文档介绍：Global Markets Research
Euro High Grade
Credit Derivatives Special
February 2005
TRADING THE DAX IN CDS FORMAT ...
Contents … AND PLAYING EQUITY VERSUS DEBT!
CDS quotes for the DAX 30 __2
The basic Merton approach __4 Since the beginning of 2005, we have been providing 5Y CDS quotes for the
The DAX Credit Index swap __9
Fundamental Credit views whole DAX 30 universe. While 23 names out of this universe have been
The eight “exotics” already actively quoted in the CDS market before, there are five names that
Adidas ________________11 have no cash bonds outstanding. Against this backdrop, there are no or only
Altana ________________12
Deutsche Börse ________13 very irregular quotes provided in the CDS market for these names.
Infineon ______________14
Lufthansa _____________15 n Pricing CDS on all DAX names is another step towards plete market
MAN _________________16 for the 30 biggest panies in Germany. Besides taking well-
SAP __________________17 diversified equity exposure on the DAX 30 members, an investor is now able to
Schering ______________18
The “High Yields” build up exposure to credit risk on exactly the same underlying assets.
Fresenius _____________19
ThyssenKrupp _________20 n The “unknown variables” in the CDS universe are Adidas, Altana, Infineon,
TUI ___________________21 MAN, Schering and SAP, as these names have no liquid cash bonds
The “usual suspects” outstanding. Despite the fact that hedging is the original motivation of a
Allianz ________________22
BASF __________________22 bondholder for buying protection in the CDS market, pure credit spread trading
Bayer _________________22 is the major incentive for quoting names which have no bonds outstanding.
BMW _________________22
Commerzbank _________22 n How to price an issuer in the CDS market in case there is no outstanding
Continental____________22 cash bond? There are a couple of names which are actively quoted and traded
DaimlerChrysler