DTCC Releases Credit-Default Swap Info [Archive]

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11-05-08, 02:05 PM

Top 50 CDS holders by gross notional total, 10/31/2008

<table x:str="" style="border-collapse: collapse; table-layout: fixed; width: 561pt;" border="0" cellpadding="0" cellspacing="0" width="748"> <col style="width: 201pt;" width="268"> <col style="width: 106pt;" width="141"> <col style="width: 104pt;" width="139"> <col style="width: 102pt;" width="136"> <col style="width: 48pt;" width="64"> <tbody><tr style="height: 13.2pt;" height="18"> <td class="xl263462" style="height: 13.2pt; width: 201pt;" width="268" height="18">Reference Entity</td> <td class="xl263462" style="width: 106pt;" width="141">Gross Notional</td> <td class="xl263462" style="width: 104pt;" width="139">Net Notional</td> <td class="xl263462" style="width: 102pt;" width="136">Contracts</td> <td class="xl263462" style="width: 48pt;" width="64">Leverage</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="REPUBLIC OF TURKEY " height="18">REPUBLIC OF TURKEY </td> <td class="xl253462" x:num="188628684750" align="right">188,628,684,750</td> <td class="xl253462" x:num="7594668113" align="right">7,594,668,113</td> <td class="xl253462" x:num="14093" align="right">14,093</td> <td class="xl243462" x:num="24.836988521870911" x:fmla="=B2/C2" align="right">24.8</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="REPUBLIC OF ITALY " height="18">REPUBLIC OF ITALY </td> <td class="xl253462" x:num="148617213985" align="right">148,617,213,985</td> <td class="xl253462" x:num="22649907205" align="right">22,649,907,205</td> <td class="xl253462" x:num="3253" align="right">3,253</td> <td class="xl243462" x:num="6.5614932829478674" x:fmla="=B3/C3" align="right">6.6</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="FEDERATIVE REPUBLIC OF BRAZIL " height="18">FEDERATIVE REPUBLIC OF BRAZIL </td> <td class="xl253462" x:num="147282298727" align="right">147,282,298,727</td> <td class="xl253462" x:num="12255197772" align="right">12,255,197,772</td> <td class="xl253462" x:num="11664" align="right">11,664</td> <td class="xl243462" x:num="12.017945484609189" x:fmla="=B4/C4" align="right">12.0</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="RUSSIAN FEDERATION " height="18">RUSSIAN FEDERATION </td> <td class="xl253462" x:num="110068180097" align="right">110,068,180,097</td> <td class="xl253462" x:num="8306875852" align="right">8,306,875,852</td> <td class="xl253462" x:num="7651" align="right">7,651</td> <td class="xl243462" x:num="13.250249800049618" x:fmla="=B5/C5" align="right">13.3</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="GMAC LLC " height="18">GMAC LLC </td> <td class="xl253462" x:num="100582547204" align="right">100,582,547,204</td> <td class="xl253462" x:num="4406800860" align="right">4,406,800,860</td> <td class="xl253462" x:num="13602" align="right">13,602</td> <td class="xl243462" x:num="22.824391298680105" x:fmla="=B6/C6" align="right">22.8</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="MERRILL LYNCH & CO., INC. " height="18">MERRILL LYNCH & CO., INC. </td> <td class="xl253462" x:num="94555034977" align="right">94,555,034,977</td> <td class="xl253462" x:num="8163378452" align="right">8,163,378,452</td> <td class="xl253462" x:num="9931" align="right">9,931</td> <td class="xl243462" x:num="11.582831242355834" x:fmla="=B7/C7" align="right">11.6</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="THE GOLDMAN SACHS GROUP, INC. " height="18">THE GOLDMAN SACHS GROUP, INC. </td> <td class="xl253462" x:num="92776829418" align="right">92,776,829,418</td> <td class="xl253462" x:num="6944435432" align="right">6,944,435,432</td> <td class="xl253462" x:num="9793" align="right">9,793</td> <td class="xl243462" x:num="13.359880774538389" x:fmla="=B8/C8" align="right">13.4</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="MORGAN STANLEY " height="18">MORGAN STANLEY </td> <td class="xl253462" x:num="91941632210" align="right">91,941,632,210</td> <td class="xl253462" x:num="8361620604" align="right">8,361,620,604</td> <td class="xl253462" x:num="9913" align="right">9,913</td> <td class="xl243462" x:num="10.995671361364723" x:fmla="=B9/C9" align="right">11.0</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="GENERAL ELECTRIC CAPITAL CORPORATION " height="18">GENERAL ELECTRIC CAPITAL CORPORATION </td> <td class="xl253462" x:num="86003350507" align="right">86,003,350,507</td> <td class="xl253462" x:num="12153297831" align="right">12,153,297,831</td> <td class="xl253462" x:num="8457" align="right">8,457</td> <td class="xl243462" x:num="7.0765443012206219" x:fmla="=B10/C10" align="right">7.1</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="COUNTRYWIDE HOME LOANS, INC. " height="18">COUNTRYWIDE HOME LOANS, INC. </td> <td class="xl253462" x:num="84574756270" align="right">84,574,756,270</td> <td class="xl253462" x:num="6735492687" align="right">6,735,492,687</td> <td class="xl253462" x:num="11919" align="right">11,919</td> <td class="xl243462" x:num="12.556580520566156" x:fmla="=B11/C11" align="right">12.6</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="UNITED MEXICAN STATES " height="18">UNITED MEXICAN STATES </td> <td class="xl253462" x:num="74941756398" align="right">74,941,756,398</td> <td class="xl253462" x:num="4911334683" align="right">4,911,334,683</td> <td class="xl253462" x:num="6387" align="right">6,387</td> <td class="xl243462" x:num="15.258939012525854" x:fmla="=B12/C12" align="right">15.3</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="TELECOM ITALIA SPA " height="18">TELECOM ITALIA SPA </td> <td