%) = $ 3.75 million.
9593:
5914:
evidenced by the fact that
Congress confirmed that certain derivatives, including CDS, do constitute gambling when, in 2000, to allay industry fears that they were illegal gambling, it exempted them from "any State or local law that prohibits or regulates gaming." While this decriminalized Naked CDS, it did not grant them relief under the federal gambling tax provisions.
5812:
dealings because
Berkshire require counterparties to make payments when contracts are initiated, so that Berkshire always holds the money. Berkshire Hathaway was a large owner of Moody's stock during the period that it was one of two primary rating agencies for subprime CDOs, a form of mortgage security derivative dependent on the use of credit default swaps.
5808:, the clearinghouse for the majority of trades in the US over-the-counter market, stated in October 2008 that once offsetting trades were considered, only an estimated $ 6 billion would change hands on October 21, during the settlement of the CDS contracts issued on Lehman Brothers' debt, which amounted to somewhere between $ 150 and $ 360 billion.
770:
may not want to sell or share the potential profits from the loan. By buying a credit default swap, the bank can lay off default risk while still keeping the loan in its portfolio. The downside to this hedge is that without default risk, a bank may have no motivation to actively monitor the loan and the counterparty has no relationship to the borrower.
298:. But investors can also buy CDS contracts referencing Risky Corp debt without actually owning any Risky Corp debt. This may be done for speculative purposes, to bet against the solvency of Risky Corp in a gamble to make money, or to hedge investments in other companies whose fortunes are expected to be similar to those of Risky Corp (see
1356:
5769:, because certain bondholders might benefit from the credit event of a GM bankruptcy due to their holding of CDSs. Critics speculate that these creditors had an incentive to push for the company to enter bankruptcy protection. Due to a lack of transparency, there was no way to identify the protection buyers and protection writers.
5904:
If a CDS is a notional principal contract, pre-default periodic and nonperiodic payments on the swap are deductible and included in ordinary income. If a payment is a termination payment, or a payment received on a sale of the swap to a third party, however, its tax treatment is an open question. In
5811:
Despite
Buffett's criticism on derivatives, in October 2008 Berkshire Hathaway revealed to regulators that it has entered into at least $ 4.85 billion in derivative transactions. Buffett stated in his 2008 letter to shareholders that Berkshire Hathaway has no counterparty risk in its derivative
5716:
as the risk free rate. Both analyses make simplifying assumptions (such as the assumption that there is zero cost of unwinding the fixed leg of the swap on default), which may invalidate the no-arbitrage assumption. However the Duffie approach is frequently used by the market to determine theoretical
1432:
Physical settlement: The protection seller pays the buyer par value, and in return takes delivery of a debt obligation of the reference entity. For example, a hedge fund has bought $ 5 million worth of protection from a bank on the senior debt of a company. In the event of a default, the bank
1115:
to begin guaranteeing credit-default swaps. The SEC exemption represented the last regulatory approval needed by
Atlanta-based Intercontinental. A derivatives analyst at Morgan Stanley, one of the backers for IntercontinentalExchange's subsidiary, ICE Trust in New York, launched in 2008, claimed that
1074:
caused a total close to $ 400 billion to become payable to the buyers of CDS protection referenced against the insolvent bank. However the net amount that changed hands was around $ 7.2 billion. This difference is due to the process of 'netting'. Market participants co-operated so that CDS
1054:
In the days and weeks leading up to Bear's collapse, the bank's CDS spread widened dramatically, indicating a surge of buyers taking out protection on the bank. It has been suggested that this widening was responsible for the perception that Bear
Stearns was vulnerable, and therefore restricted its
758:
Credit default swaps are often used to manage the risk of default that arises from holding debt. A bank, for example, may hedge its risk that a borrower may default on a loan by entering into a CDS contract as the buyer of protection. If the loan goes into default, the proceeds from the CDS contract
9449:
See
Hearing to Review the Role of Credit Derivatives in the U.S. Economy, Before H. Comm. on Agriculture, at 4 (Nov. 20, 2008) (statement of Eric Dinallo, Superintendent of New York State Ins. Dept.) (declaring that "ith the proliferation of various kinds of derivatives in the late 20th Century came
5909:
announced that it was studying the characterization of CDS in response to taxpayer confusion. As the outcome of its study, the IRS issued proposed regulations in 2011 specifically classifying CDS as notional principal contracts, and thereby qualifying such termination and sale payments for favorable
5900:
for tax purposes,(Peaslee & Nirenberg 2008-07-21:129). but this is not certain. There is a risk of having CDS recharacterized as different types of financial instruments because they resemble put options and credit guarantees. In particular, the degree of risk depends on the type of settlement
5777:
settled at a final price of 8.625%) and that these large payouts could lead to further bankruptcies of firms without enough cash to settle their contracts. However, industry estimates after the auction suggest that net cashflows were only in the region of $ 7 billion. because many parties held
1386:
The definition of restructuring is quite technical but is essentially intended to respond to circumstances where a reference entity, as a result of the deterioration of its credit, negotiates changes in the terms in its debt with its creditors as an alternative to formal insolvency proceedings (i.e.
1380:; fiscal policy choices related to government revenues and expenses; and approaches used by nations to bail out troubled banking industries and private bondholders, assuming private debt burdens or socialising losses. The Credit default swap market also reveals the beginning of the sovereign crisis.
1329:
that limit the range of obligations that a protection buyer may deliver upon a credit event. Trading conventions for deliverable obligation characteristics vary for different markets and CDS contract types. Typical limitations include that deliverable debt be a bond or loan, that it have a maximum
1012:
Explosive growth was not without operational headaches. On
September 15, 2005, the New York Fed summoned 14 banks to its offices. Billions of dollars of CDS were traded daily but the record keeping was more than two weeks behind. This created severe risk management issues, as counterparties were in
996:
The high market share enjoyed by the banks was soon eroded as more and more asset managers and hedge funds saw trading opportunities in credit default swaps. By 2002, investors as speculators, rather than banks as hedgers, dominated the market. National banks in the USA used credit default swaps as
861:
For example, if a company has announced some bad news and its share price has dropped by 25%, but its CDS spread has remained unchanged, then an investor might expect the CDS spread to increase relative to the share price. Therefore, a basic strategy would be to go long on the CDS spread (by buying
814:
If Risky Corporation defaults on its debt three years into the CDS contract, the pension fund would stop paying the quarterly premium, and Derivative Bank would ensure that the pension fund is refunded for its loss of $ 10 million minus recovery (either by physical or cash settlement — see
785:
with a particular borrower or industry. The bank can lay off some of this risk by buying a CDS. Because the borrower—the reference entity—is not a party to a credit default swap, entering into a CDS allows the bank to achieve its diversity objectives without impacting its loan portfolio or customer
739:
Proponents of naked credit default swaps say that short selling in various forms, whether credit default swaps, options or futures, has the beneficial effect of increasing liquidity in the marketplace. That benefits hedging activities. Without speculators buying and selling naked CDSs, banks wanting
595:
If Risky Corp does indeed default after, say, one year, then the hedge fund will have paid $ 500,000 to AAA-Bank, but then receives $ 10 million (assuming zero recovery rate, and that AAA-Bank has the liquidity to cover the loss), thereby making a profit. AAA-Bank, and its investors, will incur
507:
Another kind of risk for the seller of credit default swaps is jump risk or jump-to-default risk ("JTD risk"). A seller of a CDS could be collecting monthly premiums with little expectation that the reference entity may default. A default creates a sudden obligation on the protection sellers to pay
359:
to default by the market, since a higher fee is being charged to protect against this happening. However, factors such as liquidity and estimated loss given default can affect the comparison. Credit spread rates and credit ratings of the underlying or reference obligations are considered among money
5956:
During the rapid growth of the credit derivatives market the 1999 ISDA Credit Derivatives Definitions were introduced to standardize the legal documentation of CDS. Subsequently, replaced with the 2003 ISDA Credit Derivatives Definitions, and later the 2014 ISDA Credit Derivatives Definitions, each
5939:
A new type of default swap is the "loan only" credit default swap (LCDS). This is conceptually very similar to a standard CDS, but unlike "vanilla" CDS, the underlying protection is sold on syndicated secured loans of the Reference Entity rather than the broader category of "Bond or Loan". Also, as
5930:
as the CDS changes value over its life due to market conditions and due to the tendency for shorter dated CDS to sell at lower prices than longer dated CDS. One can try to account for the CDS as a hedge under FASB 133 but in practice that can prove very difficult unless the risky asset owned by the
5855:
corporate bonds in 2005 and decided to hedge their exposure by buying CDS protection from Lehman Brothers. After Lehman's default, this protection was no longer active, and Washington Mutual's sudden default only days later would have led to a massive loss on the bonds, a loss that should have been
5803:
To hedge the counterparty risk of entering a CDS transaction, one practice is to buy CDS protection on one's counterparty. The positions are marked-to-market daily and collateral pass from buyer to seller or vice versa to protect both parties against counterparty default, but money does not always
1202:
Members of the Intercontinental clearinghouse ICE Trust (now ICE Clear Credit) in March 2009 would have to have a net worth of at least $ 5 billion (~$ 6.9 billion in 2023) and a credit rating of A or better to clear their credit-default swap trades. Intercontinental said in the statement
1176:
The SEC's approval for ICE Futures' request to be exempted from rules that would prevent it clearing CDSs was the third government action granted to Intercontinental in one week. On March 3, its proposed acquisition of Clearing Corp., a Chicago clearinghouse owned by eight of the largest dealers in
1132:
managing director Athanassios Diplas "the industry pushed through 10 years worth of changes in just a few months". By late 2008 processes had been introduced allowing CDSs that offset each other to be cancelled. Along with termination of contracts that have recently paid out such as those based on
769:
If both the borrower and lender are well-known and the market (or even worse, the news media) learns that the bank is selling the loan, then the sale may be viewed as signaling a lack of trust in the borrower, which could severely damage the banker-client relationship. In addition, the bank simply
567:
Finally, an investor might speculate on an entity's credit quality, since generally CDS spreads increase as credit-worthiness declines, and decline as credit-worthiness increases. The investor might therefore buy CDS protection on a company to speculate that it is about to default. Alternatively,
1223:
Chief Investment Office (CIO), referred to as "the London whale" in reference to the huge positions he was taking. Heavy opposing bets to his positions are known to have been made by traders, including another branch of J.P. Morgan, who purchased the derivatives offered by J.P. Morgan in such high
1206:
A clearinghouse acts as the buyer to every seller and seller to every buyer, reducing the risk of counterparty defaulting on a transaction. In the over-the-counter market, where credit- default swaps are currently traded, participants are exposed to each other in case of a default. A clearinghouse
992:
At first, banks were the dominant players in the market, as CDS were primarily used to hedge risk in connection with their lending activities. Banks also saw an opportunity to free up regulatory capital. By March 1998, the global market for CDS was estimated at $ 300 billion, with JP Morgan alone
652:
gets credit exposure to a portfolio of fixed income assets without owning those assets through the use of CDS. CDOs are viewed as complex and opaque financial instruments. An example of a synthetic CDO is Abacus 2007-AC1, which is the subject of the civil suit for fraud brought by the SEC against
640:
Transactions such as these do not even have to be entered into over the long-term. If Risky Corp's CDS spread had widened by just a couple of basis points over the course of one day, the hedge fund could have entered into an offsetting contract immediately and made a small profit over the life of
555:
Credit default swaps allow investors to speculate on changes in CDS spreads of single names or of market indices such as the North American CDX index or the European iTraxx index. An investor might believe that an entity's CDS spreads are too high or too low, relative to the entity's bond yields,
476:
The seller takes the risk that the buyer may default on the contract, depriving the seller of the expected revenue stream. More importantly, a seller normally limits its risk by buying offsetting protection from another party — that is, it hedges its exposure. If the original buyer drops out,
96:
Credit default swaps in their current form have existed since the early 1990s and increased in use in the early 2000s. By the end of 2007, the outstanding CDS amount was $ 62.2 trillion, falling to $ 26.3 trillion by mid-year 2010 and reportedly $ 25.5 trillion in early 2012. CDSs
5913:
The thrust of this criticism is that Naked CDS are indistinguishable from gambling wagers, and thus give rise in all instances to ordinary income, including to hedge fund managers on their so-called carried interests, and that the IRS exceeded its authority with the proposed regulations. This is
2754:
There are two competing theories usually advanced for the pricing of credit default swaps. The first, referred to herein as the 'probability model', takes the present value of a series of cashflows weighted by their probability of non-default. This method suggests that credit default swaps should
1038:
Since default is a relatively rare occurrence (historically around 0.2% of investment grade companies default in any one year), in most CDS contracts the only payments are the premium payments from buyer to seller. Thus, although the above figures for outstanding notionals are very large, in the
810:
If Risky Corporation does not default on its bond payments, the pension fund makes quarterly payments to Derivative Bank for 5 years and receives its $ 10 million back after five years from Risky Corp. Though the protection payments totaling $ 1 million reduce investment returns for the
1441:
The development and growth of the CDS market has meant that on many companies there is now a much larger outstanding notional of CDS contracts than the outstanding notional value of its debt obligations. (This is because many parties made CDS contracts for speculative purposes, without actually
1436:
Cash settlement: The protection seller pays the buyer the difference between par value and the market price of a debt obligation of the reference entity. For example, a hedge fund has bought $ 5 million worth of protection from a bank on the senior debt of a company. This company has now
1193:
Other proposals to clear credit-default swaps have been made by NYSE Euronext, Eurex AG and LCH.Clearnet Ltd. Only the NYSE effort is available now for clearing after starting on Dec. 22. As of Jan. 30, no swaps had been cleared by the NYSE’s London- based derivatives exchange, according to NYSE
1180:
Clearing Corp. shareholders including JPMorgan Chase & Co., Goldman Sachs Group Inc. and UBS AG, received $ 39 million in cash from Intercontinental in the acquisition, as well as the Clearing Corp.’s cash on hand and a 50–50 profit-sharing agreement with Intercontinental on the revenue
516:
Data about the credit default swaps market is available from three main sources. Data on an annual and semiannual basis is available from the International Swaps and Derivatives Association (ISDA) since 2001 and from the Bank for International Settlements (BIS) since 2004. The Depository Trust
240:
A CDS is linked to a "reference entity" or "reference obligor", usually a corporation or government. The reference entity is not a party to the contract. The buyer makes regular premium payments to the seller, the premium amounts constituting the "spread" charged in basis points by the seller to
1462:
is held following the publication of the initial midpoint of the dealer markets and what is the net open interest to deliver or be delivered actual bonds or loans. The final clearing point of this auction sets the final price for cash settlement of all CDS contracts and all physical settlement
845:
strategy that uses CDS transactions. This technique relies on the fact that a company's stock price and its CDS spread should exhibit negative correlation; i.e., if the outlook for a company improves then its share price should go up and its CDS spread should tighten, since it is less likely to
797:
Hedging risk is not limited to banks as lenders. Holders of corporate bonds, such as banks, pension funds or insurance companies, may buy a CDS as a hedge for similar reasons. Pension fund example: A pension fund owns five-year bonds issued by Risky Corp with par value of $ 10 million. To
5761:
In the case of Lehman Brothers, it is claimed that the widening of the bank's CDS spread reduced confidence in the bank and ultimately gave it further problems that it was not able to overcome. However, proponents of the CDS market argue that this confuses cause and effect; CDS spreads simply
1008:
The market size for Credit Default Swaps more than doubled in size each year from $ 3.7 trillion in 2003. By the end of 2007, the CDS market had a notional value of $ 62.2 trillion. But notional amount fell during 2008 as a result of dealer "portfolio compression" efforts (replacing
1152:
A clearinghouse, and changes to the contracts to standardize them, will probably boost activity. ... Trading will be much easier.... We'll see new players come to the market because they’ll like the idea of this being a better and more traded product. We also feel like over time we'll see the
1107:
By 2010, Intercontinental Exchange, through its subsidiaries, ICE Trust in New York, launched in 2008, and ICE Clear Europe Limited in London, UK, launched in July 2009, clearing entities for credit default swaps (CDS) had cleared more than $ 10 trillion in credit default swaps (CDS) (Terhune
956:
In 1997, JPMorgan developed a proprietary product called BISTRO (Broad Index Securitized Trust Offering) that used CDS to clean up a bank's balance sheet. The advantage of BISTRO was that it used securitization to split up the credit risk into little pieces that smaller investors found more
1188:
For several months the SEC and our fellow regulators have worked closely with all of the firms wishing to establish central counterparties.... We believe that CME should be in a position soon to provide us with the information necessary to allow the commission to take action on its exemptive
6806:
If the fund manager acts as the protection seller under a CDS, there is some risk of breach of insurance regulations for the manager.... There is no Netherlands Antilles case law or literature available which makes clear whether a CDS constitutes the 'conducting of insurance business' under
1136:
The Bank for International Settlements estimates that outstanding derivatives total $ 708 trillion. U.S. and European regulators are developing separate plans to stabilize the derivatives market. Additionally there are some globally agreed standards falling into place in March 2009,
740:
to hedge might not find a ready seller of protection. Speculators also create a more competitive marketplace, keeping prices down for hedgers. A robust market in credit default swaps can also serve as a barometer to regulators and investors about the credit health of a company or country.
1160:
In Europe, CDS Index clearing was launched by IntercontinentalExchange's European subsidiary ICE Clear Europe on July 31, 2009. It launched Single Name clearing in Dec 2009. By the end of 2009, it had cleared CDS contracts worth EUR 885 billion reducing the open interest down to EUR
621:$ 10 million worth of protection for 1 year to AAA-Bank at this higher rate. Therefore, over the two years the hedge fund pays the bank 2 * 5% * $ 10 million = $ 1 million, but receives 1 * 15% * $ 10 million = $ 1.5 million, giving a total profit of $ 500,000.
255:
An investor or speculator may "buy protection" to hedge the risk of default on a bond or other debt instrument, regardless of whether such investor or speculator holds an interest in or bears any risk of loss relating to such bond or debt instrument. In this way, a CDS is similar to
5749:
Critics of the huge credit default swap market have claimed that it has been allowed to become too large without proper regulation and that, because all contracts are privately negotiated, the market has no transparency. Furthermore, there have been claims that CDSs exacerbated the
5947:
Because LCDS trades are linked to secured obligations with much higher recovery values than the unsecured bond obligations that are typically assumed the cheapest to deliver in respect of vanilla CDS, LCDS spreads are generally much tighter than CDS trades on the same name.
2815:
premium payments. So CDS pricing models have to take into account the possibility of a default occurring some time between the effective date and maturity date of the CDS contract. For the purpose of explanation we can imagine the case of a one-year CDS with effective date
5910:
capital gains tax treatment. These proposed regulations, which are yet to be finalized, have already been subject to criticism at a public hearing held by the IRS in January 2012, as well as in the academic press, insofar as that classification would apply to Naked CDS.
397:
Insurance requires the buyer to disclose all known risks, while CDSs do not (the CDS seller can in many cases still determine potential risk, as the debt instrument being "insured" is a market commodity available for inspection, but in the case of certain instruments like
709:, estimated to be up to 80% of the credit default swap market. There is currently a debate in the United States and Europe about whether speculative uses of credit default swaps should be banned. Legislation is under consideration by Congress as part of financial reform.
583:. Shorting a bond faced difficult practical problems, such that shorting was often not feasible; CDS made shorting credit possible and popular. Because the speculator in either case does not own the bond, its position is said to be a synthetic long or short position.
9812:
862:
CDS protection) while simultaneously hedging oneself by buying the underlying stock. This technique would benefit in the event of the CDS spread widening relative to the equity price, but would lose money if the company's CDS spread tightened relative to its equity.
1295:. Typical CDS contracts do not provide an internal mechanism for challenging the occurrence or non-occurrence of a credit event and rather leave the matter to the courts if necessary, though actual instances of specific events being disputed are relatively rare.
1104:(DTCC), which runs a warehouse for CDS trade confirmations accounting for around 90% of the total market, announced that it will release market data on the outstanding notional of CDS trades on a weekly basis. The data can be accessed on the DTCC's website here:
6807:
Netherlands Antilles law. However, if certain requirements are met, credit derivatives do not qualify as an agreement of (non-life) insurance because such an arrangement would in those circumstances not contain all the elements necessary to qualify it as such.
997:
early as 1996. In that year, the Office of the Comptroller of the Currency measured the size of the market as tens of billions of dollars. Six years later, by year-end 2002, the outstanding amount was over $ 2 trillion (~$ 3.24 trillion in 2023).
876:
Another common arbitrage strategy aims to exploit the fact that the swap-adjusted spread of a CDS should trade closely with that of the underlying cash bond issued by the reference entity. Misalignment in spreads may occur due to technical reasons such as:
599:
However, if Risky Corp does not default, then the CDS contract runs for two years, and the hedge fund ends up paying $ 1 million, without any return, thereby making a loss. AAA-Bank, by selling protection, has made $ 1 million without any upfront
5921:
basis. In contrast, assets that are held for investment, such as a commercial loan or bonds, are reported at cost, unless a probable and significant loss is expected. Thus, hedging a commercial loan using a CDS can induce considerable volatility into the
952:
where he and his team created bundles of swaps and sold them to investors. The investors would get the streams of revenue, according to the risk-and-reward level they chose; the bank would get insurance against its loans, and fees for setting up the deal.
252:. CDS contracts on sovereign obligations also usually include as credit events repudiation, moratorium, and acceleration. Most CDSs are in the $ 10–$ 20 million range with maturities between one and 10 years. Five years is the most typical maturity.
5772:
It was also feared at the time of Lehman's bankruptcy that the $ 400 billion notional of CDS protection which had been written on the bank could lead to a net payout of $ 366 billion from protection sellers to buyers (given the cash-settlement
68:. That is, the seller of the CDS insures the buyer against some reference asset defaulting. The buyer of the CDS makes a series of payments (the CDS "fee" or "spread") to the seller and, in exchange, may expect to receive a payoff if the asset defaults.
