최근 신용위기와 신용파생상품

The global credit market crisis ignited by the US sub-prime mortgage crisis has persisted for over one year and is deepening and widening with the downside or recession risks of real economy in unexpected ways. In trying to assess the underlying causes of current credit market crisis, many observers frequently point out that the credit structured products in which credit derivatives are embedded, the development of credit risk transfer market and OTD(originate-to-distribute) model have contributed to the expansion and severity of credit market turmoils. Under a benign economic environment that has featured low interest rates, low default rates, investors has stirred up an appetite for under-priced high risk assets such as sub-prime mortgage securities and leveraged loans over the past few years. Investors pursuing high-risks and high-return credit risks had believed that they could actively hedge or manage their high risks of sub-prime credit assets, and invest in only the credit risk of them without having to hold them on their balance sheet. The credit structured products for investing in sub-prime credit assets were ABS CDO, CDS on ABS(RMBS) and CDO squares in which reference assets were sub-prime mortgage securities. These products had included excessive leverage for enhancing the yields and had not been rightly rated by rating agencies because of too much complicated products structures and risk models rooted in historical data not reflecting future events. When the liquidity of credit structured products had begin to disappear in the credit market, the global large banks met funding liquidity risks and default risks. On the basis of analysing the unfolding events andthe causes of current credit market crisis, this article is trying to introduce the legal nature and general regulatory situation of credit derivatives in developed countries like United Kingdom, United States and Germany and Korea. First, in the part of the legal nature of credit derivatives, this article explains what is the difference between credit derivatives and insurance and guarantee contracts. Second, it introduces the three internationally accepted legal source of credit derivatives such as ISDA credit derivatives documents, Basel II regulatory capital requirements, and MiFID(Markets in Financial Instruments Directives) in EURO. Lastly, this article deals with the legal definitions and general regulatory environments of credit derivatives in UK, US, Germany and Korea.