class="xl253462" x:num="70227145929" align="right">70,227,145,929</td> <td class="xl253462" x:num="4392755946" align="right">4,392,755,946</td> <td class="xl253462" x:num="7671" align="right">7,671</td> <td class="xl243462" x:num="15.987035654222526" x:fmla="=B13/C13" align="right">16.0</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="DEUTSCHE BANK AKTIENGESELLSCHAFT " height="18">DEUTSCHE BANK AKTIENGESELLSCHAFT </td> <td class="xl253462" x:num="68785417264" align="right">68,785,417,264</td> <td class="xl253462" x:num="12449401666" align="right">12,449,401,666</td> <td class="xl253462" x:num="5910" align="right">5,910</td> <td class="xl243462" x:num="5.5251986488520775" x:fmla="=B14/C14" align="right">5.5</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="DEUTSCHE TELEKOM AG " height="18">DEUTSCHE TELEKOM AG </td> <td class="xl253462" x:num="68074525326" align="right">68,074,525,326</td> <td class="xl253462" x:num="5362294794" align="right">5,362,294,794</td> <td class="xl253462" x:num="6804" align="right">6,804</td> <td class="xl243462" x:num="12.69503597642006" x:fmla="=B15/C15" align="right">12.7</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="FRANCE TELECOM " height="18">FRANCE TELECOM </td> <td class="xl253462" x:num="67427782985" align="right">67,427,782,985</td> <td class="xl253462" x:num="4577092347" align="right">4,577,092,347</td> <td class="xl253462" x:num="6383" align="right">6,383</td> <td class="xl243462" x:num="14.731575828745235" x:fmla="=B16/C16" align="right">14.7</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="THE BEAR STEARNS COMPANIES INC. " height="18">THE BEAR STEARNS COMPANIES INC. </td> <td class="xl253462" x:num="67059925330" align="right">67,059,925,330</td> <td class="xl253462" x:num="4467138775" align="right">4,467,138,775</td> <td class="xl253462" x:num="7968" align="right">7,968</td> <td class="xl243462" x:num="15.011829429901693" x:fmla="=B17/C17" align="right">15.0</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="REPUBLIC OF THE PHILIPPINES " height="18">REPUBLIC OF THE PHILIPPINES </td> <td class="xl253462" x:num="66218347379" align="right">66,218,347,379</td> <td class="xl253462" x:num="3571458070" align="right">3,571,458,070</td> <td class="xl253462" x:num="8007" align="right">8,007</td> <td class="xl243462" x:num="18.540984125007522" x:fmla="=B18/C18" align="right">18.5</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="CITIGROUP INC. " height="18">CITIGROUP INC. </td> <td class="xl253462" x:num="65693195181" align="right">65,693,195,181</td> <td class="xl253462" x:num="6094579421" align="right">6,094,579,421</td> <td class="xl253462" x:num="6463" align="right">6,463</td> <td class="xl243462" x:num="10.778954648559004" x:fmla="=B19/C19" align="right">10.8</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="UKRAINE " height="18">UKRAINE </td> <td class="xl253462" x:num="65535296951" align="right">65,535,296,951</td> <td class="xl253462" x:num="3295731027" align="right">3,295,731,027</td> <td class="xl253462" x:num="6023" align="right">6,023</td> <td class="xl243462" x:num="19.884904567183298" x:fmla="=B20/C20" align="right">19.9</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="GENERAL MOTORS CORPORATION " height="18">GENERAL MOTORS CORPORATION </td> <td class="xl253462" x:num="64732348273" align="right">64,732,348,273</td> <td class="xl253462" x:num="4061973089" align="right">4,061,973,089</td> <td class="xl253462" x:num="9683" align="right">9,683</td> <td class="xl243462" x:num="15.936183439594423" x:fmla="=B21/C21" align="right">15.9</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="JPMORGAN CHASE & CO. " height="18">JPMORGAN CHASE & CO. </td> <td class="xl253462" x:num="62385482888" align="right">62,385,482,888</td> <td class="xl253462" x:num="5391968731" align="right">5,391,968,731</td> <td class="xl253462" x:num="6412" align="right">6,412</td> <td class="xl243462" x:num="11.570075050570615" x:fmla="=B22/C22" align="right">11.6</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="KINGDOM OF SPAIN " height="18">KINGDOM OF SPAIN </td> <td class="xl253462" x:num="61362202916" align="right">61,362,202,916</td> <td class="xl253462" x:num="16648584672" align="right">16,648,584,672</td> <td class="xl253462" x:num="1899" align="right">1,899</td> <td class="xl243462" x:num="3.6857308969452798" x:fmla="=B23/C23" align="right">3.7</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="CIT GROUP INC. " height="18">CIT GROUP INC. </td> <td class="xl253462" x:num="58966098093" align="right">58,966,098,093</td> <td class="xl253462" x:num="5296727633" align="right">5,296,727,633</td> <td class="xl253462" x:num="8180" align="right">8,180</td> <td class="xl243462" x:num="11.13255243211408" x:fmla="=B24/C24" align="right">11.1</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="TELEFONICA, S.A. " height="18">TELEFONICA, S.A. </td> <td class="xl253462" x:num="55882631251" align="right">55,882,631,251</td> <td class="xl253462" x:num="4774067712" align="right">4,774,067,712</td> <td class="xl253462" x:num="5616" align="right">5,616</td> <td class="xl243462" x:num="11.705454262941128" x:fmla="=B25/C25" align="right">11.7</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="ARGENTINE REPUBLIC " height="18">ARGENTINE REPUBLIC </td> <td class="xl253462" x:num="54898977416" align="right">54,898,977,416</td> <td class="xl253462" x:num="3331384736" align="right">3,331,384,736</td> <td class="xl253462" x:num="5535" align="right">5,535</td> <td class="xl243462" x:num="16.479326696416731" x:fmla="=B26/C26" align="right">16.5</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY " height="18">BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY </td> <td class="xl253462" x:num="54234187423" align="right">54,234,187,423</td> <td class="xl253462" x:num="3728781793" align="right">3,728,781,793</td> <td class="xl253462" x:num="6184" align="right">6,184</td> <td class="xl243462" x:num="14.544746899594186" x:fmla="=B27/C27" align="right">14.5</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="FORD MOTOR COMPANY " height="18">FORD MOTOR COMPANY </td> <td class="xl253462" x:num="53195610466" align="right">53,195,610,466</td> <td class="xl253462" x:num="4587193922" align="right">4,587,193,922</td> <td class="xl253462" x:num="7962" align="right">7,962</td> <td class="xl243462" x:num="11.596547120206967" x:fmla="=B28/C28" align="right">11.6</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="MBIA INSURANCE CORPORATION " height="18">MBIA INSURANCE CORPORATION </td> <td class="xl253462" x:num="51318728740" align="right">51,318,728,740</td> <td class="xl253462" x:num="5409295061" align="right">5,409,295,061</td> <td class="xl253462" x:num="5746" align="right">5,746</td> <td class="xl243462" x:num="9.4871380025094911" x:fmla="=B29/C29" align="right">9.5</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="BANK OF AMERICA CORPORATION " height="18">BANK OF AMERICA CORPORATION </td> <td class="xl253462" x:num="51027741932" align="right">51,027,741,932</td> <td class="xl253462" x:num="3858188822" align="right">3,858,188,822</td> <td class="xl253462" x:num="5361" align="right">5,361</td> <td class="xl243462" x:num="13.225828046836844" x:fmla="=B30/C30" align="right">13.2</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="CENTEX CORPORATION " height="18">CENTEX CORPORATION </td> <td class="xl253462" x:num="50525631571" align="right">50,525,631,571</td> <td class="xl253462" x:num="3158734041" align="right">3,158,734,041</td> <td class="xl253462" x:num="8076" align="right">8,076</td> <td class="xl243462" x:num="15.995532043908472" x:fmla="=B31/C31" align="right">16.0</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="BOLIVARIAN REPUBLIC OF VENEZUELA " height="18">BOLIVARIAN REPUBLIC OF VENEZUELA </td> <td class="xl253462" x:num="50229525972" align="right">50,229,525,972</td> <td class="xl253462" x:num="2967065288" align="right">2,967,065,288</td> <td class="xl253462" x:num="5127" align="right">5,127</td> <td class="xl243462" x:num="16.929026191350864" x:fmla="=B32/C32" align="right">16.9</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="AMERICAN INTERNATIONAL GROUP, INC. " height="18">AMERICAN INTERNATIONAL GROUP, INC. </td> <td class="xl253462" x:num="49763405860" align="right">49,763,405,860</td> <td class="xl253462" x:num="4606640647" align="right">4,606,640,647</td> <td class="xl253462" x:num="6290" align="right">6,290</td> <td class="xl243462" x:num="10.802536962028416" x:fmla="=B33/C33" align="right">10.8</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="VOLKSWAGEN AKTIENGESELLSCHAFT " height="18">VOLKSWAGEN AKTIENGESELLSCHAFT </td> <td class="xl253462" x:num="49542097529" align="right">49,542,097,529</td> <td class="xl253462" x:num="3973818504" align="right">3,973,818,504</td> <td class="xl253462" x:num="5321" align="right">5,321</td> <td class="xl243462" x:num="12.467126387159226" x:fmla="=B34/C34" align="right">12.5</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="REPUBLIC OF KOREA " height="18">REPUBLIC OF KOREA </td> <td class="xl253462" x:num="49254188100" align="right">49,254,188,100</td> <td class="xl253462" x:num="6744798925" align="right">6,744,798,925</td> <td class="xl253462" x:num="4330" align="right">4,330</td> <td class="xl243462" x:num="7.3025435817569608" x:fmla="=B35/C35" align="right">7.3</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="PULTE HOMES, INC. " height="18">PULTE HOMES, INC. </td> <td class="xl253462" x:num="49147547184" align="right">49,147,547,184</td> <td class="xl253462" x:num="3102632720" align="right">3,102,632,720</td> <td class="xl253462" x:num="7930" align="right">7,930</td> <td class="xl243462" x:num="15.840594623781316" x:fmla="=B36/C36" align="right">15.8</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="SLM CORPORATION " height="18">SLM CORPORATION </td> <td class="xl253462" x:num="48953483504" align="right">48,953,483,504</td> <td class="xl253462" x:num="5369280587" align="right">5,369,280,587</td> <td class="xl253462" x:num="7719" align="right">7,719</td> <td class="xl243462" x:num="9.1173263737650885" x:fmla="=B37/C37" align="right">9.1</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="LENNAR CORPORATION " height="18">LENNAR CORPORATION </td> <td class="xl253462" x:num="48233659200" align="right">48,233,659,200</td> <td class="xl253462" x:num="2588936004" align="right">2,588,936,004</td> <td class="xl253462" x:num="7942" align="right">7,942</td> <td class="xl243462" x:num="18.630688099465281" x:fmla="=B38/C38" align="right">18.6</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="KONINKLIJKE KPN N.V. " height="18">KONINKLIJKE KPN N.V. </td> <td class="xl253462" x:num="47774582735" align="right">47,774,582,735</td> <td class="xl253462" x:num="3475776324" align="right">3,475,776,324</td> <td class="xl253462" x:num="5827" align="right">5,827</td> <td class="xl243462" x:num="13.745010691602834" x:fmla="=B39/C39" align="right">13.7</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="RADIAN GROUP INC. " height="18">RADIAN GROUP INC. </td> <td class="xl253462" x:num="46413308821" align="right">46,413,308,821</td> <td class="xl253462" x:num="3687933516" align="right">3,687,933,516</td> <td class="xl253462" x:num="6977" align="right">6,977</td> <td