393:
The seller is not required to maintain reserves to cover the protection sold (this was a principal cause of AIG's financial distress in 2008; it had insufficient reserves to meet the "run" of expected payouts caused by the collapse of the housing
477:
the seller squares its position by either unwinding the hedge transaction or by selling a new CDS to a third party. Depending on market conditions, that may be at a lower price than the original CDS and may therefore involve a loss to the seller.
5221:
1140:
1. The introduction of central clearing houses, one for the US and one for Europe. A clearing house acts as the central counterparty to both sides of a CDS transaction, thereby reducing the counterparty risk that both buyer and seller face.
9450:
legal uncertainty as to whether certain derivatives, including credit default swaps, violated state bucket shop and gambling laws. created a ‘safe harbor’ by . . . preempting state and local gaming and bucket shop laws . . .") available at
789:
A bank buying protection can also use a CDS to free regulatory capital. By offloading a particular credit risk, a bank is not required to hold as much capital in reserve against the risk of default (traditionally 8% of the total loan under
1433:
pays the hedge fund $ 5 million cash, and the hedge fund must deliver $ 5 million face value of senior debt of the company (typically bonds or loans, which are typically worth very little given that the company is in default).
590:
believes that Risky Corp will soon default on its debt. Therefore, it buys $ 10 million worth of CDS protection for two years from AAA-Bank, with Risky Corp as the reference entity, at a spread of 500 basis points (=5%) per annum.
723:
called for an outright ban on naked credit default swaps, viewing them as "toxic" and allowing speculators to bet against and "bear raid" companies or countries. His concerns were echoed by several European politicians who, during the
947:
Despite early successes, credit default swaps could not be profitable until an industrialized and streamlined process was created to issue them. This changed when CDS's began to be traded as securities from JPMorgan, an effort led by
1359:
Sovereign credit default swap prices of selected European countries (2010-2011). The left axis is basis points, or 100ths of a percent; a level of 1,000 means it costs $ 1 million per year to protect $ 10 million of debt for five
1177:
the credit-default swap market, was approved by the Federal Trade Commission and the Justice Department. On March 5, 2009, the Federal Reserve Board, which oversees the clearinghouse, granted a request for ICE to begin clearing.
5891:
The U.S federal income tax treatment of CDS is uncertain (Nirenberg and Kopp 1997:1, Peaslee & Nirenberg 2008-07-21:129 and Brandes 2008). Commentators have suggested that, depending on how they are drafted, they are either
5877:, the establishment of a central exchange or clearing house for CDS trades would help to solve the "domino effect" problem, since it would mean that all trades faced a central counterparty guaranteed by a consortium of dealers.
5762:
reflected the reality that the company was in serious trouble. Furthermore, they claim that the CDS market allowed investors who had counterparty risk with Lehman Brothers to reduce their exposure in the case of their default.
5819:
insurance companies got involved with writing credit default swaps on mortgage-backed CDOs. Some media reports have claimed this was a contributing factor to the downfall of some of the monolines. In 2009 one of the monolines,
1075:
sellers were allowed to deduct from their payouts the inbound funds due to them from their hedging positions. Dealers generally attempt to remain risk-neutral, so that their losses and gains after big events offset each other.
3126:
is made, shown in blue. At either side of the diagram are the cashflows up to that point in time with premium payments in blue and default payments in red. If the contract is terminated the square is shown with solid shading.
4166:
902:
and should theoretically be close to zero. Basis trades attempt to exploit this difference to make a profit, however hedging a bond with a CDS does have irreducible risks which should be considered when making basis trades.
735:
Chairman Gensler are not in favor of an outright ban on naked credit default swaps. They prefer greater transparency and better capitalization requirements. These officials think that naked CDSs have a place in the market.
5856:
insured by the CDS. There was also fear that Lehman Brothers and AIG's inability to pay out on CDS contracts would lead to the unraveling of complex interlinked chain of CDS transactions between financial institutions.
163:
Some claim that derivatives such as CDS are potentially dangerous in that they combine priority in bankruptcy with a lack of transparency. A CDS can be unsecured (without collateral) and be at higher risk for a default.
1025:
Composition of the United States 15.5 trillion US dollar CDS market at the end of 2008 Q2. Green tints show Prime asset CDSs, reddish tints show sub-prime asset CDSs. Numbers followed by "Y" indicate years until
75:
of the loan), and the seller of the CDS takes possession of the defaulted loan or its market value in cash. However, anyone can purchase a CDS, even buyers who do not hold the loan instrument and who have no direct
853:
arbitrage because they exploit market inefficiencies between different parts of the same company's capital structure; i.e., mis-pricings between a company's debt and equity. An arbitrageur attempts to exploit the
1147:
Speaking before the changes went live, Sivan Mahadevan, a derivatives analyst at Morgan Stanley, one of the backers for IntercontinentalExchange's subsidiary, ICE Trust in New York, launched in 2008, claimed that
3952:
1000:
Although speculators fueled the exponential growth, other factors also played a part. An extended market could not emerge until 1999, when ISDA standardized the documentation for credit default swaps. Also, the
286:
As an example, imagine that an investor buys a CDS from AAA-Bank, where the reference entity is Risky Corp. The investor—the buyer of protection—will make regular payments to AAA-Bank—the seller of protection.
7903:"Remarks by Chairman Alan Greenspan Risk Transfer and Financial Stability To the Federal Reserve Bank of Chicago's Forty-first Annual Conference on Bank Structure, Chicago, Illinois (via satellite) May 5, 2005"
6039:
Intercontinental Exchange's closest rival as credit default swaps (CDS) clearing houses, CME Group (CME) cleared $ 192 million in comparison to ICE's $ 10 trillion (Terhune Bloomberg Business Week 2010-07-29).
1286:
It is not the responsibility of the calculation agent to determine whether or not a credit event has occurred but rather a matter of fact that, pursuant to the terms of typical contracts, must be supported by
604:
Note that there is a third possibility in the above scenario; the hedge fund could decide to liquidate its position after a certain period of time in an attempt to realise its gains or losses. For example:
7672:
3735:
806:(200 basis points = 2.00 percent). In return for this credit protection, the pension fund pays 2% of $ 10 million ($ 200,000) per annum in quarterly installments of $ 50,000 to Derivative Bank.
8230:"Testimony Concerning Turmoil in U.S. Credit Markets: Recent Actions Regarding Government Sponsored Entities, Investment Banks and Other Financial Institutions (Christopher Cox, September 23, 2008)"
579:
Credit default swaps opened up important new avenues to speculators. Investors could go long on a bond without any upfront cost of buying a bond; all the investor need do was promise to pay in the
3033:
To price the CDS we now need to assign probabilities to the five possible outcomes, then calculate the present value of the payoff for each outcome. The present value of the CDS is then simply the
823:
In addition to financial institutions, large suppliers can use a credit default swap on a public bond issue or a basket of similar risks as a proxy for its own credit risk exposure on receivables.
747:
found that naked CDS did not worsen the Greek credit crisis. Without credit default swaps, Greece's borrowing costs would be higher. As of November 2011, the Greek bonds have a bond yield of 28%.
6756:
like insurance insofar as the buyer collects when an underlying security defaults ... unlike insurance, however, in that the buyer need not have an "insurable interest" in the underlying security
5901:(physical/cash and binary/FMV) and trigger (default only/any credit event) (Nirenberg & Kopp 1997:8). And, as noted below, the appropriate treatment for Naked CDS may be entirely different.
1337:
The premium payments are generally quarterly, with maturity dates (and likewise premium payment dates) falling on March 20, June 20, September 20, and December 20. Due to the proximity to the
8365:
473:"), the buyer loses its protection against default by the reference entity. If AAA-Bank defaults but Risky Corp. does not, the buyer might need to replace the defaulted CDS at a higher cost.
344:, or 0.5% (1 basis point = 0.01%), then an investor buying $ 10 million worth of protection from AAA-Bank must pay the bank $ 50,000. Payments are usually made on a quarterly basis, in
8760:
1157:
In the U.S., central clearing operations began in March 2009, operated by InterContinental Exchange (ICE). A key competitor also interested in entering the CDS clearing sector is CME Group.
9615:
7011:"The Trade Information Warehouse (Warehouse) is the market's first and only centralized global repository for trade reporting and post-trade processing of OTC credit derivatives contracts"
4648:
1128:
The early months of 2009 saw several fundamental changes to the way CDSs operate, resulting from concerns over the instruments' safety after the events of the previous year. According to
712:
Critics assert that naked CDSs should be banned, comparing them to buying fire insurance on your neighbor's house, which creates a huge incentive for arson. Analogizing to the concept of
6607:
4491:
3541:
4070:
766:. However, these options may not meet the bank's needs. Consent of the corporate borrower is often required. The bank may not want to incur the time and cost to find loan participants.
6988:
5917:
The accounting treatment of CDS used for hedging may not parallel the economic effects and instead, increase volatility. For example, GAAP generally require that CDS be reported on a
5086:
957:
digestible, since most investors lacked EBRD's capability to accept $ 4.8 billion in credit risk all at once. BISTRO was the first example of what later became known as synthetic
9271:
7128:
3843:
5840:, counterparties became subject to a risk of default, amplified with the involvement of Lehman Brothers and AIG in a very large number of CDS transactions. This is an example of
4915:
4246:
3999:
3782:
3588:
3429:
1454:) may be held to facilitate settlement of a large number of contracts at once, at a fixed cash settlement price. During the auction process participating dealers (e.g., the big
7602:. Amherst, MA: Center for International Securities and Derivatives Markets, Isenberg School of Management, University of Massachusetts, Amherst, 2004. Retrieved March 17, 2009.
5789:; that CDS contracts have been acting to distribute risk just as was intended; and that it is not CDSs themselves that need further regulation but the parties who trade them.
5692:
3639:
6868:
4767:
6838:
1203:
today that all market participants such as hedge funds, banks or other institutions are open to become members of the clearinghouse as long as they meet these requirements.
9497:
8301:
5096:
1116:
the "clearinghouse, and changes to the contracts to standardize them, will probably boost activity". IntercontinentalExchange's subsidiary, ICE Trust's larger competitor,
9655:
3313:
3286:
4412:
819:). The pension fund still loses the $ 600,000 it has paid over three years, but without the CDS contract it would have lost the entire $ 10 million minus recovery.
3464:
1164:
By the end of 2009, banks had reclaimed much of their market share; hedge funds had largely retreated from the market after the crises. According to an estimate by the
9795:
7562:
7550:
the use of an exotic credit default swap (called a Net Lease CDS), which effectively hedges tenant credit risk but at a substantially higher price than a vanilla swap.
1467:(ISDA), who organised them, auctions have recently proved an effective way of settling the very large volume of outstanding CDS contracts written on companies such as
1458:) submit prices at which they would buy and sell the reference entity's debt obligations, as well as net requests for physical settlement against par. A second stage
324:
AAA-Bank pays the investor the difference between the par value and the market price of a specified debt obligation (even if Risky Corp defaults there is usually some
3255:
3168:
368:
CDS contracts have obvious similarities with insurance contracts because the buyer pays a premium and, in return, receives a sum of money if an adverse event occurs.
9790:
7705:
5497:
3073:
5258:
4579:
4359:
4332:
4305:
4278:
3874:
3670:
3495:
3360:
3222:
3195:
2949:
2922:
2895:
2868:
2841:
750:
A bill in the U.S. Congress proposed giving a public authority the power to limit the use of CDSs other than for hedging purposes, but the bill did not become law.
4520:
3124:
3020:
1039:
absence of default the net cash flows are only a small fraction of this total: for a 100 bp = 1% spread, the annual cash flows are only 1% of the notional amount.
520:
According to DTCC, the Trade Information Warehouse maintains the only "global electronic database for virtually all CDS contracts outstanding in the marketplace."
5782:
frequently. This would have led to margin calls from buyers to sellers as Lehman's CDS spread widened, reducing the net cashflows on the days after the auction.
4188:
3382:
9674:
968:, regulators initially found CDS's ability to disperse default risk attractive. In 2000, credit default swaps became largely exempt from regulation by both the
336:
The "spread" of a CDS is the annual amount the protection buyer must pay the protection seller over the length of the contract, expressed as a percentage of the
6731:"Testimony Concerning Turmoil in U.S. Credit Markets: Recent Actions Regarding Government Sponsored Entities, Investment Banks and Other Financial Institutions"
4544:
4383:
3093:
2989:
2969:
10734:
379:. By contrast, a CDS provides an equal payout to all holders, calculated using an agreed, market-wide method. The holder does not need to own the underlying
3040:
This is illustrated in the following tree diagram where at each payment date either the contract has a default event, in which case it ends with a payment of
248:
A default is often referred to as a "credit event" and includes such events as failure to pay, restructuring and bankruptcy, or even a drop in the borrower's
786:
relations. Similarly, a bank selling a CDS can diversify its portfolio by gaining exposure to an industry in which the selling bank has no customer base.
1034:
Proportion of CDSs nominals (lower left) held by United States banks compared to all derivatives, in 2008Q2. The black disc represents the 2008 public debt.
10646:
9759:
9945:
7370:
44:
If the reference bond defaults, the protection seller pays par value of the bond to the buyer, and the buyer transfers ownership of the bond to the seller
9068:
5844:, risk which threatens an entire market, and a number of commentators have argued that size and deregulation of the CDS market have increased this risk.
1479:, however, has questioned in advance ISDA's ability to structure an auction, as defined to date, to set compensation associated with a 2012 bond swap in
928:
are widely credited with creating the modern credit default swap in 1994. In that instance, J.P. Morgan had extended a $ 4.8 billion credit line to
9428:
Diane Freda, I.R.S. Proposed Rules Mistakenly Classify Section 1256 Contracts, I.R.S. Witnesses Say, DAILY TAX REP. (BNA) No. 12 at G-4 (Jan. 20, 2012).
705:
In the examples above, the hedge fund did not own any debt of Risky Corp. A CDS in which the buyer does not own the underlying debt is referred to as a
9312:
Nirenberg, David Z.; Steven L. Kopp. (August 1997). "Credit Derivatives: Tax Treatment of Total Return Swaps, Default Swaps, and Credit-Linked Notes".
4081:
485:, such as ICE TCC, there will no longer be "counterparty risk", as the risk of the counterparty will be held with the central exchange/clearing house.
8474:
1047:
The market for Credit Default Swaps attracted considerable concern from regulators after a number of large scale incidents in 2008, starting with the
8964:
8765:
1302:
that will give rise to payment obligations by the protection seller and delivery obligations by the protection buyer. Typical credit events include
568:
the investor might sell protection if it thinks that the company's creditworthiness might improve. The investor selling the CDS is viewed as being "
8720:
8376:
6781:
If a default occurs, the party providing the credit protection — the seller — must make the buyer whole on the amount of insurance bought.
6533:
1067:
of Bear's collapse; i.e., investors saw that Bear was in trouble, and sought to hedge any naked exposure to the bank, or speculate on its collapse.
762:
There are other ways to eliminate or reduce the risk of default. The bank could sell (that is, assign) the loan outright or bring in other banks as
9956:
9905:
8333:
7925:
7488:
6900:
6348:
6124:
1480:
869:(LBO). Frequently this leads to the company's CDS spread widening due to the extra debt that will soon be put on the company's books, but also an
9786:
8865:
6407:
492:. If one or both parties to a CDS contract must post collateral (which is common), there can be margin calls requiring the posting of additional
351:
All things being equal, at any given time, if the maturity of two credit default swaps is the same, then the CDS associated with a company with a
9669:
9200:
6131:
1464:
1241:
1144:
2. The international standardization of CDS contracts, to prevent legal disputes in ambiguous cases where what the payout should be is unclear.
941:
126:
9040:
8672:
8413:
8175:
7192:
504:
of one of the parties changes. Many CDS contracts even require payment of an upfront fee (composed of "reset to par" and an "initial coupon.").
8543:
7227:
The Looting of America: How Wall Street's Game of Fantasy Finance Destroyed Our Jobs, Our Pensions, and Prosperity, and What We Can Do About It
6619:
137:), as well as loan-only credit default swaps (LCDS). Further, in addition to corporations and governments, the reference entity can include a
9873:
9834:
8091:
6794:
5859:
Chains of CDS transactions can arise from a practice known as "netting". Here, company B may buy a CDS from company A with a certain annual
9214:
10440:
10015:
3880:
1350:
9275:
8051:
7135:
5704:
In the "no-arbitrage" model proposed by both Duffie, and Hull-White, it is assumed that there is no risk free arbitrage. Duffie uses the
1215:
In April 2012, hedge fund insiders became aware that the market in credit default swaps was possibly being affected by the activities of
1005:
spurred a market for CDS in emerging market sovereign debt. In addition, in 2004, index trading began on a large scale and grew rapidly.
977:
9828:
3022:. If we assume for simplicity that defaults can only occur on one of the payment dates then there are five ways the contract could end:
10445:
9123:
7593:
7010:
6069:
5805:
3026:
either it does not have any default at all, so the four premium payments are made and the contract survives until the maturity date, or
1101:
371:
However, there are also many differences, the most important being that an insurance contract provides an indemnity against the losses
106:
5828:, claiming that Merrill had misrepresented some of its CDOs to MBIA in order to persuade MBIA to write CDS protection for those CDOs.
7519:
524:
9866:
9665:
9451:
8818:
6962:
5766:
4549:
To get the total present value of the credit default swap we multiply the probability of each outcome by its present value to give
1009:
offsetting redundant contracts), and by the end of 2008 notional amount outstanding had fallen 38 percent to $ 38.6 trillion.
442:
8647:
6875:
944:
in order to cut the reserves that J.P. Morgan was required to hold against Exxon's default, thus improving its own balance sheet.
10780:
8569:
8305:
7962:
6179:
969:
865:
An interesting situation in which the inverse correlation between a company's stock price and CDS spread breaks down is during a
8366:"The Derivatives Dealers' Club and Derivatives Markets Reform: A Guide for Policy Makers, Citizens and Other Interested Parties"
7858:
7129:"The Derivatives Dealers' Club and Derivatives Markets Reform: A Guide for Policy Makers, Citizens and Other Interested Parties"
10470:
8949:
8524:
5957:
definition update seeks to ensure the CDS payoffs closely mimic the economics of the underlying reference obligations (bonds).
3676:
452:
To cancel the insurance contract, the buyer can typically stop paying premiums, while for CDS the contract needs to be unwound.
9980:
8989:
10937:
7759:
7453:
7235:
7074:
5971:
1383:
Since December 1, 2011 the European Parliament has banned naked Credit default swap (CDS) on the debt for sovereign nations.
291:
Risky Corp defaults on its debt, the investor receives a one-time payment from AAA-Bank, and the CDS contract is terminated.
7569:
6683:
508:
millions, if not billions, of dollars to protection buyers. This risk is not present in other over-the-counter derivatives.
383:
and does not even have to suffer a loss from the default event. The CDS can therefore be used to speculate on debt objects.
9713:
9472:
8738:
7680:
7090:
6869:"Keynote Address of Chairman Gary Gensler, OTC Derivatives Reform, Markit's Outlook for OTC Derivatives Markets Conference"
973:
732:
446:
9656:
Barroso considers ban on speculation with banning purely speculative naked sales on credit default swaps of sovereign debt
5737:
change in its swap premium. CS01 may also be defined as the change in value for a one basis point parallel shift in the
4546:. The riskier the reference entity the greater the spread and the more rapidly the survival probability decays with time.
2778:
Under the probability model, a credit default swap is priced using a model that takes four inputs; this is similar to the
798:
manage the risk of losing money if Risky Corp defaults on its debt, the pension fund buys a CDS from Derivative Bank in a
275:. The buyer makes periodic payments to the seller, and in return receives a payoff if an underlying financial instrument
10602:
9296:
8398:
8279:
6376:
5741:. "CS01 Risk", in turn, refers to any unfavorable change in value, in response to changes in underlying credit spreads.
5733:- the credit spread dollar value of one basis point - reflects the change in market value of a CDS in response to a one
283:. The CDS may refer to a specified loan or bond obligation of a "reference entity", usually a corporation or government.
36:
If the reference bond performs without default, the protection buyer pays quarterly payments to the seller until maturity
7612:
Freeman, Jake; Kapoor, Vivek (June 17, 2019). "Irreducible Risks of Hedging a Bond with a Default Swap". Rochester, NY.
7166:
6434:
6162:
1120:, hasn't received an SEC exemption, and agency spokesman John Nester said he didn't know when a decision would be made.
9684:
8501:
7343:
1450:
When a credit event occurs on a major company on which a lot of CDS contracts are written, an auction (also known as a
846:
default on its debt. However, if its outlook worsens then its CDS spread should widen and its stock price should fall.
7840:
7036:
113:) announced it would give regulators greater access to its credit default swaps database. There is "$ 8 trillion
10338:
9641:
8843:
7812:
6717:
984:, specifically stated that CDSs are neither futures nor securities and so are outside the remit of the SEC and CFTC.
417:. Dealers in CDSs manage risk primarily by means of hedging with other CDS deals and in the underlying bond markets;
9775:
9015:
8791:
8620:
5765:
Credit default swaps have also faced criticism that they contributed to a breakdown in negotiations during the 2009
1368:; easy credit conditions during the 2002–2008 period that encouraged high-risk lending and borrowing practices; the
916:
Forms of credit default swaps had been in existence from at least the early 1990s, with early trades carried out by
572:" on the CDS and the credit, as if the investor owned the bond. In contrast, the investor who bought protection is "
97:
are not traded on an exchange and there is no required reporting of transactions to a government agency. During the
10840:
10008:
9690:
9440:
James Blakey, Tax Naked Credit Default Swaps for What They Are: Legalized Gambling, 8 U. Mass. L. Rev. 136 (2013).
7318:
6445:
1341:, which fall on the third Wednesday of these months, these CDS maturity dates are also referred to as "IMM dates".
