CMS-Spread-Ladder-Swaps in öffentlichen Unternehmen und Kommunen – Verlustreiche Spekulationen gegen die Kapitalmarkterwartung

Holger Mühlenkamp and Peter Sossong

ZögU - Zeitschrift für öffentliche und gemeinwirtschaftliche Unternehmen, 2014, vol. 37, issue 4, 230-252

Abstract: The so called CMS Spread Ladder Swap (CSL-Swap) is a financial product to speculate on future yield curves. Recently, public enterprises and municipalities were the ones who suffered most from significant losses on account of this product. Consecutive to the losses there have been numerous lawsuits and judgements. The main intention of this paper is a capital market oriented evaluation of the judgements. The paper analyses the CSL-Swaps that were subject-matter of the lawsuits. It determines the cash value of the payments that resulted from the transactions insomuch as they could be expected from a capital market point of view at the time of the CSL-Swap. The determined cash values are the base for answering the main question whether the CSL-Swap losses were only due to an unfortunate course of an originally fair business design (bad luck), or whether they resulted from distortions unilaterally incriminating public enterprises and municipalities at the time of the business transactions (unfair business design).

Date: 2014
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DOI: 10.5771/0344-9777-2014-4-230

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ZögU - Zeitschrift für öffentliche und gemeinwirtschaftliche Unternehmen is currently edited by Prof. Dr. Frank Schulz-Nieswandt, Universität Köln (geschäftsführend), Prof. Dr. Thomas Lenk, Universität Leipzig, Prof. Dr. Holger Mühlenkamp, Deutsche Universität für Verwaltungswissenschaften Speyer, Prof. Dr. Johann Christian Pielow, Ruhr-Universität Bochum, Prof. Dr. Christina Schaefer, Helmut Schmidt Universität, Universität der Bundeswehr Hamburg, Prof. Dr. Ludwig Theuvsen, Georg-Augustin-Universität Göttingen and Prof. Dr. Dieter Kurt Tscheulin, Albert-Ludwigs-Universität Freiburg

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