class="xl243462" x:num="12.585180459364876" x:fmla="=B40/C40" align="right">12.6</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="WELLS FARGO & COMPANY " height="18">WELLS FARGO & COMPANY </td> <td class="xl253462" x:num="45746278232" align="right">45,746,278,232</td> <td class="xl253462" x:num="3756744334" align="right">3,756,744,334</td> <td class="xl253462" x:num="5011" align="right">5,011</td> <td class="xl243462" x:num="12.177107134488327" x:fmla="=B41/C41" align="right">12.2</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="MBIA INC. " height="18">MBIA INC. </td> <td class="xl253462" x:num="45592851125" align="right">45,592,851,125</td> <td class="xl253462" x:num="4122817490" align="right">4,122,817,490</td> <td class="xl253462" x:num="6148" align="right">6,148</td> <td class="xl243462" x:num="11.058663459051155" x:fmla="=B42/C42" align="right">11.1</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="WACHOVIA CORPORATION " height="18">WACHOVIA CORPORATION </td> <td class="xl253462" x:num="44986862550" align="right">44,986,862,550</td> <td class="xl253462" x:num="4049132094" align="right">4,049,132,094</td> <td class="xl253462" x:num="5575" align="right">5,575</td> <td class="xl243462" x:num="11.110248197795643" x:fmla="=B43/C43" align="right">11.1</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="CONTINENTAL AKTIENGESELLSCHAFT " height="18">CONTINENTAL AKTIENGESELLSCHAFT </td> <td class="xl253462" x:num="44345186000" align="right">44,345,186,000</td> <td class="xl253462" x:num="4837228092" align="right">4,837,228,092</td> <td class="xl253462" x:num="5083" align="right">5,083</td> <td class="xl243462" x:num="9.1674788032716155" x:fmla="=B44/C44" align="right">9.2</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="HUTCHISON WHAMPOA LIMITED " height="18">HUTCHISON WHAMPOA LIMITED </td> <td class="xl253462" x:num="43843002091" align="right">43,843,002,091</td> <td class="xl253462" x:num="3363253371" align="right">3,363,253,371</td> <td class="xl253462" x:num="5248" align="right">5,248</td> <td class="xl243462" x:num="13.03589032840666" x:fmla="=B45/C45" align="right">13.0</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="BARCLAYS BANK PLC " height="18">BARCLAYS BANK PLC </td> <td class="xl253462" x:num="43612865471" align="right">43,612,865,471</td> <td class="xl253462" x:num="5542047744" align="right">5,542,047,744</td> <td class="xl253462" x:num="4180" align="right">4,180</td> <td class="xl243462" x:num="7.8694496124138764" x:fmla="=B46/C46" align="right">7.9</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="VODAFONE GROUP PUBLIC LIMITED COMPANY " height="18">VODAFONE GROUP PUBLIC LIMITED COMPANY </td> <td class="xl253462" x:num="43169370013" align="right">43,169,370,013</td> <td class="xl253462" x:num="4564258386" align="right">4,564,258,386</td> <td class="xl253462" x:num="4749" align="right">4,749</td> <td class="xl243462" x:num="9.4581345669241443" x:fmla="=B47/C47" align="right">9.5</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="THE PMI GROUP, INC. " height="18">THE PMI GROUP, INC. </td> <td class="xl253462" x:num="42140959381" align="right">42,140,959,381</td> <td class="xl253462" x:num="4600641825" align="right">4,600,641,825</td> <td class="xl253462" x:num="6203" align="right">6,203</td> <td class="xl243462" x:num="9.1598000852848394" x:fmla="=B48/C48" align="right">9.2</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="RESIDENTIAL CAPITAL, LLC " height="18">RESIDENTIAL CAPITAL, LLC </td> <td class="xl253462" x:num="41218073776" align="right">41,218,073,776</td> <td class="xl253462" x:num="2415421268" align="right">2,415,421,268</td> <td class="xl253462" x:num="7063" align="right">7,063</td> <td class="xl243462" x:num="17.064548665719542" x:fmla="=B49/C49" align="right">17.1</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="WASHINGTON MUTUAL, INC. " height="18">WASHINGTON MUTUAL, INC. </td> <td class="xl253462" x:num="40692961166" align="right">40,692,961,166</td> <td class="xl253462" x:num="3091403804" align="right">3,091,403,804</td> <td class="xl253462" x:num="6078" align="right">6,078</td> <td class="xl243462" x:num="13.16326295301408" x:fmla="=B50/C50" align="right">13.2</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="FORD MOTOR CREDIT COMPANY LLC " height="18">FORD MOTOR CREDIT COMPANY LLC </td> <td class="xl253462" x:num="40053450100" align="right">40,053,450,100</td> <td class="xl253462" x:num="3003321851" align="right">3,003,321,851</td> <td class="xl253462" x:num="5716" align="right">5,716</td> <td class="xl243462" x:num="13.336382874404093" x:fmla="=B51/C51" align="right">13.3</td> </tr> <tr style="height: 13.2pt;" height="18"> <td class="xl153462" style="height: 13.2pt;" x:str="INTERNATIONAL LEASE FINANCE CORPORATION " height="18">INTERNATIONAL LEASE FINANCE CORPORATION </td> <td class="xl253462" x:num="39855455249" align="right">39,855,455,249</td> <td class="xl253462" x:num="3587058433" align="right">3,587,058,433</td> <td class="xl253462" x:num="5118" align="right">5,118</td> <td class="xl243462" x:num="11.110902148217109" x:fmla="=B52/C52" align="right">11.1</td> </tr>  <tr style="display: none;" height="0"> <td style="width: 201pt;" width="268"></td> <td style="width: 106pt;" width="141"></td> <td style="width: 104pt;" width="139"></td> <td style="width: 102pt;" width="136"></td> <td style="width: 48pt;" width="64"></td> </tr>  </tbody></table>
   Source, master (http://www.dtcc.com/products/derivserv/data/index.php)
Source of this data (top 1000 on full list) (http://www.dtcc.com/products/derivserv/data_table_i.php?id=table6)