1225:
6819:
6570:
4585:
481:
In the future, in the event that regulatory reforms require that CDS be traded and settled via a central exchange/
7946:
The lack of standardized documentation for credit swaps, in fact, could become a major brake on market expansion.
5931:
bank or corporation is exactly the same as the Reference Obligation used for the particular CDS that was bought.
4420:
3501:
1021:
360:
managers to be the best indicators of the likelihood of sellers of CDSs having to perform under these contracts.
7520:"Using Letters Of Credit, Credit Default Swaps And Other Forms of Credit Enhancements in Net Lease Transactions"
4005:
10775:
10420:
9949:
8878:
8595:
8092:"The level of outstanding credit-derivative trade confirmations presents operational and legal risks for firms"
7381:
5999:
5837:
5786:
5751:
4925:
1369:
1330:
maturity of 30 years, that it not be subordinated, that it not be subject to transfer restrictions (other than
958:
827:
645:
399:
245:
of the bond in exchange for physical delivery of the bond, although settlement may also be by cash or auction.
98:
9072:
8399:"IntercontinentalExchange gets SEC exemption: The exchange will begin clearing credit-default swaps next week"
8252:
8204:
7902:
794:). This frees resources the bank can use to make other loans to the same key customer or to other borrowers.
6914:
3131:
3037:
of the five payoffs multiplied by their probability of occurring. For a simplified numeric example, see and
1400:
1071:
778:
9560:
7998:
1463:
requests as well as matched limit offers resulting from the auction are actually settled. According to the
596:
a $ 9.5 million loss minus recovery unless the bank has somehow offset the position before the default.
469:
The buyer takes the risk that the seller may default. If AAA-Bank and Risky Corp. default simultaneously ("
203:. If the associated credit instrument suffers no credit event, then the buyer continues paying premiums at t
9141:
8478:
7746:
Fool's Gold: How Unrestrained Greed Corrupted a Dream, Shattered Global Markets and Unleashed a Catastrophe
7290:
6125:"Chart; ISDA Market Survey; Notional amounts outstanding at year-end, all surveyed contracts, 1987–present"
5755:
3788:
3095:
is the recovery rate, or it survives without a default being triggered, in which case a premium payment of
1392:
961:(CDOs). There were two Bistros in 1997 for approximately $ 10 billion (~$ 17.6 billion in 2023) each.
725:
500:
amount may vary over the life of the CDS contract, if the market price of the CDS contract changes, or the
4777:
4194:
1314:
corporate reference entities, European corporate reference entities and sovereigns generally also include
241:
insure against a credit event. If the reference entity defaults, the protection seller pays the buyer the
10815:
10353:
10207:
10001:
8724:
5893:
3958:
3741:
3547:
3388:
1334:), that it be of a standard currency and that it not be subject to some contingency before becoming due.
1133:
Lehmans, this had by March reduced the face value of the market down to an estimated $ 30 trillion.
1086:
1002:
9964:
9923:
9894:
9188:
8337:
7933:
7496:
6733:. Senate Committee on Banking, Housing, and Urban Affairs. September 23, 2008. Retrieved March 17, 2009.
6645:
6135:
294:
If the investor actually owns Risky Corp's debt (i.e., is owed money by Risky Corp), a CDS can act as a
10671:
10612:
10434:
9855:
9045:
8422:
8180:
7201:
6411:
6092:
5966:
1094:
233:, then the seller pays the buyer for the loss, and the buyer would cease paying premiums to the seller.
9780:
9660:
9535:
9510:
8621:"Crony Capitalism: After Lobbying Against New Financial Regulations, JPMorgan Loses $ 2B in Risky Bet"
8153:
6328:"Testimony Concerning Credit Default Swaps Before the House Committee on Agriculture October 15, 2008"
5804:
change hands due to the offset of gains and losses by those who had both bought and sold protection.
5507:
3594:
657:
in April 2010. Abacus is a synthetic CDO consisting of credit default swaps referencing a variety of
10716:
10527:
9696:
8676:
7877:
7673:"The Promise of Credit Derivatives in Nonfinancial Corporations (and Why It's Failed to Materialize)"
6587:
ISDA is the trade group that represents participants in the privately negotiated derivatives industry
6020:
5981:
5216:{\displaystyle -p_{1}p_{2}p_{3}p_{4}(\delta _{1}+\delta _{2}+\delta _{3}+\delta _{4}){\frac {Nc}{4}}}
4658:
2001:
1987:
1112:
940:. A team of J.P. Morgan bankers led by Masters then sold the credit risk from the credit line to the
830:, most observers conclude that using credit default swaps as a hedging device has a useful purpose.
149:
9744:
9722:
9360:
7654:
1137:
administered by International Swaps and Derivatives Association (ISDA). Two of the key changes are:
10927:
10835:
10830:
9751:
9623:
9619:
9603:
6385:
5906:
5796:
famously described derivatives bought speculatively as "financial weapons of mass destruction." In
2763:
1593:
1097:(OTC). This led to recent calls for the market to open up in terms of transparency and regulation.
1090:
1048:
1030:
658:
527:
publishes quarterly credit derivative data about insured U.S commercial banks and trust companies.
482:
9829:
New ways to dice up debt - Suddenly, credit derivatives-deals that spread credit risk--are surging
8102:
7454:"OCC 96-43; OCC Bulletin; Subject: Credit Derivatives; Description: Guidelines for National Banks"
1487:
for Greek bondholders, issued an opinion that the bond swap would not constitute a default event.
1407:'s restructuring in 2000 led to the credit event's removal from North American high yield trades.
101:, the lack of transparency in this large market became a concern to regulators as it could pose a
10785:
10485:
10455:
10430:
10313:
10154:
10086:
9987:
9221:
8025:
7264:
3291:
3264:
1620:
1606:
1364:
The European sovereign debt crisis resulted from a combination of complex factors, including the
965:
774:
402:
made up of "slices" of debt packages, it can be difficult to tell exactly what is being insured);
138:
71:
In the event of default, the buyer of the credit default swap receives compensation (usually the
6326:
Sirri, Erik, Director, Division of Trading and Markets U.S. Securities and Exchange Commission.
6212:
Kiff, John; Jennifer Elliott; Elias Kazarian; Jodi Scarlata; Carolyne Spackman (November 2009).
5785:
Senior bankers have argued that not only did the CDS market function remarkably well during the
4388:
10932:
10582:
10567:
10532:
10475:
9799:
9755:
9717:
8066:
6769:
5992:
5881:
3435:
2767:
937:
9383:
8127:
7633:
7225:
6499:
1420:
As described in an earlier section, if a credit event occurs then CDS contracts can either be
1248:, a corporation or sovereign that generally, although not always, has debt outstanding, and a
80:
in the loan (these are called "naked" CDSs). If there are more CDS contracts outstanding than
10795:
10562:
10460:
10139:
9934:
9763:
9731:
9611:
9347:
8906:
8372:
7751:
7641:
6564:
6562:
6393:
5986:
5976:
3227:
3140:
142:
129:, although there are many variants. In addition to the basic, single-name swaps, there are
9781:
Warren Buffett on Derivatives - Excerpts from the Berkshire Hathaway annual report for 2002.
8918:
8698:
6472:
5264:
3043:
390:
The seller might in principle not be a regulated entity (though in practice most are banks);
10922:
10749:
10706:
10696:
10686:
10681:
10407:
10348:
10283:
10237:
10232:
10106:
10066:
10033:
8861:
5236:
4557:
4523:
4337:
4310:
4283:
4256:
3852:
3648:
3473:
3338:
3200:
3173:
2927:
2900:
2873:
2846:
2819:
2812:
1310:
with respect to its direct or guaranteed bond or loan debt. CDS written on North American
1220:
921:
493:
432:
410:
157:
17:
9916:
7534:
7428:
6559:
6327:
6213:
4496:
3098:
2994:
223:
8:
10754:
10465:
10288:
9887:
8229:
6820:"Understanding Derivatives: Markets and Infrastructure - Federal Reserve Bank of Chicago"
6730:
5792:
Some general criticism of financial derivatives is also relevant to credit derivatives.
5738:
4362:
4172:
3366:
1580:
1527:
1513:
496:. The required collateral is agreed on by the parties when the CDS is first issued. This
348:. These payments continue until either the CDS contract expires or Risky Corp defaults.
156:
of any entity on which a CDS is available, which can be compared to that provided by the
9770:
Hull, J. C. and A. White, Valuing Credit Default Swaps II: Modeling Default Correlations
9257:
7014:
6966:
6568:
688:
Please help update this article to reflect recent events or newly available information.
10805:
10790:
10759:
10744:
10711:
10577:
10368:
10333:
10096:
10061:
10024:
9164:
9102:
7697:
7621:
6236:
5797:
4529:
4368:
3078:
2974:
2954:
1567:
1541:
1373:
782:
763:
713:
561:
380:
376:
134:
77:
9769:
8902:
7973:
6289:
6183:
811:
pension fund, its risk of loss due to Risky Corp defaulting on the bond is eliminated.
177:
60:
agreement that the seller of the CDS will compensate the buyer in the event of a debt
10810:
10800:
10739:
10726:
10701:
10587:
10373:
10169:
9379:
9095:
8922:
7755:
7744:
7701:
7693:
7629:
7625:
7587:
7231:
7070:
6894:
6713:
6495:
6389:
6342:
6240:
5852:
4414:
2808:
1742:
1484:
1472:
1168:, by late 2009 the bank JP Morgan alone now had about 30% of the global CDS market.
850:
462:
414:
276:
268:
257:
61:
9844:
9245:
8976:
7259:
6744:
731:
Despite these concerns, former United States Secretary of the Treasury Geithner and
682:
Parts of this article (those related to legality of naked CDS in Europe) need to be
88:. The payment received is often substantially less than the face value of the loan.
10691:
10630:
10625:
10607:
10537:
10303:
10298:
10270:
10222:
10101:
10041:
9374:
Ari J. Brandes (July 21, 2008). "A Better Way to Understand Credit Default Swaps".
7689:
7613:
6491:
6487:
6471:
Koresh, Galil; Shapir, Offer Moshe; Amiram, Dan; Ben-Zion, Uri (November 1, 2018).
6228:
5923:
5897:
2783:
1455:
1365:
1311:
1165:
933:
866:
580:
497:
438:
425:
130:
7457:
10901:
10871:
10866:
10820:
10656:
10651:
10597:
10507:
10415:
10388:
10328:
10323:
10293:
10242:
10227:
10144:
10124:
9701:
6166:
4161:{\displaystyle -{\frac {Nc}{4}}(\delta _{1}+\delta _{2}+\delta _{3}+\delta _{4})}
3258:
1881:
1867:
1853:
1729:
1554:
1468:
1377:
1355:
1319:
1257:
1207:
also provides one location for regulators to view traders’ positions and prices.
1059:
in March. An alternative view is that this surge in CDS protection buyers was a
799:
573:
540:
461:
When entering into a CDS, both the buyer and seller of credit protection take on
337:
295:
9476:
9462:
Commodity Futures Modernization Act of 2000, H.R. 5660, 106th Cong. § 117(e)(2).
826:
Although credit default swaps have been highly criticized for their role in the
10876:
10861:
10661:
10572:
10522:
10499:
10480:
10308:
10250:
10217:
10212:
10192:
10116:
9709:
8937:
7406:
6211:
6015:
5918:
5793:
5779:
5709:
2759:
1933:
1919:
1797:
1783:
1647:
1253:
1056:
981:
925:
873:
in its share price, since buyers of a company usually end up paying a premium.
569:
489:
488:
As is true with other forms of over-the-counter derivatives, CDS might involve
470:
421:
406:
114:
81:
57:
6867:
Gensler, Gary, Chairman Commodity Futures Trading Commission (March 9, 2010).
6374:; Skeel, David A. Jr. (2007). "The Promise And Perils of Credit Derivatives".
6232:
1260:. The period over which default protection extends is defined by the contract
1171:
10916:
10856:
10825:
10666:
10592:
10552:
10547:
10383:
10255:
10202:
10197:
10179:
10076:
10056:
8822:
8795:
6410:. Depository Trust & Clearing Corporation. March 23, 2010. Archived from
6371:
6159:
6010:
5941:
5927:
5867:
5841:
5825:
5713:
3034:
1634:
1459:
1129:
1111:
In 2009 the U.S. Securities and Exchange Commission granted an exemption for
917:
654:
649:
557:
501:
429:
249:
102:
7600:
Capital Structure Arbitrage: Investigation using Stocks and High Yield Bonds
7456:. Office of the Comptroller of the Currency. August 12, 1996. Archived from
6989:"S&P Capital IQ Announces Acquisition of Credit Market Analysis Limited"
1153:
creation of different types of products (Mahadevan cited in Bloomberg 2009).
10676:
10450:
10378:
10358:
10318:
10187:
10159:
10149:
10091:
8792:"Isda Ceo Notes Success Of Lehman Settlement, Addresses Cds Misperceptions"
7739:
7040:
1503:
1476:
949:
720:
280:
272:
65:
6408:"Media Statement: DTCC Policy for Releasing CDS Data to Global Regulators"
5228:
Grouped by cash flow direction (receiving protection and paying premium):
556:
and attempt to profit from that view by entering into a trade, known as a
10557:
10425:
10396:
10392:
10343:
10134:
10129:
8848:
8446:
7617:
6940:
5866:
The problem lies if one of the companies in the chain fails, creating a "
5848:
5734:
1715:
1701:
1216:
1013:
legal and financial limbo. U.K. authorities expressed the same concerns.
964:
Mindful of the concentration of default risk as one of the causes of the
803:
536:
341:
305:
If the reference entity (i.e., Risky Corp) defaults, one of two kinds of
229:
However, if the associated credit instrument suffered a credit event at t
153:
6917:. International Swaps and Derivatives Association (ISDA). Archived from
4417:
with a time-constant determined by the credit spread, or mathematically
2811:
events never occurred the price of a CDS would simply be the sum of the
1055:
access to wholesale capital, which eventually led to its forced sale to
624:
In another scenario, after one year the market now considers Risky much
10881:
10517:
10512:
10278:
10164:
9983:" Analyzes the CDS market's performance in the Lehman Bros. bankruptcy.
7926:"The Long Awaited Arrival of Credit Derivatives, December–January 1997"
6574:
1769:
1755:
1687:
1673:
1660:
1396:
895:
587:
72:
9680:
8544:"As One JPMorgan Trader Sold Risky Contracts, Another One Bought Them"
7319:"Greek Debt Crisis Is At The Center Of The Credit Default Swap Debate"
7064:
2793:
the recovery rate (percentage of notional repaid in event of default),
10071:
9993:
7067:
Collateralized Debt Obligations: Structures and Analysis, 2nd Edition
7037:"Publications: OCC's Quarterly Report on Bank Derivatives Activities"
6729:
Cox, Christopher, Chairman, U.S. Securities and Exchange Commission.
3947:{\displaystyle -{\frac {Nc}{4}}(\delta _{1}+\delta _{2}+\delta _{3})}
1825:
1811:
1338:
1331:
1117:
842:
544:
314:
261:
242:
9805:
9332:"Federal Income Taxation of Securitization Transactions: Cumulative"
7781:
6965:. Depository Trust & Clearing Corporation (DTCC). Archived from
3029:
a default occurs on the first, second, third or fourth payment date.
10641:
10363:
10260:
10081:
9622:
external links, and converting useful links where appropriate into
9331:
9329:
8645:
7065:
Lucas, Douglas; Laurie S. Goodman; Frank J. Fabozzi (May 5, 2006).
6839:"Do We Need Central Counterparty Clearing of Credit Default Swaps?"
5816:
1240:
referencing the credit derivatives definitions as published by the
632:
from 500 to 250 basis points. Again, the hedge fund may choose to
313:
the investor delivers a defaulted asset to Bank for payment of the
9311:
9248:, Wall Street Journal, Serena Ng, 2009 May 1. Retrieved 2010 4 23.
9201:
Credit Default Swaps: Monolines faces litigious and costly endgame
9191:, Christine Richard, bloomberg, jan 22, 2008. Retrieved 2010 4 29.
6918:
4365:. The probability of no default occurring over a time period from
8002:
7291:"Naked Swaps Crackdown in Europe Rings Hollow Without Washington"
6646:"Banning 'Naked' Default Swaps May Raise Corporate Funding Costs"
5754:
by hastening the demise of companies such as Lehman Brothers and
1895:
1404:
791:
345:
328:, i.e., not all the investor's money is lost), which is known as
9212:
8280:"Credit-Default Swaps on Italy, Spain Are Most Traded (Update1)"
6435:"The Long and Short of It: The Post-Crisis Corporate CDS Market"
1490:
Below is a list of the auctions that have been held since 2005.
1344:
32:
10896:
9835:
The spectacular boom and calamitous bust in derivatives trading
9299:. All things Considered, National Public Radio. Oct 31, 2008.
9189:
Ambac, MBIA Lust for CDO Returns Undercut AAA Success (Update2)
6745:"United States: Credit Default Swaps: A Brief Insurance Primer"
6605:
890:
Existence of buyers constrained from buying exotic derivatives.
773:
Another kind of hedge is against concentration risk. A bank's
9895:
Hedge Funds in Swaps Face Peril With Rising Junk Bond Defaults
9760:"Valuing Credit Default Swaps I: No Counterparty Default Risk"
9498:"Final Results of the Movie Gallery Auction, October 23, 2007"
9203:, Aug 2008, Louise Bowman, euromoney.com. Retrieved 2010 4 29.
9142:"Berkshire Asked by SEC in June for Derivative Data (Update1)"
9041:"/ Financials — Lehman CDS pay-outs higher than expected"
6569:
International Swaps and Derivatives Association, Inc. (ISDA).
858:
between a company's CDS and its equity in certain situations.
40:
7013:. Depository Trust & Clearing Corporation. Archived from
5705:
2800:
1318:
as a credit event, whereas trades referencing North American
929:
744:
617:
from 500 to 1500 basis points. The hedge fund may choose to
125:
Most CDSs are documented using standard forms drafted by the
8444:
8302:"DTCC " DTCC Deriv/SERV Trade Information Warehouse Reports"
6643:
6290:"Credit default swaps: Heading towards a more stable system"
152:, regulators, and the media to monitor how the market views
9776:
Elton et al., Explaining the rate spread on corporate bonds
9330:
Peaslee, James M.; David Z. Nirenberg (November 26, 2007).
8447:"OTC derivatives market activity in the first half of 2011"
7039:. Office of the Comptroller of the Currency. Archived from
6182:. Isdacdsmarketplace.com. December 31, 2010. Archived from
6070:"CDOs Are Back: Will They Lead to Another Financial Crisis"
6005:
5821:
5726:
2779:
2755:
trade at a considerably lower spread than corporate bonds.
1840:
1172:
Government approvals relating to ICE and its competitor CME
133:
default swaps (BDSs), index CDSs, funded CDSs (also called
9882:
Schwartz, Nelson D. and Creswell, Julie (March 23, 2008),
9260:
Apr 9, 2010, Reuters, Edith Honan, ed. Gerald E. McCormick
8819:"How Greece's Default Could Kill The Sovereign CDS Market"
7368:
6470:
1973:
1959:
644:
Credit default swaps are also used to structure synthetic
8500:
Leising, Matthew; Harrington, Shannon D (March 6, 2009).
3730:{\displaystyle -{\frac {Nc}{4}}(\delta _{1}+\delta _{2})}
1079:
9986:
Boumlouka, Makrem (April 8, 2009), Wall Street Letter: "
9677:
Federal Reserve Bank of Chicago, Financial Markets Group
7369:
Kern, Steffen; Deutsche Bank Research (March 17, 2010).
7288:
2843:
with four quarterly premium payments occurring at times
9272:"AIG, the Global Financial System and Investor Anxiety"
9258:
UPDATE 1-Judge dismisses most of MBIA's suit vs Merrill
8950:
The Pricing and Risk Management of Credit Default Swaps
8469:
8467:
7091:"SEC charges Goldman Sachs with fraud in subprime case"
6943:. Bank for International Settlements. December 20, 2001
6283:
6281:
6279:
6277:
6214:"Credit Derivatives: Systemic Risks and Policy Options"
1483:. For its part, ISDA in the leadup to a 50% or greater
728:, accused naked CDS buyers of making the crisis worse.
8646:
Jessica Silver-Greenberg; Peter Eavis (May 10, 2012).
6644:
Kopecki, Dawn; Shannon D. Harrington (July 24, 2009).
6275:
6273:
6271:
6269:
6267:
6265:
6263:
6261:
6259:
6257:
375:
by the policy holder on an asset in which it holds an
127:
International Swaps and Derivatives Association (ISDA)
9675:
Understanding Derivatives: Markets and Infrastructure
9436:
9434:
8739:"Settlement Auction for Lehman CDS: Surprises Ahead?"
8052:"Credit Derivatives, Macro Risks, and Systemic Risks"
7956:
7954:
7835:
7833:
7448:
7446:
5510:
5267:
5239:
5099:
4928:
4780:
4661:
4588:
4560:
4532:
4499:
4423:
4391:
4371:
4340:
4313:
4286:
4259:
4197:
4175:
4084:
4008:
3961:
3883:
3855:
3791:
3744:
3679:
3651:
3597:
3550:
3504:
3476:
3438:
3391:
3369:
3341:
3294:
3267:
3230:
3203:
3176:
3143:
3101:
3081:
3046:
2997:
2977:
2957:
2930:
2903:
2876:
2849:
2822:
1197:
340:. For example, if the CDS spread of Risky Corp is 50
9307:
9305:
8464:
8203:
Analysis, James B. Kelleher - (September 18, 2008).
7841:"The Dream Machine: Invention of Credit Derivatives"
7670:
3224:
and the probability of a default being triggered is
9935:
Behind Insurer’s Crisis, Blind Eye to a Web of Risk
9922:
Kelleher, James B. (September 18, 2008), Reuters: "
8699:"Euro-Parliament bans "naked" Credit Default Swaps"
6254:
6119:
6117:
6115:
6113:
2991:then the size of the quarterly premium payments is
1275:who is responsible for making determinations as to
9940:Varchaver, Nicholas and Benner, Katie (Sep 2008),
9839:Pulliam, Susan and Ng, Serena (January 18, 2008),
9431:
9419:I.R.S. REG-111283-11, IRB 2011-42 (Oct. 17, 2011).
