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

Listed author(s):
  • 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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  1. Didier Cossin & Hongze Lu, 2005. "Are European Corporate Bond and Default Swap Markets Segmented?," FAME Research Paper Series rp133, International Center for Financial Asset Management and Engineering.
  2. Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
  3. Houweling, Patrick & Vorst, Ton, 2005. "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1200-1225, December.
  4. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
  5. Naohiko Baba & Masakazu Inada, 2007. "Price Discovery of Credit Spreads for Japanese Mega-Banks: Subordinated Bond and CDS," IMES Discussion Paper Series 07-E-06, Institute for Monetary and Economic Studies, Bank of Japan.
  6. Jan De Wit, 2006. "Exploring the CDS-Bond Basis," Working Paper Research 104, National Bank of Belgium.
  7. Jorion, Philippe & Zhang, Gaiyan, 2007. "Good and bad credit contagion: Evidence from credit default swaps," Journal of Financial Economics, Elsevier, vol. 84(3), pages 860-883, June.
  8. Roberto Blanco & Simon Brennan & Ian W. Marsh, 2005. "An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps," Journal of Finance, American Finance Association, vol. 60(5), pages 2255-2281, October.
  9. Carolyne Spackman & Manmohan Singh, 2009. "The Use (and Abuse) of CDS Spreads During Distress," IMF Working Papers 09/62, International Monetary Fund.
  10. Haibin Zhu, 2006. "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(3), pages 211-235, June.
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