[Deutsche Bank] Credit Derivatives and Structured Credit

《[Deutsche Bank] Credit Derivatives and Structured Credit》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、FixedIncomeResearchDeutscheBank@August30,2000CreditDerivativesandStructuredCredit•Thecreditderivativesmarketismorethanlivinguptoitsearlypromise.ArecentsurveyprojectsthattheoutstandingbalanceofcreditderivativeGlobalMarketsResearchcontractswillreach$893bnbyyearend2000--morethan20%h

2、igherthanestimatesinmid-1998.•Inretrospectthefinancialcrisisof1998wasacriticalprovinggroundforcreditderivatives.Thegrowthinvolumesincethenreflectshealthyap-preciationbyend-usersforamarketwhereonecanbuyandsellprotec-tiononavarietyofcorporatenamesandemergingmarketnames,andconfidenc

3、ethatthesecontractswillperformaspromisedineventofde-fault.Clearlycreditderivativesarenolongeranexoticcornerofthebondmarketbutmustnowbeconsideredamarketinitsownright.•Themajorthemesinthecreditderivativesmarket(apartfromthesteadygrowthinvolume)arethedominanceofthecreditdefaultprod-

4、uctandtheemergenceofstructuredcredittransactionsthatcombinecreditderivativesandcashinstruments.Theseproductshaveallowedinvestorswhocannotdoderivativetransactionsdirectlytoacquiresecuri-tieswithrisk/returncharacteristicsotherwisenotavailableinthemarket.Thishasfosteredgrowthinthecr

5、editderivativesmarketbybroadeningtheinvestorbase.•Thisreportprovidesasynopsisofthecreditderivativesandstructuredcreditmarkets,withemphasisoncurrentandemergingissuesontheproductandregulatoryfronts.CreditDefaultSwapContingentPaymentProtectionBuyerProtectionSellerPeriodicFee(bp)Refe

6、renceEntity/ReferenceObligationTroyBowler(Bond/Loan)(44)207545-4387JohnF.Tierney(212)469-6795Source:DBGlobalMarketsResearchDeutscheBank@CreditDerivativesandStructuredCredit:MarketSurveyAugust30,2000ContentsSectionI:Overview.........................................................

7、........................................................3SectionII:CreditDerivativesandStructuredCreditProducts............................................8AssetSwaps..................................................................................................................

8、.......8CreditDefaultSwaps..............