9395:
9393:
9044:
8764:
8648:"JPMorgan Discloses $ 2 Billion in Trading Losses"
8502:"Intercontinental to Clear Credit Swaps Next Week"
8421:
8179:
8101:. The Financial Services Authority. Archived from
8059:Economic Review (FRB Atlanta), Fourth Quarter 2007
7951:
7830:
7743:
7443:
7289:Moshinsky, Ben; Aaron Kirchfeld (March 11, 2010).
7200:
7122:
7120:
7118:
7116:
7114:
7112:
6606:Federal Reserve Bank of Atlanta (April 14, 2008).
6541:Economic Review (FRB Atlanta), Fourth Quarter 2007
6527:
6525:
6523:
6521:
6519:
6517:
6515:
6513:
6511:
6509:
5778:offsetting positions. Furthermore, CDS deals are
5686:
5491:
5252:
5215:
5080:
4909:
4761:
4642:
4573:
4538:
4514:
4485:
4406:
4377:
4353:
4326:
4299:
4272:
4240:
4182:
4160:
4064:
3993:
3946:
3868:
3837:
3776:
3729:
3664:
3633:
3582:
3535:
3489:
3458:
3423:
3376:
3354:
3307:
3280:
3249:
3216:
3189:
3162:
3118:
3087:
3067:
3014:
2983:
2963:
2943:
2916:
2889:
2862:
2835:
1231:
609:After 1 year, the market now considers Risky Corp
535:Credit default swaps can be used by investors for
9606:may not follow Knowledge's policies or guidelines
9302:
8965:ENNs for Corporate and Sovereign CDS and FX Swaps
8523:Zuckerman, Gregory; Burne, Katy (April 6, 2012).
8499:
7167:"Should you be able to sell what you do not own?"
6366:
6364:
6362:
6360:
6358:
6321:
6319:
6317:
6315:
6313:
6180:"ISDA: CDS Marketplace :: Market Statistics"
211:and so on until the end of the contract at time t
10914:
9297:Unregulated Credit Default Swaps Led to Weakness
9016:"Protecting GM from Credit Default Swap Holders"
8933:
8931:
8393:
8391:
8389:
8327:
8325:
8323:
7489:"The Long Awaited Arrival of Credit Derivatives"
6608:"Did You Know? A Primer on Credit Default Swaps"
6110:
6048:The link is to an earlier version of this paper.
1078:Also in September American International Group (
932:, which faced the threat of $ 5 billion in
9787:The Real Reason for the Global Financial Crisis
9670:International Swaps and Derivatives Association
9565:International Swaps and Derivatives Association
9540:International Swaps and Derivatives Association
9515:International Swaps and Derivatives Association
9390:
9269:
9213:Supreme Court of New York County (April 2009).
8990:"Gannett and the Side Effects of Default Swaps"
8363:
8205:"Buffett's "time bomb" goes off on Wall Street"
7109:
6684:"Credit default swaps: What are they good for?"
6571:"24. Product description: Credit default swaps"
6506:
6132:International Swaps and Derivatives Association
3137:The probability of surviving over the interval
2796:the "credit curve" for the reference entity and
1465:International Swaps and Derivatives Association
1322:corporate reference entities typically do not.
1242:International Swaps and Derivatives Association
1236:A CDS contract is typically documented under a
1042:
942:European Bank of Reconstruction and Development
884:Shortages in a particular underlying instrument
9924:Buffett's 'time bomb' goes off on Wall Street.
9373:
8593:
8522:
8405:
7878:"Meltdown 101: What are credit default swaps?"
7859:"How the structured credit revolution started"
7407:"Greece Govt Bond 10 Year Acting as Benchmark"
6795:"Are credit default swaps insurance products?"
6355:
6310:
5998:, an Oscar-winning documentary film about the
759:cancel out the losses on the underlying debt.
560:, that combines a CDS with a cash bond and an
10009:
9867:Arcane Market is Next to Face Big Credit Test
9811:List of CDS premiums of various countries in
8928:
8386:
8334:"ICE's Jeffrey Sprecher: The Sultan of Swaps"
8320:
8147:
8145:
7856:
7671:Smithson, Charles; David Mengle (Fall 2006).
7611:
6601:
6599:
6597:
6595:
2443:Financial Guarantee Insurance Compancy (FGIC)
1345:Credit default swap and sovereign debt crisis
802:of $ 10 million. The CDS trades at 200
664:
363:
187:and makes regular premium payments at times t
9165:"Berkshire Hathaway Inc. Annual Report 2008"
9096:"Berkshire Hathaway Inc. Annual Report 2002"
8794:. Isda.org. October 21, 2008. Archived from
8331:
7734:
7732:
7730:
7728:
7726:
7344:"E.U. Derivatives Ban Won't Work, U.S. Says"
7284:
7282:
7060:
7058:
6899:: CS1 maint: multiple names: authors list (
6712:pg G-11. Boston: Pearson Custom Publishing.
6370:
6347:: CS1 maint: multiple names: authors list (
6288:Weistroffer, Christian (December 21, 2009).
5886:
4643:{\displaystyle (1-p_{1})N(1-R)\delta _{1}\,}
1351:Causes of the European sovereign-debt crisis
648:(CDOs). Instead of owning bonds or loans, a
9917:First Comes the Swap. Then It’s the Knives.
9325:
9323:
8786:
8784:
8761:"In depth: Fed to hold CDS clearance talks"
8278:Harrington, Shannon D. (November 5, 2008).
7847:. March 24, 2006. Retrieved March 17, 2009.
7666:
7664:
7598:Chatiras, Manolis, and Barsendu Mukherjee.
7493:Derivatives Strategy, December/January 1997
7217:
7193:"Time to outlaw naked credit default swaps"
6941:"Regular OTC Derivatives Market Statistics"
6770:"Credit default swap market under scrutiny"
6639:
6637:
6432:
6287:
6093:"Credit event auctions: Why do they exist?"
5806:Depository Trust & Clearing Corporation
4486:{\displaystyle p=\exp(-s(t)\Delta t/(1-R))}
3536:{\displaystyle -{\frac {Nc}{4}}\delta _{1}}
1194:Chief Executive Officer Duncan Niederauer.
1102:Depository Trust & Clearing Corporation
993:accounting for about $ 50 billion of this.
978:Commodity Futures Modernization Act of 2000
110:
107:Depository Trust & Clearing Corporation
27:Financial swap agreement in case of default
10016:
10002:
9929:Morgenson, Gretchen (September 27, 2008),
9561:"2014 ISDA Credit Derivatives Definitions"
9536:"2003 ISDA Credit Derivatives Definitions"
9511:"1999 ISDA Credit Derivatives Definitions"
9043:. Ft.com. October 10, 2008. Archived from
9035:
9033:
8639:
8567:
8541:
8277:
8178:. Ft.com. October 11, 2008. Archived from
8151:
8142:
7810:
7775:
7773:
7771:
7069:. John Wiley & Sons Inc. p. 221.
6862:
6860:
6858:
6592:
4065:{\displaystyle p_{1}p_{2}p_{3}(1-p_{4})\,}
3257:. The calculation of present value, given
1403:. In particular, concerns arising out of
405:Insurers manage risk primarily by setting
84:in existence, a protocol exists to hold a
9893:Evans, David (May 20, 2008), Bloomberg: "
9861:Morgenson, Gretchen (February 17, 2008),
9833:Goodman, Peter (Oct 2008) New York Times
9721:
9697:"A billion-dollar game for bond managers"
9642:Learn how and when to remove this message
9475:. Fasb.org. June 15, 1999. Archived from
8844:"No Greek CDS payout on swap, panel says"
8336:. Bloomberg Business Week. Archived from
8253:"Banks hit back at derivatives criticism"
8026:"Trying to Put Some Reins on Derivatives"
7723:
7482:
7480:
7478:
7279:
7160:
7158:
7156:
7055:
6767:
6742:
5249:
5081:{\displaystyle +p_{1}p_{2}p_{3}(1-p_{4})}
4639:
4570:
4179:
4061:
3990:
3834:
3773:
3630:
3579:
3455:
3420:
3373:
1306:with respect to the reference entity and
1244:. The confirmation typically specifies a
1093:for CDS transactions; they were all done
576:" on the CDS and the underlying credit.
525:Office of the Comptroller of the Currency
511:
449:are met. In practice this rarely happens;
9988:Credit Default Swap Market: "Big Bang"?
9691:A Beginner's Guide to Credit Derivatives
9367:
9320:
8960:
8958:
8781:
8596:"Chart of the Day: London Whale trading"
8561:
8414:"Worries Remain Even After CDS Clean-Up"
8359:
8357:
8355:
8202:
7963:"Credit Derivatives in Emerging Markets"
7960:
7661:
7312:
7310:
7308:
6792:
6710:Derivatives and Alternative Investments.
6677:
6675:
6673:
6671:
6669:
6667:
6665:
6663:
6634:
6426:
6207:
6205:
6203:
6201:
5767:General Motors Chapter 11 reorganization
2749:
1354:
1325:Finally, standard CDS contracts specify
1029:
1020:
849:Techniques reliant on this are known as
443:Generally Accepted Accounting Principles
39:
31:
10841:Power reverse dual-currency note (PRDC)
10781:Constant proportion portfolio insurance
9093:
9030:
8613:
7780:Philips, Matthew (September 27, 2008).
7779:
7768:
7223:
7134:. Brookings Institution. Archived from
6866:
6855:
6768:Morgenson, Gretchen (August 10, 2008).
6681:
6090:
5847:For example, imagine if a hypothetical
2674:Houghton Mifflin Harcourt Publishing Co
970:U.S. Securities and Exchange Commission
894:The difference between CDS spreads and
420:CDS contracts are generally subject to
14:
10915:
10023:
9954:
9874:Credit Default Swaps: The Next Crisis?
9708:
9693:- Nomura International Probability.net
9270:Investing Daily (September 16, 2008).
8852:, March 1, 2012. Retrieved 2012-03-01.
8816:
8250:
8154:"The truth about credit default swaps"
7592:: CS1 maint: archived copy as title (
7517:
7475:
7316:
7164:
7153:
6836:
6830:
6297:Deutsche Bank Research: Current Issues
6061:
1327:deliverable obligation characteristics
9997:
9666:2003 ISDA Credit Derivatives Template
9094:Buffett, Warren (February 21, 2003).
8955:
8673:"2003 Credit Derivatives Definitions"
8535:
8352:
8024:Atlas, Riva D. (September 16, 2005).
8023:
7923:
7875:
7806:
7804:
7802:
7486:
7362:
7305:
7260:"Opinion: One Way to Stop Bear Raids"
7257:
7251:
7126:
6963:"Trade Information Warehouse Reports"
6660:
6466:
6464:
6462:
6198:
6072:. University of Pennsylvania. Wharton
5972:Constant maturity credit default swap
5699:
3838:{\displaystyle p_{1}p_{2}(1-p_{3})\,}
1210:
1181:generated from processing the swaps.
980:, which was also responsible for the
10776:Collateralized debt obligation (CDO)
9911:Morgenson, Gretchen (June 1, 2008),
9714:Stanford Graduate School of Business
9586:
9215:"MBIA Insurance Co. v Merrill Lynch"
9139:
8525:"'London Whale' Rattles Debt Market"
8452:. Bank for International Settlements
8411:
8049:
7905:. Federal Reserve Board. May 5, 2005
7738:
7681:Journal of Applied Corporate Finance
7317:Jacobs, Stevenson (March 10, 2010).
6743:Garbowski, Mark (October 24, 2008).
6067:
4910:{\displaystyle +p_{1}p_{2}(1-p_{3})}
4241:{\displaystyle p_{1}p_{2}p_{3}p_{4}}
2773:
1184:SEC spokesperson John Nestor stated
1123:
1016:
974:Commodity Futures Trading Commission
733:Commodity Futures Trading Commission
668:
9906:Moody's issues warning on CDS risks
9162:
8587:
7999:"ISDA Market Survey, Year-End 2008"
7190:
6793:Frielink, Karel (August 10, 2008).
6377:University of Cincinnati Law Review
6153:
5951:
3994:{\displaystyle N(1-R)\delta _{4}\,}
3777:{\displaystyle N(1-R)\delta _{3}\,}
3583:{\displaystyle N(1-R)\delta _{2}\,}
3424:{\displaystyle N(1-R)\delta _{1}\,}
1415:
1298:CDS confirmations also specify the
267:A "credit default swap" (CDS) is a
24:
9979:October 19, 2008, Portfolio.com: "
9850:Das, Satayjit (February 5, 2008),
9685:Bank for International Settlements
9274:. Kciinvesting.com. Archived from
9071:. October 28, 2008. Archived from
8445:Monetary and Economic Department.
8251:Bowers, Simon (November 5, 2008).
7961:Ranciere, Romain G. (April 2002).
7799:
7782:"The Monster That Ate Wall Street"
7527:Virginia Law & Business Review
7127:Litan, Robert E. (April 7, 2010).
6682:Leonard, Andrew (April 20, 2010).
6531:
6459:
6169:. Latest available a/o 2012-03-01.
4454:
4398:
2782:(risk-adjusted NPV) model used in
2520:Truvo (formerly World Directories)
1372:; international trade imbalances;
1271:The confirmation also specifies a
1198:Clearing house member requirements
628:to default, so its CDS spread has
613:to default, so its CDS spread has
445:(GAAP) unless the requirements of
435:while insurance contracts are not;
25:
10949:
9955:Dizard, John (October 23, 2006).
9856:CDS market may create added risks
9712:(1998). "Credit Swap Valuation".
9582:
8952:, OpenGamma Quantitative Research
8741:. Seeking Alpha. October 10, 2008
8721:"Risk.Net :: Special Report"
8364:Robert E. Litan (April 7, 2010).
7876:Simon, Ellen (October 20, 2008).
7811:Lanchester, John (June 1, 2009).
7165:Buiter, Willem (March 16, 2009).
6915:"Surveys & Market Statistics"
6837:Kramer, Stefan (April 20, 2010).
6534:"Credit Derivatives: An Overview"
6473:"The Determinants of CDS Spreads"
6325:
6091:Pollack, Lisa (January 5, 2012).
1085:In 2008 there was no centralized
10895:
9948:" - on CDS spotlight during the
9900:van Duyn, Aline (May 28, 2008),
9591:
9553:
9528:
9503:
9491:
9465:
9456:
9443:
9422:
9413:
9404:
9290:
9263:
9251:
9239:
9206:
9194:
9182:
9156:
9140:Holm, Erik (November 21, 2008).
9133:
9116:
9087:
9061:
9008:
8982:
8970:
8401:. Bloomberg News. March 7, 2009.
7694:10.1111/j.1745-6622.2006.00111.x
7258:Soros, George (March 24, 2009).
6446:Federal Reserve Bank of New York
6160:ISDA 2010 MID-YEAR MARKET SURVEY
6042:
5831:
5720:
5687:{\displaystyle -{\frac {Nc}{4}}}
3634:{\displaystyle p_{1}(1-p_{2})\,}
3130:
2951:. If the nominal for the CDS is
2770:, uses a no-arbitrage approach.
1281:substitute reference obligations
987:
673:
222:
176:
9946:The $ 55 Trillion Question
9824:Zweig, Phillip L. (July 1997),
9813:English translation from German
8943:
8912:
8896:
8871:
8855:
8836:
8817:Salmon, Felix (March 1, 2012).
8810:
8753:
8731:
8713:
8701:. EUbusiness. November 16, 2011
8691:
8665:
8594:Farah Khalique (May 11, 2012).
8516:
8493:
8438:
8294:
8271:
8244:
8222:
8196:
8168:
8120:
8084:
8043:
8017:
7991:
7917:
7895:
7869:
7850:
7605:
7555:
7511:
7421:
7399:
7336:
7184:
7083:
7029:
7003:
6981:
6955:
6933:
6907:
6812:
6786:
6761:
6736:
6723:
6702:
6433:Boyarchenko, Nina (June 2020).
6400:
6033:
4762:{\displaystyle +p_{1}(1-p_{2})}
1502:Final price as a percentage of
1232:Terms of a typical CDS contract
959:collateralized debt obligations
881:Specific settlement differences
816:
646:collateralized debt obligations
386:The other differences include:
306:
183:Buyer purchased a CDS at time t
10603:Year-on-year inflation-indexed
9981:Why the CDS Market Didn't Fail
9796:Demystifying the Credit Crunch
9124:"Pay-up time for Lehman swaps"
8570:"Making Waves Against 'Whale'"
8332:Chad Terhune (July 29, 2010).
7533:(1): 69–78, 80. Archived from
7409:. Bloomberg.com. March 8, 2012
6492:10.1016/j.jbankfin.2013.12.005
6480:Journal of Banking and Finance
6172:
6084:
5681:
5529:
5486:
5473:
5454:
5408:
5389:
5353:
5334:
5308:
5289:
5286:
5283:
5271:
5195:
5143:
5075:
5072:
5033:
5002:
4990:
4984:
4981:
4962:
4904:
4901:
4875:
4844:
4832:
4826:
4823:
4804:
4756:
4715:
4703:
4697:
4694:
4675:
4626:
4614:
4608:
4589:
4509:
4503:
4480:
4477:
4465:
4451:
4445:
4436:
4155:
4103:
4058:
4039:
3977:
3965:
3941:
3902:
3831:
3812:
3760:
3748:
3724:
3698:
3627:
3608:
3566:
3554:
3407:
3395:
3062:
3050:
2758:The second model, proposed by
1289:publicly available information
887:The cost of funding a position
550:
441:may not be available under US
167:
117:outstanding" as of June 2018.
13:
1:
10613:Zero-coupon inflation-indexed
9845:Default Fears Unnerve Markets
9661:CBS '60 minutes' video on CDS
8568:Katy Burne (April 10, 2012).
8232:. Sec.gov. September 23, 2008
8152:Colin Barr (March 16, 2009).
7857:Alex Chambers (May 1, 2006).
7224:Leopold, Les (June 2, 2009).
6055:
5774:
5744:
5712:, whereas Hull and White use
3197:without a default payment is
2388:METRO-GOLDWYN-MAYER INC. LCDS
1410:
1401:United States Bankruptcy Code
1072:bankruptcy of Lehman Brothers
911:
85:
10938:United States housing bubble
9410:Peaslee & Nirenberg, 89.
7230:. Chelsea Green Publishing.
5894:notional principal contracts
4361:can be calculated using the
1393:Greek government-debt crisis
1252:, usually an unsubordinated
1043:Regulatory concerns over CDS
906:
833:
726:Greek government-debt crisis
7:
10816:Foreign exchange derivative
10208:Callable bull/bear contract
9018:. Firedoglake. May 14, 2009
8542:Azam Ahmed (May 15, 2012).
8099:Financial Risk Outlook 2006
7970:IMF Policy Discussion Paper
7518:Miller, Ken (Spring 2009).
6165:September 13, 2011, at the
5960:
5874:
3308:{\displaystyle \delta _{4}}
3281:{\displaystyle \delta _{1}}
2729:Alpha Appalachia Hldgs Inc
2157:Charter Communications LCDS
1445:
1376:that have since burst; the
1003:1997 Asian Financial Crisis
839:Capital Structure Arbitrage
743:Germany's market regulator
10:
10954:
9950:2007–2008 financial crisis
9681:BIS - Regular Publications
9220:. mbia.com. Archived from
8879:"Year Credit Event Fixing"
8675:. Isda.org. Archived from
8304:. Dtcc.com. Archived from
8065:(4): 43–69. Archived from
8001:. Isda.org. Archived from
6068:Azad, C (April 10, 2013).
6000:2007–2008 financial crisis
5967:Bucket shop (stock market)
5879:
5838:2007–2008 financial crisis
5787:2007–2008 financial crisis
5752:2007–2008 financial crisis
4407:{\displaystyle t+\Delta t}
2696:Caesars Entmt Oper Co Inc
2146:Charter Communications CDS
1370:2007–2008 financial crisis
1348:
1266:scheduled termination date
828:2007–2008 financial crisis
753:
665:Naked credit default swaps
659:mortgage-backed securities
364:Differences from insurance
99:2007–2008 financial crisis
91:
10890:
10849:
10768:
10725:
10717:Stock market index future
10621:
10498:
10406:
10269:
10178:
10115:
10049:
10040:
10031:
9888:Who Created This Monster?
8921:(Prof. Christopher Foot,
7750:. Little Brown. pp.
6233:10.5089/9781451874006.001
6021:Intercontinental Exchange
5982:Credit default swap index
5887:Tax and accounting issues
3459:{\displaystyle 1-p_{1}\,}
2971:and the issue premium is
2212:General Growth Properties
1113:Intercontinental Exchange
707:naked credit default swap
530:
355:CDS spread is considered
299:
279:or experiences a similar
64:(by the debtor) or other
10836:Mortgage-backed security
10831:Interest rate derivative
10806:Equity-linked note (ELN)
10791:Credit-linked note (CLN)
9246:MBIA Sues Merrill Lynch
8905:(Prof. Chris Lamoureux,
8866:Tradeable Credit Fixings
8763:. Ft.com. Archived from
8176:"Bad news on Lehman CDS"
6386:University of Cincinnati
6026:
5907:Internal Revenue Service
2432:NJSC Naftogaz of Ukraine
2267:R.H. Donnelley Corp. CDS
1594:Dana Holding Corporation
1366:globalisation of finance
1049:collapse of Bear Stearns
424:accounting, introducing
148:CDS data can be used by
10786:Contract for difference
10087:Risk-free interest rate
9957:"A billion dollar game"
9818:
9791:Financial Sense Archive
8868:. Retrieved 2008-10-28.
