Credit Default Swaps

Jayanth Varma of IIM, Ahmedabad, draws atention to the fact that the Depository Trust and Clearing Corporation of the US has published what is perhaps the first comprehensive official numbers on the global credit default swap market, including the top 1000 reference names, that account for over 95% of the market by gross notional value and a little less than 90% by net notional value.

Global gross notional exposure is $15.38 Trillion and Net notional exposure is $1.76 Trillion.

There are 4 Indian-owned entities in this list (ICICI, Reliance Industries, State Bank of India and Corus).

The gross and net notional exposures of these 4 Indian entities is $30.8 Billion and $3.8 Billion respectively.