PowerPoint

Credit Default Swap(CDS) 2016.05.14.

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AgendaCDS

CDS

CDS

CDS 2

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CDS 013

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CDS- (credit default swap)

19931994JP.Morgan

CDS4zero hedge

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CDS 2004 2007 9

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2007 CDS

: http://www.bis.org/publ/otc_hy1511.pdf

The market value of credit default swaps (CDS) was $453 billion at end June 2015 in gross terms and $120 billion in net termsThe notional amount of outstanding credit derivatives contracts fell from $16 trillion at end-December 2014 to $15 trillion at end-June 2015, *The amount was $58 trillion back in 20076

2007-2015:+

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CDS 027

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CDS

premium

(protection buyer)

(protection seller)8

CDS CDS CDS (protection buyer)(protection seller)()(Premium)

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CDS

()

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CDSCDS()()()

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CDS CDS 1 5 10 11

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CDS CDSsingle name CDS CDS CDSa basket CDSCDS CDS index CDS CDSCDS

CDS 16 Markit 2004 6 CDS CDS CDS

CDS 3 9 CDS 3 5 7 10 12

CDS CDS 12

CDS

1992(masteragreement)

2002CDSCDS

:CDS -

ISDACDS13

ISDA

Master Agreement

ISDA 13

CDS

20097(Small Bang Protocol)2009(Big Bang Protocol)CDS

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Determination Committees CDS CDS ISDA 2009 central counter party CCP CDS 100 500 25,100,500 1,000

ISDA 2009 12/15 45 6

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:CDS -

(1)(2)(3)(4)(5)(6) (7)

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Bankruptcy Failure to Pay Payment requirement Obligation Default ( ) Obligation Acceleration / Repudiation/Moratorium Restructuring binding for all creditors 15

CDS 0316

CDS 17

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CDS Spread 5yr CDS Spreadbps

2009/4/7665.532Bloomberg

2009/3/9232.3012011/11/25278.6372009/3/9263.2952011/11/25311.60118

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CDS European Commission 2010 3 9 40 CDS CDS CDS CDS CDS Empty Creditor 19

CDS 0420

CDS 21

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