8574:The Wall Street Journal
8529:The Wall Street Journal
7265:The Wall Street Journal
6708:CFA Institute. (2008).
5989:, reference entity code
5934:
3250:{\displaystyle 1-p_{i}}
3163:{\displaystyle t_{i-1}}
2245:HLI Operating Corp LCDS
1291:delivered along with a
641:the two CDS contracts.
456:
150:financial professionals
143:asset-backed securities
139:special purpose vehicle
120:
10568:Forward Rate Agreement
9800:Private Equity Council
9739:Cite journal requires
9355:Cite journal requires
9334:. Supplement No. 7: 83
8727:on September 29, 2007.
8475:"Report Center - Data"
7649:Cite journal requires
6134:(ISDA). Archived from
6002:by Charles H. Ferguson
5882:Category:Systemic risk
5688:
5493:
5492:{\displaystyle N(1-R)}
5254:
5217:
5082:
4911:
4763:
4644:
4575:
4540:
4516:
4487:
4408:
4379:
4355:
4328:
4301:
4274:
4242:
4184:
4162:
4066:
3995:
3948:
3870:
3839:
3778:
3731:
3666:
3635:
3584:
3537:
3491:
3460:
3425:
3378:
3356:
3309:
3282:
3251:
3218:
3191:
3164:
3120:
3089:
3069:
3068:{\displaystyle N(1-R)}
3016:
2985:
2965:
2945:
2918:
2891:
2864:
2837:
1908:Millennium America Inc
1361:
1191:
1155:
1035:
1027:
938:Exxon Valdez oil spill
898:spreads is called the
512:Sources of market data
158:Credit Rating Agencies
111:Sources of Market Data
45:
37:
10796:Credit default option
10140:Employee stock option
9808:William Sjostrom, Jr.
9764:University of Toronto
8907:University of Arizona
8883:www.creditfixings.com
8477:. ICE. Archived from
8373:Brookings Institution
5987:CUSIP Linked MIP Code
5977:Credit default option
5689:
5494:
5255:
5253:{\displaystyle PV=\,}
5218:
5083:
4912:
4764:
4645:
4576:
4574:{\displaystyle PV=\,}
4541:
4517:
4488:
4409:
4380:
4356:
4354:{\displaystyle p_{4}}
4329:
4327:{\displaystyle p_{3}}
4302:
4300:{\displaystyle p_{2}}
4275:
4273:{\displaystyle p_{1}}
4243:
4185:
4163:
4067:
3996:
3949:
3871:
3869:{\displaystyle t_{4}}
3840:
3779:
3732:
3667:
3665:{\displaystyle t_{3}}
3636:
3585:
3538:
3492:
3490:{\displaystyle t_{2}}
3461:
3426:
3379:
3357:
3355:{\displaystyle t_{1}}
3310:
3283:
3252:
3219:
3217:{\displaystyle p_{i}}
3192:
3190:{\displaystyle t_{i}}
3165:
3121:
3090:
3070:
3017:
2986:
2966:
2946:
2944:{\displaystyle t_{4}}
2919:
2917:{\displaystyle t_{3}}
2892:
2890:{\displaystyle t_{2}}
2865:
2863:{\displaystyle t_{1}}
2838:
2836:{\displaystyle t_{0}}
2750:Pricing and valuation
2564:Ambac Financial Group
2531:Boston Generating LLC
2509:Truvo Subsidiary Corp
2333:RH Donnelley Inc LCDS
2300:JSC Alliance Bank CDS
1481:Greek government debt
1358:
1186:
1150:
1100:In November 2008 the
1033:
1024:
922:J.P. Morgan & Co.
271:contract between two
105:. In March 2010, the
43:
35:
10750:Inflation derivative
10735:Commodity derivative
10707:Single-stock futures
10697:Normal backwardation
10687:Interest rate future
10528:Conditional variance
10034:Derivative (finance)
9612:improve this article
9278:on February 10, 2009
9227:on December 18, 2010
9170:. Berkshire Hathaway
9049:on December 10, 2022
8919:Credit Default Swaps
8798:on December 13, 2010
8769:on December 10, 2022
8481:on February 22, 2012
8426:on December 10, 2022
8308:on December 12, 2009
8184:on December 10, 2022
7930:Derivatives Strategy
7618:10.2139/ssrn.3405367
7205:on December 10, 2022
7141:on December 22, 2010
7043:on December 26, 2007
7017:on November 13, 2007
6991:. S&P Capital IQ
6384:. Cincinnati, Ohio:
5508:
5265:
5237:
5097:
4926:
4778:
4659:
4586:
4558:
4530:
4515:{\displaystyle s(t)}
4497:
4421:
4415:decays exponentially
4389:
4369:
4338:
4311:
4284:
4257:
4195:
4173:
4082:
4006:
3959:
3881:
3853:
3789:
3742:
3677:
3649:
3595:
3548:
3502:
3474:
3436:
3389:
3367:
3339:
3292:
3265:
3228:
3201:
3174:
3141:
3119:{\displaystyle Nc/4}
3099:
3079:
3075:shown in red, where
3044:
3015:{\displaystyle Nc/4}
2995:
2975:
2955:
2928:
2901:
2874:
2847:
2820:
2790:the "issue premium",
2718:Sabine Oil Gas Corp
2575:Dynegy Holdings, LLC
2498:Ambac Assurance Corp
1528:Collins & Aikman
1514:Collins & Aikman
1391:). During the 2012
1250:reference obligation
841:is an example of an
775:risk management team
411:Law of large numbers
317:, which is known as
86:credit event auction
10902:Business portal
10755:Property derivative
9841:Wall Street Journal
9624:footnote references
9314:Journal of Taxation
9130:, October 22, 2008.
9075:on January 11, 2009
8979:, fincyclopedia.net
8940:, fincyclopedia.net
8842:Watts, William L.,
8418:The Financial Times
8108:on December 3, 2009
7936:on January 18, 2017
7924:McDermott, Robert.
7499:on January 18, 2017
7487:McDermott, Robert.
7191:Munchau, Wolfgang.
6690:. Salon Media Group
6618:(2). Archived from
6186:on January 19, 2012
5739:credit spread curve
4526:zero curve at time
4363:credit spread curve
4183:{\displaystyle 0\,}
3377:{\displaystyle 0\,}
3327:Default Payment PV
3324:Premium Payment PV
2685:Residential Cap LLC
2652:ERC Ireland Fin Ltd
2487:Japan Airlines Corp
2289:General Motors LCDS
1896:Republic of Ecuador
1581:Calpine Corporation
1452:credit-fixing event
1374:real estate bubbles
1293:credit event notice
783:overly concentrated
319:physical settlement
135:credit-linked notes
50:credit default swap
10760:Weather derivative
10745:Freight derivative
10727:Exotic derivatives
10647:Commodities future
10334:Intermarket spread
10097:Synthetic position
10025:Derivatives market
9122:Olsen, Kim Asger,
9103:Berkshire Hathaway
8994:The New York Times
8679:on August 29, 2010
8652:The New York Times
8548:The New York Times
8005:on August 17, 2010
6221:IMF Working Papers
5798:Berkshire Hathaway
5700:No-arbitrage model
5684:
5489:
5250:
5213:
5078:
4907:
4759:
4640:
4571:
4536:
4512:
4483:
4404:
4375:
4351:
4324:
4297:
4270:
4253:The probabilities
4238:
4180:
4158:
4062:
3991:
3944:
3866:
3835:
3774:
3727:
3662:
3631:
3580:
3533:
3487:
3456:
3421:
3374:
3352:
3305:
3278:
3247:
3214:
3187:
3160:
3116:
3085:
3065:
3012:
2981:
2961:
2941:
2914:
2887:
2860:
2833:
2586:Seat Pagine Gialle
2476:McCarthy and Stone
2278:General Motors CDS
2047:Smurfit-Stone LCDS
2025:Nortel Corporation
1568:Delphi Corporation
1542:Northwest Airlines
1422:physically settled
1362:
1211:J.P. Morgan losses
1070:In September, the
1036:
1028:
714:insurable interest
562:interest rate swap
415:actuarial analysis
377:insurable interest
78:insurable interest
46:
38:
10910:
10909:
10811:Equity derivative
10801:Credit derivative
10769:Other derivatives
10740:Energy derivative
10702:Perpetual futures
10583:Overnight indexed
10533:Constant maturity
10494:
10493:
10441:Finite difference
10374:Protective option
9806:"The AIG Bailout"
9652:
9651:
9644:
9500:. (archived 2009)
9163:Buffett, Warren.
8923:Oxford University
8412:Van Duyn, Aline.
8340:on August 6, 2010
7761:978-0-349-12189-5
7378:Research Briefing
7237:978-1-60358-205-6
7076:978-0-471-71887-1
6969:on April 29, 2010
6921:on April 14, 2010
6577:on April 16, 2010
6414:on April 29, 2010
5853:Washington Mutual
5697:
5696:
5527:
5226:
5225:
5211:
5031:
4873:
4744:
4539:{\displaystyle t}
4378:{\displaystyle t}
4251:
4250:
4101:
3900:
3696:
3521:
3088:{\displaystyle R}
2984:{\displaystyle c}
2964:{\displaystyle N}
2774:Probability model
2747:
2746:
2707:Radio Shack Corp
2630:Hellenic Republic
2256:Georgia Gulf LCDS
2036:Smurfit-Stone CDS
1743:Washington Mutual
1473:Washington Mutual
1273:calculation agent
1124:Market as of 2009
1017:Market as of 2008
851:capital structure
703:
702:
463:counterparty risk
373:actually suffered
269:credit derivative
16:(Redirected from
10945:
10900:
10899:
10672:Forwards pricing
10446:Garman–Kohlhagen
10047:
10046:
10018:
10011:
10004:
9995:
9994:
9976:
9974:
9972:
9967:on April 6, 2009
9963:. Archived from
9942:Fortune Magazine
9772:. Smartquant.com
9748:
9742:
9737:
9735:
9727:
9725:
9647:
9640:
9636:
9633:
9627:
9595:
9594:
9587:
9577:
9576:
9574:
9572:
9557:
9551:
9550:
9548:
9546:
9532:
9526:
9525:
9523:
9521:
9507:
9501:
9495:
9489:
9488:
9486:
9484:
9479:on June 29, 2010
9469:
9463:
9460:
9454:
9447:
9441:
9438:
9429:
9426:
9420:
9417:
9411:
9408:
9402:
9397:
9388:
9387:
9371:
9365:
9364:
9358:
9353:
9351:
9343:
9341:
9339:
9327:
9318:
9317:
9309:
9300:
9294:
9288:
9287:
9285:
9283:
9267:
9261:
9255:
9249:
9243:
9237:
9236:
9234:
9232:
9226:
9219:
9210:
9204:
9198:
9192:
9186:
9180:
9179:
9177:
9175:
9169:
9160:
9154:
9153:
9151:
9149:
9137:
9131:
9120:
9114:
9113:
9111:
9109:
9100:
9091:
9085:
9084:
9082:
9080:
9065:
9059:
9058:
9056:
9054:
9048:
9037:
9028:
9027:
9025:
9023:
9012:
9006:
9005:
9003:
9001:
8986:
8980:
8974:
8968:
8962:
8953:
8947:
8941:
8935:
8926:
8916:
8910:
8900:
8894:
8893:
8891:
8889:
8875:
8869:
8859:
8853:
8840:
8834:
8833:
8831:
8829:
8814:
8808:
8807:
8805:
8803:
8788:
8779:
8778:
8776:
8774:
8768:
8757:
8751:
8750:
8748:
8746:
8735:
8729:
8728:
8723:. Archived from
8717:
8711:
8710:
8708:
8706:
8695:
8689:
8688:
8686:
8684:
8669:
8663:
8662:
8660:
8658:
8643:
8637:
8636:
8634:
8632:
8617:
8611:
8610:
8608:
8606:
8591:
8585:
8584:
8582:
8580:
8565:
8559:
8558:
8556:
8554:
8539:
8533:
8532:
8520:
8514:
8513:
8511:
8509:
8497:
8491:
8490:
8488:
8486:
8471:
8462:
8461:
8459:
8457:
8451:
8442:
8436:
8435:
8433:
8431:
8425:
8420:. Archived from
8409:
8403:
8402:
8395:
8384:
8383:
8382:on May 28, 2013.
8381:
8375:. Archived from
8370:
8361:
8350:
8349:
8347:
8345:
8329:
8318:
8317:
8315:
8313:
8298:
8292:
8291:
8289:
8287:
8275:
8269:
8268:
8266:
8264:
8248:
8242:
8241:
8239:
8237:
8226:
8220:
8219:
8217:
8215:
8200:
8194:
8193:
8191:
8189:
8183:
8172:
8166:
8165:
8163:
8161:
8149:
8140:
8139:
8137:
8135:
8124:
8118:
8117:
8115:
8113:
8107:
8096:
8088:
8082:
8081:
8079:
8077:
8072:on July 23, 2011
8071:
8056:
8047:
8041:
8040:
8038:
8036:
8021:
8015:
8014:
8012:
8010:
7995:
7989:
7988:
7986:
7984:
7979:on June 23, 2010
7978:
7972:. Archived from
7967:
7958:
7949:
7948:
7943:
7941:
7932:. Archived from
7921:
7915:
7914:
7912:
7910:
7899:
7893:
7892:
7890:
7888:
7873:
7867:
7866:
7854:
7848:
7837:
7828:
7827:
7825:
7823:
7808:
7797:
7796:
7794:
7792:
7777:
7766:
7765:
7749:
7736:
7721:
7720:
7718:
7716:
7711:on July 15, 2011
7710:
7704:. Archived from
7677:
7668:
7659:
7658:
7652:
7647:
7645:
7637:
7609:
7603:
7597:
7591:
7583:
7581:
7580:
7575:on June 26, 2010
7574:
7568:. Archived from
7567:
7559:
7553:
7552:
7547:
7545:
7540:on July 28, 2011
7539:
7524:
7515:
7509:
7508:
7506:
7504:
7495:. Archived from
7484:
7473:
7472:
7470:
7468:
7462:
7450:
7441:
7440:
7438:
7436:
7425:
7419:
7418:
7416:
7414:
7403:
7397:
7396:
7394:
7392:
7387:on July 16, 2011
7386:
7380:. Archived from
7375:
7366:
7360:
7359:
7357:
7355:
7350:. March 17, 2010
7340:
7334:
7333:
7331:
7329:
7314:
7303:
7302:
7300:
7298:
7286:
7277:
7276:
7274:
7272:
7255:
7249:
7248:
7246:
7244:
7221:
7215:
7214:
7212:
7210:
7204:
7199:. Archived from
7188:
7182:
7181:
7179:
7177:
7162:
7151:
7150:
7148:
7146:
7140:
7133:
7124:
7107:
7106:
7104:
7102:
7097:. April 16, 2010
7087:
7081:
7080:
7062:
7053:
7052:
7050:
7048:
7033:
7027:
7026:
7024:
7022:
7007:
7001:
7000:
6998:
6996:
6985:
6979:
6978:
6976:
6974:
6959:
6953:
6952:
6950:
6948:
6937:
6931:
6930:
6928:
6926:
6911:
6905:
6904:
6898:
6890:
6888:
6886:
6880:
6874:. Archived from
6873:
6864:
6853:
6852:
6850:
6848:
6843:
6834:
6828:
6827:
6816:
6810:
6809:
6803:
6801:
6790:
6784:
6783:
6778:
6776:
6765:
6759:
6758:
6753:
6751:
6740:
6734:
6727:
6721:
6706:
6700:
6699:
6697:
6695:
6679:
6658:
6657:
6655:
6653:
6641:
6632:
6631:
6629:
6627:
6622:on July 23, 2011
6612:Financial Update
6603:
6590:
6589:
6584:
6582:
6573:. Archived from
6566:
6557:
6556:
6554:
6552:
6538:
6529:
6504:
6503:
6477:
6468:
6457:
6456:
6454:
6452:
6439:
6430:
6424:
6423:
6421:
6419:
6404:
6398:
6397:
6368:
6353:
6352:
6346:
6338:
6336:
6334:
6323:
6308:
6307:
6305:
6303:
6294:
6285:
6252:
6251:
6249:
6247:
6218:
6209:
6196:
6195:
6193:
6191:
6176:
6170:
6157:
6151:
6150:
6148:
6146:
6141:on March 7, 2012
6140:
6129:
6121:
6108:
6107:
6105:
6103:
6088:
6082:
6081:
6079:
6077:
6065:
6049:
6046:
6040:
6037:
5952:ISDA Definitions
5924:income statement
5851:had bought some
5780:marked-to-market
5693:
5691:
5690:
5685:
5680:
5679:
5670:
5669:
5660:
5659:
5650:
5649:
5640:
5639:
5627:
5626:
5617:
5616:
5607:
5606:
5597:
5596:
5584:
5583:
5574:
5573:
5564:
5563:
5551:
5550:
5541:
5540:
5528:
5523:
5515:
5498:
5496:
5495:
5490:
5485:
5484:
5472:
5471:
5453:
5452:
5443:
5442:
5433:
5432:
5420:
5419:
5407:
5406:
5388:
5387:
5378:
5377:
5365:
5364:
5352:
5351:
5333:
5332:
5320:
5319:
5307:
5306:
5259:
5257:
5256:
5251:
5231:
5230:
5222:
5220:
5219:
5214:
5212:
5207:
5199:
5194:
5193:
5181:
5180:
5168:
5167:
5155:
5154:
5142:
5141:
5132:
5131:
5122:
5121:
5112:
5111:
5087:
5085:
5084:
5079:
5071:
5070:
5058:
5057:
5045:
5044:
5032:
5027:
5019:
5014:
5013:
4980:
4979:
4961:
4960:
4951:
4950:
4941:
4940:
4916:
4914:
4913:
4908:
4900:
4899:
4887:
4886:
4874:
4869:
4861:
4856:
4855:
4822:
4821:
4803:
4802:
4793:
4792:
4768:
4766:
4765:
4760:
4755:
4754:
4745:
4740:
4732:
4727:
4726:
4693:
4692:
4674:
4673:
4649:
4647:
4646:
4641:
4638:
4637:
4607:
4606:
4580:
4578:
4577:
4572:
4552:
4551:
4545:
4543:
4542:
4537:
4521:
4519:
4518:
4513:
4492:
4490:
4489:
4484:
4464:
4413:
4411:
4410:
4405:
4384:
4382:
4381:
4376:
4360:
4358:
4357:
4352:
4350:
4349:
4333:
4331:
4330:
4325:
4323:
4322:
4306:
4304:
4303:
4298:
4296:
4295:
4279:
4277:
4276:
4271:
4269:
4268:
4247:
4245:
4244:
4239:
4237:
4236:
4227:
4226:
4217:
4216:
4207:
4206:
4189:
4187:
4186:
4181:
4167:
4165:
4164:
4159:
4154:
4153:
4141:
4140:
4128:
4127:
4115:
4114:
4102:
4097:
4089:
4071:
4069:
4068:
4063:
4057:
4056:
4038:
4037:
4028:
4027:
4018:
4017:
4000:
3998:
3997:
3992:
3989:
3988:
3953:
3951:
3950:
3945:
3940:
3939:
3927:
3926:
3914:
3913:
3901:
3896:
3888:
3875:
3873:
3872:
3867:
3865:
3864:
3849:Default at time
3844:
3842:
3841:
3836:
3830:
3829:
3811:
3810:
3801:
3800:
3783:
3781:
3780:
3775:
3772:
3771:
3736:
3734:
3733:
3728:
3723:
3722:
3710:
3709:
3697:
3692:
3684:
3671:
3669:
3668:
3663:
3661:
3660:
3645:Default at time
3640:
3638:
3637:
3632:
3626:
3625:
3607:
3606:
3589:
3587:
3586:
3581:
3578:
3577:
3542:
3540:
3539:
3534:
3532:
3531:
3522:
3517:
3509:
3496:
3494:
3493:
3488:
3486:
3485:
3470:Default at time
3465:
3463:
3462:
3457:
3454:
3453:
3430:
3428:
3427:
3422:
3419:
3418:
3383:
3381:
3380:
3375:
3361:
3359:
3358:
3353:
3351:
3350:
3335:Default at time
3318:
3317:
3314:
3312:
3311:
3306:
3304:
3303:
3287:
3285:
3284:
3279:
3277:
3276:
3256:
3254:
3253:
3248:
3246:
3245:
3223:
3221:
3220:
3215:
3213:
3212:
3196:
3194:
3193:
3188:
3186:
3185:
3169:
3167:
3166:
3161:
3159:
3158:
3134:
3125:
3123:
3122:
3117:
3112:
3094:
3092:
3091:
3086:
3074:
3072:
3071:
3066:
3021:
3019:
3018:
3013:
3008:
2990:
2988:
2987:
2982:
2970:
2968:
2967:
2962:
2950:
2948:
2947:
2942:
2940:
2939:
2923:
2921:
2920:
2915:
2913:
2912:
2896:
2894:
2893:
2888:
2886:
2885:
2869:
2867:
2866:
2861:
2859:
2858:
2842:
2840:
2839:
2834:
2832:
2831:
2784:drug development
2663:Sino Forest Corp
2619:Eastman Kodak Co
2553:Anglo Irish Bank
1493:
1492:
1456:investment banks
1416:Physical or cash
1312:investment grade
1246:reference entity
1166:Banque de France
1161:75 billion
1095:over the counter
934:punitive damages
867:Leveraged buyout
698:
695:
689:
677:
676:
669:
581:event of default
439:Hedge accounting
426:income statement
258:credit insurance
226:
180:
21:
10953:
10952:
10948:
10947:
10946:
10944:
10943:
10942:
10928:Swaps (finance)
10913:
10912:
10911:
10906:
10894:
10886:
10872:Great Recession
10867:Government debt
10845:
10821:Fund derivative
10764:
10721:
10682:Futures pricing
10657:Dividend future
10652:Currency future
10635:
10617:
10490:
10466:Put–call parity
10402:
10389:Vertical spread
10324:Diagonal spread
10294:Calendar spread
10265:
10174:
10111:
10036:
10027:
10022:
9970:
9968:
9961:Financial Times
9902:Financial Times
9872:March 17, 2008
9852:Financial Times
9821:
9740:
9738:
9729:
9728:
9723:10.1.1.139.4044
9710:Duffie, Darrell
9702:Financial Times
9648:
9637:
9631:
9628:
9609:
9600:This article's
9596:
9592:
9585:
9580:
9570:
9568:
9567:. June 30, 2014
9559:
9558:
9554:
9544:
9542:
9534:
9533:
9529:
9519:
9517:
9509:
9508:
9504:
9496:
9492:
9482:
9480:
9471:
9470:
9466:
9461:
9457:
9448:
9444:
9439:
9432:
9427:
9423:
9418:
9414:
9409:
9405:
9398:
9391:
9372:
9368:
9356:
9354:
9345:
9344:
9337:
9335:
9328:
9321:
9310:
9303:
9295:
9291:
9281:
9279:
9268:
9264:
9256:
9252:
9244:
9240:
9230:
9228:
9224:
9217:
9211:
9207:
9199:
9195:
9187:
9183:
9173:
9171:
9167:
9161:
9157:
9147:
9145:
9138:
9134:
9121:
9117:
9107:
9105:
9098:
9092:
9088:
9078:
9076:
9067:
9066:
9062:
9052:
9050:
9039:
9038:
9031:
9021:
9019:
9014:
9013:
9009:
8999:
8997:
8996:. June 23, 2009
8988:
8987:
8983:
8975:
8971:
8963:
8956:
8948:
8944:
8936:
8929:
8917:
8913:
8901:
8897:
8887:
8885:
8877:
8876:
8872:
8860:
8856:
8841:
8837:
8827:
8825:
8815:
8811:
8801:
8799:
8790:
8789:
8782:
8772:
8770:
8759:
8758:
8754:
8744:
8742:
8737:
8736:
8732:
8719:
8718:
8714:
8704:
8702:
8697:
8696:
8692:
8682:
8680:
8671:
8670:
8666:
8656:
8654:
8644:
8640:
8630:
8628:
8619:
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8592:
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8562:
8552:
8550:
8540:
8536:
8521:
8517:
8507:
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8498:
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8473:
8472:
8465:
8455:
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8439:
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8406:
8397:
8396:
8387:
8379:
8368:
8362:
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8341:
8330:
8321:
8311:
8309:
8300:
8299:
8295:
8285:
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8276:
8272:
8262:
8260:
8249:
8245:
8235:
8233:
8228:
8227:
8223:
8213:
8211:
8201:
8197:
8187:
8185:
8174:
8173:
8169:
8159:
8157:
8156:. CNN / Fortune
8150:
8143:
8133:
8131:
8128:"Default Rates"
8126:
8125:
8121:
8111:
8109:
8105:
8094:
8090:
8089:
8085:
8075:
8073:
8069:
8054:
8050:Weithers, Tim.
