6. Credit default swaps on asset-backed securities and derivatives exposures

  1. Vinod Kothari

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390412.ch6

Credit Derivatives and Structured Credit Trading, Revised Edition

Credit Derivatives and Structured Credit Trading, Revised Edition

How to Cite

Kothari, V. (2008) Credit default swaps on asset-backed securities and derivatives exposures, in Credit Derivatives and Structured Credit Trading, Revised Edition, John Wiley & Sons (Asia) Pte. Ltd., 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390412.ch6

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 19 SEP 2008

ISBN Information

Print ISBN: 9780470822920

Online ISBN: 9781118390412

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Keywords:

  • credit default swaps;
  • asset-backed securities;
  • documentation templates;
  • notional value;
  • credit events

Summary

This chapter contains sections titled:

  • Need for CDSs on asset-backed securities

  • Development of CDS on ABS

  • Major differences between CDS of ABS and corporate debt

  • Documentation templates for different structured finance products

  • Special features in the documentation templates

  • Notional value of the swap

  • Credit events in the case of ABS

  • Two modes of settlement: PAUG and traditional

  • CDS of CDOs

  • Contingent CDS

  • Endnotes