Implied Hazard Rate (Annual)
3.36%
Implied 5Y Def Prob: 15.5%
Physical Collateral Recovery
58.2%
Base ISDA 45.0% (+13.2% Adj)
Fundamental CDS Basis
120 BPS
Derivative Noise: -65 BPS
Net Capital At Risk (NCAR)
$418.0 M
41.8% of $1,000M Notional
5-Year Survival Probability & CDS Market Spread Term Structure
Cumulative Survival %
Observed CDS Spread (bps)
Fundamental CDS (De-noised)
Credit Cascade & Stress Event Simulators
1. Baseline Market State
Standard AI hyperscaler buildout with balanced GPU lease backing and active derivative basis activity.
2. Power PPA Cancellation
Utility grid bottleneck forces 3-year delay in data center power delivery; collateral value drops.
3. GPU Hardware Price Crash
Next-gen chip launch causes 45%/yr depreciation in current GPU fleet liquidation value.
4. Synthetic Squeeze / Basis Surge
Short squeezes & hedging surge elevate derivative CDS by +180 BPS without underlying default shift.
Credit Default Swap Deconstruction Matrix
| Tenor | Observed Market CDS | Synthetic Noise Factor | Fundamental CDS Spread | Implied Hazard Rate (\(\lambda\)) | Physical Asset Recovery | Net Expected Loss |
|---|