8048:
8044:
8034:
8032:
8022:
8018:
8008:
8006:
7997:
7996:
7992:
7982:
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7937:
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7918:
7908:
7906:
7901:
7900:
7896:
7886:
7884:
7874:
7870:
7855:
7851:
7845:Financial Times
7839:Tett, Gillian.
7838:
7831:
7821:
7819:
7809:
7800:
7790:
7788:
7778:
7769:
7762:
7737:
7724:
7714:
7712:
7708:
7675:
7669:
7662:
7650:
7648:
7639:
7638:
7610:
7606:
7585:
7584:
7578:
7576:
7572:
7565:
7563:"Archived copy"
7561:
7560:
7556:
7543:
7541:
7537:
7522:
7516:
7512:
7502:
7500:
7485:
7476:
7466:
7464:
7463:on May 27, 2010
7460:
7452:
7451:
7444:
7434:
7432:
7429:"Bill H.R. 977"
7427:
7426:
7422:
7412:
7410:
7405:
7404:
7400:
7390:
7388:
7384:
7373:
7371:"Short Selling"
7367:
7363:
7353:
7351:
7342:
7341:
7337:
7327:
7325:
7323:Huffington Post
7315:
7306:
7296:
7294:
7287:
7280:
7270:
7268:
7256:
7252:
7242:
7240:
7238:
7222:
7218:
7208:
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7197:Financial Times
7189:
7185:
7175:
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7171:Financial Times
7163:
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7110:
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7098:
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6908:
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6891:
6884:
6882:
6881:on May 27, 2010
6878:
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6625:
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6604:
6593:
6580:
6578:
6567:
6560:
6550:
6548:
6536:
6532:Mengle, David.
6530:
6507:
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6167:Wayback Machine
6158:
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4779:
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4370:
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4335:
4318:
4314:
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4309:
4308:
4291:
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4264:
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4232:
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4212:
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4174:
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4119:
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4090:
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4083:
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4052:
4048:
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4023:
4019:
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4009:
4007:
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4003:
3984:
3980:
3960:
3957:
3956:
3935:
3931:
3922:
3918:
3909:
3905:
3889:
3887:
3882:
3879:
3878:
3860:
3856:
3854:
3851:
3850:
3825:
3821:
3806:
3802:
3796:
3792:
3790:
3787:
3786:
3767:
3763:
3743:
3740:
3739:
3718:
3714:
3705:
3701:
3685:
3683:
3678:
3675:
3674:
3656:
3652:
3650:
3647:
3646:
3621:
3617:
3602:
3598:
3596:
3593:
3592:
3573:
3569:
3549:
3546:
3545:
3527:
3523:
3510:
3508:
3503:
3500:
3499:
3481:
3477:
3475:
3472:
3471:
3449:
3445:
3437:
3434:
3433:
3414:
3410:
3390:
3387:
3386:
3368:
3365:
3364:
3346:
3342:
3340:
3337:
3336:
3299:
3295:
3293:
3290:
3289:
3272:
3268:
3266:
3263:
3262:
3259:discount factor
3241:
3237:
3229:
3226:
3225:
3208:
3204:
3202:
3199:
3198:
3181:
3177:
3175:
3172:
3171:
3148:
3144:
3142:
3139:
3138:
3108:
3100:
3097:
3096:
3080:
3077:
3076:
3045:
3042:
3041:
3004:
2996:
2993:
2992:
2976:
2973:
2972:
2956:
2953:
2952:
2935:
2931:
2929:
2926:
2925:
2908:
2904:
2902:
2899:
2898:
2881:
2877:
2875:
2872:
2871:
2854:
2850:
2848:
2845:
2844:
2827:
2823:
2821:
2818:
2817:
2776:
2752:
2080:Station Casinos
1854:Hawaiian Telcom
1730:Lehman Brothers
1555:Delta Air Lines
1469:Lehman Brothers
1448:
1418:
1413:
1378:Great Recession
1353:
1347:
1258:government bond
1234:
1213:
1200:
1174:
1126:
1045:
1019:
990:
972:(SEC) and the
914:
909:
836:
800:notional amount
756:
699:
693:
690:
687:
678:
674:
667:
586:For example, a
553:
533:
514:
459:
366:
338:notional amount
330:cash settlement
238:
237:
236:
235:
234:
232:
227:
218:
217:
216:
214:
210:
206:
202:
198:
194:
190:
186:
181:
170:
123:
94:
28:
23:
22:
15:
12:
11:
5:
10951:
10941:
10940:
10935:
10930:
10925:
10908:
10907:
10905:
10904:
10891:
10888:
10887:
10885:
10884:
10879:
10877:Municipal debt
10874:
10869:
10864:
10862:Corporate debt
10859:
10853:
10851:
10847:
10846:
10844:
10843:
10838:
10833:
10828:
10823:
10818:
10813:
10808:
10803:
10798:
10793:
10788:
10783:
10778:
10772:
10770:
10766:
10765:
10763:
10762:
10757:
10752:
10747:
10742:
10737:
10731:
10729:
10723:
10722:
10720:
10719:
10714:
10709:
10704:
10699:
10694:
10689:
10684:
10679:
10674:
10669:
10664:
10662:Forward market
10659:
10654:
10649:
10644:
10638:
10636:
10634:
10633:
10628:
10622:
10619:
10618:
10616:
10615:
10610:
10605:
10600:
10595:
10590:
10585:
10580:
10575:
10570:
10565:
10560:
10555:
10550:
10545:
10543:Credit default
10540:
10535:
10530:
10525:
10520:
10515:
10510:
10504:
10502:
10496:
10495:
10492:
10491:
10489:
10488:
10483:
10478:
10473:
10468:
10463:
10458:
10453:
10448:
10443:
10438:
10428:
10423:
10418:
10412:
10410:
10404:
10403:
10401:
10400:
10386:
10381:
10376:
10371:
10366:
10361:
10356:
10351:
10346:
10341:
10339:Iron butterfly
10336:
10331:
10326:
10321:
10316:
10311:
10309:Covered option
10306:
10301:
10296:
10291:
10286:
10281:
10275:
10273:
10267:
10266:
10264:
10263:
10258:
10253:
10248:
10247:Mountain range
10245:
10240:
10235:
10230:
10225:
10220:
10215:
10210:
10205:
10200:
10195:
10190:
10184:
10182:
10176:
10175:
10173:
10172:
10167:
10162:
10157:
10152:
10147:
10142:
10137:
10132:
10127:
10121:
10119:
10113:
10112:
10110:
10109:
10104:
10099:
10094:
10089:
10084:
10079:
10074:
10069:
10064:
10059:
10053:
10051:
10044:
10038:
10037:
10032:
10029:
10028:
10021:
10020:
10013:
10006:
9998:
9992:
9991:
9984:
9977:
9952:
9938:
9931:New York Times
9927:
9920:
9913:New York Times
9909:
9898:
9891:
9884:New York Times
9880:
9870:
9863:New York Times
9859:
9848:
9837:
9831:
9820:
9817:
9816:
9815:
9809:
9803:
9793:
9784:
9778:
9773:
9767:
9749:
9741:|journal=
9706:
9694:
9688:
9678:
9672:
9663:
9658:
9650:
9649:
9604:external links
9599:
9597:
9590:
9584:
9583:External links
9581:
9579:
9578:
9552:
9527:
9502:
9490:
9464:
9455:
9442:
9430:
9421:
9412:
9403:
9389:
9366:
9357:|journal=
9319:
9301:
9289:
9262:
9250:
9238:
9205:
9193:
9181:
9155:
9132:
9115:
9086:
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9007:
8981:
8969:
8954:
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8927:
8911:
8895:
8870:
8854:
8835:
8809:
8780:
8752:
8730:
8712:
8690:
8664:
8638:
8627:. May 15, 2012
8625:Democracy Now!
8612:
8600:Financial News
8586:
8560:
8534:
8515:
8492:
8463:
8437:
8404:
8385:
8351:
8319:
8293:
8270:
8243:
8221:
8195:
8167:
8141:
8119:
8083:
8042:
8030:New York Times
8016:
7990:
7950:
7916:
7894:
7868:
7849:
7829:
7798:
7767:
7760:
7754:–67, 87, 303.
7722:
7660:
7651:|journal=
7604:
7554:
7510:
7474:
7442:
7420:
7398:
7361:
7348:New York Times
7335:
7304:
7278:
7250:
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7216:
7183:
7152:
7108:
7082:
7075:
7054:
7028:
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6980:
6954:
6932:
6906:
6854:
6829:
6824:chicagofed.org
6811:
6785:
6760:
6735:
6722:
6701:
6659:
6633:
6591:
6558:
6505:
6458:
6442:newyorkfed.org
6425:
6399:
6372:Partnoy, Frank
6354:
6309:
6253:
6197:
6171:
6152:
6109:
6083:
6059:
6057:
6054:
6051:
6050:
6041:
6031:
6030:
6028:
6025:
6024:
6023:
6018:
6016:Toxic security
6013:
6008:
6003:
5990:
5984:
5979:
5974:
5969:
5962:
5959:
5953:
5950:
5936:
5933:
5919:mark to market
5888:
5885:
5833:
5830:
5794:Warren Buffett
5746:
5743:
5722:
5719:
5710:risk free rate
5701:
5698:
5695:
5694:
5683:
5678:
5674:
5668:
5664:
5658:
5654:
5648:
5644:
5638:
5634:
5630:
5625:
5621:
5615:
5611:
5605:
5601:
5595:
5591:
5587:
5582:
5578:
5572:
5568:
5562:
5558:
5554:
5549:
5545:
5539:
5535:
5531:
5526:
5522:
5519:
5513:
5503:
5500:
5499:
5488:
5483:
5479:
5475:
5470:
5466:
5462:
5459:
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5437:
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5372:
5368:
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5355:
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5346:
5342:
5339:
5336:
5331:
5327:
5323:
5318:
5314:
5310:
5305:
5301:
5297:
5294:
5291:
5288:
5285:
5282:
5279:
5276:
5273:
5270:
5260:
5248:
5245:
5242:
5224:
5223:
5210:
5206:
5203:
5197:
5192:
5188:
5184:
5179:
5175:
5171:
5166:
5162:
5158:
5153:
5149:
5145:
5140:
5136:
5130:
5126:
5120:
5116:
5110:
5106:
5102:
5092:
5089:
5088:
5077:
5074:
5069:
5065:
5061:
5056:
5052:
5048:
5043:
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5035:
5030:
5026:
5023:
5017:
5012:
5008:
5004:
5001:
4998:
4995:
4992:
4989:
4986:
4983:
4978:
4974:
4970:
4967:
4964:
4959:
4955:
4949:
4945:
4939:
4935:
4931:
4921:
4918:
4917:
4906:
4903:
4898:
4894:
4890:
4885:
4881:
4877:
4872:
4868:
4865:
4859:
4854:
4850:
4846:
4843:
4840:
4837:
4834:
4831:
4828:
4825:
4820:
4816:
4812:
4809:
4806:
4801:
4797:
4791:
4787:
4783:
4773:
4770:
4769:
4758:
4753:
4749:
4743:
4739:
4736:
4730:
4725:
4721:
4717:
4714:
4711:
4708:
4705:
4702:
4699:
4696:
4691:
4687:
4683:
4680:
4677:
4672:
4668:
4664:
4654:
4651:
4650:
4636:
4632:
4628:
4625:
4622:
4619:
4616:
4613:
4610:
4605:
4601:
4597:
4594:
4591:
4581:
4569:
4566:
4563:
4535:
4511:
4508:
4505:
4502:
4482:
4479:
4476:
4473:
4470:
4467:
4463:
4459:
4456:
4453:
4450:
4447:
4444:
4441:
4438:
4435:
4432:
4429:
4426:
4403:
4400:
4397:
4394:
4374:
4348:
4344:
4321:
4317:
4294:
4290:
4267:
4263:
4249:
4248:
4235:
4231:
4225:
4221:
4215:
4211:
4205:
4201:
4190:
4178:
4168:
4157:
4152:
4148:
4144:
4139:
4135:
4131:
4126:
4122:
4118:
4113:
4109:
4105:
4100:
4096:
4093:
4087:
4077:
4073:
4072:
4060:
4055:
4051:
4047:
4044:
4041:
4036:
4032:
4026:
4022:
4016:
4012:
4001:
3987:
3983:
3979:
3976:
3973:
3970:
3967:
3964:
3954:
3943:
3938:
3934:
3930:
3925:
3921:
3917:
3912:
3908:
3904:
3899:
3895:
3892:
3886:
3876:
3863:
3859:
3846:
3845:
3833:
3828:
3824:
3820:
3817:
3814:
3809:
3805:
3799:
3795:
3784:
3770:
3766:
3762:
3759:
3756:
3753:
3750:
3747:
3737:
3726:
3721:
3717:
3713:
3708:
3704:
3700:
3695:
3691:
3688:
3682:
3672:
3659:
3655:
3642:
3641:
3629:
3624:
3620:
3616:
3613:
3610:
3605:
3601:
3590:
3576:
3572:
3568:
3565:
3562:
3559:
3556:
3553:
3543:
3530:
3526:
3520:
3516:
3513:
3507:
3497:
3484:
3480:
3467:
3466:
3452:
3448:
3444:
3441:
3431:
3417:
3413:
3409:
3406:
3403:
3400:
3397:
3394:
3384:
3372:
3362:
3349:
3345:
3332:
3331:
3328:
3325:
3322:
3302:
3298:
3275:
3271:
3244:
3240:
3236:
3233:
3211:
3207:
3184:
3180:
3157:
3154:
3151:
3147:
3115:
3111:
3107:
3104:
3084:
3064:
3061:
3058:
3055:
3052:
3049:
3031:
3030:
3027:
3011:
3007:
3003:
3000:
2980:
2960:
2938:
2934:
2911:
2907:
2884:
2880:
2857:
2853:
2830:
2826:
2805:
2804:
2797:
2794:
2791:
2775:
2772:
2762:, but also by
2760:Darrell Duffie
2751:
2748:
2745:
2744:
2741:
2738:
2734:
2733:
2730:
2727:
2723:
2722:
2719:
2716:
2712:
2711:
2708:
2705:
2701:
2700:
2697:
2694:
2690:
2689:
2686:
2683:
2679:
2678:
2675:
2672:
2668:
2667:
2664:
2661:
2657:
2656:
2653:
2650:
2646:
2645:
2642:
2639:
2635:
2634:
2631:
2628:
2624:
2623:
2620:
2617:
2613:
2612:
2609:
2606:
2602:
2601:
2598:
2595:
2591:
2590:
2587:
2584:
2580:
2579:
2576:
2573:
2569:
2568:
2565:
2562:
2558:
2557:
2554:
2551:
2547:
2546:
2543:
2540:
2536:
2535:
2532:
2529:
2525:
2524:
2521:
2518:
2514:
2513:
2510:
2507:
2503:
2502:
2499:
2496:
2492:
2491:
2488:
2485:
2481:
2480:
2477:
2474:
2470:
2469:
2466:
2463:
2459:
2458:
2455:
2452:
2448:
2447:
2444:
2441:
2437:
2436:
2433:
2430:
2426:
2425:
2422:
2419:
2415:
2414:
2411:
2408:
2404:
2403:
2400:
2399:CIT Group Inc.
2397:
2393:
2392:
2389:
2386:
2382:
2381:
2378:
2375:
2371:
2370:
2367:
2364:
2360:
2359:
2356:
2355:Six Flags LCDS
2353:
2349:
2348:
2345:
2342:
2338:
2337:
2334:
2331:
2327:
2326:
2323:
2320:
2316:
2315:
2312:
2309:
2305:
2304:
2301:
2298:
2294:
2293:
2290:
2287:
2283:
2282:
2279:
2276:
2272:
2271:
2268:
2265:
2261:
2260:
2257:
2254:
2250:
2249:
2246:
2243:
2239:
2238:
2235:
2232:
2228:
2227:
2224:
2221:
2217:
2216:
2213:
2210:
2206:
2205:
2202:
2199:
2195:
2194:
2191:
2188:
2184:
2183:
2180:
2177:
2173:
2172:
2169:
2166:
2162:
2161:
2158:
2155:
2151:
2150:
2147:
2144:
2140:
2139:
2136:
2133:
2129:
2128:
2125:
2124:LyondellBasell
2122:
2118:
2117:
2114:
2111:
2107:
2106:
2103:
2100:
2096:
2095:
2092:
2089:
2085:
2084:
2081:
2078:
2074:
2073:
2070:
2067:
2063:
2062:
2059:
2056:
2052:
2051:
2048:
2045:
2041:
2040:
2037:
2034:
2030:
2029:
2026:
2023:
2019:
2018:
2015:
2012:
2008:
2007:
2004:
1998:
1994:
1993:
1990:
1984:
1980:
1979:
1976:
1970:
1966:
1965:
1962:
1956:
1952:
1951:
1948:
1945:
1941:
1940:
1937:
1931:
1927:
1926:
1923:
1917:
1913:
1912:
1909:
1906:
1902:
1901:
1898:
1893:
1889:
1888:
1885:
1879:
1875:
1874:
1871:
1865:
1861:
1860:
1857:
1851:
1847:
1846:
1843:
1837:
1833:
1832:
1829:
1828:- Subordinated
1823:
1819:
1818:
1815:
1809:
1805:
1804:
1801:
1800:- Subordinated
1795:
1791:
1790:
1787:
1781:
1777:
1776:
1773:
1772:- Subordinated
1767:
1763:
1762:
1759:
1753:
1749:
1748:
1745:
1740:
1736:
1735:
1732:
1727:
1723:
1722:
1719:
1718:- Subordinated
1713:
1709:
1708:
1705:
1699:
1695:
1694:
1691:
1690:- Subordinated
1685:
1681:
1680:
1677:
1671:
1667:
1666:
1663:
1658:
1654:
1653:
1650:
1648:Quebecor World
1645:
1641:
1640:
1637:
1632:
1628:
1627:
1624:
1623:- Subordinated
1618:
1614:
1613:
1610:
1604:
1600:
1599:
1596:
1591:
1587:
1586:
1583:
1578:
1574:
1573:
1570:
1565:
1561:
1560:
1557:
1552:
1548:
1547:
1544:
1539:
1535:
1534:
1531:
1530:- Subordinated
1525:
1521:
1520:
1517:
1511:
1507:
1506:
1500:
1497:
1475:. Commentator
1447:
1444:
1439:
1438:
1434:
1417:
1414:
1412:
1409:
1349:Main article:
1346:
1343:
1308:failure to pay
1262:effective date
1254:corporate bond
1233:
1230:
1219:, a trader at
1212:
1209:
1199:
1196:
1173:
1170:
1125:
1122:
1118:CME Group Inc.
