A credit default swap snapshot

Indra Rajaratnam


We are at the starting point of our traveller’s expedition, looking for risks. The camera moves into position and it takes a snapshot. The expedition begins….

We begin with a snapshot of the mechanics of the credit default swap (CDS) product in accordance with the provisions of the 2014 ISDA Credit Derivatives Definitions (International Swaps and Derivatives Association Inc. (2014b), henceforth “the 2014 Definitions”), and an overview of the size and structure of the credit default swap market. In this connection, this chapter addresses the share of the credit default swap market in relation to the notional amount outstanding of the global over-the-counter (OTC) derivatives market based on data reported by the Bank for International Settlements (BIS), the International Swaps and Derivatives Association Inc. (ISDA), IHS Markit (now part of S&P Global) and the Depository Trust and Clearing Corporation (DTCC). In this chapter, the CDS market is also explored from the perspective of instrument, counterparty and sector types and credit index market activity, as well as transactions on actively traded reference entities that have traded notionals of US$15 million

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