Taking the option of profit by default


The tremendous growth in the credit default swap (CDS) market is well documented. While much smaller than CDS, the market for credit 'swaptions' - options on single-name and index CDS - has also grown significantly over the past year or so.

Fitch set out to get a better understanding of what was currently happening in this market by surveying various broker-dealers involved in this product. We also looked at some of the unique structural features of these instruments.

Among the research's hig