1091:clearing house
1063:rather than a
1044:
1041:
1018:
1015:
989:
986:
982:Enron loophole
966:S&L crisis
926:Blythe Masters
924:and economist
913:
910:
908:
905:
892:
891:
888:
885:
882:
835:
832:
821:
820:
812:
755:
752:
701:
700:
681:
679:
672:
666:
663:
638:
637:
622:
602:
601:
597:
552:
549:
532:
529:
513:
510:
490:liquidity risk
483:clearing house
479:
478:
474:
471:double default
458:
455:
454:
453:
450:
436:
422:mark-to-market
418:
403:
395:
391:
365:
362:
334:
333:
322:
273:counterparties
230:
228:
221:
220:
219:
212:
208:
204:
200:
196:
192:
188:
184:
182:
175:
174:
173:
172:
171:
169:
166:
122:
119:
115:notional value
93:
90:
58:financial swap
26:
9:
6:
4:
3:
2:
10950:
10939:
10936:
10934:
10933:Systemic risk
10931:
10929:
10926:
10924:
10921:
10920:
10918:
10903:
10898:
10893:
10892:
10889:
10883:
10880:
10878:
10875:
10873:
10870:
10868:
10865:
10863:
10860:
10858:
10857:Consumer debt
10855:
10854:
10852:
10850:Market issues
10848:
10842:
10839:
10837:
10834:
10832:
10829:
10827:
10826:Fund of funds
10824:
10822:
10819:
10817:
10814:
10812:
10809:
10807:
10804:
10802:
10799:
10797:
10794:
10792:
10789:
10787:
10784:
10782:
10779:
10777:
10774:
10773:
10771:
10767:
10761:
10758:
10756:
10753:
10751:
10748:
10746:
10743:
10741:
10738:
10736:
10733:
10732:
10730:
10728:
10724:
10718:
10715:
10713:
10710:
10708:
10705:
10703:
10700:
10698:
10695:
10693:
10690:
10688:
10685:
10683:
10680:
10678:
10675:
10673:
10670:
10668:
10667:Forward price
10665:
10663:
10660:
10658:
10655:
10653:
10650:
10648:
10645:
10643:
10640:
10639:
10637:
10632:
10629:
10627:
10624:
10623:
10620:
10614:
10611:
10609:
10606:
10604:
10601:
10599:
10596:
10594:
10591:
10589:
10586:
10584:
10581:
10579:
10578:Interest rate
10576:
10574:
10571:
10569:
10566:
10564:
10561:
10559:
10556:
10554:
10551:
10549:
10546:
10544:
10541:
10539:
10536:
10534:
10531:
10529:
10526:
10524:
10521:
10519:
10516:
10514:
10511:
10509:
10506:
10505:
10503:
10501:
10497:
10487:
10484:
10482:
10479:
10477:
10474:
10472:
10471:MC Simulation
10469:
10467:
10464:
10462:
10459:
10457:
10454:
10452:
10449:
10447:
10444:
10442:
10439:
10436:
10432:
10431:Black–Scholes
10429:
10427:
10424:
10422:
10419:
10417:
10414:
10413:
10411:
10409:
10405:
10398:
10394:
10390:
10387:
10385:
10384:Risk reversal
10382:
10380:
10377:
10375:
10372:
10370:
10367:
10365:
10362:
10360:
10357:
10355:
10352:
10350:
10347:
10345:
10342:
10340:
10337:
10335:
10332:
10330:
10327:
10325:
10322:
10320:
10317:
10315:
10314:Credit spread
10312:
10310:
10307:
10305:
10302:
10300:
10297:
10295:
10292:
10290:
10287:
10285:
10282:
10280:
10277:
10276:
10274:
10272:
10268:
10262:
10259:
10257:
10254:
10252:
10249:
10246:
10244:
10241:
10239:
10238:Interest rate
10236:
10234:
10233:Forward start
10231:
10229:
10226:
10224:
10221:
10219:
10216:
10214:
10211:
10209:
10206:
10204:
10201:
10199:
10196:
10194:
10191:
10189:
10186:
10185:
10183:
10181:
10177:
10171:
10168:
10166:
10163:
10161:
10160:Option styles
10158:
10156:
10153:
10151:
10148:
10146:
10143:
10141:
10138:
10136:
10133:
10131:
10128:
10126:
10123:
10122:
10120:
10118:
10114:
10108:
10105:
10103:
10100:
10098:
10095:
10093:
10090:
10088:
10085:
10083:
10080:
10078:
10077:Open interest
10075:
10073:
10070:
10068:
10065:
10063:
10060:
10058:
10057:Delta neutral
10055:
10054:
10052:
10048:
10045:
10043:
10039:
10035:
10030:
10026:
10019:
10014:
10012:
10007:
10005:
10000:
9999:
9996:
9989:
9985:
9982:
9978:
9966:
9962:
9958:
9953:
9951:
9947:
9943:
9939:
9936:
9932:
9928:
9925:
9921:
9918:
9914:
9910:
9907:
9903:
9899:
9896:
9892:
9889:
9885:
9881:
9879:
9875:
9871:
9868:
9864:
9860:
9857:
9853:
9849:
9846:
9842:
9838:
9836:
9832:
9830:
9827:
9823:
9822:
9814:
9810:
9807:
9804:
9801:
9797:
9794:
9792:
9788:
9785:
9782:
9779:
9777:
9774:
9771:
9768:
9765:
9761:
9757:
9753:
9750:
9746:
9733:
9724:
9719:
9715:
9711:
9707:
9704:
9703:
9698:
9695:
9692:
9689:
9686:
9682:
9679:
9676:
9673:
9671:
9667:
9664:
9662:
9659:
9657:
9654:
9653:
9646:
9643:
9635:
9625:
9621:
9620:inappropriate
9617:
9613:
9607:
9605:
9598:
9589:
9588:
9571:September 13,
9566:
9562:
9556:
9545:September 13,
9541:
9537:
9531:
9520:September 13,
9516:
9512:
9506:
9499:
9494:
9478:
9474:
9468:
9459:
9452:
9446:
9437:
9435:
9425:
9416:
9407:
9401:
9396:
9394:
9385:
9381:
9377:
9370:
9362:
9349:
9333:
9326:
9324:
9315:
9308:
9306:
9298:
9293:
9277:
9273:
9266:
9259:
9254:
9247:
9242:
9223:
9216:
9209:
9202:
9197:
9190:
9185:
9166:
9159:
9143:
9136:
9129:
9125:
9119:
9108:September 21,
9104:
9097:
9090:
9074:
9070:
9069:"Daily Brief"
9064:
9047:
9042:
9036:
9034:
9017:
9011:
8995:
8991:
8985:
8978:
8973:
8966:
8961:
8959:
8951:
8946:
8939:
8934:
8932:
8924:
8920:
8915:
8908:
8904:
8899:
8884:
8880:
8874:
8867:
8863:
8858:
8851:
8850:
8845:
8839:
8824:
8823:Seeking Alpha
8820:
8813:
8797:
8793:
8787:
8785:
8767:
8762:
8756:
8740:
8734:
8726:
8722:
8716:
8700:
8694:
8678:
8674:
8668:
8653:
8649:
8642:
8626:
8622:
8616:
8601:
8597:
8590:
8575:
8571:
8564:
8549:
8545:
8538:
8530:
8526:
8519:
8503:
8496:
8480:
8476:
8470:
8468:
8448:
8441:
8424:
8419:
8415:
8408:
8400:
8394:
8392:
8390:
8378:
8374:
8367:
8360:
8358:
8356:
8339:
8335:
8328:
8326:
8324:
8307:
8303:
8297:
8281:
8274:
8258:
8254:
8247:
8231:
8225:
8210:
8206:
8199:
8182:
8177:
8171:
8155:
8148:
8146:
8130:. Efalken.com
8129:
8123:
8104:
8100:
8093:
8087:
8068:
8064:
8060:
8053:
8046:
8031:
8027:
8020:
8004:
8000:
7994:
7975:
7971:
7964:
7957:
7955:
7947:
7935:
7931:
7927:
7920:
7904:
7898:
7883:
7879:
7872:
7864:
7860:
7853:
7846:
7842:
7836:
7834:
7818:
7814:
7807:
7805:
7803:
7787:
7783:
7776:
7774:
7772:
7763:
7757:
7753:
7748:
7747:
7741:
7740:Tett, Gillian
7735:
7733:
7731:
7729:
7727:
7707:
7703:
7699:
7695:
7691:
7687:
7683:
7682:
7674:
7667:
7665:
7656:
7643:
7635:
7631:
7627:
7623:
7619:
7615:
7608:
7601:
7595:
7589:
7571:
7564:
7558:
7551:
7536:
7532:
7528:
7521:
7514:
7498:
7494:
7490:
7483:
7481:
7479:
7459:
7455:
7449:
7447:
7431:. govtrack.us
7430:
7424:
7408:
7402:
7383:
7379:
7372:
7365:
7349:
7345:
7339:
7324:
7320:
7313:
7311:
7309:
7292:
7285:
7283:
7267:
7266:
7261:
7254:
7239:
7233:
7229:
7228:
7220:
7203:
7198:
7194:
7187:
7172:
7168:
7161:
7159:
7157:
7137:
7130:
7123:
7121:
7119:
7117:
7115:
7113:
7096:
7092:
7086:
7078:
7072:
7068:
7061:
7059:
7042:
7038:
7032:
7016:
7012:
7006:
6990:
6984:
6968:
6964:
6958:
6942:
6936:
6920:
6916:
6910:
6902:
6896:
6877:
6870:
6863:
6861:
6859:
6840:
6833:
6825:
6821:
6815:
6808:
6796:
6789:
6782:
6771:
6764:
6757:
6746:
6739:
6732:
6726:
6719:
6718:0-536-34228-8
6715:
6711:
6705:
6689:
6685:
6678:
6676:
6674:
6672:
6670:
6668:
6666:
6664:
6647:
6640:
6638:
6621:
6617:
6613:
6609:
6602:
6600:
6598:
6596:
6588:
6576:
6572:
6565:
6563:
6546:
6542:
6535:
6528:
6526:
6524:
6522:
6520:
6518:
6516:
6514:
6512:
6510:
6501:
6497:
6493:
6489:
6485:
6481:
6474:
6467:
6465:
6463:
6451:September 13,
6447:
6443:
6436:
6429:
6413:
6409:
6403:
6395:
6391:
6388:: 1019–1051.
6387:
6383:
6379:
6378:
6373:
6367:
6365:
6363:
6361:
6359:
6350:
6344:
6329:
6322:
6320:
6318:
6316:
6314:
6298:
6291:
6284:
6282:
6280:
6278:
6276:
6274:
6272:
6270:
6268:
6266:
6264:
6262:
6260:
6258:
6242:
6238:
6234:
6230:
6226:
6222:
6215:
6208:
6206:
6204:
6202:
6185:
6181:
6175:
6168:
6164:
6161:
6156:
6137:
6133:
6126:
6120:
6118:
6116:
6114:
6098:
6097:FT Alphaville
6094:
6087:
6071:
6064:
6060:
6045:
6036:
6032:
6022:
6019:
6017:
6014:
6012:
6011:Recovery swap
6009:
6007:
6004:
6001:
5997:
5995:
5991:
5988:
5985:
5983:
5980:
5978:
5975:
5973:
5970:
5968:
5965:
5964:
5958:
5949:
5945:
5943:
5942:Movie Gallery
5932:
5929:
5928:balance sheet
5925:
5920:
5915:
5911:
5908:
5902:
5899:
5895:
5883:
5878:
5876:
5873:As described
5871:
5869:
5868:domino effect
5864:
5862:
5857:
5854:
5850:
5845:
5843:
5842:systemic risk
5839:
5832:Systemic risk
5829:
5827:
5826:Merrill Lynch
5823:
5818:
5813:
5809:
5807:
5801:
5799:
5795:
5790:
5788:
5783:
5781:
5776:
5770:
5768:
5763:
5759:
5757:
5753:
5742:
5740:
5736:
5732:
5728:
5725:Analogous to
5721:Sensitivities
5718:
5715:
5714:US Treasuries
5711:
5707:
5676:
5672:
5666:
5662:
5656:
5652:
5646:
5642:
5636:
5632:
5628:
5623:
5619:
5613:
5609:
5603:
5599:
5593:
5589:
5585:
5580:
5576:
5570:
5566:
5560:
5556:
5552:
5547:
5543:
5537:
5533:
5524:
5520:
5517:
5511:
5504:
5502:
5501:
5481:
5477:
5468:
5464:
5460:
5457:
5449:
5445:
5439:
5435:
5429:
5425:
5421:
5416:
5412:
5403:
5399:
5395:
5392:
5384:
5380:
5374:
5370:
5366:
5361:
5357:
5348:
5344:
5340:
5337:
5329:
5325:
5321:
5316:
5312:
5303:
5299:
5295:
5292:
5280:
5277:
5274:
5268:
5261:
5246:
5243:
5240:
5233:
5232:
5229:
5208:
5204:
5201:
5190:
5186:
5182:
5177:
5173:
5169:
5164:
5160:
5156:
5151:
5147:
5138:
5134:
5128:
5124:
5118:
5114:
5108:
5104:
5100:
5093:
5091:
5090:
5067:
5063:
5059:
5054:
5050:
5046:
5041:
5037:
5028:
5024:
5021:
5015:
5010:
5006:
4999:
4996:
4993:
4987:
4976:
4972:
4968:
4965:
4957:
4953:
4947:
4943:
4937:
4933:
4929:
4922:
4920:
4919:
4896:
4892:
4888:
4883:
4879:
4870:
4866:
4863:
4857:
4852:
4848:
4841:
4838:
4835:
4829:
4818:
4814:
4810:
4807:
4799:
4795:
4789:
4785:
4781:
4774:
4772:
4771:
4751:
4747:
4741:
4737:
4734:
4728:
4723:
4719:
4712:
4709:
4706:
4700:
4689:
4685:
4681:
4678:
4670:
4666:
4662:
4655:
4653:
4652:
4634:
4630:
4623:
4620:
4617:
4611:
4603:
4599:
4595:
4592:
4582:
4567:
4564:
4561:
4554:
4553:
4550:
4547:
4533:
4525:
4524:credit spread
4506:
4500:
4474:
4471:
4468:
4461:
4457:
4448:
4442:
4439:
4433:
4430:
4427:
4424:
4416:
4401:
4395:
4392:
4372:
4364:
4346:
4342:
4319:
4315:
4292:
4288:
4265:
4261:
4233:
4229:
4223:
4219:
4213:
4209:
4203:
4199:
4191:
4176:
4169:
4150:
4146:
4142:
4137:
4133:
4129:
4124:
4120:
4116:
4111:
4107:
4098:
4094:
4091:
4085:
4078:
4075:
4074:
4053:
4049:
4045:
4042:
4034:
4030:
4024:
4020:
4014:
4010:
4002:
3985:
3981:
3974:
3971:
3968:
3962:
3955:
3936:
3932:
3928:
3923:
3919:
3915:
3910:
3906:
3897:
3893:
3890:
3884:
3877:
3861:
3857:
3848:
3847:
3826:
3822:
3818:
3815:
3807:
3803:
3797:
3793:
3785:
3768:
3764:
3757:
3754:
3751:
3745:
3738:
3719:
3715:
3711:
3706:
3702:
3693:
3689:
3686:
3680:
3673:
3657:
3653:
3644:
3643:
3622:
3618:
3614:
3611:
3603:
3599:
3591:
3574:
3570:
3563:
3560:
3557:
3551:
3544:
3528:
3524:
3518:
3514:
3511:
3505:
3498:
3482:
3478:
3469:
3468:
3450:
3446:
3442:
3439:
3432:
3415:
3411:
3404:
3401:
3398:
3392:
3385:
3370:
3363:
3347:
3343:
3334:
3333:
3329:
3326:
3323:
3320:
3319:
3316:
3300:
3296:
3273:
3269:
3260:
3242:
3238:
3234:
3231:
3209:
3205:
3182:
3178:
3155:
3152:
3149:
3145:
3135:
3133:
3128:
3113:
3109:
3105:
3102:
3082:
3059:
3056:
3053:
3047:
3038:
3036:
3035:present value
3028:
3025:
3024:
3023:
3009:
3005:
3001:
2998:
2978:
2958:
2936:
2932:
2909:
2905:
2882:
2878:
2855:
2851:
2828:
2824:
2814:
2810:
2802:
2798:
2795:
2792:
2789:
2788:
2787:
2785:
2781:
2771:
2769:
2765:
2761:
2756:
2742:
2739:
2736:
2735:
2731:
2728:
2725:
2724:
2720:
2717:
2714:
2713:
2709:
2706:
2703:
2702:
2698:
2695:
2692:
2691:
2687:
2684:
2681:
2680:
2676:
2673:
2670:
2669:
2665:
2662:
2659:
2658:
2654:
2651:
2648:
2647:
2643:
2641:Elpida Memory
2640:
2637:
2636:
2632:
2629:
2626:
2625:
2621:
2618:
2615:
2614:
2610:
2607:
2604:
2603:
2599:
2596:
2593:
2592:
2588:
2585:
2582:
2581:
2577:
2574:
2571:
2570:
2566:
2563:
2560:
2559:
2555:
2552:
2549:
2548:
2544:
2542:Takefuji Corp
2541:
2538:
2537:
2533:
2530:
2527:
2526:
2522:
2519:
2516:
2515:
2511:
2508:
2505:
2504:
2500:
2497:
2494:
2493:
2489:
2486:
2483:
2482:
2478:
2475:
2472:
2471:
2467:
2464:
2461:
2460:
2456:
2453:
2450:
2449:
2445:
2442:
2439:
2438:
2434:
2431:
2428:
2427:
2423:
2420:
2417:
2416:
2412:
2409:
2406:
2405:
2401:
2398:
2395:
2394:
2390:
2387:
2384:
2383:
2379:
2376:
2373:
2372:
2368:
2365:
2362:
2361:
2357:
2354:
2351:
2350:
2346:
2344:Six Flags CDS
2343:
2340:
2339:
2335:
2332:
2329:
2328:
2324:
2321:
2318:
2317:
2313:
2310:
2307:
2306:
2302:
2299:
2296:
2295:
2291:
2288:
2285:
2284:
2280:
2277:
2274:
2273:
2269:
2266:
2263:
2262:
2258:
2255:
2252:
2251:
2247:
2244:
2241:
2240:
2236:
2233:
2230:
2229:
2225:
2222:
2219:
2218:
2214:
2211:
2208:
2207:
2203:
2200:
2197:
2196:
2192:
2189:
2186:
2185:
2181:
2178:
2175:
2174:
2170:
2167:
2164:
2163:
2159:
2156:
2153:
2152:
2148:
2145:
2142:
2141:
2137:
2134:
2131:
2130:
2126:
2123:
2120:
2119:
2115:
2112:
2109:
2108:
2104:
2101:
2098:
2097:
2093:
2090:
2087:
2086:
2082:
2079:
2076:
2075:
2071:
2068:
2065:
2064:
2060:
2057:
2054:
2053:
2049:
2046:
2043:
2042:
2038:
2035:
2032:
2031:
2027:
2024:
2021:
2020:
2016:
2013:
2010:
2009:
2005:
2002:
2000:British Vita
1999:
1996:
1995:
1991:
1988:
1986:British Vita
1985:
1982:
1981:
1977:
1974:
1971:
1968:
1967:
1963:
1960:
1957:
1954:
1953:
1949:
1946:
1943:
1942:
1938:
1935:
1932:
1929:
1928:
1924:
1921:
1918:
1915:
1914:
1910:
1907:
1904:
1903:
1899:
1897:
1894:
1891:
1890:
1886:
1883:
1880:
1877:
1876:
1872:
1869:
1866:
1863:
1862:
1858:
1855:
1852:
1849:
1848:
1844:
1841:
1838:
1835:
1834:
1830:
1827:
1824:
1821:
1820:
1816:
1813:
1810:
1807:
1806:
1802:
1799:
1796:
1793:
1792:
1788:
1785:
1782:
1779:
1778:
1774:
1771:
1768:
1765:
1764:
1760:
1757:
1754:
1751:
1750:
1746:
1744:
1741:
1738:
1737:
1733:
1731:
1728:
1725:
1724:
1720:
1717:
1714:
1711:
1710:
1706:
1703:
1700:
1697:
1696:
1692:
1689:
1686:
1683:
1682:
1678:
1675:
1672:
1669:
1668:
1664:
1662:
1659:
1656:
1655:
1651:
1649:
1646:
1643:
1642:
1638:
1636:
1635:Movie Gallery
1633:
1630:
1629:
1625:
1622:
1619:
1616:
1615:
1611:
1608:
1605:
1602:
1601:
1597:
1595:
1592:
1589:
1588:
1584:
1582:
1579:
1576:
1575:
1571:
1569:
1566:
1563:
1562:
1558:
1556:
1553:
1550:
1549:
1545:
1543:
1540:
1537:
1536:
1532:
1529:
1526:
1523:
1522:
1518:
1515:
1512:
1509:
1508:
1505:
1501:
1498:
1495:
1494:
1491:
1488:
1486:
1482:
1478:
1474:
1470:
1466:
1461:
1460:Dutch auction
1457:
1453:
1443:
1435:
1431:
1430:
1429:
1427:
1423:
1408:
1406:
1402:
1398:
1394:
1390:
1384:
1381:
1379:
1375:
1371:
1367:
1357:
1352:
1342:
1340:
1335:
1333:
1328:
1323:
1321:
1317:
1316:restructuring
1313:
1309:
1305:
1301:
1300:credit events
1296:
1294:
1290:
1284:
1282:
1278:
1274:
1269:
1267:
1263:
1259:
1255:
1251:
1247:
1243:
1239:
1229:
1227:
1222:
1218:
1208:
1204:
1195:
1190:
1185:
1182:
1178:
1169:
1167:
1162:
1158:
1154:
1149:
1145:
1142:
1138:
1134:
1131:
1130:Deutsche Bank
1121:
1119:
1114:
1109:
1105:
1103:
1098:
1096:
1092:
1088:
1083:
1081:
1076:
1073:
1068:
1066:
1062:
1058:
1052:
1050:
1040:
1032:
1023:
1014:
1010:
1006:
1004:
998:
994:
988:Market growth
985:
983:
979:
976:(CFTC). The
975:
971:
967:
962:
960:
954:
951:
945:
943:
939:
935:
931:
927:
923:
919:
918:Bankers Trust
904:
901:
897:
889:
886:
883:
880:
879:
878:
874:
872:
868:
863:
859:
857:
852:
847:
844:
840:
831:
829:
824:
818:
813:
809:
808:
807:
805:
801:
795:
793:
787:
784:
780:
776:
771:
767:
765:
760:
751:
748:
746:
741:
737:
734:
729:
727:
722:
717:
715:
710:
708:
697:
694:November 2012
685:
680:
671:
670:
662:
660:
656:
655:Goldman Sachs
651:
650:synthetic CDO
647:
642:
635:
631:
627:
623:
620:
616:
612:
608:
607:
606:
598:
594:
593:
592:
589:
584:
582:
577:
575:
571:
565:
563:
559:
548:
546:
542:
538:
528:
526:
521:
518:
509:
505:
503:
502:credit rating
499:
495:
491:
486:
484:
475:
472:
468:
467:
466:
464:
451:
448:
444:
440:
437:
434:
431:
430:balance sheet
427:
423:
419:
416:
412:
409:based on the
408:
407:loss reserves
404:
401:
396:
392:
389:
388:
387:
384:
382:
378:
374:
369:
361:
358:
354:
349:
347:
343:
339:
331:
327:
323:
320:
316:
312:
311:
310:
308:
303:
301:
297:
292:
290:
284:
282:
278:
274:
270:
265:
263:
259:
253:
251:
250:credit rating
246:
244:
225:
179:
165:
161:
159:
155:
151:
146:
144:
140:
136:
132:
128:
118:
116:
112:
108:
104:
103:systemic risk
100:
89:
87:
83:
79:
74:
69:
67:
63:
59:
55:
51:
42:
34:
30:
19:
10677:Forward rate
10588:Total return
10542:
10476:Real options
10379:Ratio spread
10359:Naked option
10319:Debit spread
10150:Fixed income
10092:Strike price
9969:. Retrieved
9965:the original
9960:
9941:
9930:
9912:
9901:
9883:
9877:
9862:
9851:
9840:
9826:BusinessWeek
9825:
9783:fintools.com
9752:John C. Hull
9732:cite journal
9700:
9638:
9629:
9614:by removing
9601:
9569:. Retrieved
9564:
9555:
9543:. Retrieved
9539:
9530:
9518:. Retrieved
9514:
9505:
9493:
9481:. Retrieved
9477:the original
9467:
9458:
9445:
9424:
9415:
9406:
9399:
9375:
9369:
9348:cite journal
9336:. Retrieved
9313:
9292:
9280:. Retrieved
9276:the original
9265:
9253:
9241:
9229:. Retrieved
9222:the original
9208:
9196:
9184:
9174:December 21,
9172:. Retrieved
9158:
9146:. Retrieved
9135:
9127:
9118:
9106:. Retrieved
9089:
9077:. Retrieved
9073:the original
9063:
9051:. Retrieved
9046:the original
9020:. Retrieved
9010:
8998:. Retrieved
8993:
8984:
8972:
8945:
8914:
8898:
8886:. Retrieved
8882:
8873:
8857:
8847:
8838:
8826:. Retrieved
8812:
8800:. Retrieved
8796:the original
8771:. Retrieved
8766:the original
8755:
8743:. Retrieved
8733:
8725:the original
8715:
8705:November 26,
8703:. Retrieved
8693:
8681:. Retrieved
8677:the original
8667:
8655:. Retrieved
8651:
8641:
8629:. Retrieved
8624:
8615:
8603:. Retrieved
8599:
8589:
8577:. Retrieved
8573:
8563:
8551:. Retrieved
8547:
8537:
8528:
8518:
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8495:
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8479:the original
8456:December 15,
8454:. Retrieved
8440:
8428:. Retrieved
8423:the original
8417:
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8344:February 15,
8342:. Retrieved
8338:the original
8310:. Retrieved
8306:the original
8296:
8284:. Retrieved
8273:
8261:. Retrieved
8257:The Guardian
8256:
8246:
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8224:
8212:. Retrieved
8208:
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8181:the original
8170:
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8103:the original
8098:
8086:
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8067:the original
8062:
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8029:
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7974:the original
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7934:the original
7929:
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7897:
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7881:
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7852:
7844:
7820:. Retrieved
7816:
7813:"Outsmarted"
7789:. Retrieved
7785:
7745:
7713:. Retrieved
7706:the original
7688:(4): 54–60.
