...The events of the last several weeks have put the credit default swap (CDS) market to an unprecedented test. A surv ey conducted by Moody s of the major Moody s-rated banks and insurance firms acti ve in the CDS market suggests that the overall market has fared better t han many observers had anticipated. The Lehman Brothers bankruptcy, although resulti ng in sizable losses for a number of market participants, did not lead to the unraveling of the CDS market. Moreover, based on the survey results Moody s belie ves that the losses that did occur mainly as result of exposure to Lehman as a major counterparty, as opposed to exposure to Lehman as an underlying reference issuer on outstanding CDS did not fall outside of the range that could be tolerated by any major, Moody s-rated dealer s rating level. As a result, disruption in or losses through the CDS market due to the Lehman Brothers bankruptcy have no t, in and of themselves, resulted in the downgrade of any Moody s-rated...

Report Type: Special Comment
Issuer: Lehman Brothers Holdings Inc.
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Moody's Investors Service, a leading global credit rating, research and risk analysis firm, publishes credit opinions, research, and ratings on fixed-income securities, issuers of securities and other credit obligations. Credit ratings and research help investors analyze the credit risks associated with fixed-income securities. Ratings also create efficiencies in fixed-income markets and similar obligations, such as insurance and derivatives, by providing reliable, credible, and independent assessments of credit risk. For issuers, Moody's services increase market liquidity and may reduce transaction costs.