Some surprising and unexpected names on the list.

The $33 trillion CDS total also checks out fairly well against the combination of the BIS $53 trillion total from 12/2007 and netting activities since then of about $28 trillion.

phirang

11-05-08, 02:15 PM

notional amounts are irrelevant. notional value of interest swap make is like $300T.

netting is what we need to know!

bart

11-05-08, 04:25 PM

notional amounts are irrelevant. notional value of interest swap make is like $300T.

netting is what we need to know!

I urge you to look up the word notional, and then consider the issues surrounding derivatives valuations... and also consider leverage in the context of gross & net values.

Also refer to my Derivatives (http://www.itulip.com/forums/showthread.php?t=4695) thread here or my derivatives pages to see all the gross & net amounts plus classifications of world wide derivatives direct from the BIS... if desired.
Gross interest rate swaps as of 12/2007 were about $393 trillion, net was about $7.2 trillion.

Also note that the BIS data does not have names attached to it, and the DTCC data does. That provides a whole new window into the area and shows that, among other things, actual countries as well as big banks have very significant exposure. I believe that the specific data is way more than irrelevant - and its shows net amounts too.

Chomsky

11-05-08, 07:55 PM

So help me out here, what does this mean? Italy is F-ed?

bart

11-05-08, 08:27 PM

So help me out here, what does this mean? Italy is F-ed?

Italy's GDP is about $1.7 trillion.
Italy's official debt (excluding accruals) is well over 100% of GDP.
Italy has been growing at much less than Euro zone averages.
Italy's pension programs are in bad shape, funding wise.

Italy has been F-ed for quite some time, and additionally being exposed with almost $150 billion of CDS derivatives (on which average losses, best I can tell, are about 60% minimum) is driving their financial picture much further into the red. Simply, it sucks big.

Knocking some numbers down to company sized and playing a bit fast & loose for illustration purposes, if a company's yearly income is 10% less than their short term debt payments plus expenses and its been getting worse for year after year, they have no savings, and they suddenly get a bill for 10-20% of their yearly income - would you buy their stock?

I'm not at all happy to be the bearer of news like this but I also personally believe in what Patrick Henry and others have stated:
For my part, whatever anguish of spirit it may cost, I am willing to know the whole truth, to know the worst, and to provide for it.
-- Patrick Henry

xela

11-06-08, 01:47 AM

Exposure to losses on CDS depends on what type of credit Italy sold CDS, no?
Not knowing myself, I'd guess for their own Bonds ecc..
(edited, see italics)

Chomsky

11-06-08, 04:57 AM

Italy's GDP is about $1.7 trillion.
Italy's official debt (excluding accruals) is well over 100% of GDP.
Italy has been growing at much less than Euro zone averages.
Italy's pension programs are in bad shape, funding wise.

Italy has been F-ed for quite some time, and additionally being exposed with almost $150 billion of CDS derivatives (on which average losses, best I can tell, are about 60% minimum) is driving their financial picture much further into the red. Simply, it sucks big.

Knocking some numbers down to company sized and playing a bit fast & loose for illustration purposes, if a company's yearly income is 10% less than their short term debt payments plus expenses and its been getting worse for year after year, they have no savings, and they suddenly get a bill for 10-20% of their yearly income - would you buy their stock?

I'm not at all happy to be the bearer of news like this but I also personally believe in what Patrick Henry and others have stated:
For my part, whatever anguish of spirit it may cost, I am willing to know the whole truth, to know the worst, and to provide for it.
-- Patrick Henry

Thanks for a more detailed picture of Italy's financial woes.

But what I really meant was, could you speak to the numbers on the list you provided? There are a lot of alarming numbers there, but I have no idea how to interpret them. Going with Italy again, it has $22 TRILLION in "net notional" CDS - so what exactly does that mean? That doesn't mean they could potentially be liable for $22T, does it?

D-Mack

11-06-08, 05:01 AM

I thought JPM had something like 90 trillion, but they say it has less than Bear Sterns, which is listed seperately.

bart

11-06-08, 06:06 AM

I thought JPM had something like 90 trillion, but they say it has less than Bear Sterns, which is listed seperately.

The list & data from the DTCC only includes the CDS (Credit Default Swaps) portion of their derivatives. JPM's total derivatives are much higher, as you noted.

bart

11-06-08, 06:43 AM

Thanks for a more detailed picture of Italy's financial woes.

But what I really meant was, could you speak to the numbers on the list you provided? There are a lot of alarming numbers there, but I have no idea how to interpret them. Going with Italy again, it has $22 TRILLION in "net notional" CDS - so what exactly does that mean? That doesn't mean they could potentially be liable for $22T, does it?

First - "notional" roughly means theoretical or even imaginary, so all the numbers are best guesses. Valuing instruments that are not being traded in a live market is quite dicey, so interpret all the numbers with care. No one knows what they're really worth - the whole "mark to market" issue is a mess, especially when there is no live market to speak of.

Second, the net notional CDS total for Italy is $22 billion, not trillion.

Third, "gross notional values" could also be stated as "best guess face values" - in other words and playing a bit fast and loose again, the total value at risk. In Italy's case, that's about $150 billion. In a 100% worst case scenario (unlikely), they could lose the whole $150 billion which is as noted above is about 10% of their GDP.

How much the instruments are actually worth is of course the key, but not only does nobody know, also the value is time dependent. In other words, assume for discussion purposes that everything with the world economy will be fine in 3 years - they could be back to their full $150 billion value by then.