7685:
7679:
7642:cite journal
7607:
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7570:the original
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7535:the original
7530:
7526:
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7382:the original
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7322:
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7202:the original
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7041:the original
7031:
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6983:
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6967:the original
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6935:
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6909:
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6832:
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6788:
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6763:
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6748:. Retrieved
6738:
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6687:
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6620:the original
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6544:
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6441:
6428:
6416:. Retrieved
6412:the original
6402:
6381:
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6300:. Retrieved
6296:
6244:. Retrieved
6224:
6220:
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6184:the original
6174:
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6136:the original
6100:. Retrieved
6096:
6086:
6074:. Retrieved
6063:
6044:
6035:
5993:
5955:
5946:
5938:
5916:
5912:
5903:
5890:
5872:
5865:
5860:
5858:
5846:
5835:
5814:
5810:
5802:
5791:
5784:
5771:
5764:
5760:
5748:
5730:
5729:for a bond,
5724:
5703:
5227:
4548:
4252:
4076:No defaults
3330:Probability
3321:Description
3136:
3129:
3039:
3032:
2806:
2777:
2757:
2753:
2322:Visteon LCDS
1489:
1477:Felix Salmon
1451:
1449:
1440:
1426:cash settled
1425:
1421:
1419:
1389:restructured
1388:
1387:the debt is
1385:
1382:
1363:
1336:
1326:
1324:
1315:
1307:
1303:
1299:
1297:
1292:
1288:
1285:
1280:
1276:
1272:
1270:
1265:
1261:
1249:
1245:
1238:confirmation
1237:
1235:
1226:Major losses
1214:
1205:
1201:
1192:
1187:
1183:
1179:
1175:
1163:
1159:
1156:
1151:
1146:
1143:
1139:
1135:
1127:
1110:
1106:
1099:
1084:
1077:
1069:
1064:
1060:
1053:
1046:
1037:
1011:
1007:
999:
995:
991:
963:
955:
950:Bill Demchak
946:
915:
899:
893:
875:
870:
864:
860:
855:
848:
838:
837:
825:
822:
804:basis points
796:
788:
781:the bank is
772:
768:
764:participants
761:
757:
749:
742:
738:
730:
721:George Soros
718:
711:
706:
704:
691:
683:
643:
639:
633:
629:
625:
618:
614:
610:
603:
585:
578:
566:
554:
534:
522:
519:
515:
506:
487:
480:
460:
385:
372:
370:
367:
356:
352:
350:
342:basis points
335:
329:
325:
318:
304:
293:
288:
285:
281:credit event
266:
254:
247:
239:
162:
147:
124:
95:
70:
66:credit event
53:
49:
47:
29:
10923:Credit risk
10608:Zero Coupon
10538:Correlation
10486:Vanna–Volga
10344:Iron condor
10130:Bond option
9971:October 19,
9144:. Bloomberg
9079:November 6,
8888:January 26,
8849:MarketWatch
8504:. Bloomberg
8282:. Bloomberg
7293:. Bloomberg
6800:November 3,
6775:November 3,
6750:November 3,
6648:. Bloomberg
6551:January 13,
6486:: 271–282.
6302:December 9,
6076:January 31,
5996:(2010 film)
5849:mutual fund
5836:During the
5735:basis point
2737:2015-10-06
2726:2015-09-17
2715:2015-06-23
2704:2015-03-05
2693:2015-02-19
2311:Visteon CDS
2190:Idearc LCDS
2102:Great Lakes
2014:Nortel Ltd.
1716:Freddie Mac
1702:Freddie Mac
1221:J.P. Morgan
1217:Bruno Iksil
815:Settlement
779:advise that
626:less likely
611:more likely
600:investment.
558:basis trade
551:Speculation
537:speculation
357:more likely
309:can occur:
168:Description
154:credit risk
10917:Categories
10882:Tax policy
10598:Volatility
10508:Amortising
10349:Jelly roll
10284:Box spread
10279:Backspread
10271:Strategies
10107:Volatility
10102:the Greeks
10067:Expiration
9756:Alan White
9632:April 2018
9483:August 27,
9473:"FASB 133"
9282:August 27,
9148:August 27,
9128:atimes.com
9053:August 27,
8967:, cftc.gov
8802:August 27,
8773:August 27,
8745:August 27,
8683:August 27,
8312:August 27,
8286:August 27,
8236:August 27,
8188:August 27,
8134:August 27,
8009:August 27,
7817:New Yorker
7579:2016-02-08
6227:(254): 1.
6102:January 5,
6056:References
5994:Inside Job
5905:2004, the
5880:See also:
5745:Criticisms
2813:discounted
2768:Alan White
2682:2012-06-06
2671:2012-05-30
2660:2012-05-09
2649:2012-03-29
2638:2012-03-22
2627:2012-03-19
2616:2012-02-22
2605:2011-12-15
2594:2011-12-13
2583:2011-12-09
2572:2011-11-29
2561:2010-12-10
2550:2010-12-09
2539:2010-10-28
2528:2010-09-21
2517:2010-09-09
2506:2010-07-15
2495:2010-06-04
2484:2010-04-22
2473:2010-04-15
2462:2010-03-25
2451:2010-02-18
2440:2010-01-07
2429:2009-12-16
2418:2009-12-15
2407:2009-12-09
2396:2009-11-20
2385:2009-11-10
2374:2009-07-21
2363:2009-07-21
2352:2009-07-09
2341:2009-07-09
2330:2009-06-24
2319:2009-06-23
2308:2009-06-23
2297:2009-06-18
2286:2009-06-12
2275:2009-06-12
2264:2009-06-11
2253:2009-06-10
2242:2009-06-09
2231:2009-05-28
2220:2009-05-27
2209:2009-05-13
2198:2009-05-12
2187:2009-04-23
2179:Idearc CDS
2176:2009-04-23
2165:2009-04-22
2154:2009-04-21
2143:2009-04-21
2132:2009-04-17
2121:2009-04-16
2110:2009-04-15
2099:2009-04-14
2088:2009-04-14
2077:2009-03-31
2066:2009-03-09
2055:2009-02-26
2044:2009-02-19
2033:2009-02-19
2022:2009-02-10
2011:2009-02-10
2003:- 2nd Lien
1997:2009-02-09
1989:- 1st Lien
1983:2009-02-09
1975:- 2nd Lien
1969:2009-02-05
1961:- 1st Lien
1955:2009-02-05
1944:2009-02-03
1930:2009-02-03
1916:2009-02-03
1905:2009-02-03
1892:2009-01-14
1878:2009-01-06
1864:2009-01-06
1850:2008-12-17
1836:2008-12-09
1822:2008-11-06
1808:2008-11-06
1794:2008-11-05
1780:2008-11-05
1770:Landsbanki
1766:2008-11-04
1756:Landsbanki
1752:2008-11-04
1739:2008-10-23
1726:2008-10-10
1712:2008-10-06
1698:2008-10-06
1688:Fannie Mae
1684:2008-10-06
1674:Fannie Mae
1670:2008-10-06
1661:Tembec Inc
1657:2008-10-02
1644:2008-02-19
1631:2007-10-23
1617:2006-11-28
1603:2006-11-28
1590:2006-03-31
1577:2006-01-17
1564:2005-11-04
1551:2005-10-11
1538:2005-10-11
1524:2005-06-23
1510:2005-06-14
1411:Settlement
1397:Chapter 11
1320:high-yield
1304:bankruptcy
1277:successors
912:Conception
896:asset swap
719:Financier
588:hedge fund
494:collateral
433:volatility
307:settlement
73:face value
10573:Inflation
10523:Commodity
10481:Trinomial
10416:Bachelier
10408:Valuation
10289:Butterfly
10223:Commodore
10072:Moneyness
9718:CiteSeerX
9616:excessive
9376:Tax Notes
9231:April 23,
8977:CS01 risk
8508:March 12,
8485:March 12,
8430:March 12,
8263:April 30,
8160:March 27,
7882:USA Today
7863:Euromoney
7702:153974600
7626:201359462
7544:April 15,
7435:March 15,
7413:March 12,
7391:April 24,
7354:April 24,
7328:April 24,
7297:April 24,
7271:April 24,
7243:April 24,
7209:April 24,
7176:April 25,
7145:April 15,
7101:April 27,
7095:USA Today
7047:April 20,
7021:April 23,
6973:April 20,
6947:April 20,
6925:April 20,
6885:April 25,
6694:April 24,
6688:Salon.com
6652:March 31,
6626:March 31,
6581:March 26,
6418:April 22,
6246:April 25,
6241:167560306
6190:March 12,
5673:δ
5620:δ
5577:δ
5544:δ
5512:−
5478:δ
5461:−
5413:δ
5396:−
5358:δ
5341:−
5313:δ
5296:−
5278:−
5187:δ
5174:δ
5161:δ
5148:δ
5101:−
5064:δ
5051:δ
5038:δ
5016:−
5007:δ
4997:−
4969:−
4893:δ
4880:δ
4858:−
4849:δ
4839:−
4811:−
4748:δ
4729:−
4720:δ
4710:−
4682:−
4631:δ
4621:−
4596:−
4472:−
4455:Δ
4440:−
4434:
4399:Δ
4147:δ
4134:δ
4121:δ
4108:δ
4086:−
4046:−
3982:δ
3972:−
3933:δ
3920:δ
3907:δ
3885:−
3819:−
3765:δ
3755:−
3716:δ
3703:δ
3681:−
3615:−
3571:δ
3561:−
3525:δ
3506:−
3443:−
3412:δ
3402:−
3297:δ
3270:δ
3235:−
3153:−
3057:−
2764:John Hull
2597:PMI Group
2421:Hellas II
2377:Lear LCDS
1839:Masonite
1826:Kaupthing
1812:Kaupthing
1485:"haircut"
1339:IMM dates
1332:Rule 144A
1189:requests.
1057:JP Morgan
1026:maturity.
920:in 1991.
843:arbitrage
834:Arbitrage
630:tightened
545:arbitrage
315:par value
262:arbitrage
243:par value
10712:Slippage
10642:Contango
10626:Forwards
10593:Variance
10553:Dividend
10548:Currency
10461:Margrabe
10456:Lattices
10435:equation
10421:Binomial
10369:Strangle
10364:Straddle
10261:Swaption
10243:Lookback
10228:Compound
10170:Warrants
10145:European
10125:American
10117:Vanillas
10082:Pin risk
10062:Exercise
9338:July 28,
9022:July 14,
9000:July 14,
8903:cds1.xls
8828:March 1,
8259:. London
8112:April 8,
8076:April 9,
8035:April 8,
7983:April 8,
7940:April 8,
7909:April 8,
7887:April 7,
7822:April 7,
7791:April 7,
7786:Newsweek
7742:(2009).
7715:April 8,
7588:cite web
7503:April 8,
7467:April 8,
6895:cite web
6847:April 3,
6343:cite web
6333:April 2,
6163:Archived
6145:April 8,
5961:See also
5817:monoline
5717:prices.
3315:is then
2740:Ukraine
2608:AMR Corp
2366:Lear CDS
2091:Chemtura
2058:Ferretti
1972:Sanitec
1958:Sanitec
1947:EquiStar
1934:Lyondell
1920:Lyondell
1814:- Senior
1786:- Senior
1758:- Senior
1704:- Senior
1676:- Senior
1609:- Senior
1516:- Senior
1446:Auctions
1224:volume.
1087:exchange
936:for the
871:increase
394:bubble);
381:security
326:recovery
277:defaults
141:issuing
10631:Futures
10251:Rainbow
10218:Cliquet
10213:Chooser
10193:Barrier
10180:Exotics
10042:Options
9610:Please
9602:use of
9384:1121263
8657:May 16,
8631:May 16,
8605:May 16,
8579:May 16,
8553:May 16,
8214:May 23,
7634:3405367
6995:July 2,
6500:2361872
5898:options
5861:premium
5824:, sued
5775:auction
5708:as the
4522:is the
2809:default
2803:curve".
2743:80.625
2721:15.875
2699:15.875
2688:17.625
2644:20.125
2622:22.875
2523:41.125
2479:70.375
2468:33.875
2410:Thomson
2402:68.125
2358:96.125
2336:78.125
2234:Edshcha
2223:Syncora
2201:Bowater
2171:23.375
2168:Capmark
2135:Abitibi
2061:10.875
2050:65.375
1900:31.375
1882:Tribune
1868:Tribune
1859:40.125
1798:Glitnir
1784:Glitnir
1612:24.125
1585:19.125
1572:63.375
1519:43.625
1405:Conseco
1399:of the
1061:symptom
907:History
792:Basel I
754:Hedging
684:updated
615:widened
541:hedging
447:FAS 133
346:arrears
199:, and t
92:History
62:default
56:) is a
10692:Margin
10558:Equity
10451:Heston
10354:Ladder
10304:Condor
10299:Collar
10256:Spread
10203:Binary
10198:Basket
9720:
9382:
8862:Markit
7758:
7700:
7632:
7624:
7234:
7073:
6716:
6498:
6394:929747
6392:
6239:
4493:where
2924:, and
2633:21.75
2578:71.25
2556:18.25
2545:14.75
2534:40.75
2424:1.375
2413:77.75
2303:16.75
2270:4.875
2215:44.25
2149:2.375
2116:29.25
2105:18.25
2069:Aleris
2039:8.875
2006:2.875
1939:20.75
1936:- LCDS
1911:7.125
1887:23.75
1884:- LCDS
1856:- LCDS
1842:- LCDS
1831:2.375
1817:6.625
1803:0.125
1775:0.125
1734:8.625
1679:91.51
1652:41.25
1533:6.375
1360:years.
856:spread
498:margin
353:higher
131:basket
10563:Forex
10518:Basis
10513:Asset
10500:Swaps
10426:Black
10329:Fence
10188:Asian
10050:Terms
9225:(PDF)
9218:(PDF)
9168:(PDF)
9099:(PDF)
8450:(PDF)
8380:(PDF)
8369:(PDF)
8106:(PDF)
8095:(PDF)
8070:(PDF)
8055:(PDF)
7977:(PDF)
7966:(PDF)
7709:(PDF)
7698:S2CID
7676:(PDF)
7622:S2CID
7573:(PDF)
7566:(PDF)
7538:(PDF)
7523:(PDF)
7461:(txt)
7385:(PDF)
7374:(PDF)
7139:(PDF)
7132:(PDF)
6879:(PDF)
6872:(PDF)
6842:(PDF)
6537:(PDF)
6476:(PDF)
6438:(PDF)
6293:(PDF)
6237:S2CID
6217:(PDF)
6139:(PDF)
6128:(PDF)
6027:Notes
5875:above
5706:LIBOR
2801:LIBOR
2799:the "
2710:11.5
2677:55.5
2666:29.0
2611:23.5
2600:16.5
2589:10.0
2501:20.0
2490:20.0
2465:Aiful
2457:97.0
2454:CEMEX
2435:83.5
2391:58.5
2369:38.5
2292:97.5
2281:12.5
2237:3.75
2193:38.5
2182:1.75
2138:3.25
2113:Rouse
1992:15.5
1964:33.5
1950:27.5
1925:15.5
1922:- CDS
1870:- CDS
1845:52.5
1761:1.25
1693:99.9
1639:91.5
1065:cause
930:Exxon
900:basis
817:below
745:BaFin
574:short
296:hedge
109:(see
82:bonds
10397:Bull
10393:Bear
10135:Call
9973:2008
9878:Time
9819:News
9754:and
9745:help
9573:2020
9547:2020
9522:2020
9485:2010
9380:SSRN
9361:help
9340:2008
9284:2010
9233:2010
9176:2009
9150:2010
9110:2008
9081:2008
9055:2010
9024:2009
9002:2009
8938:CS01
8890:2017
8830:2012
8804:2010
8775:2010
8747:2010
8707:2011
8685:2010
8659:2012
8633:2012
8607:2012
8581:2012
8555:2012
8510:2009
8487:2012
8458:2011
8432:2009
8346:2013
8314:2010
8288:2010
8265:2010
8238:2010
8216:2021
8190:2010
8162:2009
8136:2010
8114:2010
8078:2010
8037:2010
8011:2010
7985:2010
7942:2010
7911:2010
7889:2010
7824:2010
7793:2010
7756:ISBN
7717:2010
7655:help
7630:SSRN
7594:link
7546:2010
7505:2010
7469:2010
7437:2011
7415:2012
7393:2010
7356:2010
7330:2010
7299:2010
7273:2010
7245:2010
7232:ISBN
7211:2010
7178:2010
7147:2010
7103:2010
7071:ISBN
7049:2010
7023:2010
6997:2012
6975:2010
6949:2010
6927:2010
6901:link
6887:2010
6849:2011
6802:2008
6777:2008
6752:2008
6714:ISBN
6696:2010
6654:2010
6628:2010
6583:2010
6553:2016
6496:SSRN
6453:2021
6420:2010
6390:SSRN
6349:link
6335:2010
6304:2019
6248:2010
6192:2012
6147:2010
6104:2012
6078:2018
6006:PAUG
5935:LCDS
5926:and
5822:MBIA
5815:The
5731:CS01
5727:DV01
2780:rNPV
2766:and
2655:0.0
2567:9.5
2512:3.0
2248:9.5
2017:6.5
1978:4.0
1873:1.5
1626:3.5
1621:Dura
1607:Dura
1499:Name
1496:Date
1471:and
1279:and
1264:and
777:may
634:sell
619:sell
570:long
543:and
531:Uses
523:The
457:Risk
428:and
413:and
400:CDOs
300:Uses
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