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1、Thecreditderivativesmarket:itsdevelopmentandpossibleimplicationsforfinancialstabilityDavidRule,G10FinancialSurveillanceDivision,BankofEnglandBankfailureshaveoftenarisenfromexcessivecreditexposuretoparticularborrowersorgroupsofborrowersthatwerevulnerabletothesameshocks.Thefurtherd
2、evelopmentofmarketsfortransferringcreditriskcould,therefore,improvethestabilityandefficiencyofthefinancialsystem.Thecreditderivativesmarket,inparticular,hasrecentlybeengrowingrapidly:thenotionalprincipaloutstandingisprobablyapproachingUS$1trillionglobally.Butitisbynomeansfullymat
3、ure;andhasnotbeentestedduringaneconomicslowdown,whencrediteventstendtobebunched,intheUSandEurope.Thefullrealisationofthepotentialbenefitsthereforeliessomewhereinthefuture.Broadly,themarketcanbedividedintotwoparts:aninter-dealermarketincreditdefaultswapsonindividualcompaniesandsov
4、ereigns,basedonstandardISDAdocumentation;andtransactionsdesignedtotransfercreditriskonportfoliosofbankloansordebtsecurities,onwhichtheriskisusuallytranched.Theseportfoliotransactionsappeartobefacilitatinganettransferofcreditriskfrombankstonon-banks,principallyinsurancecompanies.F
5、inancialstabilityauthoritiesneedtotrackthescaleanddirectionofthisriskredistributionandmoredataisprobablyneeded.Thisarticledescribestheinstrumentsandexploreshowdifferentmarketparticipantsusethem.Itthenraisessomequestionsaboutthemarketsforparticipantsandtheauthoritiestoconsider1.MA
6、RKETSINcreditrisktransferhavethepotentialtokindsofloans(egmortgage,creditcard,automobile)contributetoamoreefficientallocationofcreditriskprovidedinvestorscanbeshownthattheaggregateintheeconomy.Theycouldenablebankstoreducecashflowsbehaveinareasonablypredictablemanner.concentration
7、sofexposureanddiversifyriskbeyondtheircustomerbase.LiquidmarketscouldalsoAllofthesemarkets,however,requirethetakerofprovidevaluablepriceinformation,helpingbankstocreditrisktoprovidefunding,eitherdirectlytothepriceloansandothercreditexposures.Theymightborrowerortothebanksellingthe
8、debt,inordertoallowinstitutionsotherthan
