• 主题
高级搜索  >
历史搜索 清空历史
首页> 美国政府科技报告 >Treasury Securities and the U.S. Sovereign Credit Default Swap Market. Updated July 25, 2011
【24h】

Treasury Securities and the U.S. Sovereign Credit Default Swap Market. Updated July 25, 2011

机译：美国国债和美国主权信用违约掉期市场。 2011年7月25日更新

获取原文
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Paying the public debt is a central constitutional responsibility of Congress (Article I, Section 8). U.S. Treasury securities, which represent nearly all federal debt, have long been considered risk free assets. The size of federal deficits and the projected imbalance between federal revenues and outlays, however, has raised concerns among some. Uncertainties surrounding the debt limit have raised issues related to a hypothetical federal default. Prices for Treasury securities suggest that financial markets consider a federal default unlikely, although credit rating agencies warned of possible downgrades, which could raise borrowing costs and negatively affect capital markets. A typical credit default swap (CDS) contract specifies that a CDS holder, in exchange for an annual fee set by the market and paid quarterly, can trade an asset issued by a 'reference entity' for its par value if a 'credit event' occurs. Par, or face, value is the value of a bond at maturity. A corporation or a sovereign government could be a reference entity. A committee of the derivatives trade organization, the International Swaps and Derivatives Association (ISDA), determines if a credit event has occurred, according to their interpretation of applicable guidelines. In general, failure to make a timely payment usually constitutes a credit event. The cost of buying CDS protection on federal debt for a one-year duration has roughly doubled since the start of 2011. U.S. CDS prices are currently about 54 basis points (one-hundredths of a percent)-slightly lower than for Germany-but much lower than the cost of CDS protection for Greece, Portugal, and Ireland. A CDS contract covering $1,000 of federal debt at a price of 54 basis points (bps) would require annual payment of $54. This report explains how the sovereign CDS market works and how such CDS price trends may illuminate fiscal stresses facing sovereign governments. Although CDS prices may be imperfect measures of the federal government's fiscal condition, some investors may try to glean information from those price trends. CDS prices have been playing an important role in the European government debt markets and could potentially affect U.S debt markets in the future. European policymakers have debated certain restrictions on types of sovereign CDS trading, and such calls for reform may be of interest to U.S. lawmakers. This report will be updated as events warrant.

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号