We do know that the Bear Stearns CDS's were valued at around 10 cents on the dollar (Merrill's were around 20 cents) in the real world about a month ago.
We also know that, using the Philadelphia Banking Index (BKX), banks stocks have lost over 50% of their value since the peak last year. That 50% loss of value could be used as a proxy for derivatives loss of value, and I personally use it as a very rough rule of thumb.

Lastly, CDS's are only a portion of total world wide derivatives. As of 12/2007 per the BIS, the gross total was around $600 trillion and CDS's were about $58 trillion of that. For reference and perspective, the CDS total was about $6 trillion as of 12/2004 when the total world wide derivatives value was about $250 trillion.

I hope that helped, and that the area is a bit clearer than mud now.

GRG55

11-06-08, 07:30 AM

The list & data from the DTCC only includes the CDS (Credit Default Swaps) portion of their derivatives. JPM's total derivatives are much higher, as you noted.

From Bloomberg this morning:

Credit-Default Swap Disclosure Hides Truth on Risk

By Shannon D. Harrington and Abigail Moses

Nov. 6 (Bloomberg) -- The most comprehensive report on unregulated credit-default swaps didn't disclose bets in the section of the more than $47 trillion market that helped destroy American International Group Inc., once the world's biggest insurer.

A study by the Depository Trust and Clearing Corp. fails to include privately negotiated credit-default swaps that insurers such as AIG (http://www.bloomberg.com/apps/quote?ticker=AIG%3AUS), MBIA Inc. (http://www.bloomberg.com/apps/quote?ticker=MBI%3AUS) and Ambac Financial Group Inc. (http://www.bloomberg.com/apps/quote?ticker=ABK%3AUS) sold to guarantee securities known as collateralized debt obligations. It includes only a ``small fraction'' of mortgage securities, according to Andrea Cicione (http://search.bloomberg.com/search?q=Andrea+Cicione&site=wnews&client=wnews&proxystylesheet=wnews&output=xml_no_dtd&ie=UTF-8&oe=UTF-8&filter=p&getfields=wnnis&sort=date:D:S:d1) at BNP Paribas SA in London.

New York-based DTCC's report (http://www.dtcc.com/products/derivserv/data_table_i.php), released on its Web site Nov. 4, showed a total $33.6 trillion of transactions on governments, companies and asset-backed securities worldwide, based on gross numbers. While designed to ease concerns about the amount of risk banks and investors amassed on borrowers from companies to homeowners, the study may have missed as much as 40 percent of the trades outstanding in the market, Cicione said.

The data are ``likely to underestimate the amount of net CDS exposure,'' he said in an interview. ``A broadening of the coverage to the entire market is what investors really need.''
`Increased Transparency'

Cicione, who correctly forecast in January that the cost of protecting European companies would rise, said increased transparency in the CDS market is ``definitely a welcome development.'' ...

More... (http://www.bloomberg.com/apps/news?pid=20601109&sid=aD.qjkK0K5QU&refer=home)

Chomsky

11-06-08, 07:48 AM

Second, the net notional CDS total for Italy is $22 billion, not trillion.

...

I hope that helped, and that the area is a bit clearer than mud now.

Sorry, should never post before morning coffee. :)

And yes, thank you very much for the explication.

bart

11-06-08, 08:10 AM

Sorry, should never post before morning coffee. :)

And yes, thank you very much for the explication.

No worries, you were not the only one that misread the data. I actually misread myself it as I was downloading and preparing the various pages. A friend who is one of my "senior moment" detectors & helpers picked it up. Very wild period the last few months... :confused:
Glad my attempt to make a messy and unclear area a bit more clear helped.

Great one on "explication", I like it. :)

we_are_toast

11-06-08, 08:11 AM

First - "notional" roughly means theoretical or even imaginary, so all the numbers are best guesses. Valuing instruments that are not being traded in a live market is quite dicey, so interpret all the numbers with care. No one knows what they're really worth - the whole "mark to market" issue is a mess, especially when there is no live market to speak of.

Second, the net notional CDS total for Italy is $22 billion, not trillion.

Third, "gross notional values" could also be stated as "best guess face values" - in other words and playing a bit fast and loose again, the total value at risk. In Italy's case, that's about $150 billion. In a 100% worst case scenario (unlikely), they could lose the whole $150 billion which is as noted above is about 10% of their GDP.

How much the instruments are actually worth is of course the key, but not only does nobody know, also the value is time dependent. In other words, assume for discussion purposes that everything with the world economy will be fine in 3 years - they could be back to their full $150 billion value by then.

We do know that the Bear Stearns CDS's were valued at around 10 cents on the dollar (Merrill's were around 20 cents) in the real world about a month ago.
We also know that, using the Philadelphia Banking Index (BKX), banks stocks have lost over 50% of their value since the peak last year. That 50% loss of value could be used as a proxy for derivatives loss of value, and I personally use it as a very rough rule of thumb.

Lastly, CDS's are only a portion of total world wide derivatives. As of 12/2007 per the BIS, the gross total was around $600 trillion and CDS's were about $58 trillion of that. For reference and perspective, the CDS total was about $6 trillion as of 12/2004 when the total world wide derivatives value was about $250 trillion.

I hope that helped, and that the area is a bit clearer than mud now.

Thanks Bart, this helps.

bart

11-06-08, 08:11 AM

From Bloomberg this morning:
Credit-Default Swap Disclosure Hides Truth on Risk

By Shannon D. Harrington and Abigail Moses

Nov. 6 (Bloomberg) -- The most comprehensive report on unregulated credit-default swaps didn't disclose bets in the section of the more than $47 trillion market that helped destroy American International Group Inc., once the world's biggest insurer.

Here's another "special moment" on derivatives - Bloomberg may have gotten it wrong.

