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Le règlement des défauts sur le marché des credit default swaps : le cas de Lehman Brothers

  • Virginie Coudert
  • Mathieu Gex

[eng] The Settlement of Lehman Brothers Bankruptcy on the Credit Default Swap Market Lehman Brothers bankruptcy created important risks for the credit default swap (CDS) market. Firstly, Lehman Brothers was a key participant of the CDS market, as buyer and seller of a large number of contracts. The counterparty risk, which had been neglected until then, suddenly became a major source of concern. The entanglement of positions on this OTC market has drastically increased the counterparty risk. This episode led market participants to consider the necessity of conducting reforms toward an organized market. Secondly, huge amounts of protections had been sold on Lehman Brothers’ name ; its bankruptcy thus threatened to bring about the default of one of those protection sellers, especially because of the high level of concentration in the market. At last, these problems were overcome through a netting procedure that took place just before the bankruptcy and by the implementation of an auction for the settlement of contracts. We describe in depth the mechanisms at stake in this auction process and analyze its implementation in the case of Lehman Brothers’ default. Classification JEL : G15, G33. [fre] La faillite de Lehman Brothers a fait peser des risques importants sur le marché des swaps de défaut de crédit (CDS). D’une part, Lehman Brothers était un intervenant majeur sur ce marché, en tant que vendeur et acheteur de contrats. Ainsi le risque de contrepartie, qui avait été négligé jusqu’alors, devenait brusquement un sujet d’inquiétude. L’enchevêtrement des positions entre les différents participants, caractéristique d’un marché OTC, est apparu comme un facteur aggravant ce risque de contrepartie, auquel il fallait remédier rapidement, en organisant le marché de manière centralisée. D’autre part, un montant très important de protection avait été vendu sur l’entité Lehman Brothers ; le défaut de Lehman Brothers risquait donc d’entraîner la défaillance de l’un de ces vendeurs de protection, d’autant que le marché est très concentré. Au final, la séance de compensation qui a eu lieu juste avant la faillite ainsi que le processus d’enchère mis en place pour le règlement ont permis de maîtriser ces deux types de risque. Nous décrivons ici en détail le déroulement de cette procédure d’enchères et le comportement des intervenants de marchés dans le cas du défaut de Lehman Brothers. Classification JEL : G15, G33.

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Article provided by Programme National Persée in its journal Revue d'économie financière.

Volume (Year): 97 (2010)
Issue (Month): 2 ()
Pages: 15-34

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Handle: RePEc:prs:recofi:ecofi_0987-3368_2010_num_97_2_5390
Note: DOI:10.3406/ecofi.2010.5390
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