Credit Default Swaps: The Vanilla Essence
First published:
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References
References
Foreword
Preface
A credit default swap snapshot
Parties and key players
Documentation and standard trading conventions
Credit risk period, scheduled termination date and termination date
Fixed amounts, floating rate payer calculation amount and initial payment amount
Qualifying guarantee and qualifying affiliate guarantee
Reference obligation
Subordination and the senior non-preferred supplement
Outstanding principal balance and due and payable amount
Obligations and deliverable obligations
Credit event overview
Bankruptcy
Failure to pay
Repudiation/moratorium
Restructuring and redenomination
Governmental intervention and contingent convertible capital instruments
Successor determinations
Publicly available information and eligible information
Notices
Business day terms and timing rules
Event determination date and settlement methods
Auction settlement
Cash settlement
Physical settlement
Physical settlement fallback procedures
Orphaning
Fixed recovery transaction and reference obligation only trade
Novation and early termination
Economic sanctions: compliance challenges
Disclosures and regulations
Conclusion: at the ‘Exit Checkpoint’
Appendix
References
Anglo Irish Bank, 2011, “AIB: Update on the Effectiveness of the Subordinated Liability Order Issued by the High Court on 14 April, 2011”, Press Release, June 9. URL: https://bit.ly/33vMVZC.
Assenagon Asset Management SA vIrish Bank Resolution Corp Ltd (formerly Anglo Irish Bank Corp Ltd) , 2012, EWHC 2090 (Ch), July 27.
Avdjiev, S., B. Bogdanova, P. Bolton, W. Jiang and A. Kartasheva, 2017, “CoCo Issuance and Bank Fragility”, BIS Working Paper 678, Monetary Economic and Policy Department, Bank for International Settlements, November.
Avdjiev, S., A. Kartasheva and A. Bogdanova, 2013, “CoCos: A Primer”, Bank for International Settlements, BIS Quarterly Review, September, pp. 43–56. URL: www.bis.org/publ/qtrpdf/r_qt1309f.pdf.
Bank for International Settlements, 2003, “Credit Risk Transfer: Report Submitted by a Working Group Established by the Committee on the Global Financial System”, January, Bank for International Settlements. URL: www.bis.org/publ/cgfs20.pdf.
Bank for International Settlements, 2005, “Compliance and the Compliance Function in Banks”, April, Bank for International Settlements. URL: www.bis.org/publ/bcbs113.pdf.
Bank for International
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