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 TABLE OF CONTENTS
 TABLE OF CONTENTSCHAPTER – 1 ...........................................................................................5INTRODUCTION .......................................................................................5
1.5 LIMITATIONS ...........................................................................................................71.6 SCHEME OF CHAPTERISATION .................................................................................7
CHAPTER – 2 ...........................................................................................9LITERATURE REVIEW ...............................................................................9
2.1 INTRODUCTION .....................................................................................................92.2 REVIEW OF LITERATURE ON CREDIT DERIVATIVES ................................................103.1 INTRODUCTION .....................................................................................................253.4 MAIN TYPES OF CREDIT DERIVATIVES ...................................................................28
3.4.1.2.1 PHYSICAL SETTLEMENT .................................................................................. 313.4.1.2.2 CASH SETTLEMENT .......................................................................................... 313.4.1.6 SIGNIFICANCE OF CDS ............................................................................................ 36
COLLATERALISED DEBT OBLIGATIONS .....................................................................40
4.1 NATURE OF THE STUDY .........................................................................................604.2 OBJECTIVES OF THE STUDY ...................................................................................604.3 SOURCES OF INFORMATION ..................................................................................604.4 TREATMENT OF THE INFORMATION .......................................................................614.5 LIMITATIONS OF THE STUDY ..................................................................................615.1 EVOLUTION AND SIZE OF THE MARKET .................................................................625.2 USAGE OF DERIVATIVES ........................................................................................685.3 A DETAILED STUDY OF CREDIT DEFAULT SWAPS MARKET ....................................715.4 INDIAN DEBT MARKET ...........................................................................................775.5 GOVERNMENT DEBT MARKET ................................................................................805.6 CORPORATE DEBT MARKET ...................................................................................865.7 RBI INITIATIVES .....................................................................................................875.8 PROBLEMS WITH THE INDIAN CORPORATE DEBT MARKET ....................................895.9 MAIN CREDIT DERIVATIVE PRODUCTS IN EMERGING MARKETS .............................99
REFERENCES AND BIBLIOGRAPHY ......................................................105
LIST OF FIGURES
 
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 TABLE OF CONTENTS
Sr. No.Figure No.DescriptionPage No.13.1Physical Settlement of CDS3023.2Cash Settlement of CDS3033.3Total Return Swap3643.4A typical CDO structure3853.5Types of CDOs4063.6Cash flow CDO4173.7Synthetic CDO4283.8Credit Linked Note4395.1Global Credit Derivatives Outstanding58105.2Credit derivatives product mix59115.3Indices versus Single name CDS sold position60125.4Comparison of market shares of different creditderivatives61135.5CDS Notional outstanding- A comparison between Singlename and Multi name CDS62145.6Usage of derivatives by types of risks managed65155.7Total notional amounts of CDS contracts outstanding for the period 2001-200969165.8Global Banks’ Motivations for 201072175.9Global Banks’ Motivations for 200973185.10Industry-wise split up93195.11NPA levels of Indian Nationalised Banks95205.12Partition by products in emerging markets97215.13Exposure by Tenor sold98
 
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 TABLE OF CONTENTS
LIST OF TABLES
Sr. No.Table No.DescriptionPage No.15.1Market share of the participants6325.2Derivatives usage by industry6635.3Derivatives usage by financial and non-financial firms6745.4Total notional amounts of CDS contracts outstanding for the period 2001-20096855.5List of top 10 CDS counterparties for the year end 20097065.6Ranking in terms of Protection bought for the year end20097175.7Ranking in terms of Protection sold for the year end 20097185.8Motivations for banks to use CDS7295.9Major issuers, investors in the Debt market, instrumentsissued and their maturity77105.10Year-wise Reforms80115.11List of Defaults in 200988125.12Industry-wise and chronological break-up of defaultsover the last 11 years89135.13Time to Default in number of months90145.14Ratio of Net NPA to Net Advances91155.15Segment-wise distribution of NPAs92
 
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