CDS의 청산 ( Settlement of CDS)

Credit Default Swap은 한 마디로 현물 거래 없이 신용을 근거로 Protection Seller, Buyer, Reference Entity.  이렇게 세 가지 요소로 이루어지는 신용스왑 거래이다.  월가의 욕망을 단적으로 보여주는 투기적 상품이며, 개인적인 생각으로 기업이 부도날 것이라는 판단 하에 이루어지는 무식한 상품이라고 생각한다. 그리고 현재 문제시되고 있는 전 세계 부채 규모를 무지 막지하게 늘리게 한 주범이자, 2008 세계 증시 위기의 장본인이기도 하다. 그런데 그 청산 개념은 상상 외로 간단하다.

위키피디아의 내용을 간단하게 요약하자면, 

실물청산 -> Reference Entity 가 부도 시 Buyer가 Protection Seller에게서 보험 전액(액면가)을 받는 청산방법

현금청산 -> Reference Entity 가 부도 시 Buyer가 Protection Seller에게서 보험 액면가와 시장현재 가의 차액만큼을 받는 방법

문제는 기업이 투기적 목적으로 과도하게 CDS를 보유하고 있다는 것이고

단적인 예로 2008 금융위기때 리먼브라더스는 실제 부채잔액보다 훨씬 많은 CDS 계약 부채를 갖고 있었고, 유동성의 문제 때문에 현금 청산의 필요성이 대두되었다는 내용

Physical or cash

As described in an earlier section, if a credit event occurs then CDS contracts can either be physically settledor cash settled.^[7]

• Physical settlement(실물청산): The protection seller pays the buyer par value, and in return takes delivery of a debt obligation of the reference entity. For example, a hedge fund has bought $5 million worth of protection from a bank on the senior debt of a company. In the event of a default, the bank pays the hedge fund $5 million cash, and the hedge fund must deliver $5 million face value of senior debt of the company (typically bonds or loans, which are typically worth very little given that the company is in default).
• Cash settlement(현금청산): The protection seller pays the buyer the difference between par value and the market price of a debt obligation of the reference entity. For example, a hedge fund has bought $5 million worth of protection from a bank on the senior debt of a company. This company has now defaulted, and its senior bonds are now trading at 25 (i.e., 25 cents on the dollar) since the market believes that senior bondholders will receive 25% of the money they are owed once the company is wound up. Therefore, the bank must pay the hedge fund $5 million * (100%-25%) = $3.75 million.

The development and growth of the CDS market has meant that on many companies there is now a much larger outstanding notional of CDS contracts than the outstanding notional value of its debt obligations. (This is because many parties made CDS contracts for speculative purposes, without actually owning any debt that they wanted to insure against default.) For example, at the time it filed for bankruptcy on September 14, 2008, Lehman Brothers had approximately $155 billion of outstanding debt^[74] but around $400 billion notional value of CDS contracts had been written that referenced this debt.^[75] Clearly not all of these contracts could be physically settled, since there was not enough outstanding Lehman Brothers debt to fulfill all of the contracts, demonstrating the necessity for cash settled CDS trades. The trade confirmation produced when a CDS is traded states whether the contract is to be physically or cash settled.

 

 

(출처 : 위키피디아)