Structured Finance and the Financial Turmoil of 2007 2008

Banco de españa 42 documento ocasional nº 0808

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BANCO DE ESPAÑA 42 DOCUMENTO OCASIONAL N.º 0808
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Table 5: Overview of CDS Index contracts Undelying Debt North America Europe Asia-Australia Prime CDX.NA.IG (125) iTraxx Europe (125) iTraxx Japan(50) CDX.NA.HY (100) iTraxx Europe HY (100) iTraxx Australia(25) itraxx Sterling D (75) iTraxx Asia exJap IG(50) iTraxx Asia exJap HY(20) Sub-indices CDX.NA.XO (35) iTraxx Crossover (30) CDX.NA.IG.HVol (30) iTraxx HiVol (30) Japan HiVol (10) Financials (24) Senior Financials(25) Japan Financials(10) Sub-sectors Consumers (34) Sub Financials (25) Japan Tech(10) Energy (15) Non-Financial (100) Japan Capital goods(10) Corporate debt Industrials (30) Consumers (30) TMT (22) Cyclicals (15) Non-cyclicals (15) Energy (20) Industrials(20) TMT (20) Autos (10) CDX.NA.HY.B (variable) Sub-grades CDX.NA.HY.BB (variable) CDX.NA.HY.HB (variable) Other CDX.EM diversified (40) Sovereing debt CDX.EM (14) Leveraged Loans LCDX(100) LevX(35) Structured ABX.HE (20) inance TABX CMBX (25) Number of reference entities in bracket SOURCE: Markit and own elaboration. BANCO DE ESPAÑA 4 3 DOCUMENTO OCASIONAL N.º 0808
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REFERENCES ASHCRAFT, A. B., and T. SCHUERMANN (2007). Understanding the securitization of subprime mortgage credit, Wharton Financial Institutions Center Working Paper No. 07-43. BIS (2004). Credit risk transfer, Basel Committee on Banking Supervision - The Joint Forum, October. ¡ (2005a). The role of ratings in structured finance: Issues and implications, Committee on the Global Financial System, January. ¡ (2005b). BIS Quarterly Review , March. ¡ (2007). BIS Quarterly Review, September. ¡ (2008a). Credit risk transfer: Developments from 2005 to 2007, Basel Committee on Banking Supervision - The Joint Forum, February. –– (2008b). Private equity and leveraged finance markets, Committee on the Global Financial System, February. –– (2008c). BIS 78 th Annual Report. ¡ (2008d). Ratings in structured finance: What went wrong and what can be done to address shortcomings?, Committee on the Global Financial System Paper No. 32, July. BLUNDELL-WIGNALL, A. (2007a). “An overview of hedge funds and structured products: Issues in leverage and risk”, OECD Financial Market Trends, Vol. 2007/1, No. 92, pp. 39-57. ¡ (2007b). “Structured products: Implications for financial markets”, OECD Financial Market Trends, Vol. 2007/2, No. 93, pp. 27-57. BORIO, C. (2008). The financial turmoil of 2007-?: a preliminary assessment and some policy considerations, BIS Working Papers No. 251. BRITISH BANKER S’ ASSOCIATION (2006). BBA Credit Derivatives Report 2006, September. CHACKO, G., A. SJÖMAN, H. MOTOHASHI and V. DESSAIN (2006). Credit derivatives: A primer on credit risk, modeling, and instruments, Upper Saddle River, N. J.: Wharton School Publishing Co. CHAPLIN, G. (2005). Credit derivatives, New York: John Wiley & Son Ltd. CITIGROUP (2005). “Understanding CDO-squareds; Finding value in structures and managers”, Structured Credit Products, 23 March. ¡ (2006a). “The CDO of CDOs Handbook: Key to success of CDO resecuritization”, Corporate and Investment Banking Global , 6 September.
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