I don't have the link but recall that the Fed noted last week that around $28 trillion of CDSs (of the $58 trillion total per 12/2007 BIS data) were voluntarily dropped and netted to zero by the two parties involved - prior to the DTCC report but after 12/2007.

I'm not saying that Bloomberg is wrong, just that I don't know who is right. Sign of the times...

c1ue

11-06-08, 09:28 AM

The notional values are still important.

Think counter-party risk.

Finster

11-07-08, 07:37 PM

bart

11-07-08, 08:47 PM

The world got along for centuries without a monsterous CDS market. Now that's it's played around with one for a few years, it's in deep doo-doo.

Anyone else get the impression the world would be better off without it?

Indeed Fin, and its only about 5% of total world derivatives.

Even the entire futures market is only about 8% of the total world wide unregulated derivatives market.

Finster

11-08-08, 06:31 AM

Indeed Fin, and its only about 5% of total world derivatives.

Even the entire futures market is only about 8% of the total world wide unregulated derivatives market.

I just can't figure out what was wrong with the way things used to work before this groteque CDS mess. You lend somebody money. They pay you back. The rate at which you lend reflects the risk you won't get it all back, or you don't make the loan. If it doesn't, how does CDS "insurance" make a bad loan good? If the borrower's rate doesn't fully reflect the default risk, then his loan is being subsidized by whom? The issuer of the CDS? If so, what kind of business model is that? Where does the issuer's profit come from? Where does the borrower's subsidy come from?

Sounds like some kind of shell game to me. Any value created is illusory, and eventually the illusion must give way...

BiscayneSunrise

11-08-08, 07:45 AM

bart,

I'm not sure I'm getting it exactly. The definition of notional is face value, as is a bond may have a $10,000 face value regardless of where it may trade in the moment.

The way I thought I understood the difference between gross and net is like a futures contract. The net is like the cost of a contract, $2500, let's say, but the gross is the amount I am ultimately on the hook for depending on the leverage involved, $25,000 or so, in the case of 10:1 leverage.

The numbers on the chart show the gross notional value is the net notional value multiplied by the leverage. So the net is the amount actually invested but the gross is the amount each entity is responsible for. Am I on the right track?

we_are_toast

11-08-08, 08:08 AM

I guess my question is, since these derivatives threaten the entire global economy, and since it appears most of them are simply bets, can they be declared null and void and unwound?

Could an international court be set up to examine the questionable derivative contracts?

It immediately declares a 6 month freeze on implementation of all contracts.

All contracts must be brought before the court.

In the case of CDS
Any contract where the insured holds the security the insurer wrote the contract against (the vast minority of cases?) the insurer is required to fulfill the contract.

Any contract where the insured does not hold the security (vast majority?) the contract is declared null and void and the insurer is required to return the premiums.

It seems like trying to fulfill these derivative contracts is the absolute worst thing we could do. Most of these are nothing more than bets and the worlds economy should not go down in flames to honor someone's bet.

c1ue

11-08-08, 08:46 AM

bart

11-08-08, 09:57 AM

I just can't figure out what was wrong with the way things used to work before this groteque CDS mess. You lend somebody money. They pay you back. The rate at which you lend reflects the risk you won't get it all back, or you don't make the loan. If it doesn't, how does CDS "insurance" make a bad loan good? If the borrower's rate doesn't fully reflect the default risk, then his loan is being subsidized by whom? The issuer of the CDS? If so, what kind of business model is that? Where does the issuer's profit come from? Where does the borrower's subsidy come from?

Sounds like some kind of shell game to me. Any value created is illusory, and eventually the illusion must give way...

Sooth again, Manor Maven.

And it echoes Buffett's WMD comments about derivatives of a few years ago... and is a reminder of the boondoggle of "portfolio insurance" in the '80s... and echoes Templeton on the 4 most dangerous words in investing ("It's different this time")... and then there's the South Seas Bubble, tulip mania, the Mississippi mess... and on and on and on.

To paraphrase Shakespeare, the faults are in humans themselves, especially a few of the "educated" ones who know or should know better.

"Men stumble over the truth from time to time, but most pick themselves up and hurry off as if nothing happened."
-- Winston Churchill

"An error does not become truth by reason of multiplied propagation, nor does truth become error because nobody sees it."
-- Mahatma Gandhi

And in tongue in cheek mode:
"The only winning move is not to play. How about a nice game of chess?"
-- "War Games", 1983 movie

bart

11-08-08, 09:59 AM

bart

11-08-08, 10:17 AM

Toast,

The answer to your question is no: declaring CDS all unilaterally cancelled does not fix the problem.

Because many countries and companies used CDS's to lever up their borrowing far more than they should have with the expectation of the CDS to cover their respective butts.

Without the CDS coverage, the we'll see even MORE deleveraging than we've seen so far.

The only way out is to wait out the contracts.

In general, I agree that the contracts should be allowed to run out. Burying or ignoring or trying to cover up problems not only will not solve them, but is also what Japan tried and failed at.

In practice though, the "save us!" mentality, extant socialistic and even fascistic trends, and the willingness of poorly educated (at best) politicians to "do something!" etc. means that something like it will be tried... and the winners will strongly tend to be the Powers That Be, although it will likely be spun quite differently.

And in a much smaller picture and as I noted above, things like GLD are derivatives. Hell, by definition and in one sense even stocks are derivatives, the stock certificate's value being based on the value of the underlying company.
How "fair" would it be to GLD (or whatever) holders who are simply trying to cover their respective asses to have their contracts canceled and therefore benefit folk who blew it?

Moral hazard to the max... and the law of unintended consequences will once again show its ugly sides.

Finster

11-10-08, 07:42 AM

And in a much smaller picture and as I noted above, things like GLD are derivatives. Hell, by definition and in one sense even stocks are derivatives, the stock certificate's value being based on the value of the underlying company.

