January 2009
Intermediate to advanced
224 pages
4h 48m
English
Content preview from CDS Delivery Option: Better Pricing of Credit Default Swaps7
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7 
Delphi: A Real-World Example
Delphi, an auto-parts manufacturer and one-time division of General Motors, declared bankruptcy on October 8, 2005, and serves as a useful laboratory for our study of the delivery option. At the time of bankruptcy, the notional amount of derivatives outstanding was estimated at more than $20 billion by the International Swaps and Derivatives Association (ISDA), and some estimates were as high as $30 billion. These are staggering sums when compared to the $2 billion in underlying notes issued by the company and about the same amount of bank loans, which were also eligible for delivery into default swaps. The fact ...
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