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CDS-Rates - Information, Background, Meaning

Credit Default Swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer (usually the creditor of the reference loan) in the event of a loan default (by the debtor) or other credit event. This is to say that the seller of the CDS insures the buyer against some reference loan defaulting. The buyer of the CDS makes a series of payments (the CDS "fee" or "spread") to the seller and, in exchange, receives a payoff if the loan defaults. It was invented by Blythe Masters from JP Morgan in 1994.

In the event of default the buyer of the CDS receives compensation (usually the face value of the loan), and the seller of the CDS takes possession of the defaulted loan. However, anyone can purchase a CDS, even buyers who do not hold the loan instrument and who have no direct insurable interest in the loan (these are called "naked" CDSs). If there are more CDS contracts outstanding than bonds in existence, a protocol exists to hold a credit event auction; the payment received is usually substantially less than the face value of the loan.

Credit default swaps have existed since 1994, and increased in use after 2003. By the end of 2007, the outstanding CDS amount was $62.2 trillion, falling to $26.3 trillion by mid-year 2010 and reportedly $25.5 trillion in early 2012. CDSs are not traded on an exchange and there is no required reporting of transactions to a government agency. During the 2007-2010 financial crisis the lack of transparency in this large market became a concern to regulators as it could pose a systemic risk. In March 2010, the Depository Trust & Clearing Corporation (see Sources of Market Data) announced it would give regulators greater access to its credit default swaps database.

CDS data can be used by financial professionals, regulators, and the media to monitor how the market views credit risk of any entity on which a CDS is available, which can be compared to that provided by the Credit Rating Agencies. U.S. Courts may soon be following suit.

Most CDSs are documented using standard forms drafted by the International Swaps and Derivatives Association (ISDA), although there are many variants. In addition to the basic, single-name swaps, there are basket default swaps (BDSs), index CDSs, funded CDSs (also called credit-linked notes), as well as loan-only credit default swaps (LCDS). In addition to corporations and governments, the reference entity can include a special purpose vehicle issuing asset-backed securities.

Some claim that derivatives such as CDS are potentially dangerous in that they combine priority in bankruptcy with a lack of transparency. A CDS can be unsecured (without collateral) and be at higher risk for a default.

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CDS Rates - Countries, Banks

18. August 2017

  Bank S&P Lgfr.Kreditrating S&P Ausblick Moody's Lgfr. Kreditrating CDS 5 Jahre in Basispunkten
  HSBC AA- Negativ Aa2 32,09
  DZ BANK AA- Stabil Aa3 79,32
  UBS A+ Stabil A1 31,09
  RABOBANK A+ Stabil Aa2 31,42
  ING BANK A+ Stabil A1 30,85
  SEB A+ Stabil Aa3 35,20
  MACQUARIE BANK A Negativ A2 65,33
  SOCIETE GENERALE A Stabil A2 41,70
  BNP PARIBAS A Stabil A1 38,29
  NATIXIS A Stabil A2 39,87
  COMMERZBANK A- Negativ Baa1 74,34
  ERSTE BANK A- Positiv A3 77,13
  BARCLAYS BANK A- Negativ A1 49,25
  JPMORGAN CHASE A- Stabil A3 53,00
  DEUTSCHE BANK A- Negativ Baa2 89,29
  NOMURA A- Negativ Baa1 91,17
  CITIGROUP BBB+ Stabil Baa1 58,83
  GOLDMAN SACHS BBB+ Stabil A3 72,01
  CREDIT SUISSE BBB+ Stabil Baa2 73,15
  BANK OF AMERICA BBB+ Stabil Baa1 58,58
  UNICREDIT BBB- Stabil Baa1 91,33