How "fair" would it be to GLD (or whatever) holders who are simply trying to cover their respective asses to have their contracts canceled and therefore benefit folk who blew it?

Words of bartaceous wisdom! To seize upon a single word like "derivative" and collectively trash everything that falls within its scope courts great danger. The word encompasses a vast range of things that have little in common. Common stocks, even options on them, and futures serve legitimate and well understood economic functions. The same goes for US Treasuries, which are at root derivatives of the US dollar. To lump such things together with exotica like credit default swaps and other complex instruments removed by third, fourth, fifth and higher degrees from underlying value and which are a zero to negative sum game would be insensate.

How to separate the wheat from the chaff? Without trying to serve up a final answer, we can start by asking what kinds of things have existed since capitalism itself, versus what kinds of things have grown into massively huge markets in just a few years or so as the now-collapsing credit bubble itself grew into the grotesque monstrosity it became.

bart

11-10-08, 09:04 AM

Words of bartaceous wisdom! To seize upon a single word like "derivative" and collectively trash everything that falls within its scope courts great danger. The word encompasses a vast range of things that have little in common. Common stocks, even options on them, and futures serve legitimate and well understood economic functions. The same goes for US Treasuries, which are at root derivatives of the US dollar. To lump such things together with exotica like credit default swaps and other complex instruments removed by third, fourth, fifth and higher degrees from underlying value and which are a zero to negative sum game would be insensate.

How to separate the wheat from the chaff? Without trying to serve up a final answer, we can start by asking what kinds of things have existed since capitalism itself, versus what kinds of things have grown into massively huge markets in just a few years or so as the now-collapsing credit bubble itself grew into the grotesque monstrosity it became.

A couple of pictures for separation help:

http://www.nowandfutures.com/images/bis_derivatives_nominal1.png

http://www.nowandfutures.com/images/bis_derivatives_nominal_roc1.png

we_are_toast

11-10-08, 09:30 AM

How to separate the wheat from the chaff? Without trying to serve up a final answer, we can start by asking what kinds of things have existed since capitalism itself, versus what kinds of things have grown into massively huge markets in just a few years or so as the now-collapsing credit bubble itself grew into the grotesque monstrosity it became.

My limited understanding is that much of the CDS market are simply bets. To put it in my convoluted terminology, the insured does not hold the item that the insurer is insuring. This certainly qualifies as derivative chaff.

The problem truly is separating wheat from chaff. How much wheat is there, and how much chaff? From what I'm seeing, and it's very limited, there is more chaff than wheat.

So is it possible to separate wheat from chaff, and can we simply dispose of the chaff? Can we set up an international legal entity that would do this work? If there is a lot of chaff, the worlds economies could save 10's of trillions of dollars and maybe even avert a world depression. The idea of using tax dollars from someone who is going to have to choose between heating their home or eating 3 meals a day, to pay off a gambling bet by someone driving a new lambarguini, is so repulsive it turns my stomach.

Finster

11-10-08, 11:08 AM

My limited understanding is that much of the CDS market are simply bets. To put it in my convoluted terminology, the insured does not hold the item that the insurer is insuring. This certainly qualifies as derivative chaff.

The problem truly is separating wheat from chaff. How much wheat is there, and how much chaff? From what I'm seeing, and it's very limited, there is more chaff than wheat.

So is it possible to separate wheat from chaff, and can we simply dispose of the chaff? Can we set up an international legal entity that would do this work? If there is a lot of chaff, the worlds economies could save 10's of trillions of dollars and maybe even avert a world depression. The idea of using tax dollars from someone who is going to have to choose between heating their home or eating 3 meals a day, to pay off a gambling bet by someone driving a new lambarguini, is so repulsive it turns my stomach.

I think the root problem is that we built our monetary system on a foundation of inflation and credit expansion, and put a banking cartel in charge of it. Seen in that light, the credit bubble and all the foamy stuff grown up around it are symptoms of the disease rather than the disease itself.

Far as CDS's themselves go, the buyer is merely transferring credit risk from the party he is lending to to the one he relies upon for insurance. If his insurer turned out not to be credit worthy, then he should absorb his losses like anybody else. Getting his fingers burnt touching the stove is the most reliable way for a child to learn not to touch the stove.

$#*

11-10-08, 11:47 AM

My limited understanding is that much of the CDS market are simply bets. To put it in my convoluted terminology, the insured does not hold the item that the insurer is insuring. This certainly qualifies as derivative chaff.
CDS is nothing else than bond insurance which done circumventing the insurance laws with respect to collateral etc. This is why CDS market is OTC: in order to avoid any regulation. It is that simple.

CDS are extremely attractive because they allow for insane leverages, but it's all just an LTCM house of cards. The risk models they used are valid only as long as there isn't any systemic risk event. In the absence of a generalized black swan the CDS market works fine and the business brings nice money due to high leverage.

The interesting detail is that the abundance of OTC bond insurance provided by the CDS fest during the last few years, has created a seriously distorted perception of risk giving the impression that any deal is a good deal because it can be cheaply covered by a CDS. The very proliferation of CDS has created slowly the black swan that brings now the doom for the whole CDS market.

By the way...

http://www.hedgefund.net/publicnews/default.aspx?story=9446

Scholes Stops Fund Redemptions

Myron Scholes, the Nobel-prize winner and cofounder of ill-fated Long Term Capital Management, has halted redemptions in his latest hedge fund firm.

Redemptions in Platinum Grove Asset Management’s flagship fund were temporarily halted effective Oct. 31 because of current market conditions, the firm said in a statement.

Although a spokesman for Platinum Grove said the firm does not comment on performance figures, Bloomberg said the fund was down 29% through Oct. 15.

Scholes was best known for founding LTCM with his co-Nobel Prize winner Robert Merton. LTCM needed a Wall Street bailout of $3.5 billion when it blew up in 1998.That says it all.