X hits on this document

141 views

0 shares

0 downloads

0 comments

3 / 62

Credit Default Swaps - What is a credit event?

Bankruptcy – i.e. official/legal filing

Failure to pay – usually subject to a threshold

Restructuring

Under ISDA definitions there are 4 standard options

Full Restructuring

»

Reduction in interest or principal

»

Delay in interest payments

»

Extension of maturity

»

Subordination of reference obligation

»

Restructuring as a result of credit deterioration

Modified Restructuring

»

As above BUT deliverable obligation limited to a maximum maturity, and must be fully transferable

Credit Derivative Instruments

Document info
Document views141
Page views139
Page last viewedMon Dec 05 11:29:35 UTC 2016
Pages62
Paragraphs1161
Words4308

Comments