CDS及股價走勢圖
http://seekingalpha.com/article/72394-lehman-merrill-and-morgan-credit-default-risk
Below we highlight the credit default risk for Lehman (LEH), Merrill (MER) and Morgan Stanley (MS) as measured by the prices of their 5-year credit default swaps [CDS]. These swaps are measured in basis points and represent the cost per year of insuring against default for the next five years. We chose these three because they are currently the highest priced in the global bank and broker arena.
As shown, default risk has declined dramatically since late February/early March when financial markets seemed to be on the brink of collapse. While they are sharply lower from their peaks, swap prices remain high.
Interestingly, stock prices for LEH and MER have once again moved lower over the past couple of weeks, even as default risk has fallen. Stock prices for each of these companies were much higher when CDS prices were at similar levels in early 2008.
A Primer on Credit Default Swaps (CDS)
Credit default swaps are agreements between two parties that are essentially a form of insurance against default on an underlying credit instrument. A CDS may for example reference a 5 year bond of a particular company. You or I could buy that bond and receive the coupon (interest) payments until maturity, at which point we receive our principal back. The risk we, as the purchaser of the bond, are exposed to is the chance the company may default on repaying the bond. A CDS is a way to protect against this risk. The purchaser of the CDS pays a periodic fee (commonly referred to as the CDS price) for credit protection. The seller receives the periodic payment in exchange for a commitment to guarantee the principal re-payment of the bond.
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